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, 2013
Date of reporting period: March 31, 2013
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, 2013. 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 |
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 11/30/12. The Fund did not win the award for other time periods.
Glossary
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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
This page is not part of the Semi-Annual Report. 3
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
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 pursue 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 0.72%, 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, 2013
Average Annual Total returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 9/28/84) | ||||||||||||||||||||
Without sales charge | 2.97 | % | 4.16 | % | 4.40 | % | 3.52 | % | 5.42 | % | ||||||||||
With sales charge | 1.43 | % | 3.64 | % | 4.08 | % | 3.36 | % | 5.36 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||
1.65% | 0.62 | % |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 1,787 | |||
Effective Duration | 3.4Yrs | |||
Average Maturity | 4.0Yrs |
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, 2013
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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 15, 2013
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 decreased by two cents to $14.68 per share during the six months ended March 31, 2013. If you were with us for the entire period, you received dividends of 13.38 cents per share. If you reinvested your dividends, you received 13.43 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 0.78% at NAV over the six months ended March 31, 2013, compared to 0.71% for the BofA Merrill Lynch 1–10 Year U.S. Municipal Securities Index.
Our relative overweight to revenue sectors and middle-tier investment grade credits explained much of our outperformance for the period, as did our higher exposure to local government credits in once out-of-favor states such as California, Michigan, and Illinois. The Fund also benefitted from our concerted migration away from higher duration positions into more price-stable bonds maturing inside of three years.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield remains comfortably above average within both its Lipper and Morningstar competitive groups.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were at this point in 2011, several metrics stand apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Adjusting for inflation, “real” yields reached some of their lowest levels on record in the last six months. Not isolated to the municipal market space, fixed income as a broad asset class has been overvalued in our view for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity – the banking crisis of 2008 and the Meredith Whitney event of 2010, for example – we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure and locking in attractive rates that we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the one we’re in, when yields reach a trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Investors who have been with us through the years are rarely surprised to see us adopt a contrarian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We believe there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013 we’ve seen 30 consecutive months in employment growth. Put into proper perspective, however, as of December 2012, total non-farm payrolls are still below where they were at the beginning of the Great Recession in 2007 (Chart I).
Declining growth in non-farm payrolls paired with a falling labor participation rate tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor on short-term rates. Now is a good time to remind investors that “income” drives sustainable returns, not artificial constraints on interest rates, not momentum buying, nor chasing after prior years’ performance.
Chart I: Non-farm Employment in Selected Recessions
While private sector employment has fueled job growth over the last three years, state and local governments have been steadily eliminating jobs (Chart II). As reflected in recent Bureau of Labor Statistics data, cuts in state and local government employment have been far more severe than in any other recession during the last 40 years, evidenced by a 3% cumulative decline. While government employment cuts of this nature have their place, and are lauded among champions of fiscal conservatism, high unemployment stemming
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
from the private and public sector remains an economic headwind.
Chart II: State and Local Government Employment in Selected Recessions
Total state tax collections grew for the eleventh quarter through September 2012 (Chart III), providing some measure of support to credit fundamentals in the municipal market. However, inflation-adjusted tax receipts are still more than 3% below pre-recession levels. The annual growth rate in tax collections at the state level, while still positive, has declined the last several quarters to an average of 1.5 percent for the four quarters leading up to September 30, 2012. This is down significantly from the prior year’s annual growth rate of 6.6 percent.
Chart III: State Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
At the local government level, tax collections have been slow to recover in recent years due primarily to lags in assessed property values. Moderate shifts in assessed values prevent sharp swings in property tax receipts during periods of volatile market prices. Unfortunately, this can lead to protracted periods of decline, as we’ve seen in recent years. The rate of decline in assessed valuations, however, has lessened
Certified Semi-Annual Report 9
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
nationwide, and in several regions growth is trending positive. From what we can glean from a recent uptrend in housing market values, we could reasonably anticipate this will provide some support to revenue growth in the years ahead.
Chart IV: State Sales Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
While many of the fiscal trends impacting state and local governments have been positive and steady, the road to recovery has still been very slow. By no means are municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy day funds. Many have exhausted one-time revenue sources, and recent cuts to essential and non-essential government functions may limit flexibility to control expenses going forward.
Chart V: Percent of Portfolio Maturing
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg Limited Term Municipal Fund, we believe a holding period of at least two to three years will make it easier to navigate through any potentially rough waters that may lie ahead.
Your Thornburg Limited Term Municipal Fund includes a laddered portfolio of 717 municipal obligors. 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 should dampen the Fund’s price volatility. Laddering also reduces reinvestment risk by giving the Fund a
10 Certified Semi-Annual Report
steady cash flow stream from maturing bonds to reinvest toward the top of the ladder where yields are typically higher.
We 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 new opportunities and challenges present themselves.
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 Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
SUMMARY OF SECURITY CREDIT RATING†
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 — 1.50% | ||||||||||||
Alabama Public School and College Authority, 5.00% due 5/1/2013 (Education System Capital Improvements) | AA/Aa1 | $ | 5,000,000 | $ | 5,021,900 | |||||||
Alabama Public School and College Authority, 5.00% due 5/1/2015 (Education System Capital Improvements) | NR/Aa1 | 8,530,000 | 9,344,615 | |||||||||
Alabama Public School and College Authority, 5.00% due 5/1/2016 (Education System Capital Improvements) | AA/Aa1 | 5,000,000 | 5,667,450 | |||||||||
Alabama State Board of Education, 3.00% due 5/1/2017 (Calhoun Community College) | NR/A1 | 2,070,000 | 2,187,431 | |||||||||
Alabama State Board of Education, 3.00% due 5/1/2018 (Calhoun Community College) | NR/A1 | 2,130,000 | 2,254,222 | |||||||||
Alabama State Board of Education, 4.00% due 5/1/2019 (Calhoun Community College) | NR/A1 | 2,195,000 | 2,434,123 | |||||||||
Alabama State Board of Education, 4.00% due 5/1/2020 (Calhoun Community College) | NR/A1 | 1,000,000 | 1,114,380 | |||||||||
Alabama State Board of Education, 4.00% due 5/1/2021 (Calhoun Community College) | NR/A1 | 1,000,000 | 1,110,570 | |||||||||
Alabama State Board of Education, 4.00% due 5/1/2022 (Calhoun Community College) | NR/A1 | 1,230,000 | 1,356,038 | |||||||||
Camden Industrial Development Board, 6.125% due 12/1/2024 pre-refunded 12/1/2013 (Weyerhaeuser Company) | AA+/NR | 2,800,000 | 2,911,692 | |||||||||
City of Birmingham GO, 5.00% due 10/1/2013 (Government Services; Insured: MBIA) | AA/Aa2 | 6,500,000 | 6,657,755 | |||||||||
City of Birmingham GO, 5.00% due 2/1/2015 (Government Services) | AA/Aa2 | 4,240,000 | 4,574,790 | |||||||||
City of Birmingham GO, 4.00% due 8/1/2015 (Government Services) | AA/Aa2 | 3,005,000 | 3,233,290 | |||||||||
City of Birmingham GO, 5.00% due 2/1/2016 (Government Services) | AA/Aa2 | 3,775,000 | 4,207,237 | |||||||||
City of Birmingham GO, 4.00% due 8/1/2016 (Government Services) | AA/Aa2 | 3,645,000 | 4,008,006 | |||||||||
City of Birmingham GO, 5.00% due 2/1/2017 (Government Services) | AA/Aa2 | 2,045,000 | 2,340,768 | |||||||||
City of Birmingham GO, 4.00% due 8/1/2017 (Government Services) | AA/Aa2 | 2,760,000 | 3,085,211 | |||||||||
City of Birmingham GO, 5.00% due 2/1/2018 (Government Services) | AA/Aa2 | 2,000,000 | 2,340,580 | |||||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A/A2 | 6,000,000 | 6,157,860 | |||||||||
City of Mobile Industrial Development Board Pollution Control, 5.00% due 6/1/2034 put 3/19/2015 (Alabama Power Company Barry Plant Project) | A/A2 | 6,000,000 | 6,488,700 | |||||||||
City of Mobile Private Placement Warrants GO, 4.50% due 8/15/2016 (Senior Center) | NR/NR | 1,255,000 | 1,303,104 | |||||||||
City of Mobile Warrants GO, 5.00% due 2/15/2019 (City Capital Improvements) | AA-/Aa2 | 2,000,000 | 2,336,020 | |||||||||
City of Montgomery BMC Special Care Facilities Financing Authority, 5.00% due 11/15/2013 (Baptist Health; Insured: Natl-Re) (ETM) | NR/NR | 1,000,000 | 1,029,680 | |||||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2021 | A/NR | 1,245,000 | 1,473,159 | |||||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2022 | A/NR | 800,000 | 934,000 | |||||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2016 | AAA/Aa1 | 2,080,000 | 2,382,162 | |||||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2019 | AAA/Aa1 | 3,375,000 | 4,014,765 | |||||||||
Town of Courtland Industrial Development Board, 4.75% due 5/1/2017 (Solid Waste Disposal-International Paper Company Project) | BBB/NR | 5,000,000 | 5,218,300 | |||||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2017 | A+/A1 | 2,500,000 | 2,954,825 | |||||||||
University of Alabama at Birmingham Hospital, 5.00% due 9/1/2018 | A+/A1 | 1,500,000 | 1,780,275 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ALASKA — 0.75% | ||||||||||
Alaska Energy Power Authority, 6.00% due 7/1/2013 (Bradley Lake Hydroelectric; Insured: AGM) | AA-/Aa2 | $ | 1,600,000 | $ | 1,623,520 | |||||
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | AA+/Aa2 | 2,000,000 | 2,316,140 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2014 | AA+/Aa3 | 2,000,000 | 2,095,560 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2015 | AA+/Aa3 | 1,900,000 | 2,071,247 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2016 | AA+/Aa3 | 1,100,000 | 1,237,159 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017 | AA+/Aa3 | 3,000,000 | 3,468,810 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018 | AA+/Aa3 | 2,455,000 | 2,903,209 | |||||||
Alaska Municipal Bond Bank, 5.00% due 6/1/2014 (Insured: Natl-Re) (State Aid Withholding) | AA/Aa2 | 1,175,000 | 1,239,766 | |||||||
City of Valdez Alaska, 5.00% due 1/1/2021 (BP Pipelines, Inc.) | A/A2 | 3,700,000 | 4,496,869 | |||||||
City of Valdez Alaska, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 12,000,000 | 14,584,440 | |||||||
North Slope Boro GO, 5.00% due 6/30/2015 (Insured: Natl-Re) | AA-/Aa3 | 3,250,000 | 3,574,513 | |||||||
North Slope Boro GO, 5.00% due 6/30/2017 (Insured: Natl-Re) | AA-/Aa3 | 8,800,000 | 10,297,320 | |||||||
ARIZONA — 3.38% | ||||||||||
Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re) | AA-/A1 | 1,285,000 | 1,451,677 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2018 (Northern Arizona University Projects) | A/A2 | 1,000,000 | 1,073,380 | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re) | AA-/A1 | 3,735,000 | 4,200,680 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2019 (Northern Arizona University Projects) | A/A2 | 2,525,000 | 2,700,588 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2019 pre-refunded 9/1/2014 (Northern Arizona University Research Infrastructure Projects; Insured: AMBAC) | A/A2 | 3,500,000 | 3,731,455 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Northern Arizona University Projects) | A/A2 | 1,000,000 | 1,193,550 | |||||||
Arizona Board of Regents COP, 5.00% due 6/1/2022 (University of Arizona) | AA-/Aa3 | 6,080,000 | 7,298,675 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Northern Arizona University Projects) | A/A2 | 2,500,000 | 2,984,800 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Northern Arizona University Projects) | A/A2 | 3,325,000 | 3,918,180 | |||||||
Arizona HFA, 5.25% due 1/1/2018 (Banner Health) | AA-/NR | 3,500,000 | 4,141,165 | |||||||
Arizona HFA, 5.00% due 7/1/2018 (Catholic Health Care West) | A/A3 | 1,470,000 | 1,712,182 | |||||||
Arizona HFA, 5.00% due 7/1/2019 (Catholic Health Care West) | A/A3 | 1,365,000 | 1,607,356 | |||||||
Arizona HFA, 5.00% due 7/1/2020 (Catholic Health Care West) | A/A3 | 1,290,000 | 1,496,787 | |||||||
Arizona Lottery, 5.00% due 7/1/2018 (Insured: AGM) | AA-/A1 | 8,370,000 | 9,910,917 | |||||||
Arizona Lottery, 5.00% due 7/1/2020 (Insured: AGM) | AA-/A1 | 8,705,000 | 10,542,713 | |||||||
Arizona School Facilities Board, 5.00% due 7/1/2016 (State School Land Trust; Insured: AMBAC) | NR/NR | 5,775,000 | 6,426,016 | |||||||
Arizona School Facilities Board, 5.00% due 1/1/2017 pre-refunded 7/1/2015 (State School Improvement) | AAA/Aaa | 1,225,000 | 1,348,627 | |||||||
Arizona School Facilities Board COP, 5.25% due 9/1/2023 (School Site and Building Projects) | A+/A1 | 1,315,000 | 1,505,267 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2019 | AA+/Aa2 | 3,500,000 | 4,264,120 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2021 | AA+/Aa2 | 7,465,000 | 9,296,762 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2022 | AA+/Aa2 | 5,000,000 | 6,136,500 | |||||||
City of Chandler, 3.00% due 7/1/2013 | AA/Aa3 | 1,905,000 | 1,918,259 | |||||||
City of Chandler, 3.00% due 7/1/2014 | AA/Aa3 | 2,790,000 | 2,881,317 | |||||||
City of Phoenix Civic Improvement Corp., 3.00% due 7/1/2013 | A+/A1 | 1,000,000 | 1,006,940 | |||||||
City of Tucson GO, 3.625% due 7/1/2015 (Insured: Natl-Re/FGIC) | AA-/Aa2 | 1,750,000 | 1,868,142 | |||||||
Deer Valley USD No. 97 of Maricopa County, 4.00% due 7/1/2015 (2004 School Improvement Project; Insured: AGM) | NR/Aa2 | 1,325,000 | 1,421,553 | |||||||
Glendale IDA, 5.00% due 5/15/2015 (Midwestern University) | A-/NR | 1,000,000 | 1,068,870 | |||||||
Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) | A-/NR | 1,325,000 | 1,451,776 | |||||||
Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) | A-/NR | 1,440,000 | 1,609,085 | |||||||
Glendale Western Loop 101 Public Facilities Corp., 6.00% due 7/1/2019 pre-refunded 1/1/2014 | AA/A3 | 2,200,000 | 2,296,470 | |||||||
Maricopa County IDA Health Facilities, 4.125% due 7/1/2015 (Catholic Health Care West) | A/A3 | 1,600,000 | 1,721,440 | |||||||
Maricopa County IDA Health Facilities, 5.00% due 7/1/2038 put 7/1/2014 (Catholic Health Care West) | A/A3 | 7,500,000 | 7,856,700 | |||||||
Mesa Highway GO, 3.25% due 7/1/2016 | AA+/Aa3 | 10,000,000 | 10,334,900 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Mohave County IDA, 5.00% due 4/1/2014 (Mohave Prison LLC; Insured: Syncora) (ETM) | AA+/NR | $ | 3,135,000 | $ | 3,282,596 | |||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) | BBB+/NR | 12,100,000 | 13,426,281 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) | BBB+/Baa1 | 1,600,000 | 1,690,224 | |||||||
Navajo County PCR, 5.50% due 6/1/2034 put 6/1/2014 (Arizona Public Service Co.) | BBB+/Baa1 | 2,600,000 | 2,746,614 | |||||||
Navajo County PCR, 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.) | BBB+/Baa1 | 9,700,000 | 10,899,405 | |||||||
Phoenix Union High School District No. 210 of Maricopa County GO, 4.00% due 7/1/2015 (2003 School Improvement Project; Insured: Natl-Re) | AA/Aa2 | 1,500,000 | 1,615,275 | |||||||
Pima County, 4.00% due 7/1/2014 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 1,500,000 | 1,568,865 | |||||||
Pima County, 5.00% due 7/1/2015 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 1,250,000 | 1,375,550 | |||||||
Pima County, 5.00% due 7/1/2016 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 2,000,000 | 2,277,580 | |||||||
Pima County, 4.50% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) | AA-/A2 | 5,000,000 | 5,752,550 | |||||||
Pima County, 5.00% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 2,750,000 | 3,214,310 | |||||||
Pima County, 3.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 500,000 | 544,125 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 2,000,000 | 2,382,760 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 700,000 | 833,966 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) | AA-/A2 | 5,000,000 | 5,969,550 | |||||||
Pima County, 5.00% due 7/1/2020 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 500,000 | 605,555 | |||||||
Pima County, 3.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 1,200,000 | 1,275,372 | |||||||
Pima County, 5.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 400,000 | 484,984 | |||||||
Pima County, 3.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 1,325,000 | 1,384,453 | |||||||
Pima County, 5.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) | A+/NR | 500,000 | 612,685 | |||||||
Pima County IDA, 6.40% due 7/1/2013 (Arizona Charter Schools) | NR/Baa3 | 190,000 | 190,828 | |||||||
Pima County IDA, 5.00% due 7/1/2016 (Metro Police Facility) | AA/Aa3 | 2,500,000 | 2,772,550 | |||||||
Pima County IDA, 5.00% due 7/1/2017 (Metro Police Facility) | AA/Aa3 | 3,000,000 | 3,390,420 | |||||||
Pima County IDA, 5.00% due 7/1/2018 (Metro Police Facility) | AA/Aa3 | 3,285,000 | 3,763,000 | |||||||
Pima County IDA, 5.00% due 7/1/2019 (Metro Police Facility) | AA/Aa3 | 2,000,000 | 2,310,480 | |||||||
Salt River Agricultural Improvement & Power District, 3.00% due 1/1/2014 | AA/Aa1 | 11,275,000 | 11,514,030 | |||||||
Salt River Agricultural Improvement & Power District, 5.00% due 1/1/2014 | AA/Aa1 | 2,265,000 | 2,273,947 | |||||||
Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare) | A-/A2 | 6,885,000 | 7,819,226 | |||||||
Town of Gilbert Public Facilities Municipal Property Corporation, 3.00% due 7/1/2015 | AA/Aa2 | 1,080,000 | 1,132,315 | |||||||
University Arizona Medical Center Corp. GO, 5.00% due 7/1/2014 | BBB+/Baa1 | 1,000,000 | 1,050,270 | |||||||
Yuma Property Corp. Utility Systems, 5.00% due 7/1/2016 (Insured: Syncora) | A+/A1 | 2,000,000 | 2,228,840 | |||||||
Yuma Property Corp. Utility Systems, 5.00% due 7/1/2018 (Insured: Syncora) | A+/A1 | 2,130,000 | 2,400,680 | |||||||
ARKANSAS — 0.50% | ||||||||||
Fort Smith Water & Sewer, 2.00% due 10/1/2013 (Insured: AGM) | AA-/NR | 1,000,000 | 1,007,450 | |||||||
Fort Smith Water & Sewer, 3.00% due 10/1/2014 (Insured: AGM) | AA-/NR | 1,000,000 | 1,037,900 | |||||||
Fort Smith Water & Sewer, 3.50% due 10/1/2016 (Insured: AGM) | AA-/NR | 1,370,000 | 1,498,958 | |||||||
Fort Smith Water & Sewer, 3.50% due 10/1/2017 (Insured: AGM) | AA-/NR | 1,930,000 | 2,146,681 | |||||||
Fort Smith Water & Sewer, 4.00% due 10/1/2018 (Insured: AGM) | AA-/NR | 1,000,000 | 1,146,110 | |||||||
Fort Smith Water & Sewer, 4.00% due 10/1/2019 (Insured: AGM) | AA-/NR | 1,670,000 | 1,928,850 | |||||||
Independence County PCR, 4.90% due 7/1/2022 (Entergy Mississippi, Inc.; Insured: AMBAC) | NR/Baa1 | 6,400,000 | 6,576,704 | |||||||
Jefferson County, 4.00% due 6/1/2015 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,205,000 | 1,285,747 | |||||||
Jefferson County, 4.00% due 6/1/2016 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,395,000 | 1,508,037 | |||||||
Jefferson County, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,375,000 | 1,503,604 | |||||||
Jefferson County, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,495,000 | 1,685,687 | |||||||
Jefferson County, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM) | AA-/NR | 1,580,000 | 1,798,198 | |||||||
Jefferson County PCR, 1.55% due 10/1/2017 (Entergy Arkansas, Inc. Project) | A-/A3 | 10,000,000 | 10,099,000 | |||||||
CALIFORNIA — 8.42% | ||||||||||
Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC) | AA/NR | 1,220,000 | 1,416,920 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Anaheim Public Financing Authority, 5.25% due 10/1/2018 (Electric Systems Generation; Insured: AGM) | AA-/A1 | $ | 1,560,000 | $ | 1,566,318 | |||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) | AA-/A2 | 3,250,000 | 2,391,740 | |||||||
Brentwood Infrastructure, 2.00% due 11/1/2015 (Insured: AGM) | AA-/NR | 520,000 | 532,272 | |||||||
Brentwood Infrastructure, 4.00% due 11/1/2016 (Insured: AGM) | AA-/NR | 325,000 | 351,289 | |||||||
Brentwood Infrastructure, 5.00% due 11/1/2017 (Insured: AGM) | AA-/NR | 965,000 | 1,090,392 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2018 (Insured: AGM) | AA-/NR | 1,020,000 | 1,178,345 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2019 (Insured: AGM) | AA-/NR | 725,000 | 844,973 | |||||||
a Cabrillo USD GO, 0% due 8/1/2015 (Educational Facilities Projects; Insured: AMBAC) | NR/NR | 1,000,000 | 975,280 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2017 (Pitzer College) | NR/A3 | 1,460,000 | 1,659,772 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2021 (Chapman University) | NR/A2 | 4,870,000 | 5,822,767 | |||||||
California HFFA, 5.50% due 2/1/2017 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | A/NR | 2,575,000 | 2,973,275 | |||||||
California HFFA, 5.50% due 2/1/2019 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | A/NR | 2,865,000 | 3,459,602 | |||||||
California HFFA, 5.75% due 2/1/2020 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | A/NR | 1,975,000 | 2,443,746 | |||||||
California HFFA, 5.00% due 3/1/2020 (Catholic HealthCare West Health Facilities) | A/A3 | 4,400,000 | 5,244,580 | |||||||
California HFFA, 5.75% due 2/1/2021 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | A/NR | 1,695,000 | 2,104,224 | |||||||
California HFFA, 5.00% due 3/1/2021 (Catholic HealthCare West Health Facilities) | A/A3 | 3,450,000 | 4,130,650 | |||||||
California HFFA, 5.25% due 3/1/2022 (Catholic Healthcare West Health Facilities) | A/A3 | 7,020,000 | 8,349,939 | |||||||
California HFFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic Healthcare West Health Facilities) | A/A3 | 3,500,000 | 3,694,565 | |||||||
California HFFA, 5.00% due 7/1/2028 put 7/1/2014 (Catholic HealthCare West Health Facilities) | A/A3 | 2,000,000 | 2,098,460 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | A-/A2 | 795,000 | 798,315 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) | AA-/Aa3 | 5,000,000 | 5,481,550 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2016 | AA-/Aa3 | 5,000,000 | 5,679,000 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 | A+/Aa3 | 4,000,000 | 4,801,640 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2020 | A+/Aa3 | 4,200,000 | 5,098,674 | |||||||
California State GO, 4.75% due 4/1/2018 (Various Purposes) | A/A1 | 1,250,000 | 1,470,725 | |||||||
California State GO, 5.00% due 9/1/2020 (Tax-Exempt Various Purposes) | A/A1 | 10,000,000 | 12,211,500 | |||||||
California State GO, 5.00% due 9/1/2021 (Tax-Exempt Various Purposes) | A/A1 | 5,000,000 | 6,134,600 | |||||||
California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments- MFH; Collateralized: GNMA) | NR/Aaa | 1,725,000 | 1,766,210 | |||||||
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 | 3,446,370 | |||||||
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 | 3,539,970 | |||||||
California State Public Works Board, 5.00% due 11/1/2017 (California State University) | A-/Aa3 | 3,000,000 | 3,532,170 | |||||||
California State Public Works Board, 5.00% due 11/1/2018 (California State University) | A-/Aa3 | 2,700,000 | 3,222,585 | |||||||
California State Public Works Board, 5.00% due 4/1/2020 (Riverside Campus) | A-/A2 | 1,585,000 | 1,907,484 | |||||||
California State Public Works Board, 5.00% due 10/1/2020 (California State University) | A-/A2 | 1,000,000 | 1,212,610 | |||||||
California State Public Works Board, 5.00% due 11/1/2020 (Various Capital Projects) | A-/A2 | 1,500,000 | 1,821,120 | |||||||
California State Public Works Board, 5.00% due 4/1/2021 (Riverside Campus) | A-/A2 | 890,000 | 1,071,337 | |||||||
California State Public Works Board, 5.00% due 10/1/2021 (Various Capital Projects) | A-/A2 | 1,000,000 | 1,210,140 | |||||||
California State Public Works Board, 5.00% due 11/1/2021 (Various Capital Projects) | A-/A2 | 1,750,000 | 2,119,460 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (Riverside Campus) | A-/A2 | 500,000 | 601,965 | |||||||
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) | A+/NR | 27,000,000 | 32,582,520 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; Insured: College for Certain LLC) | NR/NR | 2,100,000 | 2,180,661 | |||||||
California Statewide Community Development Authority, 5.00% due 6/15/2013 | A/A1 | 9,500,000 | 9,597,945 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Castaic Lake Water Agency COP, 0% due 8/1/2023 (Water System Improvement; Insured: AMBAC) | AA/NR | $ | 10,125,000 | $ | 7,230,769 | |||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re/FGIC) | A+/NR | 7,000,000 | 5,744,480 | |||||||
Centinela Valley USD GO, 4.00% due 12/1/2013 | SP-1+/NR | 5,665,000 | 5,794,219 | |||||||
a Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice) | A+/A1 | 600,000 | 684,036 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice) | A+/A1 | 1,750,000 | 2,053,957 | |||||||
Chula Vista COP, 5.25% due 3/1/2018 | A-/NR | 1,170,000 | 1,329,646 | |||||||
Chula Vista COP, 5.25% due 3/1/2019 | A-/NR | 1,235,000 | 1,417,335 | |||||||
City and County of San Francisco GO, 5.00% due 6/15/2015 (Various Capital Projects) | AA/Aa1 | 18,385,000 | 20,257,880 | |||||||
Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re/FGIC) | AA/NR | 2,685,000 | 2,347,120 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM) | AA-/NR | 5,000,000 | 5,751,150 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2018 (Insured: AGM) | AA-/NR | 3,000,000 | 3,508,440 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2019 (Insured: AGM) | AA-/NR | 3,000,000 | 3,542,820 | |||||||
County of Los Angeles COP, 0% due 3/1/2017 (Disney Parking Garage and Walt Disney Concert Hall) | AA-/A1 | 1,075,000 | 1,010,962 | |||||||
County of Los Angeles COP, 0% due 9/1/2017 (Disney Parking Garage and Walt Disney Concert Hall; Insured: AMBAC) | AA-/A1 | 1,200,000 | 1,116,480 | |||||||
Escondido Union High School District GO, 0% due 11/1/2020 (Insured: Natl-Re) | NR/Baa2 | 2,655,000 | 2,080,325 | |||||||
Golden State Tobacco Securitization Corp., 5.50% due 6/1/2043 pre-refunded 6/1/2013 | AA+/Aaa | 2,000,000 | 2,018,320 | |||||||
Inland Valley Development Agency, 5.25% due 4/1/2013 (ETM) | NR/NR | 2,000,000 | 2,000,840 | |||||||
Inland Valley Development Agency, 5.50% due 4/1/2014 (ETM) | NR/NR | 2,000,000 | 2,103,280 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 12,000,000 | 12,372,600 | |||||||
Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018 | A+/A2 | 2,295,000 | 2,623,736 | |||||||
Los Angeles County Public Works Authority, 5.00% due 8/1/2019 (Multiple Capital Projects) | AA-/A1 | 17,935,000 | 21,541,728 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | AA-/A1 | 4,000,000 | 4,744,680 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2017 (Information Technology; Insured: AMBAC) | A+/A1 | 2,445,000 | 2,816,689 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities Improvements) | A+/A1 | 4,600,000 | 5,503,164 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2019 (Educational Facilities Improvements) | A+/A1 | 7,040,000 | 8,484,397 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2018 (Educational Facilities Improvements; Insured: AGM) | AA-/Aa2 | 4,000,000 | 4,707,440 | |||||||
Monterey County COP, 5.00% due 8/1/2016 (Insured: AGM) | AA/A1 | 1,435,000 | 1,615,279 | |||||||
Monterey County COP, 5.00% due 8/1/2018 (Insured: AGM) | AA/A1 | 2,260,000 | 2,634,957 | |||||||
Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) | AA/Aa2 | 5,000,000 | 4,698,850 | |||||||
Needles USD GO, 0% due 8/1/2023 | NR/Baa2 | 1,005,000 | 608,437 | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) | A+/A2 | 1,000,000 | 1,165,200 | |||||||
Northern California Power Agency, 5.00% due 6/1/2018 (Lodi Energy Center) | A-/A3 | 4,480,000 | 5,280,845 | |||||||
Northern California Power Agency, 5.00% due 7/1/2019 (Hydroelectric Project) | A+/A2 | 1,000,000 | 1,202,020 | |||||||
Northern California Power Agency, 5.00% due 7/1/2020 (Hydroelectric Project) | A+/A2 | 1,325,000 | 1,567,541 | |||||||
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re) | A+/Aa3 | 1,245,000 | 1,445,022 | |||||||
Palo Alto USD GO, 0% due 8/1/2019 | AAA/Aa1 | 1,000,000 | 898,660 | |||||||
Palomar Community College District GO, 0% due 8/1/2021 | AA-/Aa2 | 2,560,000 | 2,021,709 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/A2 | 3,955,000 | 4,619,124 | |||||||
Regents of the University of California, 5.00% due 5/15/2019 (Higher Education Facilities; Insured: AGM) | AA/Aa1 | 4,245,000 | 4,689,494 | |||||||
Rocklin USD GO, 0% due 8/1/2022 (Insured: Natl-Re/FGIC) | AA-/Aa2 | 3,910,000 | 2,996,194 | |||||||
Sacramento City Financing Authority, 0% due 12/1/2019 (Merged Downtown & Oak Park; Insured: Natl-Re/FGIC) | A-/NR | 2,920,000 | 2,334,949 | |||||||
Sacramento City USD GO, 4.00% due 7/1/2019 (Educational Facilities Improvements) | A+/A1 | 5,455,000 | 6,235,065 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements) | A+/A1 | 3,265,000 | 3,991,822 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble) | A+/A1 | 750,000 | 866,775 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Insured: AMBAC) | BBB/NR | 8,290,000 | 8,896,248 | |||||||
Sacramento County Sanitation Districts Financing Authority, 0.16% due 12/1/2039 put 4/1/2013 (LOC: Morgan Stanley) (daily demand notes) | AAA/Aa3 | 32,025,000 | 32,025,046 |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl-Re) | BBB/A3 | $ | 4,870,000 | $ | 5,431,365 | |||||
Sacramento Municipal Utility District, 5.00% due 7/1/2019 (Cosumnes Project; Insured: Natl-Re) | BBB/A3 | 5,000,000 | 5,605,450 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) | BBB/A3 | 8,675,000 | 9,654,668 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2020 | A+/NR | 4,000,000 | 4,724,840 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2021 | A+/NR | 3,000,000 | 3,558,030 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2022 | A+/NR | 8,000,000 | 9,465,280 | |||||||
San Diego Redevelopment Agency, 4.50% due 9/1/2019 (Centre City Redevelopment; Insured: AMBAC) | NR/Ba1 | 1,240,000 | 1,299,557 | |||||||
San Diego USD GO, 5.25% due 7/1/2015 (Educational System Capital Projects; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,022,730 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) | AA-/Aa3 | 10,000,000 | 12,395,300 | |||||||
San Francisco Bay Area Rapid Transit District, 5.00% due 7/1/2022 (Insured: | AA+/Aa2 | 1,220,000 | 1,341,085 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: | AA-/Aa2 | 7,600,000 | 6,317,652 | |||||||
San Jose Redevelopment Agency, 6.00% due 8/1/2015 (Insured: Natl-Re) | NR/Baa2 | 2,780,000 | 2,998,536 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development Project) | A+/NR | 3,900,000 | 4,036,461 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | NR/Baa2 | 4,035,000 | 4,726,115 | |||||||
Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re/FGIC) | AA-/NR | 3,425,000 | 3,009,068 | |||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2014 (Multiple Facilities) | AA/A1 | 4,245,000 | 4,413,951 | |||||||
Solano County COP, 5.00% due 11/15/2017 | AA-/A1 | 1,580,000 | 1,824,932 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A2 | 2,000,000 | 2,062,280 | |||||||
State of California, 2.50% due 6/20/2013 (General Fund Cash Management) | SP-1+/Mig1 | 64,700,000 | 65,042,910 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 (Tuolumne Co.) | A+/A2 | 2,000,000 | 2,337,320 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2019 (Tuolumne Co.) | A+/A2 | 2,000,000 | 2,371,380 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment) | A/NR | 935,000 | 1,018,776 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 (Tustin Redevelopment) | A/NR | 1,010,000 | 1,106,303 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 (Tustin Redevelopment) | A/NR | 1,050,000 | 1,144,185 | |||||||
Twin Rivers USD GO, 0% due 4/1/2014 (Educational Facilities Improvements) | SP-1/NR | 3,490,000 | 3,462,010 | |||||||
Ventura County COP, 5.00% due 8/15/2016 | AA/Aa3 | 1,520,000 | 1,714,651 | |||||||
Ventura County COP, 5.25% due 8/15/2017 | AA/Aa3 | 1,635,000 | 1,900,704 | |||||||
West Contra Costa USD GO, 0% due 8/1/2022 (Educational Facilities Projects; Insured: AGM) | AA-/Aa3 | 4,000,000 | 2,930,040 | |||||||
West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza) | AA+/NR | 6,180,000 | 7,265,950 | |||||||
COLORADO — 3.14% | ||||||||||
Adams County Platte Valley Medical Center, 5.00% due 2/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) | NR/NR | 1,475,000 | 1,574,976 | |||||||
Adams County Platte Valley Medical Center, 5.00% due 8/1/2015 (Brighton Community Hospital Association; Insured: Natl-Re/FHA) | NR/NR | 1,505,000 | 1,631,435 | |||||||
Beacon Point Metropolitan District, 4.375% due 12/1/2015 (LOC: Compass Bank) | BBB/NR | 845,000 | 845,896 | |||||||
City & County of Denver Airport System, 5.00% due 11/15/2016 (Insured: | A+/A1 | 1,725,000 | 1,986,665 | |||||||
City & County of Denver Airport System, 5.00% due 11/15/2017 (Insured: | A+/A1 | 1,000,000 | 1,180,350 | |||||||
City & County of Denver COP, 5.00% due 5/1/2013 (Human Services Center Properties; Insured: MBIA) | AA+/Aa1 | 3,890,000 | 3,906,688 | |||||||
City & County of Denver COP, 5.00% due 5/1/2014 (Human Services Center Properties; Insured: MBIA) | AA+/Aa1 | 4,000,000 | 4,194,200 | |||||||
City & County of Denver COP, 5.00% due 12/1/2016 (Buell Theatre/Jail Dormitory; Insured: Natl-Re) | AA+/Aa1 | 3,025,000 | 3,121,467 | |||||||
City & County of Denver COP, 0.15 % due 12/1/2029 put 4/1/2013 (Wellington E. Webb Municipal Office Building) (daily demand notes) | AA+/Aa1 | 43,685,000 | 43,685,000 | |||||||
City & County of Denver COP, 0.15% due 12/1/2029 put 4/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 22,665,000 | 22,665,000 | |||||||
City & County of Denver COP, 0.15 % due 12/1/2031 put 4/1/2013 (Wellington E. Webb Municipal Office Building) (daily demand notes) | AA+/Aa1 | 27,375,000 | 27,375,000 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City & County of Denver GO, 3.00% due 8/1/2015 (Various Purpose Projects) | AAA/Aaa | $ | 920,000 | $ | 976,470 | |||||
City of Longmont, 6.00% due 5/15/2019 | AA+/NR | 3,215,000 | 4,029,295 | |||||||
Colorado Educational & Cultural Facilities, 4.00% due 6/1/2014 (NCSL) | A/A3 | 1,300,000 | 1,328,106 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2016 (NCSL) | A/A3 | 1,475,000 | 1,628,120 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2018 (NCSL) | A/A3 | 1,625,000 | 1,861,161 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2020 (NCSL) | A/A3 | 1,805,000 | 2,115,424 | |||||||
Colorado Educational & Cultural Facilities, 5.00% due 6/1/2021 (NCSL) | A/A3 | 1,000,000 | 1,170,390 | |||||||
Colorado Educational & Cultural Facilities, 0.15% due 5/1/2037 put 4/1/2013 (National Jewish Federation; LOC: JPMorgan Chase Bank) (daily demand notes) | NR/Aa3 | 650,000 | 650,000 | |||||||
Colorado HFA, 5.00% due 11/15/2013 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 2,840,000 | 2,926,592 | |||||||
Colorado HFA, 5.00% due 11/15/2015 (Adventist Health/Sunbelt Group) | AA-/Aa3 | 2,365,000 | 2,639,458 | |||||||
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM) | AA-/NR | 1,185,000 | 1,369,161 | |||||||
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM) | AA-/NR | 2,225,000 | 2,673,782 | |||||||
Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives) | AA-/Aa3 | 1,000,000 | 1,126,780 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/12/2013 (Catholic Health Initiatives) | NR/NR | 7,255,000 | 7,467,136 | |||||||
Colorado HFA, 5.00% due 7/1/2039 put 11/11/2014 (Catholic Health Initiatives) | AA-/Aa3 | 3,000,000 | 3,222,270 | |||||||
Colorado Higher Education COP, 5.00% due 11/1/2013 | AA-/Aa2 | 1,025,000 | 1,052,409 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2014 (Insured: Syncora) | BBB-/Baa3 | 3,450,000 | 3,673,284 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2019 pre-refunded 12/1/2013 (Insured: Syncora) | NR/NR | 5,000,000 | 5,157,050 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2021 (Insured: Syncora) | BBB-/Baa3 | 3,700,000 | 3,994,594 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2022 pre-refunded 12/1/2013 (Insured: Syncora) | NR/NR | 2,000,000 | 2,062,820 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2022 (Insured: Syncora) | BBB-/Baa3 | 1,000,000 | 1,073,850 | |||||||
Denver West Metropolitan District GO, 5.00% due 12/1/2021 (Insured: AGM) | AA-/NR | 2,175,000 | 2,600,561 | |||||||
E-470 Public Highway Authority, 0% due 9/1/2014 (Insured: Natl-Re) | BBB-/Baa2 | 1,910,000 | 1,855,374 | |||||||
El Paso County COP, 4.00% due 12/1/2021 (Pikes Peak Regional Development Center) | AA-/Aa2 | 1,000,000 | 1,125,440 | |||||||
El Paso County COP, 5.00% due 12/1/2023 (Pikes Peak Regional Development Center) | AA-/Aa2 | 1,330,000 | 1,608,994 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: AGM) | AA-/NR | 1,000,000 | 1,104,780 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: AGM) | AA-/NR | 1,035,000 | 1,175,563 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM) | AA-/NR | 1,525,000 | 1,760,826 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM) | AA-/NR | 1,200,000 | 1,441,992 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM) | AA-/NR | 1,000,000 | 1,219,680 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2018 | A-/Aa3 | 1,750,000 | 2,031,505 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2019 | A-/Aa3 | 4,730,000 | 5,563,521 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2020 | A-/Aa3 | 3,655,000 | 4,341,153 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2021 | A-/Aa3 | 2,370,000 | 2,861,254 | |||||||
Southlands Metropolitan District GO, 6.75% due 12/1/2016 pre-refunded 12/1/2014 | AA+/NR | 625,000 | 679,731 | |||||||
State of Colorado-Department of Corrections COP, 4.00% due 3/1/2014 (Colorado Penitentiary II Project) | AA-/Aa2 | 1,285,000 | 1,329,435 | |||||||
State of Colorado-Department of Corrections COP, 5.00% due 3/1/2016 (Colorado Penitentiary II Project) | AA-/Aa2 | 2,000,000 | 2,255,520 | |||||||
State of Colorado-Department of Corrections COP, 5.00% due 3/1/2017 (Colorado Penitentiary II Project) | AA-/Aa2 | 2,000,000 | 2,323,000 | |||||||
State of Colorado-Department of Corrections COP, 5.00% due 3/1/2018 (Colorado Penitentiary II Project) | AA-/Aa2 | 1,590,000 | 1,874,260 | |||||||
State of Colorado-Department of Corrections COP, 5.00% due 3/1/2019 (Colorado Penitentiary II Project; Insured: AMBAC) | AA-/Aa2 | 4,930,000 | 5,511,296 | |||||||
State of Colorado-Regents of the University of Colorado COP, 5.00% due 11/1/2016 (UCDHSC Fitzsimons Academic Project) | AA-/Aa2 | 700,000 | 807,597 | |||||||
State of Colorado-Regents of the University of Colorado COP, 5.00% due 11/1/2017 (UCDHSC Fitzsimons Academic Project) | AA-/Aa2 | 850,000 | 1,006,451 |
18 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
CONNECTICUT — 0.24% | ||||||||||||
City of West Haven GO, 4.00% due 8/1/2018 (Insured: AGM) | AA-/A2 | $ | 2,080,000 | $ | 2,243,488 | |||||||
State of Connecticut GO, 5.00% due 6/1/2019 (General State Capital Projects; Insured: AGM) | AA/Aa3 | 2,865,000 | 3,244,269 | |||||||||
a State of Connecticut GO Floating Rate Note, 0.89% due 9/15/2018 (General State Capital Projects) | AA/Aa3 | 725,000 | 728,248 | |||||||||
State of Connecticut GO Floating Rate Note, 0.77% due 9/15/2024 (Education Capital Projects) | AA/Aa3 | 10,000,000 | 10,004,500 | |||||||||
DELAWARE — 0.02% | ||||||||||||
State of Delaware GO, 5.25% due 8/1/2014 | AAA/Aaa | 1,000,000 | 1,067,420 | |||||||||
DISTRICT OF COLUMBIA — 0.76% | ||||||||||||
District of Columbia, 4.00% due 4/1/2015 (National Public Radio) | AA-/Aa3 | 1,000,000 | 1,069,330 | |||||||||
District of Columbia, 5.00% due 4/1/2016 (National Public Radio) | AA-/Aa3 | 500,000 | 563,460 | |||||||||
District of Columbia, 4.00% due 4/1/2017 (National Public Radio) | AA-/Aa3 | 1,830,000 | 2,048,081 | |||||||||
District of Columbia, 5.00% due 4/1/2018 (National Public Radio) | AA-/Aa3 | 1,195,000 | 1,416,362 | |||||||||
District of Columbia, 5.00% due 4/1/2019 (National Public Radio) | AA-/Aa3 | 805,000 | 965,429 | |||||||||
District of Columbia, 5.00% due 4/1/2020 (National Public Radio) | AA-/Aa3 | 1,890,000 | 2,291,814 | |||||||||
District of Columbia Convention Center Authority, 5.00% due 10/1/2013 (Washington Convention Center; Insured: AMBAC) | A/A1 | 3,000,000 | 3,066,900 | |||||||||
District of Columbia COP, 5.25% due 1/1/2015 (Insured: Natl-Re/FGIC) | A+/Aa3 | 3,125,000 | 3,367,281 | |||||||||
District of Columbia COP, 5.25% due 1/1/2016 (Insured: Natl-Re/FGIC) | A+/Aa3 | 4,700,000 | 5,224,332 | |||||||||
District of Columbia COP, 5.00% due 1/1/2018 | A+/Aa3 | 5,000,000 | 5,506,700 | |||||||||
District of Columbia COP, 5.00% due 1/1/2019 (Insured: Natl-Re) | A+/Aa3 | 5,000,000 | 5,472,450 | |||||||||
District of Columbia COP, 4.50% due 1/1/2021 (Insured: Natl-Re/FGIC) | A+/Aa3 | 1,100,000 | 1,184,788 | |||||||||
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re) | AA-/Aa2 | 5,000,000 | 6,182,500 | |||||||||
District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora) | AA-/Aa2 | 3,005,000 | 3,710,063 | |||||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2014 (Insured: AGM-HUD Loan) | AA-/A2 | 1,195,000 | 1,254,774 | |||||||||
District of Columbia Housing Finance Agency, 5.00% due 7/1/2015 (Insured: AGM-HUD Loan) | AA-/A2 | 1,480,000 | 1,601,271 | |||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2014 (Dulles Toll Road; Insured: AGM) | AA-/A3 | 2,000,000 | 1,968,660 | |||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: AGM) | AA-/A3 | 4,000,000 | 3,734,400 | |||||||||
FLORIDA — 7.64% | ||||||||||||
Broward County, 5.00% due 9/1/2013 (Port Facilities) | A-/A2 | 2,000,000 | 2,036,240 | |||||||||
Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC) (ETM) | NR/A1 | 1,625,000 | 1,738,571 | |||||||||
Broward County, 5.00% due 10/1/2014 (Airport, Marina & Port Improvements; Insured: AMBAC) | A+/A1 | 2,375,000 | 2,536,262 | |||||||||
Broward County, 5.00% due 9/1/2017 (Port Facilities) | A-/A2 | 2,820,000 | 3,218,015 | |||||||||
Broward County, 4.00% due 10/1/2017 (Airport, Marina & Port Improvements) | A+/A1 | 500,000 | 560,630 | |||||||||
Broward County, 5.00% due 10/1/2017 (Airport, Marina & Port Improvements) | A+/A1 | 1,000,000 | 1,164,990 | |||||||||
Broward County, 5.50% due 9/1/2018 (Port Facilities) | A-/A2 | 3,500,000 | 4,146,520 | |||||||||
Broward County, 4.00% due 10/1/2018 (Airport, Marina & Port Improvements) | A+/A1 | 425,000 | 480,250 | |||||||||
a Broward County, 5.00% due 10/1/2018 (Airport, Marina & Port Improvements) | A+/A1 | 500,000 | 591,320 | |||||||||
Broward County, 5.50% due 9/1/2019 (Port Facilities) | A-/A2 | 2,800,000 | 3,365,068 | |||||||||
Broward County, 5.00% due 10/1/2019 (Airport, Marina & Port Improvements) | A+/A1 | 1,000,000 | 1,196,170 | |||||||||
Broward County, 4.00% due 10/1/2020 (Airport, Marina & Port Improvements) | A+/A1 | 1,660,000 | 1,884,449 | |||||||||
Broward County, 5.00% due 10/1/2020 (Airport, Marina & Port Improvements) | A+/A1 | 2,000,000 | 2,408,960 | |||||||||
Broward County School Board COP, 5.25% due 7/1/2015 (Insured: AGM) | AA-/Aa3 | 3,035,000 | 3,334,828 | |||||||||
Broward County School Board COP, 5.00% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 1,495,000 | 1,678,018 | |||||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 7,630,000 | 8,624,876 | |||||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Insured: AGM) | AA-/Aa3 | 3,715,000 | 4,199,399 |
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Broward County School Board COP, 5.00% due 7/1/2017 (Insured: | A/Aa3 | $ | 1,000,000 | $ | 1,142,500 | |||||
Broward County School Board COP, 5.00% due 7/1/2021 | A/Aa3 | 4,000,000 | 4,802,960 | |||||||
Broward County School Board COP, 5.00% due 7/1/2022 | A/Aa3 | 4,580,000 | 5,508,366 | |||||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (Insured: Natl-Re) | BB/Baa2 | 2,660,000 | 2,664,788 | |||||||
City of Fort Myers, 5.00% due 12/1/2018 (Gulf Breeze Loan Program; Insured: | A+/Aa3 | 2,195,000 | 2,534,435 | |||||||
City of Fort Myers, 5.00% due 10/1/2023 (Utility Systems Capital Projects) | A/Aa3 | 3,360,000 | 3,958,483 | |||||||
City of Gainesville, 6.50% due 10/1/2013 (Utility Systems Capital Projects) | AA/Aa2 | 4,800,000 | 4,943,856 | |||||||
City of Gainesville, 0.15% due 10/1/2026 put 4/1/2013 (Utility Systems Capital Projects; SPA: Suntrust Bank) (daily demand notes) | AA/Aa2 | 3,610,000 | 3,610,149 | |||||||
City of Jacksonville, 5.00% due 10/1/2017 | AA-/Aa2 | 1,000,000 | 1,178,460 | |||||||
City of Jacksonville, 5.00% due 10/1/2018 | AA-/Aa2 | 1,050,000 | 1,258,341 | |||||||
City of Jacksonville, 5.00% due 10/1/2019 | AA-/Aa2 | 500,000 | 605,295 | |||||||
City of Jacksonville, 5.00% due 10/1/2020 | AA-/Aa2 | 1,000,000 | 1,220,810 | |||||||
City of Jacksonville, 5.00% due 10/1/2023 | AA-/Aa2 | 1,105,000 | 1,360,056 | |||||||
City of Lakeland, 3.00% due 11/15/2013 (Lakeland Regional Health Systems) | NR/A2 | 1,000,000 | 1,016,450 | |||||||
City of Lakeland, 4.00% due 11/15/2014 (Lakeland Regional Health Systems) | NR/A2 | 1,000,000 | 1,047,890 | |||||||
City of Lakeland, 5.00% due 10/1/2016 (Energy System; Insured: AGM) | AA/A1 | 9,780,000 | 11,124,261 | |||||||
City of Lakeland, 5.00% due 10/1/2017 (Energy System; Insured: AGM) | AA/A1 | 7,105,000 | 8,280,664 | |||||||
City of Lakeland, 5.00% due 10/1/2019 (Energy System; Insured: AGM) | AA/A1 | 5,000,000 | 6,008,100 | |||||||
City of Lakeland, 5.00% due 11/15/2019 (Lakeland Regional Health Systems) | NR/A2 | 5,655,000 | 6,711,580 | |||||||
City of Lakeland, 5.00% due 10/1/2020 (Energy System; Insured: AGM) | AA/A1 | 1,695,000 | 2,052,086 | |||||||
City of Miami, 5.00% due 1/1/2018 (Street & Sidewalk Improvement Program; Insured: Natl-Re) | A-/A2 | 1,970,000 | 2,270,780 | |||||||
City of North Miami, 5.00% due 4/1/2013 (Johnston & Wales University; Insured: Syncora) | NR/NR | 1,530,000 | 1,530,459 | |||||||
a City of North Miami Beach, 5.00% due 8/1/2017 (North Miami Beach Water Project) | A+/NR | 750,000 | 862,785 | |||||||
City of North Miami Beach, 3.00% due 8/1/2018 (North Miami Beach Water Project) | A+/NR | 1,280,000 | 1,368,461 | |||||||
City of North Miami Beach, 5.00% due 8/1/2019 (North Miami Beach Water Project) | A+/NR | 1,650,000 | 1,949,970 | |||||||
City of North Miami Beach, 5.00% due 8/1/2020 (North Miami Beach Water Project) | A+/NR | 780,000 | 928,340 | |||||||
City of North Miami Beach, 5.00% due 8/1/2021 (North Miami Beach Water Project) | A+/NR | 1,000,000 | 1,197,130 | |||||||
a City of Port St. Lucie, 5.00% due 9/1/2015 (Tesoro Special Assessment District; Insured: Natl-Re) | NR/A1 | 250,000 | 273,752 | |||||||
City of Port St. Lucie, 1.70% due 7/1/2016 (Tesoro Special Assessment District) | NR/Aa3 | 2,140,000 | 2,158,447 | |||||||
City of Port St. Lucie, 1.875% due 7/1/2017 (Tesoro Special Assessment District; Insured: AGM) | NR/Aa3 | 2,175,000 | 2,191,530 | |||||||
City of Port St. Lucie, 2.00% due 7/1/2018 (Tesoro Special Assessment District; Insured: AGM) | NR/Aa3 | 2,215,000 | 2,228,224 | |||||||
Collier County, 4.00% due 10/1/2014 | AA/Aa2 | 1,410,000 | 1,487,860 | |||||||
Escambia County HFA, 5.25% due 11/15/2014 (Ascension Health Credit) | AA+/Aa1 | 1,835,000 | 1,982,479 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2014 (Insured: AGM) | AA-/A2 | 1,605,000 | 1,697,047 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2015 (Insured: AGM) | AA-/A2 | 1,500,000 | 1,642,470 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2014 (Innovation Village Capital Improvements) | A/A1 | 1,950,000 | 2,064,114 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2015 (Innovation Village Capital Improvements) | A/A1 | 2,395,000 | 2,621,064 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2016 (Innovation Village Capital Improvements) | A/A1 | 2,275,000 | 2,558,943 | |||||||
Florida Department of Management Services, 5.25% due 9/1/2016 (Insured: AGM) | AA+/Aa2 | 3,500,000 | 4,005,435 | |||||||
Florida Higher Educational Facilities Financing Authority, 4.00% due 4/1/2013 (Nova Southeastern University) | BBB/Baa2 | 1,100,000 | 1,100,308 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2014 (Nova Southeastern University) | BBB/Baa2 | 2,365,000 | 2,453,829 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2015 (Nova Southeastern University) | BBB/Baa2 | 2,350,000 | 2,510,669 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2016 (Nova Southeastern University) | BBB/Baa2 | 2,345,000 | 2,566,298 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2017 (Nova Southeastern University) | BBB/Baa2 | 1,325,000 | 1,501,013 |
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2018 (Nova Southeastern University) | BBB/Baa2 | $ | 2,630,000 | $ | 3,004,407 | |||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (University of Tampa) | BBB+/NR | 1,225,000 | 1,399,268 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (Nova Southeastern University) | BBB/Baa2 | 1,035,000 | 1,180,376 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.50% due 4/1/2019 (Nova Southeastern University) | BBB/Baa2 | 1,705,000 | 1,992,855 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2020 (Nova Southeastern University) | BBB/Baa2 | 1,030,000 | 1,185,880 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2022 (University of Tampa) | BBB+/NR | 620,000 | 719,367 | |||||||
Florida Hurricane Catastrophe Fund Finance Corp., 5.00% due 7/1/2014 | AA-/Aa3 | 11,000,000 | 11,643,720 | |||||||
Florida State Board of Education GO, 5.00% due 6/1/2021 (Public Education Capital Outlay Projects) | AAA/Aa1 | 6,400,000 | 6,516,416 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2020 (University System Capital Improvements) | AA/Aa2 | 4,055,000 | 4,594,437 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2021 (University System Capital Improvements) | AA/Aa2 | 4,215,000 | 4,764,594 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2022 (University System Capital Improvements) | AA/Aa2 | 4,385,000 | 4,898,571 | |||||||
Florida State Correctional Privatization Commission COP, 5.00% due 8/1/2015 (Insured: AMBAC) | AA+/Aa2 | 2,000,000 | 2,121,520 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2014 | AA+/NR | 905,000 | 954,639 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 | AA+/NR | 925,000 | 1,005,364 | |||||||
Florida State Department of Transportation GO, 5.00% due 7/1/2018 | AAA/Aa1 | 3,000,000 | 3,522,240 | |||||||
Florida State Housing Finance Corp., 1.625% due 1/1/2015 (Captiva Cove Apartments-Multi- Family Mtg; Insured: FNMA) | NR/Aaa | 1,600,000 | 1,601,200 | |||||||
Florida Turnpike Authority, 5.00% due 7/1/2013 (Department of Transportation) | AA-/Aa3 | 4,875,000 | 4,935,011 | |||||||
Highlands County HFA, 5.00% due 11/15/2015 (Adventist Health System/Sunbelt Group) | AA-/Aa3 | 1,000,000 | 1,112,650 | |||||||
Highlands County HFA, 5.00% due 11/15/2016 (Adventist Health System Orange County Health Facilities) | AA-/Aa3 | 1,000,000 | 1,144,300 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Orange County Health Facilities) | AA-/Aa3 | 3,200,000 | 3,764,736 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System/Sunbelt Group) | AA-/Aa3 | 1,000,000 | 1,112,150 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health System Orange County Health Facilities) | AA-/Aa3 | 3,000,000 | 3,646,560 | |||||||
Highlands County HFA, 5.00% due 11/15/2035 pre-refunded 11/15/2015 (Adventist Health System/Sunbelt Group) | AA-/Aa3 | 1,225,000 | 1,369,317 | |||||||
Hillsborough County, 5.00% due 3/1/2015 (Water and Wastewater System Capital Improvements; Insured: Natl-Re/FGIC) | A+/A1 | 5,000,000 | 5,381,250 | |||||||
Hillsborough County, 5.00% due 11/1/2016 (Transportation Related Capital Improvements; Insured: AMBAC) | AA/A1 | 1,000,000 | 1,139,170 | |||||||
Hillsborough County, 5.00% due 11/1/2018 (Court Facilities) | AA/A1 | 4,210,000 | 4,976,599 | |||||||
Hillsborough County, 5.00% due 11/1/2019 (Court Facilities) | AA/A1 | 4,420,000 | 5,281,723 | |||||||
Hillsborough County, 5.00% due 11/1/2020 (Court Facilities) | AA/A1 | 4,645,000 | 5,588,539 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Court Facilities) | AA/A1 | 4,880,000 | 5,881,962 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Jail and Storm Water Projects) | AA/A1 | 2,300,000 | 2,772,236 | |||||||
Hillsborough County, 5.00% due 11/1/2022 (Jail and Storm Water Projects) | AA/A1 | 3,005,000 | 3,635,269 | |||||||
Hillsborough County School Board COP, 5.25% due 7/1/2017 | AA-/Aa2 | 1,300,000 | 1,524,705 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Insured: Syncora) | NR/A3 | 2,000,000 | 2,185,720 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Insured: Syncora) | NR/A3 | 2,000,000 | 2,223,940 | |||||||
Hollywood Water & Sewer, 5.00% due 10/1/2014 (Insured: AGM) | NR/Aa2 | 1,300,000 | 1,331,031 |
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute) | NR/NR | $ | 4,500,000 | $ | 4,953,465 | |||||
JEA Electric System, 5.00% due 10/1/2014 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,047,730 | |||||||
JEA Electric System, 5.00% due 10/1/2014 | A+/Aa3 | 7,165,000 | 7,505,409 | |||||||
JEA Electric System, 4.00% due 10/1/2016 | A+/Aa3 | 3,540,000 | 3,943,772 | |||||||
JEA Water & Sewer Systems, 3.50% due 10/1/2013 | AA/Aa2 | 5,565,000 | 5,658,826 | |||||||
JEA Water & Sewer Systems, 5.00% due 10/1/2018 | AA/Aa2 | 1,500,000 | 1,804,725 | |||||||
Kissimmee Utility Authority, 5.25% due 10/1/2015 (Electrical Systems; Insured: AGM) | NR/A1 | 2,235,000 | 2,291,814 | |||||||
Kissimmee Utility Authority, 5.25% due 10/1/2016 (Electrical Systems; Insured: AGM) | NR/A1 | 1,700,000 | 1,943,848 | |||||||
Lake County School Board COP, 5.25% due 6/1/2017 (Insured: AMBAC) | A/NR | 2,000,000 | 2,336,420 | |||||||
Lake County School Board COP, 5.25% due 6/1/2018 (Insured: AMBAC) | A/NR | 1,475,000 | 1,741,252 | |||||||
Manatee County, 5.00% due 10/1/2016 (County Capital Projects) | NR/Aa2 | 1,000,000 | 1,148,760 | |||||||
Manatee County, 5.00% due 10/1/2018 (County Capital Projects) | NR/Aa2 | 2,400,000 | 2,878,320 | |||||||
Manatee County, 5.00% due 10/1/2021 (County Capital Projects) | NR/Aa2 | 2,775,000 | 3,434,368 | |||||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) | NR/A3 | 1,000,000 | 1,087,780 | |||||||
Miami Beach GO, 4.00% due 9/1/2019 | AA-/Aa2 | 2,745,000 | 3,138,496 | |||||||
Miami Beach GO, 5.00% due 9/1/2020 | AA-/Aa2 | 3,720,000 | 4,522,516 | |||||||
Miami Beach GO, 4.00% due 9/1/2021 | AA-/Aa2 | 1,015,000 | 1,164,286 | |||||||
Miami Beach GO, 5.00% due 9/1/2022 | AA-/Aa2 | 1,000,000 | 1,205,960 | |||||||
Miami Dade County, 0% due 10/1/2016 (Professional Sports Franchise Facilities; Insured: AGM) | AA-/A1 | 3,535,000 | 3,310,598 | |||||||
Miami-Dade County, 5.00% due 10/1/2014 (Water and Sewer System; Insured: BHAC) | AA+/Aa1 | 1,070,000 | 1,144,023 | |||||||
Miami-Dade County, 0% due 10/1/2015 (Professional Sports Franchise Facilities; Insured: AGM) | AA-/A1 | 3,845,000 | 3,697,275 | |||||||
Miami-Dade County, 0% due 10/1/2017 (Professional Sports Franchise Facilities; Insured: AGM) | AA-/A1 | 2,435,000 | 2,207,449 | |||||||
Miami-Dade County, 0% due 10/1/2018 (Professional Sports Franchise Facilities; Insured: AGM) | AA-/A1 | 5,385,000 | 4,710,313 | |||||||
Miami-Dade County, 0% due 10/1/2019 (Professional Sports Franchise Facilities; Insured: AGM) | AA-/A1 | 2,170,000 | 1,810,192 | |||||||
Miami-Dade County Educational Facilities Authority GO, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) | A-/A3 | 3,000,000 | 3,365,490 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2019 (Insured: AGM) | AA-/A2 | 7,530,000 | 9,021,392 | |||||||
Miami-Dade County GO, 5.25% due 7/1/2018 (Building Better Communities) | AA-/Aa2 | 5,040,000 | 6,051,427 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2014 (Insured: Natl-Re) | A/A1 | 1,000,000 | 1,048,970 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,102,700 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re) | A/A1 | 4,065,000 | 4,548,207 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,132,750 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2032 put 5/1/2016 | A/A1 | 6,000,000 | 6,717,900 | |||||||
Miami-Dade County School District GO, 5.375% due 8/1/2015 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,546,600 | |||||||
Orange County HFA, 5.00% due 10/1/2013 (Orlando Health, Inc.) | A/A2 | 1,100,000 | 1,125,586 | |||||||
Orange County HFA, 5.00% due 10/1/2014 (Orlando Health, Inc.) | A/A2 | 2,790,000 | 2,962,255 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Health, Inc.; | A/A2 | 2,310,000 | 2,534,209 | |||||||
Orange County HFA, 5.00% due 10/1/2017 (Orlando Health, Inc.) | A/A2 | 1,980,000 | 2,289,613 | |||||||
Orange County HFA, 5.25% due 10/1/2019 (Orlando Health, Inc.) | A/A2 | 6,050,000 | 7,307,069 | |||||||
Orange County HFA, 6.25% due 10/1/2021 (Orlando Health, Inc.; | A/A2 | 1,870,000 | 2,298,043 | |||||||
Orange County HFA, 5.375% due 10/1/2023 (Orlando Health, Inc.) | A/A2 | 4,150,000 | 4,864,422 | |||||||
Orlando & Orange County Expressway Authority, 5.00% due 7/1/2013 | A/A2 | 5,845,000 | 5,916,309 | |||||||
Orlando & Orange County Expressway Authority, 8.25% due 7/1/2016 | NR/A2 | 3,000,000 | 3,687,000 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2018 (Master Lease Purchase Agreement) | NR/Aa3 | 800,000 | 944,872 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2019 (Master Lease Purchase Agreement) | NR/Aa3 | 940,000 | 1,062,971 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2020 (Master Lease Purchase Agreement) | NR/Aa3 | 1,090,000 | 1,304,076 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2021 (Master Lease Purchase Agreement) | NR/Aa3 | 3,835,000 | 4,311,690 |
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Master Lease Purchase Agreement) | NR/Aa3 | $ | 1,660,000 | $ | 1,997,329 | |||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 (Master Lease Purchase Agreement) | NR/Aa3 | 1,300,000 | 1,473,680 | |||||||
Polk County, 4.00% due 10/1/2020 (Water and Wastewater Utility Systems; Insured: AGM) | A+/Aa3 | 3,100,000 | 3,561,001 | |||||||
Polk County, 3.00% due 10/1/2021 (Water and Wastewater Utility Systems; Insured: AGM) | A+/Aa3 | 3,125,000 | 3,316,281 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 10,000,000 | 11,772,400 | |||||||
Putnam County Development Authority PCR, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 4,125,000 | 4,856,115 | |||||||
School District of Polk County, 5.00% due 10/1/2013 (Educational Facilities; Insured: Natl-Re) | A/Baa2 | 2,000,000 | 2,041,600 | |||||||
South Broward Hospital District, 5.00% due 5/1/2020 (Insured: Natl-Re) | AA-/Aa3 | 7,260,000 | 8,042,628 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2015 (Everglades Restoration Plan; Insured: AMBAC) | AA/Aa3 | 1,000,000 | 1,099,230 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2023 (Everglades Restoration Plan; Insured: AMBAC) | AA/Aa3 | 500,000 | 571,870 | |||||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) | AA/Aa2 | 4,605,000 | 5,240,168 | |||||||
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health) | AA/Aa2 | 4,610,000 | 5,390,381 | |||||||
St. John’s County IDA, 5.50% due 8/1/2014 (Presbyterian Retirement) | NR/NR | 1,450,000 | 1,482,712 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2015 (All Children’s Hospital; Insured: AMBAC) | NR/A1 | 1,995,000 | 2,003,638 | |||||||
St. Petersburg HFA, 5.50% due 11/15/2016 (All Children’s Hospital; Insured: AMBAC) | NR/A1 | 1,980,000 | 1,988,573 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,995,900 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017 | AA+/Aa2 | 5,615,000 | 6,631,764 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018 | AA+/Aa2 | 2,890,000 | 3,479,647 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019 | AA+/Aa2 | 3,000,000 | 3,663,330 | |||||||
Tampa Baycare Health Systems, 5.00% due 11/15/2016 | NR/Aa2 | 2,855,000 | 3,254,900 | |||||||
Tampa Baycare Health Systems, 5.00% due 11/15/2017 | NR/Aa2 | 1,215,000 | 1,422,814 | |||||||
Tampa Sports Authority, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re) | NR/Baa2 | 805,000 | 832,120 | |||||||
University of Central Florida Athletics Association, Inc. COP, 5.00% due 10/1/2016 (Insured: Natl-Re/FGIC) | NR/NR | 1,640,000 | 1,753,619 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2013 (Embry-Riddle; Insured: AGM) | AA-/A2 | 675,000 | 685,975 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2016 (Embry-Riddle; Insured: AGM) | AA-/A2 | 2,320,000 | 2,578,634 | |||||||
Volusia County Educational Facility Authority, 4.00% due 10/15/2017 (Embry-Riddle; Insured: AGM) | AA-/A2 | 1,030,000 | 1,117,612 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2018 (Embry-Riddle; Insured: AGM) | AA-/A2 | 2,075,000 | 2,368,094 | |||||||
Volusia County Educational Facility Authority, 5.00% due 10/15/2019 (Embry-Riddle; Insured: AGM) | AA-/A2 | 2,350,000 | 2,702,006 | |||||||
GEORGIA — 1.97% | ||||||||||
City of Atlanta, 5.50% due 11/1/2014 (Water & Wastewater; | A/A1 | 3,000,000 | 3,236,250 | |||||||
City of Atlanta, 5.50% due 11/1/2015 (Water & Wastewater; | A/A1 | 4,000,000 | 4,490,560 | |||||||
City of Atlanta, 5.00% due 1/1/2016 (Hartsfield-Jackson Atlanta International Airport Passenger Facility) | NR/A1 | 1,495,000 | 1,675,551 | |||||||
City of Atlanta, 5.00% due 11/1/2016 (Water & Wastewater; Insured: AGM) | AA-/A1 | 3,215,000 | 3,675,870 | |||||||
City of Atlanta, 5.50% due 11/1/2016 (Water & Wastewater; | A/A1 | 8,215,000 | 9,546,898 | |||||||
City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station; Insured: AGM) | AA-/A3 | 3,850,000 | 4,312,886 | |||||||
City of Atlanta, 5.00% due 11/1/2017 (Water & Wastewater; Insured: AGM) | AA-/A1 | 4,745,000 | 5,559,954 | |||||||
City of Atlanta, 5.00% due 1/1/2018 (Airport Passenger Facility) | NR/A1 | 2,100,000 | 2,473,296 | |||||||
City of Atlanta, 5.00% due 1/1/2019 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | 3,145,000 | 3,765,351 | |||||||
a City of Atlanta, 6.00% due 11/1/2019 (Water & Wastewater) | A/A1 | 5,650,000 | �� | 7,148,775 | ||||||
City of Atlanta, 5.00% due 1/1/2020 (Airport Passenger Facility) | NR/A1 | 6,000,000 | 7,254,660 |
Certified Semi-Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Atlanta, 5.25% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | $ | 5,000,000 | $ | 6,114,300 | |||||
City of Atlanta, 5.00% due 1/1/2021 (Airport Passenger Facility) | NR/A1 | 7,000,000 | 8,360,240 | |||||||
City of Atlanta, 5.50% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | 3,525,000 | 4,404,558 | |||||||
Fulton County Development Authority, 5.00% due 10/1/2022 (Georgia Tech Athletic Association) | NR/A2 | 2,300,000 | 2,756,366 | |||||||
Fulton County Facilities COP, 5.00% due 11/1/2017 | AA-/Aa3 | 8,400,000 | 9,732,492 | |||||||
Fulton County Facilities COP, 5.00% due 11/1/2019 | AA-/Aa3 | 6,600,000 | 7,864,560 | |||||||
Georgia Municipal Electric Authority, 6.50% due 1/1/2017 | A+/A1 | 1,415,000 | 1,568,032 | |||||||
Georgia Municipal Gas Authority, 5.00% due 4/1/2014 (Gas Portfolio III) | AA-/A1 | 3,000,000 | 3,130,620 | |||||||
Gwinnett County School District GO, 4.00% due 10/1/2015 (Educational Capital Building Program) | AAA/Aaa | 10,000,000 | 10,904,200 | |||||||
Lagrange Troup County Hospital Authority, 5.00% due 7/1/2018 (West Georgia Health Foundation, Inc.) | A+/Aa2 | 2,500,000 | 2,733,800 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) | A/A2 | 3,000,000 | 3,116,700 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2014 (Georgia Gas) | A-/Baa2 | 3,845,000 | 4,003,760 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2015 (Georgia Gas) | A-/Baa2 | 2,000,000 | 2,152,580 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A-/Baa2 | 5,000,000 | 5,637,650 | |||||||
Milledgeville & Baldwin County Development Authority, 5.625% due 9/1/2030 pre-refunded 9/1/2014 (Georgia College & State University Foundation Property III, LLC) | AA+/NR | 1,050,000 | 1,139,996 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 | NR/A1 | 2,310,000 | 2,573,848 | |||||||
Valdosta & Lowndes County Hospital Authority, 5.00% due 10/1/2022 (South Medical Center) | AA-/Aa2 | 1,500,000 | 1,801,725 | |||||||
GUAM — 0.35% | ||||||||||
Government of Guam, 5.25% due 12/1/2016 | BBB+/NR | 5,610,000 | 6,180,874 | |||||||
Government of Guam, 5.25% due 12/1/2017 | BBB+/NR | 2,000,000 | 2,224,820 | |||||||
Government of Guam, 5.50% due 12/1/2018 | BBB+/NR | 3,000,000 | 3,400,770 | |||||||
Government of Guam, 5.50% due 12/1/2019 | BBB+/NR | 2,000,000 | 2,268,240 | |||||||
Guam Power Authority, 5.00% due 10/1/2019 (Electric Power System; Insured: AGM) | AA-/A2 | 1,000,000 | 1,191,980 | |||||||
Guam Power Authority, 5.00% due 10/1/2020 (Electric Power System; Insured: AGM) | AA-/A2 | 1,500,000 | 1,800,930 | |||||||
Guam Power Authority, 5.00% due 10/1/2022 (Electric Power System; Insured: AGM) | AA-/A2 | 5,015,000 | 6,079,634 | |||||||
HAWAII — 1.29% | ||||||||||
City and County of Honolulu GO, 5.00% due 11/1/2019 (Capital Improvement Projects) | NR/Aa1 | 3,620,000 | 4,449,595 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2020 (Capital Improvement Projects) | NR/Aa1 | 8,265,000 | 10,283,561 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2021 (Capital Improvement Projects) | NR/Aa1 | 2,770,000 | 3,475,879 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) | NR/Aa1 | 1,750,000 | 2,204,370 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) | NR/Aa1 | 6,695,000 | 8,433,290 | |||||||
County of Hawaii GO, 4.00% due 9/1/2014 (County Capital Improvement Projects) | AA-/Aa2 | 1,475,000 | 1,552,246 | |||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: Natl-Re) | NR/A3 | 315,000 | 316,395 | |||||||
State of Hawaii GO, 5.25% due 9/1/2013 (Hawaiian Home Lands Settlement; Insured: Natl-Re) | AA/Aa2 | 1,000,000 | 1,021,480 | |||||||
State of Hawaii GO, 5.00% due 11/1/2017 (Hawaiian Home Lands Settlement) | AA/Aa2 | 12,000,000 | 14,266,440 | |||||||
State of Hawaii GO, 5.00% due 11/1/2018 (Hawaiian Home Lands Settlement) | AA/Aa2 | 20,000,000 | 24,246,400 | |||||||
State of Hawaii GO, 5.00% due 12/1/2019 (Hawaiian Home Lands Settlement) | AA/Aa2 | 3,000,000 | 3,693,000 | |||||||
State of Hawaii GO, 5.00% due 12/1/2020 (Hawaiian Home Lands Settlement) | AA/Aa2 | 2,500,000 | 3,108,075 | |||||||
State of Hawaii GO, 5.00% due 12/1/2021 (Hawaiian Home Lands Settlement) | AA/Aa2 | 3,000,000 | 3,754,650 | |||||||
State of Hawaii GO, 5.00% due 12/1/2022 (Hawaiian Home Lands Settlement) | AA/Aa2 | 4,000,000 | 4,969,240 | |||||||
IDAHO — 0.28% | ||||||||||
Twin Falls Urban Renewal Agency, 4.95% due 8/1/2014 | NR/NR | 860,000 | 881,534 | |||||||
Twin Falls Urban Renewal Agency, 5.15% due 8/1/2017 | NR/NR | 1,455,000 | 1,499,203 | |||||||
University of Idaho, 5.25% due 4/1/2041 put 4/1/2021 | A+/Aa3 | 13,900,000 | 16,257,301 |
24 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ILLINOIS — 6.62% | ||||||||||
Board of Education of the City of Chicago GO, 0.15% due 3/1/2036 put 4/1/2013 (Capital Improvement Program; LOC: JPMorgan Chase Bank) (State Aid Withholding) (daily demand notes) | AAA/Aa1 | $ | 33,010,000 | $ | 33,010,043 | |||||
Bolingbrook GO, 0% due 1/1/2016 (Insured: Natl-Re) | NR/Aa3 | 1,500,000 | 1,386,090 | |||||||
Bolingbrook GO, 0% due 1/1/2017 (Insured: Natl-Re) | NR/Aa3 | 2,000,000 | 1,749,380 | |||||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2015 (Insured: AGM) | AA-/A2 | 8,460,000 | 9,323,851 | |||||||
Chicago Housing Authority Capital Program, 5.00% due 7/1/2016 (Insured: AGM) | AA-/A2 | 2,000,000 | 2,280,720 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2018 | A+/A2 | 3,000,000 | 3,524,280 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2019 | A+/A2 | 2,000,000 | 2,366,120 | |||||||
Chicago Illinois Board of Education GO, 0% due 12/1/2020 (Insured: BHAC/FGIC) | AA+/Aa1 | 12,000,000 | 9,894,960 | |||||||
Chicago Illinois Board of Education GO, 5.00% due 12/1/2020 | A+/A2 | 2,500,000 | 2,965,400 | |||||||
Chicago Illinois Park District GO, 5.00% due 1/1/2018 (Personal Property Replacement) | AA+/Aa2 | 1,150,000 | 1,342,798 | |||||||
Chicago Illinois Public Building Commerce Building, 5.25% due 12/1/2013 (Insured: Natl-Re/ FGIC) | NR/A2 | 3,000,000 | 3,095,880 | |||||||
Chicago Illinois Transit Authority Capital Grant, 5.25% due 6/1/2017 (Federal Transit Administration) | A/A2 | 3,000,000 | 3,443,610 | |||||||
Chicago Illinois Transit Authority Capital Grant, 5.50% due 6/1/2018 (Federal Transit Administration) | A/A2 | 2,500,000 | 2,950,175 | |||||||
City of Chicago, 5.00% due 11/1/2015 (Water System Extensions & Improvements; Insured: AGM) | AA-/Aa3 | 1,050,000 | 1,170,530 | |||||||
City of Chicago, 4.00% due 1/1/2018 (Wastewater Transmission System) | A+/Aa3 | 1,475,000 | 1,666,160 | |||||||
City of Chicago, 5.50% due 1/1/2020 (Wastewater Transmission System; Insured: BHAC) | AA+/Aa1 | 1,250,000 | 1,470,588 | |||||||
City of Chicago, 6.75% due 6/1/2022 (Pilsen Redevelopment) | NR/NR | 5,000,000 | 5,195,800 | |||||||
City of Chicago, 0.17% due 1/1/2034 put 4/1/2013 (Liquidity Facility; SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa3 | 8,015,000 | 8,015,000 | |||||||
City of Chicago Board of Education GO, 6.25% due 1/1/2015 (Insured: Natl-Re) | NR/A2 | 900,000 | 949,401 | |||||||
City of Chicago Board of Education GO, 5.25% due 12/1/2017 (Chicago School Reform Board; Insured: Natl-Re/FGIC) | A+/A2 | 4,100,000 | 4,780,067 | |||||||
City of Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,174,760 | |||||||
City of Chicago Building Acquisition Certificates GO, 5.40% due 1/1/2018 (Parking Facility Improvements; Insured: AGM) | AA-/A2 | 2,560,000 | 2,570,803 | |||||||
City of Chicago GO, 0% due 1/1/2016 (City Colleges; Insured: Natl-Re/FGIC) | A+/Aa3 | 2,670,000 | 2,594,679 | |||||||
City of Chicago GO, 5.44% due 1/1/2018 (Transportation Infrastructure Capital Projects; Insured: Natl-Re) | A+/Aa3 | 3,050,000 | 3,415,969 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2019 (Various Municipal Capital Improvements; Insured: AGM) | AA-/A2 | 1,000,000 | 1,105,570 | |||||||
a City of Mount Vernon GO, 4.00% due 12/15/2020 (Various Municipal Capital Improvements; Insured: AGM) | AA-/A2 | 785,000 | 864,575 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2021 (Various Municipal Capital Improvements; Insured: AGM) | AA-/A2 | 1,640,000 | 1,801,425 | |||||||
City of Quincy, 5.00% due 11/15/2014 (Blessing Hospital) | A-/A3 | 1,000,000 | 1,058,740 | |||||||
City of Quincy, 5.00% due 11/15/2016 (Blessing Hospital) | A-/A3 | 1,750,000 | 1,952,002 | |||||||
City of Rolling Meadows GO, 4.125% due 1/1/2020 pre-refunded 1/1/2014 (Insured: Natl-Re) | NR/A1 | 100,000 | 102,926 | |||||||
City of Waukegan GO, 5.00% due 12/30/2019 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,935,000 | 2,260,099 | |||||||
City of Waukegan GO, 5.00% due 12/30/2020 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,000,000 | 1,171,380 | |||||||
City of Waukegan GO, 5.00% due 12/30/2021 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 2,100,000 | 2,463,573 | |||||||
City of Waukegan GO, 5.00% due 12/30/2022 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,000,000 | 1,172,640 | |||||||
Community College District No. 514 GO, 4.25% due 12/1/2015 (Illinois Central College) | AA+/Aa2 | 2,360,000 | 2,578,796 |
Certified Semi-Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Community College District No. 516 GO, 4.50% due 12/15/2020 (Waubonsee Community College) | NR/Aa1 | $ | 1,325,000 | $ | 1,587,668 | |||||
Community College District No. 516 GO, 5.00% due 12/15/2021 (Waubonsee Community College) | NR/Aa1 | 6,175,000 | 7,658,976 | |||||||
Community Consolidated School District No. 146 GO, 9.00% due 12/1/2016 (Tinley Park; Insured: Natl-Re/FGIC) | NR/Aa2 | 2,500,000 | 3,061,300 | |||||||
Community Consolidated School District No. 158 GO, 0% due 1/1/2017 (McHenry and Kane Counties; Insured: Natl-Re) | NR/Baa2 | 1,185,000 | 1,082,569 | |||||||
Community Consolidated School District No. 93 GO, 2.00% due 1/1/2017 (Village of Carol Stream) | AA+/NR | 370,000 | 384,726 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2014 (Lake County-Grayslake School Bldg.; Insured: AGM) | AAA/A2 | 1,925,000 | 2,061,059 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2015 (Lake County-Grayslake School Bldg.; Insured: AGM) | AAA/A2 | 1,610,000 | 1,852,128 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2016 (Lake County-Grayslake School Bldg.; Insured: AGM) | AAA/A2 | 1,890,000 | 2,318,104 | |||||||
Community High School District No. 127 GO, 9.00% due 2/1/2017 (Lake County-Grayslake School Bldg.; Insured: AGM) | AAA/A2 | 2,025,000 | 2,632,216 | |||||||
Community High School District No. 228, 5.00% due 12/15/2013 (Cook County-Bremen; Insured: AGM) | AA-/NR | 6,875,000 | 7,077,675 | |||||||
Community Unit School District No. 200 GO, 5.25% due 10/1/2023 (DuPage County Educational Facilities; Insured: FSA) | AA-/Aa3 | 1,000,000 | 1,162,600 | |||||||
Community Unit School District No. 300 GO, 0% due 12/1/2021 (Kane, McHenry Cook & DeKalb Counties; Insured: AMBAC) | NR/Aa3 | 2,000,000 | 1,571,340 | |||||||
Community Unit School District No. 302 GO, 0% due 2/1/2021 (Kane & DeKalb Counties; Insured: Natl-Re/FGIC) | NR/Aa3 | 3,165,000 | 2,544,945 | |||||||
Community Unit School District No. 428 GO, 0% due 1/1/2021 (DeKalb County) | AA-/Aa2 | 6,140,000 | 4,835,250 | |||||||
County of Cook GO, 6.25% due 11/15/2013 (Capital Improvement Projects; Insured: Natl-Re) (ETM) | AA/Aa3 | 3,995,000 | 4,147,090 | |||||||
County of Cook GO, 5.00% due 11/15/2015 (Capital Improvement Projects; Insured: Natl-Re) | AA/Aa3 | 2,000,000 | 2,219,380 | |||||||
County of Cook GO, 5.00% due 11/15/2019 (Capital Equipment Project Fund) | AA/Aa3 | 3,690,000 | 4,452,760 | |||||||
County of Cook GO, 4.00% due 11/15/2020 (Capital Improvement Plan) | AA/Aa3 | 925,000 | 1,048,367 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Projects) | AA/Aa3 | 3,590,000 | 4,253,396 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan) | AA/Aa3 | 2,000,000 | 2,421,200 | |||||||
County of Cook GO, 4.00% due 11/15/2021 (Capital Improvement Plan) | AA/Aa3 | 2,000,000 | 2,256,040 | |||||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Projects) | AA/Aa3 | 5,000,000 | 6,062,500 | |||||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan) | AA/Aa3 | 2,105,000 | 2,552,312 | |||||||
County of Cook GO, 4.00% due 11/15/2022 (Capital Improvement Plan) | AA/Aa3 | 1,000,000 | 1,126,100 | |||||||
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan) | AA/Aa3 | 1,500,000 | 1,819,590 | |||||||
County of Cook GO, 5.00% due 11/15/2022 pre-refunded 5/15/2014 (Capital Improvement Plan; Insured: AMBAC) | NR/Aa3 | 480,000 | 510,538 | |||||||
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan; Insured: AMBAC) | AA/Aa3 | 1,020,000 | 1,082,954 | |||||||
County of Winnebago GO, 3.00% due 12/30/2015 (Public Safety) | NR/Aa2 | 1,035,000 | 1,093,436 | |||||||
Forest Preserve District of Cook County GO, 5.00% due 11/15/2021 | AA/Aa2 | 1,500,000 | 1,822,680 | |||||||
Forest Preserve District of Kane County GO, 4.00% due 12/15/2013 | AA+/NR | 1,740,000 | 1,787,171 | |||||||
Forest Preserve District of Kane County GO, 5.00% due 12/15/2015 (Insured: Natl-Re/FGIC) | AA+/NR | 2,780,000 | 3,099,561 | |||||||
Illinois Educational Facilities, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | A+/A1 | 3,030,000 | 3,390,055 | |||||||
Illinois Educational Facilities, 5.00% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | NR/A1 | 3,000,000 | 3,355,770 | |||||||
Illinois Educational Facilities, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago) | NR/NR | 3,500,000 | 4,021,535 | |||||||
Illinois Educational Facilities, 3.40% due 11/1/2036 put 11/1/2017 (Medical Terminal Field Museum) | A/NR | 1,300,000 | 1,387,295 | |||||||
Illinois Educational Facilities, 4.30% due 11/1/2036 put 11/1/2013 (Field Museum) | A/A2 | 3,100,000 | 3,159,613 | |||||||
Illinois Finance Authority, 5.00% due 2/15/2014 (Alexian Brothers Health Systems) | NR/A2 | 3,000,000 | 3,089,730 | |||||||
Illinois Finance Authority, 5.00% due 5/1/2014 (Student Housing) | NR/Baa3 | 3,895,000 | 4,040,712 |
26 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Illinois Finance Authority, 5.00% due 11/1/2014 (Central DuPage Health) | AA/NR | $ | 5,000,000 | $ | 5,357,650 | |||||
Illinois Finance Authority, 4.00% due 4/1/2015 (Advocate Health Care) | AA/Aa2 | 3,000,000 | 3,212,070 | |||||||
Illinois Finance Authority, 5.00% due 10/1/2015 (DePaul University) | NR/A2 | 1,000,000 | 1,097,090 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2015 (Central DuPage Health) | AA/NR | 5,000,000 | 5,555,300 | |||||||
Illinois Finance Authority, 5.25% due 12/1/2015 (Columbia College) | BBB+/NR | 1,620,000 | 1,752,014 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2016 (Advocate Health Care) | AA/Aa2 | 1,250,000 | 1,408,338 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2016 (Columbia College) | BBB+/NR | 1,710,000 | 1,876,058 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re) | A/A2 | 1,000,000 | 1,140,780 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2017 (Columbia College) | BBB+/NR | 1,395,000 | 1,552,816 | |||||||
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health Care) | AA/Aa2 | 1,000,000 | 1,225,070 | |||||||
Illinois Finance Authority, 5.25% due 5/1/2019 (Educational Advancement Fund, Inc.) | NR/Baa3 | 4,675,000 | 5,149,419 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2020 (Advocate Health Care) | AA/Aa2 | 1,315,000 | 1,556,500 | |||||||
Illinois Finance Authority, 4.00% due 12/1/2021 (Trinity Health) | AA/Aa2 | 1,000,000 | 1,139,980 | |||||||
Illinois Finance Authority, 2.625% due 2/1/2033 put 8/1/2015 (Peoples Gas Light & Coke Co.) | A/A1 | 9,500,000 | 9,912,680 | |||||||
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 | 2,811,451 | |||||||
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 | 17,476,879 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2014 (Insured: AGM) | AA-/Aa3 | 17,190,000 | 17,857,144 | |||||||
Illinois Toll Highway Authority, 5.50% due 1/1/2015 (Insured: AGM) | AA-/Aa3 | 5,000,000 | 5,446,300 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2013 pre-refunded 10/18/2010 (McCormick Place Expansion; Insured: Natl-Re) (ETM) | NR/A3 | 485,000 | 484,704 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2013 (McCormick Place Expansion; Insured: Natl-Re) | AAA/A3 | 560,000 | 559,356 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re/FGIC) (ETM) | NR/NR | 3,475,000 | 3,397,612 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re/FGIC) | NR/A3 | 8,245,000 | 7,927,403 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2020 (McCormick Place Expansion) | AAA/NR | 4,000,000 | 4,890,840 | |||||||
Metropolitan Water Reclamation District of Greater Chicago GO, 4.00% due 12/1/2014 (Capital Improvements) | AAA/Aaa | 2,500,000 | 2,653,600 | |||||||
Northern Illinois University, 4.00% due 4/1/2013 (Auxiliary Facilities; Insured: AGM) | NR/A2 | 1,000,000 | 1,000,240 | |||||||
Railsplitter Tobacco Settlement Authority, 5.00% due 6/1/2019 | A/NR | 22,000,000 | 25,860,120 | |||||||
Railsplitter Tobacco Settlement Authority, 5.125% due 6/1/2019 | A/NR | 6,780,000 | 8,018,638 | |||||||
Regional Transportation Authority GO, 6.25% due 7/1/2014 | AA/Aa3 | 3,500,000 | 3,753,260 | |||||||
Sangamon County Community Unit School District No. 5, 5.00% due 1/1/2015 (Insured: AGM) | AA/NR | 2,210,000 | 2,379,816 | |||||||
School District No. 112 GO, 4.00% due 1/1/2014 (Lake County-North Shore) | AAA/NR | 1,145,000 | 1,173,247 | |||||||
School District No. 122 GO, 0% due 1/1/2016 (Winnebago County-Harlem-Loves Park; Insured: AGM) | NR/A2 | 2,000,000 | 1,943,580 | |||||||
School District No. 97 GO, 9.00% due 12/1/2013 (Village of Oak Park; Insured: Natl-Re/FGIC) | NR/Aa2 | 2,250,000 | 2,373,187 | |||||||
School District No. 97 GO, 9.00% due 12/1/2018 (Village of Oak Park; Insured: Natl-Re/FGIC) | NR/Aa2 | 4,000,000 | 5,534,640 | |||||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) | BBB-/Baa3 | 1,190,000 | 1,281,809 | |||||||
St. Charles Community Unit School District No. 303 GO, 5.00% due 1/1/2014 (City of St. Charles & Village of Valley View; Insured: AGM) | NR/Aa2 | 6,750,000 | 6,990,637 | |||||||
State of Illinois, 3.50% due 6/15/2013 (Build Illinois Bonds) | AAA/A2 | 6,455,000 | 6,501,218 | |||||||
State of Illinois, 3.50% due 6/15/2014 (Build Illinois Bonds) | AAA/A2 | 6,455,000 | 6,710,618 | |||||||
State of Illinois, 5.125% due 6/15/2015 pre-refunded 6/15/2013 (Build Illinois Bonds) | AAA/A1 | 5,000,000 | 5,050,800 | |||||||
State of Illinois, 5.00% due 6/15/2016 (Build Illinois Bonds) | AAA/NR | 3,500,000 | 3,991,855 | |||||||
State of Illinois, 5.50% due 6/15/2016 (Build Illinois Bonds) | AAA/A2 | 2,020,000 | 2,028,747 | |||||||
a Town of Cicero Cook County GO, 5.25% due 1/1/2019 (Economic Redevelopment; Insured: Syncora) | NR/NR | 6,140,000 | 6,413,291 | |||||||
Town of Cicero Cook County GO, 5.00% due 12/1/2019 (Economic Redevelopment) | A+/NR | 1,070,000 | 1,218,655 | |||||||
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 (Insured: AGM) | AA-/Aa2 | 2,000,000 | 2,285,920 |
Certified Semi-Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Village of Broadview, 5.375% due 7/1/2015 | NR/NR | $ | 3,400,000 | $ | 3,403,978 | |||||
Village of Downers Grove GO, 3.00% due 1/1/2017 | AA+/NR | 970,000 | 1,039,142 | |||||||
Village of Melrose Park, 5.20% due 7/1/2018 (Insured: Natl-Re) | NR/Baa2 | 1,190,000 | 1,204,173 | |||||||
Will County Valley View Community Unit School District No. 210 GO, 5.00% due 1/1/2015 (Insured: Natl-Re/FGIC) | NR/Aa2 | 1,000,000 | 1,078,860 | |||||||
Will County Valley View Community Unit School District No. 365 GO, 0% due 11/1/2018 (Insured: AGM) | AA/Aa2 | 3,370,000 | 3,019,790 | |||||||
INDIANA — 4.21% | ||||||||||
Allen County Jail Building Corp., 5.00% due 10/1/2014 (Insured: Syncora) | NR/Aa2 | 1,000,000 | 1,055,590 | |||||||
Allen County Jail Building Corp., 5.00% due 10/1/2015 (Insured: Syncora) | NR/Aa2 | 1,480,000 | 1,629,584 | |||||||
Allen County Jail Building Corp., 5.00% due 10/1/2016 (Insured: Syncora) | NR/Aa2 | 1,520,000 | 1,693,842 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2016 | NR/A2 | 1,000,000 | 1,093,410 | |||||||
Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC) (State Aid Withholding) | A/NR | 2,500,000 | 2,884,200 | |||||||
Board of Trustees for the Vincennes University, 3.00% due 6/1/2014 | NR/Aa3 | 1,000,000 | 1,023,440 | |||||||
Board of Trustees for the Vincennes University, 3.00% due 6/1/2015 | NR/Aa3 | 1,000,000 | 1,041,350 | |||||||
Board of Trustees for the Vincennes University, 4.00% due 6/1/2018 | NR/Aa3 | 1,000,000 | 1,120,470 | |||||||
Board of Trustees for the Vincennes University, 5.00% due 6/1/2020 | NR/Aa3 | 1,000,000 | 1,207,880 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 7/15/2013 (Insured: AGM) (State Aid Withholding) | AA+/A2 | 1,000,000 | 1,013,580 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 7/15/2018 (Insured: AGM) (State Aid Withholding) | AA+/NR | 3,430,000 | 3,775,195 | |||||||
Brownsburg 1999 School Building Corp., 5.00% due 8/1/2018 (Insured: AGM) (State Aid Withholding) | AA+/A2 | 1,250,000 | 1,378,088 | |||||||
Carmel Redevelopment Authority, 3.00% due 8/1/2013 (Economic Development) | AA+/NR | 915,000 | 922,567 | |||||||
Carmel Redevelopment Authority, 3.00% due 2/1/2014 (Economic Development) | AA+/NR | 965,000 | 983,779 | |||||||
a Carmel Redevelopment Authority, 3.00% due 8/1/2014 (Economic Development) | AA+/NR | 915,000 | 942,834 | |||||||
Carmel Redevelopment Authority, 0% due 2/1/2015 (Performing Arts Center) | AA+/Aa1 | 1,575,000 | 1,557,801 | |||||||
Carmel Redevelopment Authority, 4.00% due 2/1/2015 (Economic Development) | AA+/NR | 990,000 | 1,046,519 | |||||||
Carmel Redevelopment Authority, 4.00% due 8/1/2015 (Economic Development) | AA+/NR | 975,000 | 1,044,586 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2021 (Economic Development) | AA+/NR | 2,405,000 | 2,890,786 | |||||||
Carmel Redevelopment Authority, 5.00% due 8/1/2022 (Economic Development) | AA+/NR | 2,510,000 | 3,034,916 | |||||||
Carmel Redevelopment District COP, 5.75% due 7/15/2022 | NR/NR | 4,300,000 | 4,614,760 | |||||||
City of Fort Wayne, 4.25% due 8/1/2013 (Sewer Works Improvements) | NR/Aa3 | 1,715,000 | 1,738,118 | |||||||
City of Fort Wayne, 4.25% due 8/1/2014 (Sewer Works Improvements) | NR/Aa3 | 1,745,000 | 1,835,478 | |||||||
City of Fort Wayne, 2.00% due 12/1/2014 (Waterworks Utility Improvements) | NR/Aa3 | 925,000 | 949,180 | |||||||
City of Fort Wayne, 4.25% due 8/1/2015 (Sewer Works Improvements) | NR/Aa3 | 1,780,000 | 1,930,713 | |||||||
City of Fort Wayne, 2.00% due 12/1/2015 (Waterworks Utility Improvements) | NR/Aa3 | 1,145,000 | 1,185,888 | |||||||
City of Fort Wayne, 2.00% due 12/1/2016 (Waterworks Utility Improvements) | NR/Aa3 | 1,160,000 | 1,202,560 | |||||||
City of Fort Wayne, 2.00% due 12/1/2017 (Waterworks Utility Improvements) | NR/Aa3 | 1,175,000 | 1,217,112 | |||||||
City of Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co. Project) | BBB/Baa2 | 1,000,000 | 1,061,920 | |||||||
City of Rockport PCR, 6.25% due 6/1/2025 put 6/2/2014 (Indiana Michigan Power Co. Project) | BBB/Baa2 | 4,100,000 | 4,353,872 | |||||||
City of Whiting, 5.00% due 1/1/2016 (BP Products North America, Inc.) | A/A2 | 5,375,000 | 5,975,549 | |||||||
Clay Multiple School Building Corp., 4.00% due 7/15/2015 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,064,020 | |||||||
Clay Multiple School Building Corp., 5.00% due 7/15/2016 (State Aid Withholding) | AA+/NR | 1,295,000 | 1,451,941 | |||||||
Clay Multiple School Building Corp., 5.00% due 1/15/2017 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,137,710 | |||||||
Crown Point Multi-School Building Corp., 0% due 1/15/2016 (Crown Point Community School Corp.; Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 5,685,000 | 5,550,493 | |||||||
Evansville Vanderburgh Public Library Leasing Corp., 5.00% due 7/15/2014 (Insured: AMBAC) | A+/NR | 1,000,000 | 1,040,990 | |||||||
Evansville Vanderburgh Public Library Leasing Corp., 5.00% due 7/15/2015 (Insured: AMBAC) | A+/NR | 1,000,000 | 1,072,730 | |||||||
Fort Wayne Community Schools GO, 1.00% due 7/15/2013 (Renewal/Restoration & Safety Project) (State Aid Withholding) | AA+/NR | 2,200,000 | 2,204,026 |
28 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Fort Wayne Community Schools GO, 1.00% due 1/15/2014 (Renewal/Restoration & Safety Project) (State Aid Withholding) | AA+/NR | $ | 1,700,000 | $ | 1,707,803 | |||||
Fort Wayne Community Schools GO, 1.00% due 7/15/2014 (Renewal/Restoration & Safety Project) (State Aid Withholding) | AA+/NR | 1,600,000 | 1,611,424 | |||||||
Fort Wayne Community Schools GO, 1.00% due 1/15/2015 (Renewal/Restoration & Safety Project) (State Aid Withholding) | AA+/NR | 1,500,000 | 1,513,830 | |||||||
Hammond Multi-School Building Corp., 5.00% due 1/15/2014 (Insured: Natl-Re/FGIC) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,036,870 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) | NR/A2 | 1,545,000 | 1,752,154 | |||||||
Indiana Bond Bank, 5.00% due 10/15/2017 (Special Gas Program) | NR/A2 | 5,000,000 | 5,688,950 | |||||||
Indiana Bond Bank, 5.00% due 8/1/2021 (Columbus Learning Center) | AA/NR | 1,300,000 | 1,562,587 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2014 (Sisters of St. Francis Health Services, Inc.) | NR/Aa3 | 1,000,000 | 1,071,530 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2015 (Parkview Health Systems) | A+/A1 | 1,500,000 | 1,629,420 | |||||||
Indiana Finance Authority, 4.90% due 1/1/2016 (Indiana Power & Light Co.) | BBB+/A3 | 11,650,000 | 12,699,548 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2016 (Parkview Health Systems) | A+/A1 | 3,090,000 | 3,484,191 | |||||||
Indiana Finance Authority, 5.00% due 7/1/2016 (Forensic & Health Science; Insured: Natl-Re) | AA+/Aa1 | 1,030,000 | 1,170,451 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2016 (Marian University Health Sciences) | BBB-/NR | 1,500,000 | 1,590,375 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems) | A+/A1 | 1,000,000 | 1,146,270 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2017 (Marian University Health Sciences) | BBB-/NR | 1,690,000 | 1,805,427 | |||||||
Indiana Finance Authority, 4.00% due 5/1/2018 (Community Health Network) | A/A2 | 2,620,000 | 2,950,880 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Wabash Correctional Facilities) | AA+/Aa1 | 1,000,000 | 1,204,630 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Rockville Correctional Facilities) (ETM) | AA+/NR | 2,150,000 | 2,618,743 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2018 (Marian University Health Sciences) | BBB-/NR | 1,790,000 | 1,924,304 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Sisters of St. Francis Health Services, Inc.) | NR/Aa3 | 1,250,000 | 1,489,575 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Indianapolis Airport) | AA+/Aa2 | 2,750,000 | 3,283,252 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2019 (Community Health Network) | A/A2 | 1,385,000 | 1,653,718 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2019 (Marian University Health Sciences) | BBB-/NR | 1,250,000 | 1,339,675 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2020 (Indiana University Health System) | A+/A1 | 5,000,000 | 5,984,750 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2020 (Community Health Network) | A/A2 | 860,000 | 1,015,875 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2020 (Marian University Health Sciences) | BBB-/NR | 2,245,000 | 2,406,550 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2021 (Indiana University Health System) | A+/A1 | 9,880,000 | 11,758,188 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2021 (Community Health Network) | A/A2 | 2,250,000 | 2,662,785 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2021 (Marian University Health Sciences) | BBB-/NR | 2,320,000 | 2,478,294 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2022 (Indiana University Health System) | A+/A1 | 3,240,000 | 3,780,983 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2022 (Community Health Network) | A/A2 | 1,230,000 | 1,454,512 | |||||||
Indiana Finance Authority, 0.15% due 2/1/2035 put 4/1/2013 (Lucas Oil Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/NR | 600,000 | 600,045 | |||||||
Indiana Finance Authority, 0.15% due 2/1/2037 put 4/1/2013 (Lucas Oil Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 43,725,000 | 43,725,435 | |||||||
Indiana Finance Authority, 0.15% due 2/1/2037 put 4/1/2013 (Lucas Oil Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 9,100,000 | 9,100,000 | |||||||
Indiana Health Facility Financing Authority, 5.50% due 11/15/2015 (Ascension Health) | AA+/Aa1 | 510,000 | 517,293 | |||||||
Indiana Health Facility Financing Authority, 5.50% due 11/15/2016 (Ascension Health) | AA+/Aa1 | 1,385,000 | 1,404,805 | |||||||
Indiana Health Facility Financing Authority, 5.00% due 10/1/2027 put 6/1/2017 (Ascension Health) | NR/Aa2 | 7,100,000 | 8,227,409 | |||||||
Indiana Multi-School Building Corp., 5.00% due 7/15/2016 | AA/Baa2 | 5,000,000 | 5,661,150 | |||||||
Indianapolis Local Public Improvement Bond Bank, 6.75% due 2/1/2014 (Circle Centre) | AA/NR | 365,000 | 384,206 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 1/1/2015 (Waterworks; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,073,720 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2015 (Waterworks; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,093,450 | |||||||
Indianapolis Local Public Improvement Bond Bank, 5.00% due 7/1/2016 (Insured: Natl-Re/FGIC) | AA+/Aa1 | 1,030,000 | 1,129,179 | |||||||
Indianapolis Multi-School Building Corp. First Mtg, 5.50% due 7/15/2015 (Insured: Natl-Re) | AA/Baa2 | 1,690,000 | 1,872,959 | |||||||
Ivy Tech Community College, 4.00% due 7/1/2013 | AA-/NR | 1,000,000 | 1,008,380 |
Certified Semi-Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (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 | $ | 1,559,775 | |||||
Knox Middle School Building Corp., 0% due 1/15/2020 (Insured: Natl-Re/FGIC) (State Aid Withholding) | NR/NR | 1,295,000 | 1,058,067 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2019 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,000,000 | 1,121,390 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2019 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,680,000 | 1,991,405 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,345,000 | 1,503,791 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2020 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,170,000 | 1,380,974 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2021 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,250,000 | 1,393,775 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2021 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,250,000 | 1,489,000 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2022 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,455,000 | 1,633,194 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2022 (Educational Facilities) (State Aid Withholding) | AA+/Aa2 | 1,000,000 | 1,220,130 | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re/ FGIC) (State Aid Withholding) | AA+/NR | 1,200,000 | 1,258,260 | |||||||
Madison Schools Lydia Middleton Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re/ FGIC) (State Aid Withholding) | AA+/NR | 1,250,000 | 1,364,875 | |||||||
Metropolitan School District of Pike Township GO, 3.00% due 1/15/2017 (College Park Ancillary Rooms) (State Aid Withholding) | AA+/NR | 2,115,000 | 2,283,396 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2013 (Insured: Natl-Re) (State Aid Withholding) (ETM) | NR/Baa2 | 825,000 | 836,575 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2013 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 230,000 | 232,960 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) (ETM) | NR/Baa2 | 870,000 | 922,513 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2014 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 265,000 | 279,570 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) (ETM) | NR/Baa2 | 870,000 | 960,906 | |||||||
Mount Vernon of Hancock County Multi-School Building Corp., 5.00% due 7/15/2015 (Insured: Natl-Re) (State Aid Withholding) | A/Baa2 | 270,000 | 294,856 | |||||||
MSD of Warren Township Vision 2005 School Building Corp., 5.00% due 7/10/2015 (Insured: Natl-Re/FGIC) (State Aid Withholding) | AA+/NR | 2,895,000 | 3,128,047 | |||||||
Noblesville Multi-School Building Corp., 5.00% due 7/15/2015 | AA+/NR | 1,760,000 | 1,898,371 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) | AA-/NR | 1,660,000 | 1,875,667 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2014 (Educational Facilities; Insured: AGM) (State Aid Withholding) | NR/Aa2 | 2,130,000 | 2,252,965 | |||||||
Perry Township Multischool Building Corp., 4.00% due 1/15/2018 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,122,930 | |||||||
Perry Township Multischool Building Corp., 3.00% due 1/10/2019 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,072,840 | |||||||
Perry Township Multischool Building Corp., 4.00% due 7/10/2019 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,135,410 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2020 (Educational Facilities) (State Aid Withholding) | AA+/NR | 2,090,000 | 2,520,164 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2021 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,210,260 |
30 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Pike Township Multi-School Building Corp., 4.00% due 1/15/2017 (Metropolitan School District of Pike Township) (State Aid Withholding) | AA+/NR | $ | 1,080,000 | $ | 1,205,766 | |||||
Plainfield Community High School Building Corp., 5.00% due 1/15/2015 (Insured: Natl-Re/FGIC) | AA+/NR | 1,445,000 | 1,552,436 | |||||||
South Bend Community School Building Corp., 4.00% due 7/15/2013 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,009,340 | |||||||
South Bend Community School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re/ FGIC) (State Aid Withholding) | AA+/NR | 1,785,000 | 2,032,276 | |||||||
West Clark School Building Corp., 5.25% due 1/15/2014 (Insured: Natl-Re) | AA+/Baa2 | 1,335,000 | 1,387,199 | |||||||
IOWA — 0.44% | ||||||||||
Des Moines Independent Community School District, 4.00% due 6/1/2019 (School Infrastructure; Insured: AGM) | AA-/A2 | 3,870,000 | 4,359,129 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2020 (School Infrastructure; Insured: AGM) | AA-/A2 | 3,990,000 | 4,523,383 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2021 (School Infrastructure; Insured: AGM) | AA-/A2 | 4,125,000 | 4,611,173 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2022 (School Infrastructure; Insured: AGM) | AA-/A2 | 2,140,000 | 2,359,949 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2014 (Iowa Health System; Insured: AGM) | NR/Aa3 | 2,500,000 | 2,596,450 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2015 (Iowa Health System; Insured: AGM) | NR/Aa3 | 2,300,000 | 2,477,445 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,779,712 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,500,000 | 1,694,655 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,831,008 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 990,000 | 1,148,588 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2018 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,405,000 | 1,646,337 | |||||||
KANSAS — 0.53% | ||||||||||
City of Topeka GO, 4.00% due 8/15/2013 | NR/Aa2 | 1,850,000 | 1,876,695 | |||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 26,900,000 | 26,902,959 | |||||||
Kansas Development Finance Authority, 5.00% due 11/1/2015 | AA/Aa2 | 2,605,000 | 2,896,161 | |||||||
Kansas Development Finance Authority, 5.00% due 5/1/2018 (University of Kansas Housing System Project; Insured: AMBAC) | AA-/Aa3 | 1,400,000 | 1,525,202 | |||||||
Leavenworth County GO, 3.00% due 3/1/2014 (KTA and KDOT Loans) | AA-/NR | 1,000,000 | 1,023,860 | |||||||
Leavenworth County GO, 4.00% due 3/1/2015 (KTA and KDOT Loans) | AA-/NR | 1,040,000 | 1,107,777 | |||||||
KENTUCKY — 0.54% | ||||||||||
Jefferson County School District Finance Corp., 5.25% due 1/1/2016 (Insured: AGM) | AA-/Aa2 | 2,145,000 | 2,413,662 | |||||||
Kentucky Economic DFA, 0% due 10/1/2019 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 5,000,000 | 4,152,250 | |||||||
Kentucky Economic DFA, 0% due 10/1/2020 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 9,000,000 | 7,144,920 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 2,885,000 | 2,158,326 | |||||||
Kentucky Economic DFA, 0% due 10/1/2023 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 4,195,000 | 2,804,735 | |||||||
Kentucky Economic DFA, 5.00% due 5/1/2039 put 11/11/2014 (Catholic Health Initiatives) | AA-/Aa3 | 5,000,000 | 5,348,500 | |||||||
Kentucky Municipal Power Agency, 4.00% due 9/1/2015 (Insured: AGM) | AA-/A2 | 2,955,000 | 3,177,925 | |||||||
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2014 (Eastern State Hospital) | A+/Aa3 | 1,000,000 | 1,054,080 | |||||||
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2022 (Eastern State Hospital) | A+/Aa3 | 6,165,000 | 7,473,028 | |||||||
LOUISIANA — 2.89% | ||||||||||
City of Bossier, 4.00% due 12/1/2018 (Public Improvements; Insured: AGM) | AA-/Aa3 | 2,020,000 | 2,309,203 | |||||||
City of Bossier, 4.50% due 12/1/2021 (Public Improvements; Insured: AGM) | AA-/Aa3 | 2,240,000 | 2,662,710 | |||||||
City of Lafayette, 4.00% due 11/1/2016 (Utilities System Improvements) | A+/A1 | 1,395,000 | 1,553,151 | |||||||
City of Lafayette, 5.00% due 11/1/2019 (Utilities System Improvements) | A+/A1 | 1,000,000 | 1,208,760 |
Certified Semi-Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Monroe, 5.00% due 3/1/2017 pre-refunded 3/1/2015 (Garrett Road Economic Development; Insured: Radian) | NR/NR | $ | 1,505,000 | $ | 1,602,945 | |||||
City of New Orleans GO, 5.00% due 12/1/2019 (Public Improvements; Insured: AGM) | BBB/A3 | 3,080,000 | 3,635,201 | |||||||
City of New Orleans GO, 5.00% due 12/1/2020 (Public Improvements; Insured: AGM) | BBB/A3 | 3,000,000 | 3,551,520 | |||||||
City of New Orleans GO, 5.00% due 12/1/2021 (Public Improvements; Insured: AGM) | BBB/A3 | 5,700,000 | 6,747,375 | |||||||
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2021 (Roads, Bridges & Drainage Works) | A/NR | 1,990,000 | 2,186,692 | |||||||
Consolidated Sales Tax District A of the Parish of LaFourche, 4.00% due 3/1/2022 (Roads, Bridges & Drainage Works) | A/NR | 1,545,000 | 1,682,721 | |||||||
East Baton Rouge Sewer Commission, 5.00% due 2/1/2014 (Wastewater System Improvements) | AA-/Aa3 | 1,000,000 | 1,038,700 | |||||||
East Baton Rouge Sewer Commission, 5.00% due 2/1/2018 (Wastewater System Improvements; Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,357,960 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2013 (Convention Center; Insured: AMBAC) | BBB/NR | 2,075,000 | 2,100,004 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2020 (Convention Center) | NR/A2 | 1,000,000 | 1,190,680 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2021 (Convention Center) | NR/A2 | 780,000 | 927,849 | |||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2022 (Convention Center) | NR/A2 | 1,000,000 | 1,183,980 | |||||||
Jefferson Sales Tax District Parish of Jefferson, 5.00% due 12/1/2018 (Sewerage Capital Project; Insured: AGM) | AA-/A2 | 2,000,000 | 2,384,340 | |||||||
Louisiana Citizens Property Insurance Corp., 5.00% due 6/1/2015 (Insured: AMBAC) | A-/A3 | 10,265,000 | 11,092,667 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2013 (Community and Technical Colleges Facilities and SIS System; Insured: AGM) | AA-/A1 | 1,500,000 | 1,525,590 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2014 (Community and Technical Colleges Facilities and SIS System; Insured: AGM) | AA-/A1 | 1,500,000 | 1,573,680 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2015 (Independence Stadium) | A/NR | 1,000,000 | 1,069,990 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2016 (Independence Stadium) | A/NR | 1,000,000 | 1,099,900 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2016 (Town of Vinton Public Power Authority; Insured: AGM) | AA-/NR | 1,000,000 | 1,083,170 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2017 (Independence Stadium) | A/NR | 1,265,000 | 1,419,558 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 10/1/2017 (Town of Vinton Public Power Authority; Insured: AGM) | AA-/NR | 1,000,000 | 1,096,670 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium) | A/NR | 1,000,000 | 1,142,140 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2018 (Town of Vinton Public Power Authority; Insured: AGM) | AA-/NR | 1,000,000 | 1,133,130 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2018 (Bossier Parish Community College - Campus Facilities, Inc. Project) | AA-/NR | 2,655,000 | 3,015,230 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.50% due 10/1/2019 (Town of Vinton Public Power Authority; Insured: AGM) | AA-/NR | 1,000,000 | 1,135,510 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 4.00% due 12/1/2019 (Bossier Parish Community College - Campus Facilities, Inc. Project) | AA-/NR | 1,310,000 | 1,485,357 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 12/1/2020 (Bossier Parish Community College - Campus Facilities, Inc. Project) | AA-/NR | 1,200,000 | 1,440,180 | |||||||
Louisiana Offshore Terminal Authority, 5.00% due 10/1/2018 (Loop LLC Project) | NR/NR | 22,000,000 | 25,292,520 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 (Loop LLC Project) | A-/NR | 5,000,000 | 5,082,850 | |||||||
Louisiana Public Facilities Authority, 5.00% due 8/1/2013 (Department of Public Safety; Insured: AGM) | AA-/A2 | 2,500,000 | 2,537,400 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2014 (Ochsner Clinic Foundation) | NR/Baa1 | 1,000,000 | 1,041,380 |
32 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2015 (Ochsner Clinic Foundation) | NR/Baa1 | $ | 1,825,000 | $ | 1,960,525 | |||||
Louisiana Public Facilities Authority, 5.75% due 7/1/2015 (Franciscan Missionaries of Our Lady Health System; Insured: AGM) | AA-/A2 | 1,325,000 | 1,459,527 | |||||||
Louisiana Public Facilities Authority, 2.875% due 11/1/2015 (Entergy Gulf States) | A-/A3 | 2,500,000 | 2,584,125 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) | NR/Baa1 | 1,000,000 | 1,101,010 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) | NR/Baa1 | 1,035,000 | 1,162,388 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) | NR/Baa1 | 2,000,000 | 2,233,820 | |||||||
Louisiana State Office Facilities Corp., 3.75% due 3/1/2015 (State Capitol) | AA-/Aa3 | 5,000,000 | 5,283,650 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2015 (State Capitol) | NR/Aa3 | 2,830,000 | 3,076,663 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2016 (State Capitol) | NR/Aa3 | 1,000,000 | 1,121,920 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2018 (State Capitol) | NR/Aa3 | 2,500,000 | 2,940,375 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2021 (State Capitol) | NR/Aa3 | 4,595,000 | 5,421,227 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | BBB/Baa3 | 2,400,000 | 2,467,248 | |||||||
New Orleans Audubon Commission GO, 5.00% due 10/1/2016 (Aquarium Tax) | A/NR | 2,380,000 | 2,656,461 | |||||||
New Orleans Audubon Commission GO, 4.00% due 10/1/2018 (Aquarium Tax; Insured: AGM) | AA-/NR | 1,110,000 | 1,223,842 | |||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) | BBB/Baa2 | 14,000,000 | 15,326,920 | |||||||
Parishwide School District GO, 5.00% due 9/1/2016 (Insured: AGM) | AA-/Aa3 | 4,500,000 | 5,060,115 | |||||||
Parishwide School District GO, 5.00% due 9/1/2018 (Insured: AGM) | AA-/Aa3 | 4,800,000 | 5,603,952 | |||||||
Parishwide School District GO, 5.00% due 9/1/2020 (Insured: AGM) | AA-/Aa3 | 3,840,000 | 4,560,038 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2019 | BBB+/NR | 1,005,000 | 1,147,298 | |||||||
Plaquemines Parish Law Enforcement District GO, 5.00% due 9/1/2021 | BBB+/NR | 1,115,000 | 1,247,663 | |||||||
Regional Transit Authority, 0% due 12/1/2015 (Streetcar Rail Lines; Insured: Natl-Re/FGIC) | NR/NR | 3,670,000 | 3,300,321 | |||||||
Regional Transit Authority, 5.00% due 12/1/2017 (Streetcar Rail Lines; Insured: AGM) | AA-/Aa3 | 755,000 | 882,452 | |||||||
Regional Transit Authority, 5.00% due 12/1/2019 (Streetcar Rail Lines; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,203,320 | |||||||
Regional Transit Authority, 5.00% due 12/1/2021 (Streetcar Rail Lines; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,194,450 | |||||||
Regional Transit Authority, 5.00% due 12/1/2022 (Streetcar Rail Lines; Insured: AGM) | AA-/Aa3 | 1,110,000 | 1,307,835 | |||||||
St. Tammany Parish, 5.00% due 6/1/2017 (Insured: CIFG) | A+/NR | 1,405,000 | 1,572,715 | |||||||
State of Louisiana GO, 5.00% due 8/1/2017 (Insured: Natl-Re) | AA/Aa2 | 4,000,000 | 4,412,840 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2014 (General Medical Center) | A+/A2 | 800,000 | 823,496 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2015 (General Medical Center) | A+/A2 | 575,000 | 606,205 | |||||||
Terrebonne Parish Hospital Service District, 4.00% due 4/1/2017 (General Medical Center) | A+/A2 | 1,000,000 | 1,090,300 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2018 (General Medical Center) | A+/A2 | 1,000,000 | 1,151,560 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2019 (General Medical Center) | A+/A2 | 1,810,000 | 2,105,953 | |||||||
Terrebonne Parish Hospital Service District, 5.00% due 4/1/2021 (General Medical Center) | A+/A2 | 2,320,000 | 2,683,474 | |||||||
MAINE — 0.14% | ||||||||||
Maine Finance Authority, 3.80% due 11/1/2015 (Waste Management, Inc.) | BBB/NR | 3,440,000 | 3,712,930 | |||||||
Maine Health & Higher Educational Facilities Authority, 5.00% due 7/1/2035 pre-refunded 7/1/2015 (Bowdoin College) (State Aid Withholding) | NR/Aa3 | 5,175,000 | 5,703,419 | |||||||
MARYLAND — 0.71% | ||||||||||
County Commissioners of Worcester County GO, 4.00% due 8/1/2014 (Consolidated Public Improvements) | AA/Aa2 | 1,085,000 | 1,138,935 | |||||||
Howard County GO, 5.00% due 8/15/2015 (Consolidated Public Improvements) | AAA/Aaa | 6,000,000 | 6,653,700 | |||||||
Maryland Economic Development Corp., 5.00% due 6/1/2021 (Public Health Laboratory) | AA+/Aa1 | 8,725,000 | 10,862,451 | |||||||
Maryland Economic Development Corp., 4.00% due 6/1/2022 (Public Health Laboratory) | AA+/Aa1 | 8,245,000 | 9,449,265 | |||||||
Montgomery County GO, 4.00% due 11/1/2015 (Consolidated Public Improvements) | AAA/Aaa | 5,160,000 | 5,641,273 | |||||||
State of Maryland GO, 4.00% due 8/1/2015 (Public and Educational Facilities) | AAA/Aaa | 1,000,000 | 1,084,680 | |||||||
Washington Suburban Sanitary District GO, 5.00% due 6/1/2015 (Water and Sewer System Projects) | AAA/Aaa | 11,500,000 | 12,657,015 | |||||||
MASSACHUSETTS — 1.56% | ||||||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2017 | A-/NR | 2,540,000 | 2,863,901 |
Certified Semi-Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2018 | A-/NR | $ | 2,825,000 | $ | 3,226,207 | |||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2019 | A-/NR | 2,765,000 | 3,173,418 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2020 | A-/NR | 2,965,000 | 3,402,338 | |||||||
Massachusetts DFA, 3.45% due 12/1/2015 (Carleton-Willard Village) | A-/NR | 1,710,000 | 1,733,188 | |||||||
Massachusetts DFA, 5.75% due 12/1/2042 put 5/1/2019 (Dominion Energy Brayton) | A-/Baa2 | 2,000,000 | 2,423,740 | |||||||
Massachusetts Educational Financing Authority, 5.25% due 1/1/2016 | AA/NR | �� | 2,450,000 | 2,690,296 | ||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2017 | AA/NR | 1,800,000 | 2,045,142 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018 | AA/NR | 11,170,000 | 12,853,542 | |||||||
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020 | AA/NR | 7,500,000 | 9,068,925 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2013 (Berkshire Health Systems; Insured: AGM) | AA-/A3 | 3,215,000 | 3,283,865 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2014 (UMass Memorial Health Care) | A-/Baa1 | 2,750,000 | 2,863,850 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.25% due 6/1/2015 (Boston College) | AA-/Aa3 | 1,000,000 | 1,008,770 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2015 (UMass Memorial Health Care) | A-/Baa1 | 2,625,000 | 2,816,651 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2016 pre-refunded 10/1/2013 (Simmons College; Insured: FGIC) | AA+/Baa1 | 1,065,000 | 1,090,794 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2018 (UMass Memorial Health Care) | A-/Baa1 | 4,290,000 | 4,877,516 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2019 (Berkshire Health Systems; Insured: AGM) | AA-/A3 | 1,750,000 | 1,898,418 | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2027 pre-refunded 8/15/2015 (SMART Fund; Insured: Natl-Re) | AA+/Aa1 | 9,350,000 | 10,378,593 | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2030 pre-refunded 8/15/2015 (SMART Fund; Insured: AGM) | AA-/Aa1 | 25,000,000 | 27,750,250 | |||||||
The Commonwealth of Massachusetts, 5.00% due 12/15/2014 (Federal Highway Grant Anticipation Trust Fund; Insured: AGM) | AAA/Aa1 | 2,325,000 | 2,510,651 | |||||||
The Commonwealth of Massachusetts GO, 5.00% due 9/1/2014 (North Transportation Improvements Association) | AA+/Aa1 | 1,000,000 | 1,067,910 | |||||||
Town of Pembroke GO, 4.50% due 8/1/2014 (Educational Facilities; Insured: Natl-Re) | NR/Aa3 | 1,045,000 | 1,102,297 | |||||||
MICHIGAN — 4.73% | ||||||||||
Byron Center Michigan Public Schools, 3.00% due 5/1/2013 (Insured: | AA-/NR | 1,745,000 | 1,749,118 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2015 (Insured: | AA-/NR | 1,985,000 | 2,117,777 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2017 (Insured: AGM/Q-SBLF) | AA-/NR | 1,305,000 | 1,457,111 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2018 (Insured: AGM/Q-SBLF) | AA-/NR | 1,935,000 | 2,184,131 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2020 (Insured: AGM/Q-SBLF) | AA-/NR | 1,000,000 | 1,141,550 | |||||||
City of Battle Creek County of Calhoun GO, 5.00% due 5/1/2020 (Downtown Development; Insured: AMBAC) | AA-/Aa3 | 3,200,000 | 3,631,616 | |||||||
City of Detroit, 5.00% due 7/1/2013 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 1,590,000 | 1,607,808 | |||||||
City of Detroit, 5.00% due 7/1/2014 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 2,060,000 | 2,163,412 | |||||||
City of Detroit, 5.00% due 7/1/2014 (Sewage Disposal System; | A/Baa2 | 2,000,000 | 2,091,400 | |||||||
City of Detroit, 5.00% due 7/1/2015 (Water Supply System; | A+/Baa3 | 6,000,000 | 6,430,500 | |||||||
City of Detroit, 5.00% due 7/1/2015 (Sewage Disposal System; | A/Baa2 | 3,000,000 | 3,221,130 | |||||||
City of Detroit, 5.50% due 7/1/2015 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 3,920,000 | 4,268,174 | |||||||
City of Detroit, 6.00% due 7/1/2015 (Water Supply System; | A+/Baa2 | 3,380,000 | 3,695,422 | |||||||
City of Detroit, 6.50% due 7/1/2015 (Water Supply System; | A+/NR | 1,900,000 | 2,057,757 | |||||||
City of Detroit, 5.00% due 7/1/2016 (Water Supply System; Insured: AGM) | AA-/A2 | 2,750,000 | 3,017,575 | |||||||
City of Detroit, 5.50% due 7/1/2016 (Sewage Disposal System; | A+/Baa2 | 375,000 | 418,455 | |||||||
City of Detroit, 5.50% due 7/1/2017 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 825,000 | 943,371 | |||||||
City of Detroit, 5.50% due 7/1/2018 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 3,000,000 | 3,484,080 | |||||||
City of Detroit, 5.25% due 7/1/2019 (Sewage Disposal System; | A+/Baa2 | 3,900,000 | 4,300,647 | |||||||
City of Detroit, 5.00% due 7/1/2020 (Water Supply System; | A+/Baa3 | 2,955,000 | 3,143,293 |
34 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; | A+/Baa2 | $ | 3,415,000 | $ | 3,773,814 | |||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; | A+/Baa2 | 4,305,000 | 4,757,326 | |||||||
City of Detroit, 5.25% due 7/1/2022 (Sewage Disposal System; Insured: AGM) | AA-/A2 | 4,000,000 | 4,708,480 | |||||||
City of Grand Haven, 5.50% due 7/1/2016 (Electric System; | NR/Baa2 | 3,890,000 | 4,286,858 | |||||||
Dickinson County Health Care Systems, 5.50% due 11/1/2013 (Insured: ACA) | NR/NR | 1,095,000 | 1,097,212 | |||||||
a Economic Development Corporation of Dickinson County, 5.75% due 6/1/2016 (International Paper Co.) | BBB/Baa3 | 8,845,000 | 8,877,815 | |||||||
Genesee County GO, 2.00% due 5/1/2013 | NR/A1 | 1,000,000 | 1,001,150 | |||||||
Gull Lake Community School District GO, 0% due 5/1/2013 | NR/NR | 490,000 | 489,486 | |||||||
Kalamazoo Hospital Finance Authority, 4.00% due 5/15/2015 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,735,000 | 1,844,669 | |||||||
Kalamazoo Hospital Finance Authority, 4.00% due 5/15/2016 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,850,000 | 2,011,227 | |||||||
Kalamazoo Hospital Finance Authority, 4.50% due 5/15/2017 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,830,000 | 2,062,611 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) | AA-/A2 | 1,520,000 | 1,782,306 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) | AA-/A2 | 2,500,000 | 2,931,425 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2020 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,735,000 | 2,086,546 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2021 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 2,350,000 | 2,784,538 | |||||||
Kent Hospital Finance Authority, 5.25% due 1/15/2047 put 1/15/2014 (Spectrum Health) | AA/Aa3 | 5,865,000 | 6,097,254 | |||||||
Livingston County GO, 4.00% due 5/1/2018 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,131,910 | |||||||
Livingston County GO, 4.00% due 5/1/2020 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,143,980 | |||||||
Livingston County GO, 4.00% due 5/1/2021 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,144,460 | |||||||
Michigan Finance Authority, 2.00% due 8/20/2013 (School District Operating Cash Flow Management) (State Aid Withholding) | SP-1+/NR | 7,000,000 | 7,047,390 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2014 (Insured: AGM) | AA-/Aa3 | 4,300,000 | 4,418,121 | |||||||
Michigan State Building Authority, 5.00% due 10/15/2015 (Insured: AMBAC) | A+/Aa3 | 6,000,000 | 6,660,060 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2015 (Insured: AGM) | AA-/Aa3 | 1,305,000 | 1,339,674 | |||||||
Michigan State Building Authority, 5.50% due 10/15/2017 | A+/Aa3 | 4,000,000 | 4,785,800 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2013 (Sparrow Hospital) | A+/A1 | 1,225,000 | 1,260,292 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2015 (Oakwood Hospital) | A/A2 | 2,500,000 | 2,732,850 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2015 (Henry Ford Health System) | A/A2 | 2,300,000 | 2,575,057 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2016 (Oakwood Hospital) | A/A2 | 1,205,000 | 1,358,625 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health) | AA+/Aa1 | 3,530,000 | 4,058,476 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/1/2017 | AA+/A2 | 5,000,000 | 5,156,500 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) | A+/A1 | 1,500,000 | 1,732,965 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2017 (Henry Ford Health System) | A/A2 | 1,530,000 | 1,821,343 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2018 (Oakwood Hospital) | A/A2 | 1,000,000 | 1,137,330 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2018 (Henry Ford Health System) | A/A2 | 3,500,000 | 4,266,885 | |||||||
Michigan State Hospital Finance Authority, 6.00% due 12/1/2018 (Trinity Health) | AA/Aa2 | 2,000,000 | 2,505,640 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2019 (Oakwood Hospital) | A/A2 | 2,000,000 | 2,270,740 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 10/1/2026 put 6/1/2017 (Ascension Health) | NR/Aa2 | 12,140,000 | 14,078,515 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 put 12/1/2015 (Trinity Health) | AA/Aa2 | 10,000,000 | 11,221,100 | |||||||
Michigan State Housing Development Authority, 5.00% due 4/1/2016 (Multi-Family Mtg Loan Financing) | AA/NR | 2,940,000 | 3,011,824 | |||||||
Michigan State Housing Development Authority, 4.00% due 10/1/2016 (Multi-Family Mtg Loan Financing) | AA/NR | 1,715,000 | 1,862,524 | |||||||
Michigan Strategic Fund, 2.80% due 12/1/2013 (Waste Management, Inc.) | BBB/NR | 2,850,000 | 2,886,252 |
Certified Semi-Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Michigan Strategic Fund, 5.00% due 8/1/2014 (NSF International) | A-/NR | $ | 1,290,000 | $ | 1,306,409 | |||||
Michigan Strategic Fund, 5.00% due 10/15/2017 (Michigan House of Representatives Facilities; Insured: AGM) | AA-/A1 | 2,000,000 | 2,297,440 | |||||||
Michigan Strategic Fund, 5.25% due 6/1/2018 (Clark Retirement Community, Inc. Project) | BB/NR | 1,415,000 | 1,407,614 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2019 (Michigan House of Representatives Facilities; Insured: AGM) | AA-/A1 | 1,000,000 | 1,168,860 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2020 (Michigan House of Representatives Facilities; Insured: AGM) | AA-/A1 | 4,025,000 | 4,661,835 | |||||||
Michigan Strategic Fund, 5.25% due 8/1/2029 put 8/1/2014 (Detroit Edison Co. Exempt Facilities Project) | A/A1 | 7,500,000 | 7,974,375 | |||||||
Michigan Strategic Fund, 5.50% due 8/1/2029 put 8/1/2016 (Detroit Edison Co. Exempt Facilities Project) | A/A1 | 5,160,000 | 5,822,957 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2018 | NR/Aa2 | 1,500,000 | 1,703,415 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2019 | NR/Aa2 | 1,000,000 | 1,144,010 | |||||||
Plymouth-Canton Community Schools GO, 5.00% due 5/1/2020 | NR/Aa2 | 1,000,000 | 1,211,390 | |||||||
Romeo Community School District GO, 5.00% due 5/1/2018 | AA-/Aa2 | 3,050,000 | 3,316,082 | |||||||
Royal Oak Hospital Finance Authority, 6.25% due 9/1/2014 (William Beaumont Hospital) | A/A1 | 1,000,000 | 1,071,910 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2017 (William Beaumont Hospital) | A/A1 | 5,855,000 | 6,695,075 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2014 | NR/Aa2 | 800,000 | 831,848 | |||||||
School District of the City of Dearborn GO, 3.00% due 5/1/2015 | NR/Aa2 | 435,000 | 457,507 | |||||||
School District of the City of Dearborn GO, 3.00% due 5/1/2019 | NR/Aa2 | 445,000 | 481,664 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2020 | NR/Aa2 | 350,000 | 399,543 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2021 | NR/Aa2 | 570,000 | 651,613 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2022 | NR/Aa2 | 535,000 | 609,081 | |||||||
a School District of the City of Dearborn GO, 4.00% due 5/1/2023 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa2 | 625,000 | 706,188 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2014 (Wayne County School Building & Site; Insured: AGM/Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,045,870 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2020 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 2,200,000 | 2,570,920 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2021 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 4,000,000 | 4,699,880 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2022 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 3,000,000 | 3,526,440 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 4.00% due 5/1/2016 (School Building & Site; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,094,530 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2017 (School Building & Site; Insured: Q-SBLF) | AA-/NR | 1,085,000 | 1,256,191 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2018 (School Building & Site; Insured: Q-SBLF) | AA-/NR | 1,285,000 | 1,521,286 | |||||||
Sparta Area Schools, Counties of Kent and Ottawa GO, 5.00% due 5/1/2020 (School Building & Site; Insured: Q-SBLF) | AA-/NR | 1,335,000 | 1,641,156 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2018 (Technology Infrastructure Improvements; Insured: Q-SBLF) | AA/NR | 1,725,000 | 1,955,288 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2019 (Technology Infrastructure Improvements; Insured: Q-SBLF) | AA/NR | 9,925,000 | 11,279,961 | |||||||
Warren Consolidated School District GO, 4.00% due 5/1/2015 | AA-/NR | 1,000,000 | 1,068,830 | |||||||
Warren Consolidated School District GO, 4.00% due 5/1/2017 | AA-/NR | 1,035,000 | 1,150,361 |
36 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2018 | AA-/NR | $ | 1,000,000 | $ | 1,171,320 | |||||
Warren Consolidated School District GO, 5.00% due 5/1/2020 | AA-/NR | 1,000,000 | 1,193,040 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2021 | AA-/NR | 1,000,000 | 1,199,190 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport; Insured: Natl-Re/FGIC) | A/A2 | 1,000,000 | 1,161,950 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport) | A/A2 | 2,420,000 | 2,811,919 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 12,645,000 | 14,942,470 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 2,600,000 | 3,153,046 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 4,395,000 | 5,390,995 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 3,115,000 | 3,820,921 | |||||||
Western Townships Utilities Authority GO, 4.00% due 1/1/2014 (Sewage Disposal System) | AA/NR | 1,000,000 | 1,026,680 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2015 (Sewage Disposal System) | AA/NR | 1,870,000 | 2,010,942 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2016 (Sewage Disposal System) | AA/NR | 1,670,000 | 1,855,136 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2017 (Sewage Disposal System) | AA/NR | 1,500,000 | 1,718,355 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2018 (Sewage Disposal System) | AA/NR | 1,500,000 | 1,756,770 | |||||||
MINNESOTA — 1.16% | ||||||||||
City of St. Cloud, 5.00% due 5/1/2013 (Centracare Health Systems) | NR/A1 | 1,000,000 | 1,004,400 | |||||||
City of St. Cloud, 5.00% due 5/1/2015 (Centracare Health Systems) | NR/A1 | 1,000,000 | 1,089,560 | |||||||
City of St. Cloud, 5.00% due 5/1/2016 (Centracare Health Systems) | NR/A1 | 1,250,000 | 1,409,462 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (Centracare Health Systems) | NR/A1 | 2,920,000 | 3,392,690 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (Centracare Health Systems) | NR/A1 | 1,000,000 | 1,161,880 | |||||||
City of St. Cloud, 5.00% due 5/1/2018 (Centracare Health Systems) | NR/A1 | 3,105,000 | 3,665,856 | |||||||
City of St. Cloud, 5.00% due 5/1/2019 (Centracare Health Systems) | NR/A1 | 3,495,000 | 4,184,284 | |||||||
City of St. Cloud, 5.00% due 5/1/2020 (Centracare Health Systems) | NR/A1 | 3,200,000 | 3,863,936 | |||||||
City of St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2021 (Regions Hospital) | A-/A3 | 1,070,000 | 1,159,206 | |||||||
City of St. Paul Housing & Redevelopment Authority and City of Minneapolis, 5.25% due 12/1/2013 (Group Health Plan, Inc.) | A-/A3 | 2,200,000 | 2,273,832 | |||||||
City of St. Paul Housing & Redevelopment Authority and City of Minneapolis, 6.00% due 12/1/2019 (Group Health Plan, Inc.) | A-/A3 | 1,000,000 | 1,035,840 | |||||||
County of Clay GO, 3.00% due 4/1/2018 (State-Aid Road Improvements) | AA/NR | 1,225,000 | 1,346,593 | |||||||
Eden Prairie ISD No. 272 GO, 4.00% due 2/1/2015 (Minnesota School District Credit Enhancement Program) | NR/Aa2 | 7,170,000 | 7,649,960 | |||||||
Le Sueur-Henderson ISD No. 2397 GO, 3.00% due 4/1/2021 (Minnesota School District Credit Enhancement Program) | AA+/NR | 1,125,000 | 1,220,445 | |||||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2017 (Insured: AMBAC) | AA-/NR | 8,005,000 | 9,163,964 | |||||||
Minnesota Agricultural & Economic Development Board, 4.00% due 2/15/2014 (Essential Health; Insured: AGM) | AA-/NR | 3,460,000 | 3,561,897 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2015 (Essential Health; Insured: AGM) | AA-/NR | 1,335,000 | 1,435,392 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2017 (Essential Health; Insured: AGM) | AA-/NR | 2,500,000 | 2,849,725 | |||||||
Minnesota Public Facilities Authority PCR, 5.25% due 3/1/2015 | AAA/Aaa | 1,000,000 | 1,094,410 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2019 (Electric System) | A-/A2 | 5,000,000 | 5,937,550 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2020 (Electric System) | A-/A2 | 3,500,000 | 4,192,370 | |||||||
St. Paul Housing & Redevelopment Authority, 5.00% due 2/1/2018 (Gillette Children’s Specialty Healthcare Project) | A-/NR | 1,255,000 | 1,435,996 | |||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 2/1/2020 (Gillette Children’s Specialty Healthcare Project) | A-/NR | 2,010,000 | 2,327,801 | |||||||
State of Minnesota GO, 5.00% due 8/1/2015 (Public Facility Capital Projects) | AA+/Aa1 | 10,000,000 | 11,079,700 | |||||||
MISSISSIPPI — 0.30% | ||||||||||
City of Jackson GO, 5.00% due 10/1/2016 (Insured: AMBAC) | AA-/Aa2 | 1,500,000 | 1,651,290 |
Certified Semi-Annual Report 37
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Lamar County School District GO, 3.00% due 6/1/2016 (Educational and Performing Arts Capital Projects) | A/NR | $ | 1,800,000 | $ | 1,917,108 | |||||
Lamar County School District GO, 3.50% due 6/1/2017 (Educational and Performing Arts Capital Projects) | A/NR | 1,700,000 | 1,862,078 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2015 (University of Mississippi Medical Center) | AA-/Aa2 | 2,325,000 | 2,484,193 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2016 (University of Mississippi Medical Center) | AA-/Aa2 | 3,300,000 | 3,609,012 | |||||||
Mississippi Development Bank, 2.50% due 9/1/2013 (City of Jackson Water & Sewer System; Insured: AGM) | AA-/Aa3 | 1,070,000 | 1,079,191 | |||||||
Mississippi Development Bank, 5.00% due 8/1/2018 (Department of Corrections) | AA-/NR | 4,910,000 | 5,766,009 | |||||||
Mississippi Development Bank Canton Public Improvement GO, 4.75% due 7/1/2017 | NR/NR | 1,230,000 | 1,313,136 | |||||||
MISSOURI — 1.58% | ||||||||||
Cass County COP, 3.00% due 5/1/2014 | A/NR | 1,425,000 | 1,458,117 | |||||||
Cass County COP, 4.00% due 5/1/2015 | A/NR | 1,000,000 | 1,057,810 | |||||||
Cass County COP, 4.00% due 5/1/2018 | A/NR | 2,255,000 | 2,472,720 | |||||||
Cass County COP, 4.50% due 5/1/2019 | A/NR | 1,270,000 | 1,427,950 | |||||||
Cass County COP, 5.00% due 5/1/2020 | A/NR | 2,255,000 | 2,638,395 | |||||||
Cass County COP, 5.00% due 5/1/2021 | A/NR | 1,750,000 | 2,016,822 | |||||||
City of Lee’s Summit GO, 3.00% due 4/1/2015 | NR/Aa1 | 1,275,000 | 1,341,377 | |||||||
City of Perryville COP, 4.625% due 7/1/2020 pre-refunded 7/1/2013 | NR/NR | 1,000,000 | 1,011,230 | |||||||
Jackson County, 4.00% due 12/1/2013 (Parking Facility Projects) | NR/Aa3 | 300,000 | 307,041 | |||||||
Jackson County, 4.00% due 12/1/2014 (Truman Sports Complex) | NR/A1 | 2,580,000 | 2,725,744 | |||||||
Jackson County, 5.00% due 12/1/2014 (Truman Sports Complex; Insured: AMBAC) | A+/Aa3 | 7,900,000 | 8,477,727 | |||||||
Jackson County, 4.00% due 12/1/2016 (Parking Facility Projects) | NR/Aa3 | 500,000 | 551,110 | |||||||
Jackson County, 4.00% due 12/1/2017 (Parking Facility Projects) | NR/Aa3 | 500,000 | 557,925 | |||||||
Jackson County, 4.00% due 12/1/2019 (Parking Facility Projects) | NR/Aa3 | 500,000 | 562,320 | |||||||
Jackson County, 4.00% due 12/1/2021 (Parking Facility Projects) | NR/Aa3 | 1,000,000 | 1,118,040 | |||||||
Kansas City IDA, 4.00% due 9/1/2014 (NNSA National Security Campus) | NR/NR | 1,535,000 | 1,571,487 | |||||||
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Downtown Redevelopment District) | AA-/A1 | 2,000,000 | 2,318,460 | |||||||
Kansas City Municipal Assistance Corp., 5.00% due 4/15/2018 (Bartle Music Hall and Municipal Auditorium Parking Garage; Insured: Natl-Re/FGIC) | AA-/A1 | 1,000,000 | 1,159,330 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2014 (City of Independence Electric System Projects) | A/NR | 3,930,000 | 4,079,851 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2015 (City of Independence Electric System Projects) | A/NR | 1,000,000 | 1,063,130 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2016 (City of Independence Electric System Projects) | A/NR | 1,560,000 | 1,692,397 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2017 (City of Independence Electric System Projects) | A/NR | 1,525,000 | 1,733,163 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2018 (City of Independence Electric System Projects) | A/NR | 1,705,000 | 1,970,110 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2019 (City of Independence Electric System Projects) | A/NR | 1,000,000 | 1,103,980 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2019 (City of Independence Electric System Projects) | A/NR | 1,790,000 | 2,078,978 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2020 (City of Independence Electric System Projects) | A/NR | 1,265,000 | 1,392,828 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2020 (City of Independence Electric System Projects) | A/NR | 1,000,000 | 1,166,460 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2021 (City of Independence Electric System Projects) | A/NR | 2,465,000 | 2,707,704 |
38 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2022 (City of Independence Electric System Projects) | A/NR | $ | 3,155,000 | $ | 3,446,017 | |||||
Missouri Highways and Transportation Commission, 5.00% due 5/1/2013 (State Highway System) | AA+/Aa1 | 1,000,000 | 1,004,440 | |||||||
Missouri Regional Convention & Sports Complex Authority, 5.25% due 8/15/2016 (Insured: AMBAC) | AA+/Aa2 | 1,800,000 | 1,834,128 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2015 (Webster University) | NR/A2 | 2,155,000 | 2,294,472 | |||||||
Missouri State Health & Educational Facilities Authority, 4.00% due 4/1/2016 (Webster University) | NR/A2 | 1,685,000 | 1,835,218 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2017 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,138,450 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2019 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,172,320 | |||||||
Missouri State Health & Educational Facilities Authority, 5.00% due 5/15/2020 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,150,020 | |||||||
Platte County, 4.00% due 4/1/2017 (Community & Resource Centers) | NR/A1 | 1,500,000 | 1,628,580 | |||||||
Platte County, 4.00% due 4/1/2018 (Community & Resource Centers) | NR/A1 | 2,110,000 | 2,306,251 | |||||||
Platte County, 5.00% due 4/1/2019 (Community & Resource Centers) | NR/A1 | 2,000,000 | 2,302,620 | |||||||
Platte County, 5.00% due 4/1/2021 (Community & Resource Centers) | NR/A1 | 2,440,000 | 2,857,630 | |||||||
Southeast Missouri State University, 4.00% due 4/1/2013 (City of Cape Girardeau Campus System Facilities) | A/NR | 750,000 | 750,225 | |||||||
Southeast Missouri State University, 4.00% due 4/1/2014 (City of Cape Girardeau Campus System Facilities) | A/NR | 575,000 | 595,591 | |||||||
Southeast Missouri State University, 4.00% due 4/1/2015 (City of Cape Girardeau Campus System Facilities) | A/NR | 600,000 | 639,888 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2016 (City of Cape Girardeau Campus System Facilities) | A/NR | 750,000 | 840,893 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2018 (City of Cape Girardeau Campus System Facilities) | A/NR | 1,165,000 | 1,364,099 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2020 (City of Cape Girardeau Campus System Facilities) | A/NR | 2,825,000 | 3,378,276 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2019 (State Aid Withholding) | AA+/NR | 1,615,000 | 1,852,453 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2020 (State Aid Withholding) | AA+/NR | 1,600,000 | 1,847,312 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2021 (State Aid Withholding) | AA+/NR | 2,055,000 | 2,369,723 | |||||||
Special Administrative Board of the Transitional School District of the City of St. Louis GO, 4.00% due 4/1/2022 (State Aid Withholding) | AA+/NR | 3,300,000 | 3,736,293 | |||||||
Springfield Public Utilities COP, 5.00% due 12/1/2013 (Insured: Natl-Re) | AA/A1 | 2,000,000 | 2,062,960 | |||||||
St. Louis Municipal Finance Corp., 4.00% due 2/15/2014 (City Justice Center) | A/A1 | 1,000,000 | 1,031,380 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2015 (City Justice Center) | A/A1 | 1,250,000 | 1,343,250 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2016 (City Justice Center) | A/A1 | 2,065,000 | 2,282,465 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2017 (City Justice Center) | A/A1 | 2,000,000 | 2,255,640 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2018 (City Justice Center) | A/A1 | 3,865,000 | 4,425,734 | |||||||
NEBRASKA — 0.23% | ||||||||||
Douglas County School District No. 17 GO, 4.00% due 6/15/2017 (Millard Public Schools) | AA/Aa1 | 1,750,000 | 1,814,645 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2020 (Nebraska Whelan Energy Center; Insured: AMBAC) | A-/A2 | 9,930,000 | 11,121,799 | |||||||
Public Power Generation Agency, 5.00% due 1/1/2021 (Nebraska Whelan Energy Center; Insured: AMBAC) | A-/A2 | 1,860,000 | 2,113,797 |
Certified Semi-Annual Report 39
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
NEVADA — 1.55% | ||||||||||
Carson City, 4.00% due 9/1/2015 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | $ | 1,000,000 | $ | 1,061,350 | |||||
Carson City, 4.00% due 9/1/2016 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,245,000 | 1,346,791 | |||||||
Carson City, 5.00% due 9/1/2019 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,000,000 | 1,158,900 | |||||||
Carson City, 5.00% due 9/1/2020 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,000,000 | 1,161,310 | |||||||
Carson City, 5.00% due 9/1/2022 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 2,250,000 | 2,589,097 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2016 (City Hall) | AA-/Aa3 | 4,000,000 | 4,455,160 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2017 (City Hall) | AA-/Aa3 | 4,300,000 | 4,875,426 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2018 (City Hall) | AA-/Aa3 | 4,000,000 | 4,610,200 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center) | AA/Aa2 | 1,825,000 | 2,208,359 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center) | AA/Aa2 | 2,095,000 | 2,622,479 | |||||||
City of Las Vegas Redevelopment Agency, 5.00% due 6/15/2013 (Fremont Street) | BBB-/NR | 3,685,000 | 3,699,114 | |||||||
City of Las Vegas Special Improvement District 707, 5.375% due 6/1/2013 (Summerlin Area Public Improvements; Insured: AGM) | AA-/A2 | 945,000 | 951,407 | |||||||
City of Las Vegas Special Improvement District 707, 5.40% due 6/1/2014 (Summerlin Area Public Improvements; Insured: AGM) | AA-/A2 | 1,375,000 | 1,387,155 | |||||||
City of Reno, 5.25% due 6/1/2014 (Washoe Medical Center; Insured: AGM) | AA-/A2 | 1,000,000 | 1,051,410 | |||||||
City of Reno, 5.25% due 6/1/2016 (Washoe Medical Center; Insured: AGM) | AA-/A2 | 1,100,000 | 1,234,992 | |||||||
City of Reno, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: AGM) | AA-/A2 | 1,000,000 | 1,179,090 | |||||||
Clark County GO, 5.00% due 11/1/2014 | AA+/Aa1 | 4,000,000 | 4,296,640 | |||||||
Clark County GO, 5.00% due 11/1/2017 (Insured: AMBAC) | AA+/Aa1 | 1,310,000 | 1,494,448 | |||||||
Clark County GO, 5.00% due 3/1/2019 (University Medical Center of Southern Nevada; Insured: Natl-Re) | AA+/Aa1 | 1,850,000 | 2,006,565 | |||||||
Clark County GO, 5.00% due 3/1/2020 (University Medical Center of Southern Nevada; Insured: Natl-Re) | AA+/Aa1 | 2,130,000 | 2,308,537 | |||||||
Clark County Improvement District, 5.00% due 12/1/2015 (Insured: AMBAC) | BBB+/NR | 1,710,000 | 1,838,746 | |||||||
Clark County School District GO, 5.00% due 6/15/2015 (Insured: Natl-Re) | AA-/Aa3 | 1,000,000 | 1,033,270 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018 | AA/Aa2 | 6,535,000 | 7,706,595 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019 | AA/Aa2 | 3,000,000 | 3,597,270 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2013 (Insured: AMBAC) | A+/A1 | 1,530,000 | 1,549,202 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2014 (Insured: AMBAC) | A+/A1 | 2,680,000 | 2,835,467 | |||||||
Las Vegas Convention & Visitors Authority, 5.25% due 7/1/2015 (Insured: AMBAC) | A+/A1 | 4,845,000 | 5,312,155 | |||||||
Las Vegas Convention & Visitors Authority, 5.00% due 7/1/2019 (Insured: AMBAC) | A+/A1 | 6,000,000 | 6,537,360 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2016 | AA+/Aa2 | 1,000,000 | 1,131,530 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2017 | AA+/Aa2 | 1,050,000 | 1,216,919 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2019 | AA+/Aa2 | 1,000,000 | 1,201,610 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 | AA+/Aa2 | 4,255,000 | 5,164,038 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 | AA+/Aa2 | 5,080,000 | 6,165,291 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2021 | AA+/Aa2 | 5,000,000 | 6,120,000 | |||||||
Redevelopment Agency of the City of Mesquite, 7.00% due 6/1/2019 (Public Facility and Redevelopment Projects) | BBB+/NR | 1,000,000 | 1,033,410 | |||||||
Washoe County GO, 5.00% due 7/1/2021 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 1,700,000 | 2,048,347 | |||||||
Washoe County GO, 5.00% due 7/1/2022 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 2,500,000 | 2,972,900 | |||||||
NEW HAMPSHIRE — 0.32% | ||||||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | BBB+/Baa1 | 1,365,000 | 1,426,002 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2016 (Southern New Hampshire Health Systems) | A-/NR | 1,260,000 | 1,413,607 | |||||||
New Hampshire Health & Educational Facilities, 5.00% due 10/1/2017 (Southern New Hampshire Health Systems) | A-/NR | 1,000,000 | 1,149,290 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: Natl-Re) | A+/A1 | 2,985,000 | 3,411,974 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re) | A+/A1 | 3,130,000 | 3,686,170 |
40 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2016 | A+/A1 | $ | 3,000,000 | $ | 3,359,670 | |||||
New Hampshire Turnpike System, 5.00% due 2/1/2017 | A+/A1 | 2,425,000 | 2,792,533 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2018 | A+/A1 | 1,295,000 | 1,524,836 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2020 | A+/A1 | 1,000,000 | 1,210,540 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2021 | A+/A1 | 1,260,000 | 1,537,036 | |||||||
NEW JERSEY — 3.07% | ||||||||||
Burlington County Bridge Commission, 2.00% due 12/1/2014 (Government Loan Programs) | AA/Aa2 | 2,140,000 | 2,196,047 | |||||||
Burlington County Bridge Commission, 3.00% due 12/1/2015 (Government Loan Programs) | AA/Aa2 | 1,245,000 | 1,325,813 | |||||||
Burlington County Bridge Commission, 3.00% due 12/1/2016 (Government Loan Programs) | AA/Aa2 | 1,000,000 | 1,083,180 | |||||||
Burlington County Bridge Commission, 5.00% due 12/1/2018 (Government Loan Programs) | AA/Aa2 | 1,000,000 | 1,202,500 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2014 (Cooper Medical School) | A+/A2 | 2,845,000 | 2,990,067 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2015 (Cooper Medical School) | A+/A2 | 2,990,000 | 3,240,233 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2016 (Cooper Medical School) | A+/A2 | 3,040,000 | 3,378,595 | |||||||
City of Paterson, 4.25% due 6/15/2015 pre-refunded 12/1/2013 (City Capital Projects; Insured: AGM) (State Aid Withholding) (ETM) | NR/A1 | 1,275,000 | 1,342,958 | |||||||
City of Paterson GO, 3.50% due 3/15/2017 (Debt Restructuring & City Capital Projects) (State Aid Withholding) | NR/A1 | 950,000 | 1,016,709 | |||||||
County of Essex GO, 4.00% due 6/1/2016 | NR/Aa2 | 500,000 | 551,435 | |||||||
Essex County Improvement Authority, 5.125% due 10/1/2016 | NR/Aa2 | 2,545,000 | 2,725,924 | |||||||
Gloucester County Improvement Authority, 2.125% due 12/1/2029 put 12/1/2017 (Waste Management, Inc. Project) | BBB/NR | 2,000,000 | 2,060,800 | |||||||
Hudson County COP, 7.00% due 12/1/2013 (Insured: Natl-Re) | NR/Baa2 | 710,000 | 738,634 | |||||||
Hudson County COP, 6.25% due 12/1/2014 (Insured: Natl-Re) | NR/Baa2 | 1,500,000 | 1,626,000 | |||||||
Hudson County COP, 6.25% due 12/1/2016 (Insured: Natl-Re) | NR/Baa2 | 550,000 | 638,622 | |||||||
Hudson County Improvement Authority, 5.25% due 10/1/2014 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 3,000,000 | 3,200,310 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2015 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,183,860 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2016 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 3,155,000 | 3,534,042 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2017 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 4,065,000 | 4,625,523 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2018 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,310,000 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2019 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 4,390,000 | 5,098,590 | |||||||
Hudson County Improvement Authority, 5.375% due 10/1/2020 (Hudson County Lease; Insured: AGM) | AA-/Aa3 | 1,955,000 | 2,370,672 | |||||||
Jersey City GO, 5.00% due 9/1/2013 (Insured: Natl-Re) (State Aid Withholding) | NR/A2 | 5,820,000 | 5,927,554 | |||||||
Monmouth County Improvement Authority, 5.00% due 12/1/2016 (Insured: AMBAC) | NR/NR | 1,000,000 | 1,106,130 | |||||||
New Jersey EDA, 5.00% due 11/15/2014 (Seabrook Village) | NR/NR | 1,000,000 | 1,041,470 | |||||||
New Jersey EDA, 5.00% due 12/15/2016 (School Facilities Construction) | A+/A1 | 10,950,000 | 12,653,382 | |||||||
New Jersey EDA, 5.00% due 9/1/2018 (School Facilities Construction; Insured: Natl-Re) | A+/A1 | 3,000,000 | 3,305,580 | |||||||
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC) | A+/A1 | 5,525,000 | 6,850,447 | |||||||
New Jersey Educational Facilities Authority, 5.00% due 7/1/2028 pre-refunded 7/1/2014 (Princeton University) | AAA/Aaa | 500,000 | 530,015 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2013 (St. Peter’s University Hospital) | BB+/Ba1 | 1,000,000 | 1,010,640 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2014 (St. Peter’s University Hospital) | BB+/Ba1 | 3,575,000 | 3,725,293 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2015 (St. Peter’s University Hospital) | BB+/Ba1 | 3,520,000 | 3,781,078 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 | AA/Aa2 | 1,910,000 | 2,166,761 |
Certified Semi-Annual Report 41
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2018 | AA/Aa2 | $ | 3,000,000 | $ | 3,444,030 | |||||
New Jersey Higher Educational Assistance Authority, 5.25% due 12/1/2019 | AA/Aa2 | 5,000,000 | 5,863,800 | |||||||
New Jersey State Transit Corp. COP, 5.25% due 9/15/2013 (Insured: AMBAC) | A/A1 | 11,050,000 | 11,302,934 | |||||||
New Jersey State Transit Corp. COP, 5.50% due 9/15/2013 (Insured: AMBAC) | A/A1 | 7,650,000 | 7,833,982 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 | A+/A1 | 1,000,000 | 1,198,490 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 (State Transportation System; Insured: AGM) | AA-/A1 | 1,450,000 | 1,585,502 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 | A+/A1 | 1,000,000 | 1,208,260 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2021 | A+/A1 | 2,360,000 | 2,835,729 | |||||||
Ocean Township Municipal Utility Authority, 6.00% due 8/1/2017 (Insured: Natl-Re) | NR/Baa2 | 3,075,000 | 3,384,130 | |||||||
Passaic Valley Sewer Commissioners GO, 5.625% due 12/1/2018 (Sewer System) | NR/A2 | 1,210,000 | 1,433,463 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2019 (Sewer System) | NR/A2 | 2,000,000 | 2,413,500 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2020 (Sewer System) | NR/A2 | 2,800,000 | 3,415,216 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2021 (Sewer System) | NR/A2 | 1,000,000 | 1,231,130 | |||||||
State of New Jersey, 2.50% due 6/27/2013 (Cash Flow Management) | SP-1/Mig2 | 63,000,000 | 63,356,580 | |||||||
State University of New Jersey GO, 4.00% due 5/1/2014 (Rutgers Campus Facility Projects) | AA/Aa2 | 1,000,000 | 1,040,100 | |||||||
Township of Wayne GO, 2.00% due 2/15/2018 (General Improvements and Water Utility System) | AA+/Aaa | 1,295,000 | 1,354,194 | |||||||
NEW MEXICO — 1.03% | ||||||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2016 (San Juan- Chama Drinking Water Project; Insured: AMBAC) | AA+/Aa2 | 1,800,000 | 1,979,514 | |||||||
City of Albuquerque, 5.50% due 7/1/2013 (Albuquerque International Sunport & Double Eagle II Airports) | A/A2 | 1,820,000 | 1,844,716 | |||||||
City of Santa Fe, 4.50% due 5/15/2022 (El Castillo Retirement Residences) | BBB-/NR | 2,585,000 | 2,825,172 | |||||||
Gadsden ISD No. 16 GO, 2.00% due 8/15/2013 (Public School Capital Outlay Projects) (State Aid Withholding) | NR/Aa1 | 4,040,000 | 4,067,634 | |||||||
Gallup PCR, 5.00% due 8/15/2016 (Insured: AMBAC) | A/A3 | 2,500,000 | 2,712,725 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2017 | AA+/Aa3 | 2,365,000 | 2,818,323 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2018 | AA+/Aa3 | 2,205,000 | 2,699,934 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) | NR/Aaa | 6,000,000 | 6,805,920 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2018 (Student Loans) | AAA/Aaa | 5,000,000 | 6,043,250 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2021 (Student Loans) | AAA/Aaa | 3,000,000 | 3,661,410 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2013 (Federal Highway Grant Restructure; Insured: AMBAC) | AA/Aa2 | 1,500,000 | 1,515,270 | |||||||
New Mexico Finance Authority, 3.00% due 6/15/2015 (State Highway Infrastructure Projects) | AAA/Aa1 | 900,000 | 951,192 | |||||||
Santa Fe Public School District GO, 3.00% due 8/1/2015 (District School Building and Renovation Program) (State Aid Withholding) | AA/Aa1 | 1,000,000 | 1,059,020 | |||||||
State of New Mexico, 5.00% due 7/1/2014 (Statewide Capital Project Funding) | AA/Aa1 | 7,435,000 | 7,882,290 | |||||||
State of New Mexico, 5.00% due 7/1/2015 (Statewide Capital Project Funding) | AA/Aa1 | 8,200,000 | 9,052,964 | |||||||
State of New Mexico, 5.00% due 7/1/2016 (Statewide Capital Project Funding) | AA/Aa1 | 10,265,000 | 11,741,620 | |||||||
University of New Mexico, 5.00% due 7/1/2014 (University of New Mexico Hospital; Insured: AGM/FHA) | AA-/A2 | 1,000,000 | 1,053,380 | |||||||
NEW YORK — 8.89% | ||||||||||
Amherst Development Corp., 5.00% due 10/1/2015 (Student Housing; Insured: AGM) | AA-/A2 | 1,535,000 | 1,680,503 | |||||||
City of Long Beach School District GO, 3.50% due 5/1/2022 (Insured: AGM) (State Aid Withholding) | AA-/Aa2 | 1,600,000 | 1,745,760 | |||||||
City of New York GO, 3.00% due 8/1/2014 | AA/Aa2 | 20,480,000 | 21,233,869 | |||||||
City of New York GO, 5.00% due 8/1/2014 | AA/Aa2 | 1,000,000 | 1,063,580 | |||||||
City of New York GO, 5.00% due 8/1/2017 | AA/Aa2 | 1,000,000 | 1,105,690 | |||||||
City of New York GO, 0.13% due 8/1/2021 put 4/1/2013 (LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 500,000 | 500,000 | |||||||
City of New York GO, 5.00% due 8/1/2021 | AA/Aa2 | 3,000,000 | 3,710,040 |
42 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of New York GO, 5.00% due 8/1/2022 | AA/Aa2 | $ | 3,000,000 | $ | 3,724,050 | |||||
City of New York GO, 0.15% due 8/1/2035 put 4/1/2013 (SPA: Landesbank Hessen- Thuringen) (daily demand notes) | AA/Aa2 | 7,870,000 | 7,870,000 | |||||||
City School District of the City of Rome GO, 5.00% due 6/15/2017 (Insured: Natl-Re/FGIC) (State Aid Withholding) | NR/A1 | 1,635,000 | 1,785,567 | |||||||
County of Cayuga GO, 1.00% due 4/26/2013 (Telecommunications Improvements) | NR/NR | 10,000,000 | 10,005,300 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2015 (Buffalo School District) | AA-/Aa3 | 3,000,000 | 3,282,330 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) | AA-/Aa3 | 8,795,000 | 9,959,458 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2017 (Buffalo School District) | AA-/Aa3 | 7,265,000 | 8,454,789 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2018 (Buffalo School District) | AA-/Aa3 | 5,000,000 | 5,951,200 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2020 | A/A2 | 12,955,000 | 15,795,902 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2021 | A/A2 | 24,325,000 | 29,750,205 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2018 (St. John Fisher College) | BBB+/NR | 1,425,000 | 1,625,099 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2019 (St. John Fisher College) | BBB+/NR | 1,030,000 | 1,179,000 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2022 (St. John Fisher College) | BBB+/NR | 2,000,000 | 2,322,140 | |||||||
Nassau County IDA, 5.25% due 3/1/2018 (New York Institute of Technology) | BBB+/NR | 1,260,000 | 1,445,459 | |||||||
Nassau County IDA, 5.25% due 3/1/2020 (New York Institute of Technology) | BBB+/NR | 1,715,000 | 2,015,777 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2019 (Health Care Facilities Improvements) | A+/Aa3 | 2,700,000 | 3,225,771 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2020 (Health Care Facilities Improvements) | A+/Aa3 | 10,000,000 | 11,999,700 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2021 (Health Care Facilities Improvements) | A+/Aa3 | 2,615,000 | 3,095,663 | |||||||
New York City Housing Development Corp., 0.90% due 11/1/2014 (Multi-Family Housing) | AA/Aa2 | 1,400,000 | 1,406,860 | |||||||
New York City Housing Development Corp., 0.80% due 11/1/2015 (Multi-Family Housing) | AA/Aa2 | 1,820,000 | 1,822,184 | |||||||
New York City Municipal Water Finance Authority, 0.15% due 6/15/2039 put 4/1/2013 (Water and Sewer System; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AA+/Aa2 | 36,690,000 | 36,690,000 | |||||||
New York City Transitional Finance Authority, 4.00% due 7/15/2014 (School Financing Act) (State Aid Withholding) | AA-/Aa3 | 2,000,000 | 2,097,460 | |||||||
New York City Transitional Finance Authority, 4.00% due 8/1/2014 (City Capital Projects) | AAA/Aa1 | 12,000,000 | 12,612,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 (City Capital Projects) | AAA/Aa1 | 10,595,000 | 11,389,095 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2014 (City Capital Projects) | AAA/Aa1 | 2,275,000 | 2,445,511 | |||||||
a New York City Transitional Finance Authority, 5.00% due 11/1/2014 (World Trade Center Recovery Costs) (State Aid Withholding) | AAA/Aaa | 2,000,000 | 2,149,900 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2015 (City Capital Projects) | AAA/Aa1 | 5,000,000 | 5,585,900 | |||||||
New York City Transitional Finance Authority, 5.00% due 7/15/2016 (School Financing Act) (State Aid Withholding) | AA-/Aa3 | 3,155,000 | 3,614,336 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects) | AAA/Aa1 | 5,000,000 | 5,785,950 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects) | AAA/Aa1 | 12,680,000 | 14,673,169 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2017 (World Trade Center Recovery Costs) | AAA/Aa1 | 1,000,000 | 1,116,360 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (School Financing Act) (State Aid Withholding) | AA-/Aa3 | 4,865,000 | 5,745,906 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) | AAA/Aa1 | 1,500,000 | 1,819,305 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) | AAA/Aa1 | 11,730,000 | 14,226,965 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) | AAA/Aa1 | 3,075,000 | 3,729,575 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) | AAA/Aa1 | 1,645,000 | 1,995,171 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects) | AAA/Aa1 | 12,725,000 | 15,433,771 | |||||||
New York City Transitional Finance Authority, 0.17% due 8/1/2031 put 4/1/2013 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 32,350,000 | 32,350,000 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2013 (Winthrop South Nassau University) (ETM) | NR/Baa1 | 1,500,000 | 1,520,085 | |||||||
New York State Dormitory Authority, 5.25% due 8/15/2013 (Presbyterian Hospital; Insured: AGM/FHA) | AA-/A2 | 3,650,000 | 3,718,583 |
Certified Semi-Annual Report 43
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2013 (AIDS Long-Term Health Care Facilities; Insured: SONYMA) | NR/Aa1 | $ | 3,105,000 | $ | 3,117,172 | |||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) | AA-/A2 | 2,405,000 | 2,508,391 | |||||||
New York State Dormitory Authority, 3.00% due 8/15/2014 (Mental Health Services Facilities) (ETM) | NR/NR | 10,000 | 10,365 | |||||||
New York State Dormitory Authority, 3.00% due 8/15/2014 (Mental Health Services Facilities) | AA-/NR | 2,630,000 | 2,729,493 | |||||||
New York State Dormitory Authority, 5.00% due 11/1/2014 (AIDS Long-Term Health Care Facilities: Insured: SONYMA) | NR/Aa1 | 1,010,000 | 1,013,959 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2015 (State University Educational Facilities; Insured: Natl-Re/IBC) | NR/Aa3 | 10,000,000 | 10,636,700 | |||||||
New York State Dormitory Authority, 5.25% due 8/15/2015 (Presbyterian Hospital; Insured: AGM/FHA) | AA-/A2 | 4,905,000 | 5,243,249 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2016 pre-refunded 7/1/2013 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 1,220,000 | 1,236,494 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services Facilities) | AA-/NR | 5,000,000 | 5,873,900 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2017 (Court Facilities Lease; Insured: AMBAC) | AA-/Aa3 | 4,585,000 | 5,333,501 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2017 pre-refunded 7/1/2013 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 2,500,000 | 2,533,800 | |||||||
New York State Dormitory Authority, 5.50% due 10/1/2017 (School Districts Financing Program; Insured: Natl-Re) (State Aid Withholding) | A+/A2 | 35,000 | 35,135 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services Facilities) | AA-/NR | 5,165,000 | 6,233,742 | |||||||
New York State Dormitory Authority, 2.25% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 4,800,000 | 5,046,672 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 325,000 | 385,551 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A2 | 2,500,000 | 2,996,050 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,395,000 | 1,645,737 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | 2,520,000 | 3,020,018 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2019 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 610,000 | 733,903 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2019 (New York Department of Health Projects; Insured: Natl-Re/FGIC) | AA-/Aa3 | 6,000,000 | 6,343,320 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A2 | 2,100,000 | 2,543,688 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,585,000 | 1,888,749 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | 2,645,000 | 3,203,836 | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2019 (Metropolitan Transportation Authority Service Contract) | AAA/NR | 60,000,000 | 73,984,200 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2020 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,215,540 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) | NR/Aa3 | 1,000,000 | 1,196,860 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A2 | 2,100,000 | 2,558,766 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,000,000 | 1,199,860 |
44 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | $ | 2,775,000 | $ | 3,381,227 | |||||
New York State Dormitory Authority, 5.00% due 4/1/2021 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 450,000 | 551,232 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A2 | 1,250,000 | 1,529,138 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 750,000 | 904,710 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 300,000 | 370,932 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2023 (Mental Health Services Facilities; Insured: Natl-Re/FGIC) (State Aid Withholding) | AA-/NR | 2,000,000 | 2,163,120 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2031 pre-refunded 8/15/2014 (Presbyterian Hospital; Insured: FSA/FHA) | AA+/Aa1 | 9,840,000 | 10,513,351 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/Baa1 | 5,000,000 | 5,130,850 | |||||||
New York State Environmental Facilities Corp., 4.00% due 11/15/2017 (Water Pollution Control & Drinking Water Projects) | AAA/Aaa | 2,095,000 | 2,245,966 | |||||||
New York State Environmental Facilities Corp., 4.00% due 11/15/2018 (Water Pollution Control & Drinking Water Projects) | AAA/Aaa | 2,170,000 | 2,310,573 | |||||||
New York State Housing Finance Agency, 0.75% due 5/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) | NR/Aa2 | 2,000,000 | 2,004,020 | |||||||
New York State Housing Finance Agency, 0.80% due 11/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) | NR/Aa2 | 1,700,000 | 1,703,315 | |||||||
New York State Housing Finance Agency, 0.875% due 11/1/2015 (2012 Affordable Housing Projects; Insured: SONYMA) | NR/Aa2 | 3,100,000 | 3,105,642 | |||||||
New York State Housing Finance Agency, 0.95% due 5/1/2016 (2012 Affordable Housing Projects; Insured: SONYMA) | NR/Aa2 | 2,700,000 | 2,709,612 | |||||||
New York State Thruway Authority, 4.00% due 3/15/2015 (Highway, Bridge, Multi-Modal and MTA Projects) | AAA/NR | 2,000,000 | 2,144,140 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2017 (State Multi-Year Highway & Bridge Capital Program; Insured: Natl-Re/FGIC) | AA/NR | 2,600,000 | 2,881,632 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2020 (Governor Thomas E. Dewey Thruway) | A+/A1 | 2,000,000 | 2,419,640 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2021 (Governor Thomas E. Dewey Thruway) | A+/A1 | 2,500,000 | 3,044,450 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2022 (Governor Thomas E. Dewey Thruway) | A+/A1 | 3,000,000 | 3,676,470 | |||||||
Patchogue-Medford Union Free School District GO, 4.25% due 10/1/2015 (Insured: MBIA) (State Aid Withholding) | NR/Baa2 | 1,000,000 | 1,080,700 | |||||||
Port Authority 148th GO, 5.00% due 8/15/2017 (Insured: AGM) | AA-/Aa3 | 4,725,000 | 5,574,177 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2020 (Catholic Health Services) | A-/A3 | 5,000,000 | 5,997,350 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2021 (Catholic Health Services) | A-/A3 | 5,000,000 | 6,077,050 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2022 (Catholic Health Services) | A-/A3 | 5,000,000 | 5,910,950 | |||||||
Suffolk County IDA Civic Facilities GO, 5.25% due 3/1/2019 (New York Institute of Technology) | BBB+/Baa2 | 1,400,000 | 1,473,808 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2014 | AA-/NR | 5,000,000 | 5,279,150 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2018 | AA-/NR | 3,725,000 | 4,427,758 | |||||||
United Nations Development Corp., 5.00% due 7/1/2016 | NR/A1 | 3,400,000 | 3,853,628 | |||||||
United Nations Development Corp., 5.00% due 7/1/2017 | NR/A1 | 3,000,000 | 3,486,750 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 | NR/A1 | 4,000,000 | 4,784,360 | |||||||
NORTH CAROLINA — 1.91% | ||||||||||
Catawba County, 4.00% due 10/1/2015 | AA-/Aa2 | 1,620,000 | 1,760,098 | |||||||
Catawba County, 4.00% due 10/1/2016 | AA-/Aa2 | 1,000,000 | 1,114,430 |
Certified Semi-Annual Report 45
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Catawba County, 4.00% due 10/1/2017 | AA-/Aa2 | $ | 1,000,000 | $ | 1,135,330 | |||||
Charlotte Mecklenburg Hospital Authority, 5.00% due 1/15/2016 (Carolinas Health Network) | AA-/Aa3 | 3,420,000 | 3,810,564 | |||||||
Charlotte Mecklenburg Hospital Authority, 5.00% due 1/15/2017 (Carolinas Health Network) | AA-/Aa3 | 2,000,000 | 2,291,520 | |||||||
City of Charlotte COP, 5.50% due 8/1/2016 (Convention Facility Project) | AA+/Aa2 | 2,550,000 | 2,620,354 | |||||||
b County of Dare, 2.00% due 6/1/2013 (Educational Facility Capital Projects) | AA-/Aa3 | 165,000 | 165,351 | |||||||
b County of Dare, 4.00% due 6/1/2016 (Educational Facility Capital Projects) | AA-/Aa3 | 500,000 | 549,885 | |||||||
b County of Dare, 4.00% due 6/1/2017 (Educational Facility Capital Projects) | AA-/Aa3 | 400,000 | 449,028 | |||||||
b County of Dare, 4.00% due 6/1/2018 (Educational Facility Capital Projects) | AA-/Aa3 | 425,000 | 482,809 | |||||||
b County of Dare, 4.00% due 6/1/2019 (Educational Facility Capital Projects) | AA-/Aa3 | 500,000 | 569,710 | |||||||
b County of Dare, 4.00% due 6/1/2020 (Educational Facility Capital Projects) | AA-/Aa3 | 765,000 | 873,171 | |||||||
b County of Dare, 5.00% due 6/1/2021 (Educational Facility Capital Projects) | AA-/Aa3 | 1,225,000 | 1,485,913 | |||||||
b County of Dare, 4.00% due 6/1/2022 (Educational Facility Capital Projects) | AA-/Aa3 | 490,000 | 554,303 | |||||||
b County of Dare, 5.00% due 6/1/2024 (Educational Facility Capital Projects) | AA-/Aa3 | 700,000 | 841,743 | |||||||
County of Mecklenburg GO, 4.00% due 8/1/2015 | AAA/Aaa | 3,135,000 | 3,400,472 | |||||||
County of Wake, 5.00% due 6/1/2015 (Hammond Road Detention Center) | AA+/Aa1 | 1,135,000 | 1,245,027 | |||||||
a North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2016 (Insured: AMBAC) | A-/NR | 1,700,000 | 1,903,303 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC) | NR/Baa1 | 7,500,000 | 9,136,725 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/AMBAC) | AA+/Aa1 | 5,965,000 | 7,316,251 | |||||||
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 (Insured: AGM) | AA-/A3 | 3,050,000 | 3,585,580 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2021 | A-/Baa1 | 5,000,000 | 6,048,850 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2022 | A-/Baa1 | 4,715,000 | 5,702,840 | |||||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 2/1/2017 | AA+/Aa1 | 2,400,000 | 2,495,928 | |||||||
North Carolina Medical Care Commission, 5.00% due 9/1/2013 (Rowan Regional Medical Center; Insured: AGM/FHA 242) (ETM) | AA-/A2 | 1,000,000 | 1,019,830 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric) | A/A2 | 3,100,000 | 3,600,929 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric) | A/A2 | 15,000,000 | 16,996,200 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric) | A/A2 | 4,500,000 | 5,395,905 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric) | A/A2 | 1,550,000 | 1,778,795 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric) | A/A2 | 1,000,000 | 1,211,240 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2022 (Catawba Electric) | A/A2 | 1,000,000 | 1,146,090 | |||||||
North Carolina State Infrastructure Finance Corp. COP, 5.00% due 2/1/2016 | AA+/Aa1 | 5,000,000 | 5,199,850 | |||||||
State of North Carolina, 4.00% due 11/1/2014 (State Capital Projects and Correctional Facilities) | AA+/Aa1 | 2,000,000 | 2,118,160 | |||||||
State of North Carolina, 5.00% due 11/1/2019 (State Capital Projects and Correctional Facilities) | AA+/Aa1 | 23,635,000 | 29,067,977 | |||||||
NORTH DAKOTA — 0.05% | ||||||||||
County of Ward, 5.00% due 7/1/2013 (Trinity Health System) | BBB-/NR | 1,560,000 | 1,576,942 | |||||||
North Dakota Public Finance Authority, 4.00% due 6/1/2017 (City of Fargo Flood Mitigation Projects) | A+/NR | 1,460,000 | 1,637,755 | |||||||
OHIO — 3.47% | ||||||||||
Akron, Bath & Copley Joint Township Hospital District, 5.00% due 11/15/2021 (Children’s Hospital Medical Center) | NR/A1 | 1,000,000 | 1,177,080 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2015 (Catholic Healthcare Partners) | AA-/A1 | 10,000,000 | 11,015,800 | |||||||
Allen County Hospital Facilities, 5.00% due 9/1/2016 (Catholic Healthcare Partners) | AA-/A1 | 10,000,000 | 11,319,200 | |||||||
American Municipal Power, 5.25% due 2/15/2019 (Hydroelectric Projects) | A/A3 | 5,595,000 | 6,582,294 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) | A/A3 | 5,500,000 | 6,441,600 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2020 (AMP Fremont Energy Center) | A/A1 | 1,865,000 | 2,226,773 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2021 (AMP Fremont Energy Center) | A/A1 | 1,300,000 | 1,557,127 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2022 (AMP Fremont Energy Center) | A/A1 | 2,750,000 | 3,313,365 | |||||||
City of Akron, 5.00% due 12/1/2021 (Community Learning Centers) | AA+/NR | 4,120,000 | 5,038,060 | |||||||
City of Akron COP, 5.00% due 12/1/2013 (Canal Park Baseball Stadium; Insured: AGM) | AA-/NR | 3,000,000 | 3,089,040 | |||||||
City of Akron COP, 5.00% due 12/1/2014 (Canal Park Baseball Stadium; Insured: AGM) | AA-/NR | 2,000,000 | 2,139,040 |
46 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
City of Akron GO, 5.00% due 12/1/2018 (Various Municipal Capital Projects; Insured: AMBAC) | AA+/Aa3 | $ | 2,425,000 | $ | 2,699,946 | |||||
City of Akron GO, 5.00% due 12/1/2019 (Various Municipal Capital Projects) | AA-/NR | 1,685,000 | 2,058,110 | |||||||
City of Ashland School District GO, 1.05% due 4/26/2013 (Educational Facilities) | NR/Mig1 | 7,495,000 | 7,500,022 | |||||||
City of Cleveland, 5.00% due 5/15/2014 (Police & Firemen’s Disability and Pension Fund) | AA/NR | 1,000,000 | 1,051,830 | |||||||
City of Cleveland GO, 5.50% due 10/1/2019 (City Capital Projects; Insured: AMBAC) | AA/A1 | 1,260,000 | 1,543,198 | |||||||
City of Columbus GO, 5.00% due 7/1/2014 | AAA/Aaa | 1,000,000 | 1,059,900 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 pre-refunded 10/21/2012 (Insured: AGM) (ETM) | AA-/A2 | 965,000 | 1,217,936 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) | AA-/A2 | 2,035,000 | 2,447,637 | |||||||
Cleveland State University, 5.00% due 6/1/2019 (Campus Capital Projects) | A+/A1 | 1,000,000 | 1,193,160 | |||||||
Cleveland State University, 5.00% due 6/1/2020 (Campus Capital Projects) | A+/A1 | 700,000 | 841,715 | |||||||
Cleveland State University, 5.00% due 6/1/2021 (Campus Capital Projects) | A+/A1 | 1,000,000 | 1,203,940 | |||||||
Cleveland State University, 5.00% due 6/1/2022 (Campus Capital Projects) | A+/A1 | 2,000,000 | 2,400,480 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2019 (Cleveland Museum of Art) | AA+/NR | 2,000,000 | 2,421,180 | |||||||
County of Franklin, 4.00% due 11/15/2033 put 8/1/2016 (OhioHealth Corp. Hospital Facilities) | AA+/Aa2 | 3,435,000 | 3,788,324 | |||||||
County of Montgomery, 6.00% due 11/15/2028 pre-refunded 11/15/2014 (Miami Valley Hospital) | NR/Aa3 | 2,030,000 | 2,219,034 | |||||||
County of Montgomery, 6.25% due 11/15/2039 pre-refunded 11/15/2014 (Miami Valley Hospital) | NR/Aa3 | 2,250,000 | 2,468,677 | |||||||
Cuyahoga County, 6.00% due 1/1/2021 pre-refunded 7/1/2013 (Cleveland Clinic) | NR/NR | 2,550,000 | 2,587,689 | |||||||
Cuyahoga County, 6.00% due 1/1/2021 pre-refunded 7/1/2013 (Cleveland Clinic) | AA-/Aa2 | 2,450,000 | 2,486,211 | |||||||
Deerfield Township, 5.00% due 12/1/2017 | NR/A1 | 1,000,000 | 1,136,250 | |||||||
Franklin County Convention Facilities Authority, 4.50% due 12/1/2021 (Greater Columbus Convention Center; Insured: AMBAC) | AA/Aaa | 1,000,000 | 1,094,010 | |||||||
Garfield Heights City School District GO, 5.375% due 12/15/2016 (School Improvements; Insured: Natl-Re) | NR/A1 | 1,625,000 | 1,849,380 | |||||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: Natl-Re) | NR/Aa2 | 1,000,000 | 1,109,460 | |||||||
Kent State University, 5.00% due 5/1/2020 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,209,490 | |||||||
Miami University, 5.50% due 12/1/2013 (Higher Education Facility Projects; Insured: AMBAC) | A+/Aa3 | 1,150,000 | 1,190,952 | |||||||
Montgomery County, 5.25% due 10/1/2038 put 11/1/2013 (Catholic Health Initiatives) | AA-/Aa3 | 2,500,000 | 2,577,300 | |||||||
Northwestern Water & Sewer District, 5.10% due 12/1/2018 pre-refunded 12/1/2013 (Jerry City, Elmwood Water Line Project) | NR/Aa3 | 315,000 | 325,326 | |||||||
Ohio State Air Quality Development Authority, 5.625% due 6/1/2018 (FirstEnergy Nuclear) | BBB-/Baa2 | 5,000,000 | 5,822,500 | |||||||
Ohio State Air Quality Development Authority, 5.75% due 6/1/2033 put 12/1/2011 (FirstEnergy Nuclear) | BBB-/Baa3 | 5,800,000 | 6,471,350 | |||||||
Ohio State Air Quality Development Authority, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear) | BBB-/Baa3 | 7,200,000 | 7,428,672 | |||||||
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 | 4,941,696 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2015 (Insured: Natl-Re/FGIC) | AA/Aa2 | 4,600,000 | 5,102,504 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2020 | AA/Aa2 | 1,700,000 | 2,070,566 | |||||||
Ohio State Department Administrative Services COP, 5.00% due 9/1/2015 (Insured: Natl-Re) | AA/Aa2 | 1,950,000 | 2,116,042 | |||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 5,500,000 | 6,157,690 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 1/1/2034 put 7/1/2015 (FirstEnergy Nuclear) | BBB-/Baa3 | 24,400,000 | 25,174,944 | |||||||
Penta Career Center COP, 4.00% due 4/1/2017 (School District Facilities Project) | NR/Aa3 | 1,550,000 | 1,713,261 | |||||||
RiverSouth Authority, 5.00% due 12/1/2016 (RiverSouth Area Redevelopment) | AA+/Aa2 | 2,380,000 | 2,652,391 | |||||||
RiverSouth Authority, 5.00% due 12/1/2019 (RiverSouth Area Redevelopment) | AA+/Aa2 | 2,500,000 | 2,982,425 | |||||||
State of Ohio, 4.00% due 12/15/2018 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,154,520 | |||||||
State of Ohio, 4.00% due 12/15/2019 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,163,600 | |||||||
State of Ohio, 5.00% due 10/1/2020 (Cultural and Sports Capital Facilities) | AA/Aa2 | 3,845,000 | 4,607,540 | |||||||
State of Ohio, 5.00% due 12/15/2020 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,240,710 | |||||||
State of Ohio, 5.00% due 12/15/2021 (Major New Street Infrastructure Project) | AA/Aa2 | 1,250,000 | 1,551,525 | |||||||
State of Ohio GO, 4.00% due 10/1/2014 (Revitalization Project) | AA-/Aa3 | 2,075,000 | 2,189,000 |
Certified Semi-Annual Report 47
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
State of Ohio GO, 5.00% due 8/1/2015 (Educational Facilities Projects) | AA+/Aa1 | $ | 5,000,000 | $ | 5,537,600 | |||||
State of Ohio GO, 5.00% due 8/1/2015 (Higher Education Facility Projects) | AA+/Aa1 | 6,010,000 | 6,656,195 | |||||||
State of Ohio GO, 5.50% due 9/15/2019 (Common Schools Capital Facilities) | AA+/Aa1 | 4,150,000 | 5,202,979 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A+/A1 | 3,500,000 | 3,880,625 | |||||||
University of Akron Ohio, 5.00% due 1/1/2018 (Insured: AGM) | AA-/A1 | 3,415,000 | 4,032,466 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2015 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,000,000 | 1,056,550 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2016 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,440,000 | 1,542,946 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2017 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,480,000 | 1,667,753 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2018 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,545,000 | 1,759,940 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2019 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,605,000 | 1,835,125 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2020 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,670,000 | 1,913,286 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2021 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,735,000 | 1,952,048 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2022 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,805,000 | 1,987,666 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2023 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,700,000 | 1,840,811 | |||||||
OKLAHOMA — 1.81% | ||||||||||
Canadian County Educational Facilities Authority, 4.00% due 9/1/2019 (Mustang Public Schools) | A+/NR | 1,410,000 | 1,568,428 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2020 (Mustang Public Schools) | A+/NR | 2,690,000 | 3,074,024 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2021 (Mustang Public Schools) | A+/NR | 2,290,000 | 2,617,813 | |||||||
City of Tulsa GO, 2.50% due 3/1/2014 (City Capital Improvements) | AA/Aa1 | 2,715,000 | 2,771,065 | |||||||
Cleveland County ISD No. 29 GO, 1.50% due 3/1/2017 (Norman School District) | NR/Aa2 | 3,630,000 | 3,736,795 | |||||||
Cleveland County Public Facilities Authority, 4.00% due 6/1/2013 (Norman Public Schools) | A+/NR | 5,215,000 | 5,248,011 | |||||||
Comanche County Hospital Authority, 5.25% due 7/1/2015 (Insured: Radian) | BBB-/NR | 1,340,000 | 1,453,324 | |||||||
Oklahoma County Finance Authority, 3.125% due 9/1/2013 (Western Heights Public Schools) | A+/NR | 2,525,000 | 2,549,189 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2016 (Western Heights Public Schools) | A+/NR | 3,000,000 | 3,346,350 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2017 (Western Heights Public Schools) | A+/NR | 4,075,000 | 4,636,494 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2018 (Western Heights Public Schools) | A+/NR | 2,120,000 | 2,454,494 | |||||||
Oklahoma County ISD No. 1, 3.00% due 1/1/2014 | A+/NR | 2,880,000 | 2,930,890 | |||||||
Oklahoma County ISD No. 1 GO, 1.00% due 1/1/2016 | A+/NR | 4,075,000 | 4,122,881 | |||||||
Oklahoma County ISD No. 89 GO, 5.00% due 7/1/2013 (Insured: Natl-Re) | AA/Aa2 | 1,000,000 | 1,012,440 | |||||||
Oklahoma DFA, 5.00% due 8/15/2017 (Integris Health System) | AA-/Aa3 | 4,375,000 | 5,076,837 | |||||||
Oklahoma DFA, 0.15% due 8/15/2033 put 4/1/2013 (Integris Health System; Insured: AGM; SPA: JPMorgan Chase Bank) (daily demand notes) | AA-/Aa3 | 50,050,000 | 50,050,000 | |||||||
Oklahoma Municipal Power Authority, 5.00% due 1/1/2014 (Insured: AGM) | A/A2 | 4,005,000 | 4,143,693 | |||||||
Oklahoma State Industrial Authority, 5.00% due 7/1/2016 (Medical Research Foundation) | NR/A1 | 1,165,000 | 1,305,627 | |||||||
Oklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation) | NR/A1 | 1,075,000 | 1,245,732 | |||||||
Tulsa County Industrial Authority, 4.50% due 9/1/2020 (Broken Arrow Public Schools) | AA-/NR | 1,585,000 | 1,818,233 | |||||||
Tulsa County Industrial Authority, 4.50% due 9/1/2021 (Broken Arrow Public Schools) | AA-/NR | 8,775,000 | 10,031,141 | |||||||
b Tulsa County ISD No. 3 GO, 2.00% due 4/1/2015 (Broken Arrow School District) | AA/NR | 2,000,000 | 2,065,580 | |||||||
b Tulsa County ISD No. 3 GO, 2.00% due 4/1/2016 (Broken Arrow School District) | AA/NR | 1,725,000 | 1,799,796 | |||||||
Tulsa Parking Authority, 3.00% due 7/1/2017 | AA-/NR | 1,470,000 | 1,570,974 | |||||||
OREGON — 0.18% | ||||||||||
Clackamas County, 5.00% due 7/15/2037 put 7/15/2014 (Legacy Health Systems) | A+/A2 | 6,465,000 | 6,781,720 |
48 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
Oregon Facilities Authority, 5.00% due 3/15/2015 (Legacy Health Systems) | A+/A2 | $ | 1,635,000 | $ | 1,766,536 | |||||
Oregon Facilities Authority, 5.00% due 3/15/2016 (Legacy Health Systems) | A+/A2 | 1,000,000 | 1,112,800 | |||||||
Oregon Facilities Authority, 4.50% due 3/15/2018 (Legacy Health Systems) | A+/A2 | 1,100,000 | 1,252,537 | |||||||
Oregon State Department of Administrative Services COP, 5.00% due 11/1/2014 (Insured: Natl-Re/FGIC) | AA/Aa2 | 1,000,000 | 1,074,670 | |||||||
PENNSYLVANIA — 3.23% | ||||||||||
Adams County IDA, 5.00% due 8/15/2014 (Gettysburg College) | A/A2 | 1,000,000 | 1,057,850 | |||||||
Adams County IDA, 5.00% due 8/15/2016 (Gettysburg College) | A/A2 | 1,250,000 | 1,403,875 | |||||||
Adams County IDA, 5.00% due 8/15/2017 (Gettysburg College) | A/A2 | 1,340,000 | 1,536,203 | |||||||
Adams County IDA, 5.00% due 8/15/2019 (Gettysburg College) | A/A2 | 1,765,000 | 2,081,129 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (University of Pittsburgh Medical Center) | A+/Aa3 | 3,000,000 | 3,486,210 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2017 (University of Pittsburgh Medical Center) | A+/Aa3 | 1,875,000 | 2,192,625 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 5,915,000 | 6,988,691 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 3,310,000 | 3,934,034 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,100,000 | 2,510,214 | |||||||
Allegheny County Redevelopment Authority, 5.10% due 7/1/2014 (Pittsburgh Mills) | NR/NR | 890,000 | 913,140 | |||||||
Altoona Area School District GO, 3.25% due 12/1/2016 (Insured: AGM) (State Aid Withholding) | AA-/NR | 1,475,000 | 1,590,286 | |||||||
Altoona Area School District GO, 3.00% due 12/1/2022 (Insured: AGM) (State Aid Withholding) | AA-/NR | 1,335,000 | 1,385,143 | |||||||
Athens Area School District GO, 2.00% due 4/15/2016 (Insured: AGM) (State Aid Withholding) | NR/A1 | 470,000 | 484,227 | |||||||
Athens Area School District GO, 3.00% due 4/15/2018 (Insured: AGM) (State Aid Withholding) | NR/A1 | 2,600,000 | 2,780,102 | |||||||
Athens Area School District GO, 3.00% due 4/15/2019 (Insured: AGM) (State Aid Withholding) | NR/A1 | 2,680,000 | 2,836,217 | |||||||
Chester County School Authority, 5.00% due 4/1/2016 (Intermediate School; Insured: AMBAC) | A+/NR | 1,915,000 | 2,100,429 | |||||||
City of Philadelphia, 5.00% due 6/15/2013 (Water & Wastewater System; Insured: AGM) | AA-/A1 | 7,020,000 | 7,092,025 | |||||||
City of Philadelphia, 5.00% due 6/15/2017 (Water and Wastewater System; Insured: AGM) | AA-/A1 | 5,570,000 | 6,472,229 | |||||||
City of Philadelphia Gas Works, 5.375% due 7/1/2014 (Insured: AGM) | AA-/A2 | 7,280,000 | 7,678,580 | |||||||
City of Philadelphia Gas Works, 5.00% due 9/1/2014 (Insured: AGM) | AA-/A2 | 3,000,000 | 3,165,960 | |||||||
City of Philadelphia Gas Works, 5.00% due 10/1/2014 (Insured: AMBAC) | BBB+/Baa2 | 1,925,000 | 2,037,228 | |||||||
City of Philadelphia Gas Works, 5.00% due 9/1/2015 (Insured: AGM) | AA-/A2 | 3,315,000 | 3,499,347 | |||||||
City of Philadelphia Gas Works, 5.00% due 7/1/2018 (Insured: AGM) | AA-/A2 | 1,395,000 | 1,587,161 | |||||||
City of Pittsburgh GO, 5.50% due 9/1/2014 (Insured: AMBAC) | BBB/A1 | 905,000 | 932,467 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2016 (Insured: AGM) | AA-/A1 | 3,000,000 | 3,411,450 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2017 (Insured: AGM) | AA-/A1 | 2,210,000 | 2,465,476 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2018 (Insured: AGM) | AA-/A1 | 3,240,000 | 3,591,734 | |||||||
Commonwealth of Pennsylvania State Public School Building Authority, 5.00% due 10/1/2016 (Harrisburg Area Community College Project) | A-/NR | 1,390,000 | 1,548,947 | |||||||
County of Lehigh GO, 4.00% due 11/15/2014 | NR/Aa1 | 3,190,000 | 3,379,582 | |||||||
Cumberland Valley School District GO, 5.00% due 11/15/2018 (Insured: AGM) (State Aid Withholding) | NR/Aa3 | 3,590,000 | 3,988,634 | |||||||
Easttown Municipal Authority, 4.25% due 9/1/2028 pre-refunded 9/1/2013 (Valley Forge Sewer System; Insured: AGM) | NR/Aa2 | 1,120,000 | 1,138,883 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2014 (Beaver County Sewer System Project; Insured: BAM) | AA/NR | 330,000 | 342,992 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2016 (Beaver County Sewer System Project; Insured: BAM) | AA/NR | 505,000 | 539,532 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2018 (Beaver County Sewer System Project; Insured: BAM) | AA/NR | 435,000 | 466,324 |
Certified Semi-Annual Report 49
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
Economy Borough Municipal Authority, 4.00% due 12/15/2020 (Beaver County Sewer System Project; Insured: BAM) | AA/NR | $ | 605,000 | $ | 683,553 | |||||
Economy Borough Municipal Authority, 4.00% due 12/15/2022 (Beaver County Sewer System Project; Insured: BAM) | AA/NR | 1,180,000 | 1,325,718 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2021 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,400,000 | 2,871,240 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2022 (University of Pittsburgh Medical Center) | A+/Aa3 | 1,250,000 | 1,502,200 | |||||||
Montgomery County IDA, 5.00% due 8/1/2016 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,128,370 | |||||||
Montgomery County IDA, 5.00% due 2/1/2017 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,142,440 | |||||||
Montgomery County IDA, 5.00% due 2/1/2020 (Regional Medical Center; Insured: FHA) | AA/Aa2 | 1,000,000 | 1,188,450 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2021 (Water System; Insured: AGM) | NR/A1 | 500,000 | 547,995 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2022 (Water System; Insured: AGM) | NR/A1 | 1,185,000 | 1,290,062 | |||||||
Northampton Borough Municipal Authority, 3.00% due 5/15/2023 (Water System; Insured: AGM) | NR/A1 | 1,255,000 | 1,242,086 | |||||||
Norwin School District GO, 4.00% due 4/1/2018 (Insured: AGM) (State Aid Withholding) | AA-/A1 | 1,835,000 | 2,061,953 | |||||||
Pennsylvania Economic Development Financing Authority, 5.00% due 7/1/2016 (Pennsylvania Dept. of Labor and Industry) | AA+/Aaa | 10,000,000 | 11,449,000 | |||||||
Pennsylvania Economic Development Financing Authority, 3.70% due 11/1/2021 put 5/1/2015 (Waste Management, Inc.) | BBB/NR | 7,750,000 | 8,100,068 | |||||||
Pennsylvania Economic Development Financing Authority, 1.75% due 12/1/2033 put 12/1/2015 (Waste Management, Inc.) | BBB/NR | 2,000,000 | 2,036,020 | |||||||
Pennsylvania Economic Development Financing Authority, 3.00% due 12/1/2037 put 9/1/2015 (PPL Energy Supply) | BBB/NR | 14,000,000 | 14,599,060 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 6/1/2015 pre-refunded 6/1/2014 (Philadelphia University) | BBB/Baa2 | 1,440,000 | 1,515,859 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) | A+/Aa3 | 5,600,000 | 6,753,264 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2020 (University of Pittsburgh Medical Center) | A+/Aa3 | 5,100,000 | 6,163,911 | |||||||
Pennsylvania Higher Educational Facilities Authority, 4.00% due 10/1/2022 (Shippensburg University Student Services, Inc. Student Housing) | BBB-/Baa3 | 1,825,000 | 1,913,330 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 11/1/2023 (Saint Joseph’s University) | A-/NR | 1,075,000 | 1,233,573 | |||||||
Philadelphia Authority for Industrial Development, 5.00% due 8/1/2020 (Mast Charter School) | BBB+/NR | 765,000 | 799,226 | |||||||
Philadelphia Municipal Authority, 5.25% due 11/15/2017 (Lease Appropriation; Insured: AGM) | AA-/A2 | 2,100,000 | 2,164,239 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2016 | A/A1 | 1,500,000 | 1,679,745 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2017 | A/A1 | 1,020,000 | 1,164,432 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2013 (State Aid Withholding) | A+/Aa3 | 2,000,000 | 2,040,520 | |||||||
Philadelphia School District GO, 4.50% due 9/1/2017 (State Aid Withholding) | A+/Aa3 | 2,270,000 | 2,565,372 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/Aa3 | 18,410,000 | 21,696,185 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/Aa3 | 4,210,000 | 4,961,485 | |||||||
Philadelphia School District GO, 5.25% due 9/1/2021 (State Aid Withholding) | A+/Aa3 | 2,265,000 | 2,681,805 | |||||||
Pittsburgh School District GO, 3.00% due 9/1/2013 (Insured: AGM) | AA-/Aa3 | 2,100,000 | 2,124,087 | |||||||
School District of the City of Erie GO, 0% due 5/1/2014 (Insured: Natl-Re) (State Aid Withholding) (ETM) | NR/Baa2 | 1,100,000 | 1,095,897 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2016 (Wayne Memorial Hospital Project; Insured: AGM) | AA-/NR | 500,000 | 510,965 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2017 (Wayne Memorial Hospital Project; Insured: AGM) | AA-/NR | 1,000,000 | 1,017,840 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2018 (Wayne Memorial Hospital Project; Insured: AGM) | AA-/NR | 625,000 | 627,169 | |||||||
Wayne County Hospital and HFA, 3.00% due 7/1/2019 (Wayne Memorial Hospital Project; Insured: AGM) | AA-/NR | 1,185,000 | 1,237,815 |
50 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
West Mifflin Area School District GO, 3.70% due 10/1/2015 (Insured: AGM) (State Aid Withholding) | AA-/A2 | $ | 2,210,000 | $ | 2,377,430 | |||||
York County Solid Waste & Refuse Authority, 5.50% due 12/1/2013 (Insured: Natl-Re/FGIC) | AA/A2 | 6,750,000 | 6,981,458 | |||||||
RHODE ISLAND — 1.48% | ||||||||||
Convention Center Authority, 5.25% due 5/15/2015 (Insured: Natl-Re) | NR/Baa2 | 1,115,000 | 1,153,412 | |||||||
Convention Center Authority, 5.00% due 5/15/2019 (Insured: AGM) | AA-/Aa3 | 10,000,000 | 10,061,600 | |||||||
Convention Center Authority, 5.00% due 5/15/2020 (Insured: AGM) | AA-/Aa3 | 6,830,000 | 6,863,877 | |||||||
b Rhode Island Convention Center Authority, 5.00% due 5/15/2018 (Convention Center and Parking Projects) | AA-/Aa3 | 5,365,000 | 6,315,249 | |||||||
b Rhode Island Convention Center Authority, 5.00% due 5/15/2019 (Convention Center and Parking Projects) | AA-/Aa3 | 7,310,000 | 8,692,248 | |||||||
b Rhode Island Convention Center Authority, 5.00% due 5/15/2020 (Convention Center and Parking Projects) | AA-/Aa3 | 5,890,000 | 7,057,398 | |||||||
Rhode Island Economic Development Corp., 5.00% due 6/15/2014 (RIDOT Transit Improvements; Insured: AGM) | AA-/Aa3 | 2,000,000 | 2,020,240 | |||||||
Rhode Island State Health & Education Building Corp., 5.25% due 7/1/2014 (Memorial Hospital; LOC: Fleet Bank) | NR/NR | 1,565,000 | 1,582,497 | |||||||
Rhode Island State Health & Education Building Corp., 5.25% due 4/1/2015 (Johnson & Wales University; Insured: Syncora) | NR/NR | 1,500,000 | 1,505,925 | |||||||
State of Rhode Island and Providence Plantations, 5.00% due 10/1/2014 (Department of Children, Youth, and Families; Insured: MBIA) | AA-/Aa3 | 1,000,000 | 1,062,500 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 10/1/2019 (Consolidated Capital Development Loan) | AA/Aa2 | 5,000,000 | 6,108,000 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2020 (Consolidated Capital Development Loan) | AA/Aa2 | 8,365,000 | 10,228,220 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2020 (Consolidated Capital Development Loan) | AA/Aa2 | 1,200,000 | 1,397,292 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2021 (Consolidated Capital Development Loan) | AA/Aa2 | 16,535,000 | 20,368,309 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2021 (Consolidated Capital Development Loan) | AA/Aa2 | 1,000,000 | 1,163,400 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2022 (Consolidated Capital Development Loan) | AA/Aa2 | 9,825,000 | 12,126,997 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2022 (Consolidated Capital Development Loan) | AA/Aa2 | 1,000,000 | 1,158,710 | |||||||
SOUTH CAROLINA — 0.61% | ||||||||||
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2016 (Convention Center Complex) | AA-/NR | 1,560,000 | 1,754,298 | |||||||
Georgetown County Environmental Improvement, 5.70% due 4/1/2014 (International Paper Co.) | BBB/Baa3 | 7,975,000 | 8,297,030 | |||||||
Greenville County School District, 5.25% due 12/1/2015 pre-refunded 12/1/2013 (Building Equity Sooner for Tomorrow) | AA/Aa2 | 1,000,000 | 1,034,000 | |||||||
Greenville County School District, 5.50% due 12/1/2016 (Building Equity Sooner for Tomorrow) | AA/Aa2 | 3,500,000 | 4,088,840 | |||||||
Greenwood County, 5.00% due 10/1/2013 (Self Regional Health Care; Insured: AGM) | AA-/A1 | 2,000,000 | 2,045,580 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: AGM) | AA-/A1 | 1,000,000 | 1,108,590 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: AGM) | AA-/A1 | 1,000,000 | 1,140,420 | |||||||
Lexington One School Facilities Corp., 5.00% due 12/1/2015 (Lexington County School District No. 1) | NR/Aa3 | 1,000,000 | 1,113,950 | |||||||
Medical University Hospital Authority, 4.85% due 8/15/2026 pre-refunded 8/15/2014 (Medical Center First Phase Expansion; Insured: Natl-Re/FHA) | NR/Baa2 | 4,100,000 | 4,348,173 | |||||||
Piedmont Municipal Power Agency, 6.75% due 1/1/2019 (Insured: Natl-Re/FGIC) | NR/Baa1 | 3,695,000 | 4,711,975 | |||||||
School District of Beaufort County GO, 5.00% due 3/1/2015 (Educational Capital Improvements; Insured: SCSDE) | AA/Aa1 | 1,000,000 | 1,088,520 |
Certified Semi-Annual Report 51
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
South Carolina Jobs Economic Development Authority, 5.00% due 8/15/2014 (CareAlliance Health Services; Insured: AGM) | AA-/A2 | $ | 4,000,000 | $ | 4,213,000 | |||||
South Carolina Jobs Economic Development Authority, 5.00% due 8/15/2015 (CareAlliance Health Services; Insured: AGM) | AA-/A2 | 3,000,000 | 3,255,630 | |||||||
State of South Carolina GO, 5.00% due 4/1/2015 (Transportation Infrastructure) (State Aid Withholding) | AA+/Aaa | 2,070,000 | 2,262,676 | |||||||
SOUTH DAKOTA — 0.37% | ||||||||||
South Dakota Building Authority, 4.50% due 6/1/2016 (Insured: | AA/NR | 2,000,000 | 2,225,780 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2015 (Regional Health) | NR/A1 | 1,390,000 | 1,540,676 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2015 (Sanford Health) | A+/A1 | 1,310,000 | 1,445,349 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2016 (Regional Health) | NR/A1 | 1,000,000 | 1,134,560 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2017 (Prairie Lakes Health) | A+/NR | 2,215,000 | 2,460,976 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2017 (Regional Health) | NR/A1 | 1,100,000 | 1,279,971 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2018 (Prairie Lakes Health) | A+/NR | 2,290,000 | 2,576,296 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) | NR/A1 | 1,275,000 | 1,500,101 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) | NR/A1 | 1,000,000 | 1,176,550 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2019 (Prairie Lakes Health) | A+/NR | 2,440,000 | 2,778,355 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2020 (Regional Health) | NR/A1 | 1,000,000 | 1,196,350 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Avera Health Issue) | A+/A1 | 1,370,000 | 1,629,711 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2016 (Single Family Mtg) | NR/Aa3 | 1,060,000 | 1,157,679 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2017 (Single Family Mtg) | NR/Aa3 | 1,075,000 | 1,186,811 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2018 (Single Family Mtg) | NR/Aa3 | 1,185,000 | 1,324,747 | |||||||
TENNESSEE — 0.69% | ||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 | NR/Baa2 | 3,200,000 | 3,428,608 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2015 | NR/Baa2 | 3,500,000 | 3,855,390 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2019 | NR/Baa2 | 6,000,000 | 6,810,720 | |||||||
Hallsdale-Powell Utility District, 2.00% due 4/1/2014 | AA/NR | 1,260,000 | 1,281,420 | |||||||
Hallsdale-Powell Utility District, 3.00% due 4/1/2016 | AA/NR | 500,000 | 534,405 | |||||||
Metropolitan Government of Nashville & Davidson County, 6.50% due 12/1/2014 (Water and Sewer Systems) (ETM) | NR/Aaa | 1,545,000 | 1,704,552 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 9/1/2015 | A-/Baa2 | 3,000,000 | 3,245,100 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2017 | BB/Baa3 | 5,000,000 | 5,554,250 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017 | A-/Baa2 | 11,000,000 | 12,485,550 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018 | A-/Baa2 | 5,000,000 | 5,749,050 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020 | A-/Baa2 | 1,190,000 | 1,383,149 | |||||||
TEXAS — 7.34% | ||||||||||
Amarillo Health Facilities Corp., 5.50% due 1/1/2015 (Baptist St. Anthony’s Hospital Corp.; Insured: AGM) | NR/A2 | 1,065,000 | 1,140,359 | |||||||
Amarillo ISD GO, 2.00% due 2/1/2014 (Guaranty: PSF) | AAA/Aaa | 1,180,000 | 1,197,983 | |||||||
Amarillo ISD GO, 3.00% due 2/1/2015 (Guaranty: PSF) | AAA/Aaa | 1,110,000 | 1,164,179 | |||||||
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus) | AA/Aa2 | 1,500,000 | 1,770,885 | |||||||
Bexar Metropolitan Water District, 4.50% due 5/1/2021 (Waterworks System; Insured: Natl-Re) | A/A1 | 1,200,000 | 1,316,256 | |||||||
Brazos River Authority, 4.90% due 10/1/2015 (Center Point Energy; Insured: Natl-Re) | BBB/Baa2 | 4,885,000 | 5,266,030 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2013 (Roman Catholic Diocese of Austin) | NR/Baa2 | 670,000 | 670,214 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2014 (Roman Catholic Diocese of Austin) | NR/Baa2 | 890,000 | 923,322 |
52 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2015 (Roman Catholic Diocese of Austin) | NR/Baa2 | $ | 1,100,000 | $ | 1,173,403 | |||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2018 (Roman Catholic Diocese of Austin) | NR/Baa2 | 1,370,000 | 1,542,319 | |||||||
City of Austin, 5.50% due 11/15/2013 (Electric Utility System; Insured: AMBAC) | AA-/A1 | 1,000,000 | 1,033,610 | |||||||
City of Austin, 5.00% due 5/15/2014 (Water and Wastewater System; Insured: AMBAC) | AA/Aa2 | 2,890,000 | 3,043,170 | |||||||
City of Austin, 5.00% due 5/15/2015 (Water and Wastewater System; Insured: AMBAC) | AA/Aa2 | 1,520,000 | 1,664,978 | |||||||
City of Austin, 5.00% due 5/15/2016 (Water and Wastewater System; Insured: Natl-Re) | AA/Aa2 | 1,500,000 | 1,675,335 | |||||||
City of Austin, 5.00% due 11/15/2022 (Water and Wastewater System) | AA/Aa2 | 2,640,000 | 3,249,602 | |||||||
City of Bryan, 4.00% due 7/1/2014 (Electric System) | A+/A1 | 1,300,000 | 1,358,682 | |||||||
City of Bryan, 5.00% due 7/1/2015 (Electric System) | A+/A1 | 1,150,000 | 1,263,321 | |||||||
City of Bryan, 5.00% due 7/1/2019 (Electric System) | A+/A1 | 8,000,000 | 9,127,600 | |||||||
City of Dallas GO, 5.00% due 2/15/2018 | AA+/Aa1 | 2,875,000 | 3,120,237 | |||||||
City of Denton GO, 3.00% due 2/15/2014 | AA/Aa2 | 3,325,000 | 3,401,442 | |||||||
City of Denton GO, 4.00% due 2/15/2015 | AA/Aa2 | 3,445,000 | 3,667,375 | |||||||
City of Denton GO, 4.00% due 2/15/2016 | AA/Aa2 | 3,535,000 | 3,869,199 | |||||||
City of Denton GO, 5.00% due 2/15/2017 | AA/Aa2 | 3,675,000 | 4,273,510 | |||||||
City of Denton GO, 5.00% due 2/15/2019 | AA/Aa2 | 3,990,000 | 4,834,723 | |||||||
City of Denton GO, 5.00% due 2/15/2020 | AA/Aa2 | 4,195,000 | 5,030,938 | |||||||
City of Houston, 5.00% due 11/15/2013 (Combined Utility System; Insured: AGM) | AA/Aa2 | 3,000,000 | 3,089,910 | |||||||
City of Houston, 5.00% due 9/1/2014 (Convention & Entertainment Facilities Department) | A-/A2 | 2,000,000 | 2,131,560 | |||||||
City of Houston, 5.00% due 9/1/2014 (Convention & Entertainment Facilities Department) | A-/A2 | 1,300,000 | 1,385,514 | |||||||
City of Houston, 5.00% due 7/1/2015 (Airport System) | AA-/Aa3 | 2,600,000 | 2,860,546 | |||||||
City of Houston, 5.00% due 7/1/2017 (Airport System) | AA-/Aa3 | 1,600,000 | 1,862,144 | |||||||
City of Houston, 5.00% due 7/1/2018 (Airport System) | AA-/Aa3 | 1,000,000 | 1,187,450 | |||||||
City of Houston, 0% due 9/1/2020 (Insured: AGM/AMBAC) | AA-/A2 | 3,650,000 | 2,907,444 | |||||||
City of Houston COP, 6.25% due 12/15/2014 (Water Conveyance System; Insured: AMBAC) | NR/NR | 2,850,000 | 3,055,485 | |||||||
City of Laredo, 5.00% due 3/15/2014 (Sports Venue Improvement; Insured: AMBAC) | A+/A1 | 1,835,000 | 1,911,868 | |||||||
City of Laredo, 5.00% due 3/15/2015 (Sports Venue Improvement; Insured: AMBAC) | A+/A1 | 1,930,000 | 2,081,408 | |||||||
City of Laredo GO, 5.00% due 2/15/2018 (Insured: Natl-Re) | AA/Aa2 | 2,000,000 | 2,316,560 | |||||||
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2020 (University of the Incarnate Word Project) | NR/A3 | 3,620,000 | 4,284,415 | |||||||
City of Olmos Park Higher Education Facilities Corp., 5.00% due 12/1/2021 (University of the Incarnate Word Project) | NR/A3 | 1,000,000 | 1,191,360 | |||||||
City of Richardson GO, 5.00% due 2/15/2014 (Insured: Natl-Re) | AAA/Aaa | 3,000,000 | 3,123,840 | |||||||
City of San Antonio, 5.00% due 2/1/2022 (CPS Energy) | AA/Aa1 | 20,000,000 | 24,876,400 | |||||||
City of San Antonio GO, 4.00% due 2/1/2015 (City Public Facility Improvements) | AAA/Aaa | 1,000,000 | 1,065,800 | |||||||
City of San Antonio Public Facilities Corp., 5.00% due 9/15/2022 (Convention Center Refinancing & Expansion) | AA+/Aa2 | 1,450,000 | 1,768,565 | |||||||
City of Weslaco GO, 5.25% due 2/15/2019 (Waterworks and Sewer System; Insured: Natl-Re) | A-/A3 | 2,835,000 | 3,222,885 | |||||||
Collin County GO, 5.00% due 2/15/2016 (Road and Highway Construction) | AAA/Aaa | 1,465,000 | 1,645,444 | |||||||
a Corpus Christi Business & Job Development Corp., 5.00% due 3/1/2021 (Seawall Project) | A+/A2 | 625,000 | 731,256 | |||||||
County of Dallas GO, 5.00% due 8/15/2013 | AAA/Aaa | 1,000,000 | 1,018,400 | |||||||
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018 | A+/A1 | 5,240,000 | 4,662,290 | |||||||
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019 | A+/A1 | 5,200,000 | 6,050,512 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | BBB+/A3 | 1,160,000 | 1,328,525 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | BBB+/A3 | 1,260,000 | 1,443,053 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | BBB+/A3 | 1,935,000 | 2,203,075 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | BBB+/A3 | 2,035,000 | 2,316,929 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2019 (Insured: AMBAC) | BBB+/A3 | 2,175,000 | 2,456,075 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2013 | A+/A2 | 1,175,000 | 1,208,018 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2014 | A+/A2 | 1,300,000 | 1,395,121 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2015 | A+/A2 | 3,370,000 | 3,737,364 | |||||||
Decatur ISD GO, 3.00% due 8/15/2015 (Wise County; Guaranty: PSF) | AAA/NR | 1,710,000 | 1,815,866 |
Certified Semi-Annual Report 53
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Grayson County GO, 1.625% due 1/1/2017 (State Highway Toll System) | AA/Aa2 | $ | 1,200,000 | $ | 1,233,876 | |||||
Grayson County GO, 4.00% due 1/1/2020 (State Highway Toll System) | AA/Aa2 | 2,000,000 | 2,300,740 | |||||||
Grayson County GO, 5.00% due 1/1/2022 (State Highway Toll System) | AA/Aa2 | 3,000,000 | 3,695,310 | |||||||
Guadalupe-Blanco River Authority PCR, 5.625% due 10/1/2017 (AEP Texas Central Co.) | BBB/Baa2 | 5,000,000 | 5,726,550 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2022 (Bayport Area System; Insured: AMBAC) | A/NR | 2,265,000 | 2,418,205 | |||||||
Harris County Cultural Education Facilities Finance Corp., 0.14% due 9/1/2031 put 4/1/2013 (Texas Medical Center; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 10,290,000 | 10,290,214 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2015 (Texas Medical Center Central Heating and Cooling Services Corp. Project) | AA/Aa3 | 1,450,000 | 1,617,185 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2018 (Texas Medical Center Central Heating and Cooling Services Corp. Project) | AA/Aa3 | 1,365,000 | 1,653,698 | |||||||
Harris County Cultural Educational Facilities Finance Corp., 5.00% due 11/15/2019 (Texas Medical Center Central Heating and Cooling Services Corp. Project) | AA/Aa3 | 1,000,000 | 1,230,310 | |||||||
Harris County GO, 4.00% due 10/1/2015 (County Permanent Improvements) | AAA/NR | 2,995,000 | 3,263,052 | |||||||
Harris County GO, 5.00% due 10/1/2015 (County Permanent Improvements) | AAA/NR | 4,000,000 | 4,457,720 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 11/15/2015 pre-refunded 11/15/2013 (Texas Medical Center Central Heating and Cooling Services Corp. Project; Insured: Natl-Re) | AA/Aa3 | 1,500,000 | 1,544,520 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 7/1/2016 (CHRISTUS Health System; Insured: AGM) | AA-/A1 | 5,860,000 | 6,627,660 | |||||||
Harris County Health Facilities Development Corp., 7.00% due 12/1/2027 pre-refunded 12/1/2018 (Memorial Hermann Healthcare System; LOC: JPMorgan Chase Bank) | A+/A1 | 1,245,000 | 1,643,910 | |||||||
Harris County Hospital District, 5.00% due 2/15/2014 (Insured: Natl-Re) | A/A2 | 1,275,000 | 1,320,492 | |||||||
Harris County Hospital District, 5.00% due 2/15/2017 (Insured: Natl-Re) | A/A2 | 1,500,000 | 1,683,360 | |||||||
Houston Higher Education Finance Corp., 5.875% due 5/15/2021 (Cosmos Foundation, Inc.) | BBB/NR | 1,000,000 | 1,141,670 | |||||||
Houston ISD GO, 5.00% due 2/15/2014 (Harris County School Buildings) | AA+/Aaa | 2,000,000 | 2,083,320 | |||||||
Houston ISD GO, 5.00% due 2/15/2015 (Harris County School Buildings) | AA+/Aaa | 2,450,000 | 2,659,230 | |||||||
Houston ISD GO, 3.00% due 7/15/2015 (Harris County School Buildings) | AA+/Aaa | 2,000,000 | 2,118,680 | |||||||
Houston ISD GO, 1.50% due 6/1/2036 put 6/1/2015 (Harris County School Buildings; Guaranty: PSF) | AAA/Aaa | 10,000,000 | 10,180,400 | |||||||
Houston ISD GO, 2.00% due 6/1/2037 put 6/1/2016 (Harris County School Buildings; Guaranty: PSF) | AAA/Aaa | 10,000,000 | 10,351,100 | |||||||
Houston ISD Public Facility Corp., 0% due 9/15/2014 (West Side High School; Insured: AMBAC) | AA/Aa2 | 6,190,000 | 6,125,314 | |||||||
Hutto ISD GO, 0% due 8/1/2017 (Guaranty: PSF) | AAA/NR | 2,170,000 | 2,003,995 | |||||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) | AAA/Aaa | 1,000,000 | 927,650 | |||||||
Kerrville Health Facilities Development Corp., 5.25% due 8/15/2021 (Sid Peterson Memorial Hospital) | BBB-/NR | 4,000,000 | 4,214,520 | |||||||
Lower Colorado River Authority, 5.875% due 5/15/2016 (Insured: BHAC/FSA) | NR/Aa1 | 2,210,000 | 2,220,122 | |||||||
Mission Economic Development Corp., 3.75% due 12/1/2018 put 5/1/2015 (Waste Management, Inc.) | BBB/NR | 8,500,000 | 8,966,650 | |||||||
North East ISD GO, 5.00% due 8/1/2016 (Guaranty: PSF) | AAA/Aaa | 2,000,000 | 2,295,200 | |||||||
North Texas University, 5.00% due 4/15/2014 | NR/Aa2 | 1,250,000 | 1,311,338 | |||||||
North Texas University, 5.00% due 4/15/2016 | NR/Aa2 | 2,250,000 | 2,543,445 | |||||||
Northside ISD GO, 1.75% due 6/1/2037 put 6/1/2013 (Educational Facilities Improvements; Guaranty: PSF) | AAA/NR | 19,195,000 | 19,245,291 | |||||||
Nueces River Authority, 5.00% due 7/15/2015 (City of Corpus Christi Lake Texana Project; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,100,080 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2017 | BBB+/NR | 1,000,000 | 1,148,730 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2019 | BBB+/NR | 2,565,000 | 3,009,668 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2020 | BBB+/NR | 1,620,000 | 1,917,837 | |||||||
San Juan Higher Education Finance Authority, 5.125% due 8/15/2020 (IDEA Public Schools) | BBB/NR | 2,000,000 | 2,206,960 | |||||||
State of Texas, 2.50% due 8/30/2013 (General Revenue Fund Cash Management) | SP-1+/Mig1 | 118,000,000 | 119,159,940 | |||||||
Tarrant County Cultural Educational Facilities Finance Corp., 5.00% due 8/15/2016 (Scott & White Memorial Hospital) | A/A1 | 2,280,000 | 2,594,891 |
54 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Tarrant County Cultural Educational Facilities Finance Corp., 5.00% due 8/15/2017 (Scott & White Memorial Hospital) | A/A1 | $ | 2,000,000 | $ | 2,339,120 | |||||
Tarrant County Cultural Educational Facilities Finance Corp., 0.15% due 10/1/2041 put 4/1/2013 (Methodist Hospitals of Dallas; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 3,790,000 | 3,790,000 | |||||||
Texas Municipal Power Agency, 0% due 9/1/2013 (Insured: Natl-Re) | A+/A2 | 1,000,000 | 998,550 | |||||||
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: AGM) | AA-/A2 | 10,000,000 | 11,769,900 | |||||||
Texas Public Finance Authority, 5.00% due 1/1/2014 (Unemployment Compensation) | AAA/Aaa | 5,000,000 | 5,181,750 | |||||||
Texas Public Finance Authority, 5.00% due 7/1/2014 (Unemployment Compensation) | AAA/Aaa | 5,000,000 | 5,298,850 | |||||||
Texas Public Finance Authority, 5.00% due 10/15/2014 (Stephen F. Austin University; Insured: Natl-Re) | NR/A1 | 1,305,000 | 1,395,397 | |||||||
Texas Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University; Insured: Natl-Re) | NR/A1 | 1,450,000 | 1,605,542 | |||||||
Texas Public Finance Authority, 5.00% due 7/1/2017 (Unemployment Compensation) | AAA/Aaa | 15,500,000 | 17,344,655 | |||||||
Tyler Junior College District GO, 4.00% due 2/15/2015 (Higher Education Building Projects) | AA+/NR | 1,300,000 | 1,386,021 | |||||||
Uptown Development Authority, 5.00% due 9/1/2015 (Infrastructure Improvements) | BBB/NR | 1,370,000 | 1,490,601 | |||||||
Uptown Development Authority, 5.00% due 9/1/2017 (Infrastructure Improvements) | BBB/NR | 1,580,000 | 1,781,892 | |||||||
Uptown Development Authority, 5.00% due 9/1/2018 (Infrastructure Improvements) | BBB/NR | 1,870,000 | 2,134,287 | |||||||
Uptown Development Authority, 5.00% due 9/1/2019 (Infrastructure Improvements) | BBB/NR | 1,945,000 | 2,238,150 | |||||||
Waco Health Facilities Development Corp., 4.00% due 9/1/2013 (Hillcrest Health System; Insured: Natl-Re) (ETM) | NR/NR | 1,000,000 | 1,015,150 | |||||||
West Harris County Regional Water Authority, 5.00% due 12/15/2020 (Insured: Natl-Re) | A+/A1 | 2,140,000 | 2,427,060 | |||||||
Ysleta ISD GO, 2.00% due 8/15/2014 (Guaranty: PSF) | AAA/Aaa | 3,115,000 | 3,188,888 | |||||||
U.S. VIRGIN ISLANDS — 0.19% | ||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Matching Fund Loan Diageo Project) | NR/Baa3 | 7,690,000 | 8,991,994 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2015 | BBB-/Baa2 | 1,000,000 | 1,062,450 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2016 | BBB-/Baa2 | 1,225,000 | 1,330,313 | |||||||
Virgin Islands Water & Power Authority, 4.75% due 7/1/2017 | BBB-/Baa2 | 1,300,000 | 1,422,317 | |||||||
UTAH — 0.71% | ||||||||||
Intermountain Power Agency, 5.00% due 7/1/2013 | A+/A1 | 5,250,000 | 5,315,730 | |||||||
Intermountain Power Agency, 5.25% due 7/1/2014 (Insured: Natl-Re) | A+/Baa2 | 2,300,000 | 2,444,831 | |||||||
Intermountain Power Agency, 5.25% due 7/1/2017 pre-refunded 7/1/2013 | A+/A1 | 4,300,000 | 4,355,814 | |||||||
Murray City, 0.14% due 5/15/2037 put 4/1/2013 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 35,035,000 | 35,035,000 | |||||||
VERMONT — 0.34% | ||||||||||
Vermont Colleges GO, 4.00% due 7/1/2017 | A+/NR | 5,375,000 | 5,999,091 | |||||||
Vermont Economic Development Authority, 5.00% due 12/15/2020 (Vermont Public Service Corp.) | NR/A3 | 14,250,000 | 16,767,548 | |||||||
VIRGINIA — 0.41% | ||||||||||
Arlington County IDA, 5.00% due 8/1/2013 (County Capital Projects) | AA+/Aa1 | 1,325,000 | 1,346,558 | |||||||
City of Portsmouth GO, 5.00% due 7/1/2017 (Insured: AGM) | AA/Aa2 | 2,000,000 | 2,116,260 | |||||||
Fairfax County EDA, 5.00% due 8/1/2016 (Wiehle Avenue Metrorail Station Parking Project) | AA+/Aa2 | 2,600,000 | 2,927,366 | |||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 5,000,000 | 5,453,400 | |||||||
Fairfax County IDA, 4.00% due 5/15/2022 (Inova Health Systems Project) | AA+/Aa2 | 5,500,000 | 6,308,885 | |||||||
Fairfax County IDA, 5.00% due 5/15/2022 (Inova Health Systems Project) | AA+/Aa2 | 5,000,000 | 6,151,300 | |||||||
Upper Occoquan Sewage Authority, 5.00% due 7/1/2013 (Sewerage System; Insured: AGM) | AAA/Aa1 | 1,000,000 | 1,012,360 |
Certified Semi-Annual Report 55
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Virginia Commonwealth University Health System Authority, 0.15% due 7/1/2030 put 4/1/2013 (Medical College of Virgina Critical Care Hospital; Insured: AMBAC; LOC: Wells Fargo & Company) (daily demand notes) | AA-/Aa3 | $ | 500,000 | $ | 500,000 | |||||
Virginia Public Building Authority, 5.00% due 8/1/2014 (Public Facilities Projects) | AA+/Aa1 | 1,300,000 | 1,320,709 | |||||||
WASHINGTON — 1.91% | ||||||||||
Bremerton School District No. 100C GO, 0% due 12/1/2015 (Insured: AGM) | NR/Aa1 | 1,270,000 | 1,241,514 | |||||||
Energy Northwest, 5.00% due 7/1/2013 (Bonneville Power Administration Project 1) | AA-/Aa1 | 3,835,000 | 3,882,822 | |||||||
Energy Northwest, 5.00% due 7/1/2014 (Wind Project; Insured: AMBAC) | A/A2 | 2,575,000 | 2,712,273 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 3) | AA-/Aa1 | 5,470,000 | 6,436,166 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 1) | AA-/Aa1 | 5,000,000 | 5,883,150 | |||||||
King County Federal Way School District No. 210 GO, 4.125% due 12/1/2019 (Insured: Natl- Re/FGIC) | AA+/Aa1 | 2,000,000 | 2,248,960 | |||||||
Port of Seattle, 5.50% due 9/1/2018 (Insured: Natl-Re/FGIC) | A/A1 | 5,000,000 | 5,987,200 | |||||||
Seattle Municipal Light & Power, 5.00% due 2/1/2016 | AA-/Aa2 | 1,000,000 | 1,125,020 | |||||||
Seattle Municipal Light & Power, 5.00% due 2/1/2017 | AA-/Aa2 | 2,000,000 | 2,323,000 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2017 (Skagit Regional Health) | NR/A1 | 1,000,000 | 1,124,200 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2018 (Skagit Regional Health) | NR/A1 | 1,270,000 | 1,442,822 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2019 (Skagit Regional Health) | NR/A1 | 1,695,000 | 2,047,340 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2020 (Skagit Regional Health) | NR/A1 | 1,570,000 | 1,907,016 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2021 (Skagit Regional Health) | NR/A1 | 3,135,000 | 3,818,618 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2022 (Skagit Regional Health) | NR/A1 | 3,635,000 | 4,420,269 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2018 (Island Hospital) | NR/A1 | 1,000,000 | 1,139,010 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2019 (Island Hospital) | NR/A1 | 1,000,000 | 1,145,010 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2020 (Island Hospital) | NR/A1 | 1,000,000 | 1,142,230 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2021 (Island Hospital) | NR/A1 | 1,000,000 | 1,137,870 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2022 (Island Hospital) | NR/A1 | 1,700,000 | 2,063,987 | |||||||
Snohomish County Public Utilities District, 5.00% due 12/1/2015 pre-refunded 6/1/2014 (Insured: AGM) | AA-/Aa3 | 5,015,000 | 5,292,630 | |||||||
State of Washington COP, 5.00% due 7/1/2016 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,415,000 | 2,754,380 | |||||||
State of Washington COP, 5.00% due 7/1/2017 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,555,000 | 2,995,738 | |||||||
State of Washington COP, 5.00% due 7/1/2018 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,670,000 | 3,188,487 | |||||||
State of Washington COP, 5.00% due 7/1/2019 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 1,000,000 | 1,207,310 | |||||||
State of Washington COP, 5.00% due 7/1/2020 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,290,000 | 3,997,021 | |||||||
State of Washington COP, 5.00% due 7/1/2021 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,125,000 | 3,818,000 | |||||||
State of Washington COP, 5.00% due 7/1/2022 (State & Local Agency Real & Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,000,000 | 3,678,900 | |||||||
State of Washington GO, 5.00% due 7/1/2015 (Public Highway, Bridge, Ferry Capital and Operating Costs) | AA+/Aa1 | 5,355,000 | 5,904,369 | |||||||
State of Washington GO, 0% due 1/1/2018 (Stadium and Exhibition Center; Insured: Natl- Re/FGIC) | AA+/Aa1 | 4,000,000 | 3,775,080 | |||||||
State of Washington GO, 0% due 1/1/2019 (Stadium and Exhibition Center; Insured: Natl- Re/FGIC) | AA+/Aa1 | 3,000,000 | 2,743,230 | |||||||
State of Washington GO, 0% due 12/1/2019 (Public Highway, Bridge, Ferry Capital and Operating Costs; Insured: Natl-Re) | AA+/Aa1 | 3,030,000 | 2,708,396 | |||||||
State of Washington Public Power Supply Systems, 0% due 7/1/2013 (Nuclear Project No. 3; Insured: Natl-Re/IBC) | AA-/Aa1 | 1,760,000 | 1,758,909 |
56 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
State of Washington Public Power Supply Systems, 0% due 7/1/2015 (Nuclear Project No. 3; Insured: Natl-Re/IBC) | AA-/Aa1 | $ | 3,000,000 | $ | 2,959,350 | |||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2013 (Overlake Hospital Medical Center; Insured: AGM) | AA-/A2 | 1,000,000 | 1,011,650 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2013 (Multicare Health Systems) | AA-/A1 | 1,250,000 | 1,271,750 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2014 (Multicare Health Systems) | AA-/A1 | 1,500,000 | 1,583,985 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2015 (Multicare Health Systems) | AA-/A1 | 2,000,000 | 2,180,680 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2016 (Multicare Health Systems) | AA-/A1 | 2,075,000 | 2,324,643 | |||||||
Washington Health Care Facilities Authority, 5.375% due 12/1/2016 (Group Health Cooperative of Puget Sound; Insured: AMBAC) | BB+/NR | 2,000,000 | 2,005,040 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2017 (Overlake Hospital Medical Center) | A-/A2 | 1,245,000 | 1,402,393 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2017 (Multicare Health Systems) | AA-/A1 | 1,000,000 | 1,147,790 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/1/2018 (Highline Medical Center; Insured: FHA 242) | AA-/NR | 7,935,000 | 9,314,262 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2018 (Multicare Health Systems) | AA-/A1 | 2,000,000 | 2,335,140 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2019 (Overlake Hospital Medical Center) | A-/A2 | 1,050,000 | 1,207,395 | |||||||
Washington Health Care Facilities Authority, 4.75% due 7/1/2020 (Overlake Hospital Medical Center) | A-/A2 | 1,000,000 | 1,137,090 | |||||||
WEST VIRGINIA — 0.26% | ||||||||||
City of Clarksburg, 5.25% due 9/1/2019 (Insured: Natl-Re/FGIC) | NR/NR | 1,425,000 | 1,444,922 | |||||||
Kanawha, Mercer, Nicholas Counties Single Family Mtg, 0% due 2/1/2015 pre-refunded 2/1/2014 | NR/Aaa | 2,260,000 | 2,025,638 | |||||||
Mason County PCR, 2.00% due 10/1/2022 put 10/1/2014 (Appalachian Power Co.) | NR/Baa2 | 1,500,000 | 1,524,660 | |||||||
Monongalia County Building Commission, 5.25% due 7/1/2020 (Monongalia General Hospital) | A-/NR | 3,880,000 | 4,101,315 | |||||||
West Virginia EDA PCR, 4.85% due 5/1/2019 put 9/4/2013 (Appalachian Power Company) | BBB/Baa2 | 1,000,000 | 1,015,710 | |||||||
West Virginia EDA PCR, 4.85% due 5/1/2019 put 9/4/2013 (Appalachian Power Company) | BBB/Baa2 | 1,000,000 | 1,015,710 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2020 (Higher Education Facilities) | A+/Aa3 | 1,000,000 | 1,211,130 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2021 (Higher Education Facilities) | A+/Aa3 | 1,000,000 | 1,219,990 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2022 (Higher Education Facilities) | A+/Aa3 | 1,500,000 | 1,833,015 | |||||||
West Virginia University, 0% due 4/1/2013 (Insured: AMBAC) | A+/Aa3 | 2,000,000 | 1,999,940 | |||||||
WISCONSIN — 0.99% | ||||||||||
City of La Crosse GO, 2.00% due 12/1/2013 | AA/NR | 1,400,000 | 1,416,450 | |||||||
City of New Lisbon, 4.50% due 6/1/2016 pre-refunded 6/1/2013 (Electric System Improvements) | NR/NR | 100,000 | 100,732 | |||||||
City of New Lisbon, 4.65% due 6/1/2018 pre-refunded 6/1/13 (Electric System Improvements) | NR/NR | 110,000 | 110,834 | |||||||
City of New Lisbon, 4.70% due 6/1/2019 pre-refunded 6/1/13 (Electric System Improvements) | NR/NR | 115,000 | 115,882 | |||||||
City of New Lisbon, 4.80% due 6/1/2020 pre-refunded 6/1/13 (Electric System Improvements) | NR/NR | 120,000 | 120,941 | |||||||
Fox Valley Technical College District GO, 2.00% due 12/1/2014 (Higher Education Facility Projects) | NR/Aaa | 4,520,000 | 4,648,368 | |||||||
Fox Valley Technical College District GO, 3.00% due 12/1/2015 (Higher Education Facility Projects) | NR/Aaa | 4,515,000 | 4,817,415 | |||||||
State of Wisconsin, 5.00% due 7/1/2015 (Petroleum Environmental Cleanup Fund Award Program) | AA/Aa2 | 4,000,000 | 4,397,000 | |||||||
State of Wisconsin GO, 5.00% due 5/1/2016 (General Governmental Purposes; Insured: Natl-Re) | AA/Aa2 | 1,665,000 | 1,750,914 | |||||||
Village of Union Grove GO, 5.05% due 12/1/2019 pre-refunded 12/1/2013 (Tax Incremental District No. 3 Community Development) | NR/NR | 130,000 | 134,263 | |||||||
Western Technical College District, 1.50% due 3/5/2014 (District’s Master Facilities Plan) | SP-1+/NR | 10,000,000 | 10,024,100 |
Certified Semi-Annual Report 57
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2014 (Aurora Health Care, Inc.) | NR/A3 | $ | 4,265,000 | $ | 4,511,943 | |||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2015 (Aurora Health Care, Inc.) | NR/A3 | 4,100,000 | 4,481,874 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2016 (Aurora Health Care, Inc.) | NR/A3 | 3,695,000 | 4,145,605 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 4/15/2017 (Aurora Health Care, Inc.) | NR/A3 | 1,295,000 | 1,473,205 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2017 (Agnesian Health Care, Inc.) | A-/A3 | 1,000,000 | 1,144,060 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2017 (Aurora Health Care, Inc.) | NR/A3 | 5,025,000 | 5,754,831 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2018 (Agnesian Health Care, Inc.) | A-/A3 | 1,855,000 | 2,160,611 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2019 (Agnesian Health Care, Inc.) | A-/A3 | 1,000,000 | 1,177,550 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2020 (Agnesian Health Care, Inc.) | A-/A3 | 2,110,000 | 2,498,050 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2020 (ProHealth Care, Inc.) | A+/A1 | 1,075,000 | 1,295,902 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2021 (ProHealth Care, Inc.) | A+/A1 | 2,575,000 | 3,114,797 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2022 (ProHealth Care, Inc.) | A+/A1 | 1,600,000 | 1,899,776 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.125% due 8/15/2027 put 8/15/2016 (Aurora Health Care, Inc.) | NR/A3 | 4,500,000 | 4,995,540 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.69% (Cost $6,149,152,563) | $ | 6,438,245,068 | ||||||||
OTHER ASSETS LESS LIABILITIES — 3.31% | 220,164,645 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 6,658,409,713 | ||||||||
|
|
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. |
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. | |
BAM | Build America Mutual Insurance Co. | |
BHAC | Insured by Berkshire Hathaway Assurance Corp. | |
CIFG | Insured by 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 |
58 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Portfolio Abbreviations (continued)
GO | General Obligation | |
HFA | Health Facilities Authority | |
HFFA | Health Facilities Financing Authority | |
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 Bond Loan Fund | |
Radian | Insured by Radian Asset Assurance | |
SCSDE | Insured by South Carolina Department of Education | |
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 59
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $6,149,152,563) (Note 2) | $ | 6,438,245,068 | ||
Cash | 143,852,009 | |||
Receivable for investments sold | 29,983,151 | |||
Receivable for fund shares sold | 29,285,283 | |||
Interest receivable | 71,249,024 | |||
Prepaid expenses and other assets | 183,100 | |||
|
| |||
Total Assets | 6,712,797,635 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 36,215,728 | |||
Payable for fund shares redeemed | 13,804,149 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,818,277 | |||
Accounts payable and accrued expenses | 378,551 | |||
Dividends payable | 1,171,217 | |||
|
| |||
Total Liabilities | 54,387,922 | |||
|
| |||
NET ASSETS | $ | 6,658,409,713 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (1,177,027 | ) | |
Net unrealized appreciation on investments | 289,092,505 | |||
Accumulated net realized gain (loss) | (1,944,155 | ) | ||
Net capital paid in on shares of beneficial interest | 6,372,438,390 | |||
|
| |||
$ | 6,658,409,713 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($2,286,072,480 applicable to 155,753,053 shares of beneficial interest outstanding - Note 4) | $ | 14.68 | ||
Maximum sales charge, 1.50% of offering price | 0.22 | |||
|
| |||
Maximum offering price per share | $ | 14.90 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 854,882,243 applicable to 58,137,472 shares of beneficial interest outstanding - Note 4) | $ | 14.70 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($3,517,454,990 applicable to 239,614,457 shares of beneficial interest outstanding - Note 4) | $ | 14.68 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
60 Certified Semi-Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg Limited Term Municipal Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME: | ||||
Interest income (net of premium amortized of $36,630,876) | $ | 79,691,933 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 8,466,106 | |||
Administration fees (Note 3) | ||||
Class A Shares | 1,385,441 | |||
Class C Shares | 509,606 | |||
Class I Shares | 818,620 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 2,770,882 | |||
Class C Shares | 2,056,182 | |||
Transfer agent fees | ||||
Class A Shares | 326,425 | |||
Class C Shares | 159,168 | |||
Class I Shares | 343,948 | |||
Registration and filing fees | ||||
Class A Shares | 46,332 | |||
Class C Shares | 17,239 | |||
Class I Shares | 79,635 | |||
Custodian fees (Note 3) | 332,733 | |||
Professional fees | 63,171 | |||
Accounting fees | 92,155 | |||
Trustee fees | 106,200 | |||
Other expenses | 251,821 | |||
|
| |||
Total Expenses | 17,825,664 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (56,897 | ) | ||
|
| |||
Net Expenses | 17,768,767 | |||
|
| |||
Net Investment Income | 61,923,166 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 1,148,289 | |||
Net change in unrealized appreciation (depreciation) on investments | (10,150,785 | ) | ||
Net Realized and Unrealized Loss | (9,002,496 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 52,920,670 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 61
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term Municipal Fund | ||||||||
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 61,923,166 | $ | 116,928,261 | ||||
Net realized gain (loss) on investments | 1,148,289 | (253,680 | ) | |||||
Net unrealized appreciation (depreciation) on investments | (10,150,785 | ) | 109,312,126 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 52,920,670 | 225,986,707 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (20,228,540 | ) | (40,670,113 | ) | ||||
Class C Shares | (6,364,589 | ) | (11,881,023 | ) | ||||
Class I Shares | (35,330,037 | ) | (64,377,125 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 157,553,823 | 441,112,029 | ||||||
Class C Shares | 79,037,874 | 237,635,398 | ||||||
Class I Shares | 437,382,202 | 801,326,547 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 664,971,403 | 1,589,132,420 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 5,993,438,310 | 4,404,305,890 | ||||||
|
|
|
| |||||
End of Period | $ | 6,658,409,713 | $ | 5,993,438,310 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
62 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use
Certified Semi-Annual Report 63
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 6,438,245,068 | $ | — | $ | 6,438,245,068 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,438,245,068 | $ | — | $ | 6,438,245,068 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
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.
64 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $20,622 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $51,114 from redemptions of Class C shares of the Fund.
Certified Semi-Annual Report 65
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $56,897.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 28,017,774 | $ | 411,757,270 | 54,107,919 | $ | 787,098,134 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,194,819 | 17,560,299 | 2,233,518 | 32,542,776 | ||||||||||||
Shares repurchased | (18,493,539 | ) | (271,763,746 | ) | (25,997,455 | ) | (378,528,881 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,719,054 | $ | 157,553,823 | 30,343,982 | $ | 441,112,029 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 9,890,625 | $ | 145,663,179 | 21,938,370 | $ | 320,066,110 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 350,161 | 5,155,750 | 617,961 | 9,021,510 | ||||||||||||
Shares repurchased | (4,876,503 | ) | (71,781,055 | ) | (6,273,080 | ) | (91,452,222 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,364,283 | $ | 79,037,874 | 16,283,251 | $ | 237,635,398 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 58,039,639 | $ | 853,160,014 | 86,658,506 | $ | 1,262,228,836 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,142,268 | 31,487,666 | 3,667,418 | 53,444,458 | ||||||||||||
Shares repurchased | (30,438,341 | ) | (447,265,478 | ) | (35,332,908 | ) | (514,346,747 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 29,743,566 | $ | 437,382,202 | 54,993,016 | $ | 801,326,547 | ||||||||||
|
|
|
|
|
|
|
|
66 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,379,114,237 and $347,185,494, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 6,149,152,563 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 293,778,137 | ||
Gross unrealized depreciation on a tax basis | (4,685,632 | ) | ||
|
| |||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 289,092,505 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $409,196. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative 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 | $ | 2,478,154 | ||
2016 | 192,444 | |||
|
| |||
$ | 2,670,598 | |||
|
|
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 67
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 ( Loss) | Net Realized & Unrealized Gain(Loss) on Investments | Total from | Dividends from Net Investment Income | Dividends | 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 (%)(a) | Portfolio (%) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 14.70 | 0.13 | (0.02 | ) | 0.11 | (0.13 | ) | — | (0.13 | ) | $14.68 | 1.83 | (d) | 0.70 | (d) | 0.70 | (d) | 0.70 | (d) | 0.78 | 6.20 | $ | 2,286.073 | ||||||||||||||||||||||||
2012(c) | $ | 14.39 | 0.31 | 0.31 | 0.62 | (0.31 | ) | — | (0.31 | ) | $14.70 | 2.13 | 0.72 | 0.72 | 0.72 | 4.36 | 12.72 | $ | 2,131,540 | |||||||||||||||||||||||||||||
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 | $ | 1,649,965 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 14.72 | 0.11 | (0.02 | ) | 0.09 | (0.11 | ) | — | (0.11 | ) | $14.70 | (1.56 | )(d) | 0.97 | (d) | 0.97 | (d) | 0.97 | (d) | 0.64 | 6.20 | $ | 854,886 | ||||||||||||||||||||||||
2012 | $ | 14.41 | 0.27 | 0.31 | 0.58 | (0.27 | ) | — | (0.27 | ) | $14.72 | 1.85 | 0.99 | 0.99 | 0.99 | 4.08 | 12.72 | $ | 777,026 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 14.70 | 0.16 | (0.02 | ) | 0.14 | (0.16 | ) | — | (0.16 | ) | $14.68 | 2.16 | (d) | 0.37 | (d) | 0.37 | (d) | 0.37 | (d) | 0.94 | 6.20 | $ | 3,517,455 | ||||||||||||||||||||||||
2012 | $ | 14.39 | 0.36 | 0.31 | 0.67 | (0.36 | ) | — | (0.36 | ) | $14.70 | 2.46 | 0.39 | 0.39 | 0.39 | 4.71 | 12.72 | $ | 3,084,872 | |||||||||||||||||||||||||||||
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 |
(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, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
68 Certified Semi-Annual Report | Certified Semi-Annual Report 69 |
EXPENSE EXAMPLE | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses paid During period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.80 | $ | 3.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.43 | $ | 3.54 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.40 | $ | 4.83 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.11 | $ | 4.87 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.40 | $ | 1.85 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,023.09 | $ | 1.86 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.70%; C: 0.97%; I: 0.37%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
70 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg Limited Term Municipal Fund | March 31, 2013 (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 71
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
72 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 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 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. 73
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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. 75
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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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TH1072 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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 |
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.
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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
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.
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.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
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 pursue 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 0.93%, 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, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 7/22/91) | ||||||||||||||||||||
Without sales charge | 4.88 | % | 5.76 | % | 5.45 | % | 4.23 | % | 5.29 | % | ||||||||||
With sales charge | 2.81 | % | 5.05 | % | 5.01 | % | 4.02 | % | 5.19 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||||
2.13 | % | 1.11 | % |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 458 | |||
Effective Duration | 5.0 Yrs | |||
Average Maturity | 7.1 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 Intermediate Municipal Fund –
March 31, 2013
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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, 2013
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares was unchanged at the six-month period ended March 31, 2013. If you were with us for the entire period, you received dividends of 17.4 cents per share. If you reinvested your dividends, you received 17.5 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 1.22% at NAV over the six months ended March 31, 2013, compared to the 0.89% for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index.
Our relative overweight to revenue sectors and middle-tier investment grade credits and underweight to the general-obligation sector explained much of our outperformance for the period, as did our higher exposure to local government credits in once out-of-favor states such as California, Michigan and Illinois. The Fund also benefitted from our concerted migration away from higher-duration positions into more price-stable bonds maturing inside of five years.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield remains comfortably above average within both its Lipper and Morningstar competitive group.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were this time in 2011, several metrics are apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Not isolated to the municipal market space, fixed income as a broad asset class has been overvalued for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity – the banking crisis of 2008 and the Meredith Whitney event of 2010, for example – we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure, and locking in attractive rates we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the one
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
we’re in, when yields reach a trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
Over the last six months we’ve reduced the portfolio duration of the Thornburg Intermediate Municipal Fund from 5.62 years to 5.03 years. Measured against the Fund’s historical duration average, the duration as of March 31, 2013 is positioned at the low end of its normal range. Subject to market conditions, we are prepared to reduce the Fund’s duration further into bearish territory.
Investors who have been with us through the years are rarely surprised to see us adopt a contrarian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We believe there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013, we’ve seen 30 consecutive months in employment growth. It’s important to put that into proper perspective however; as of December 2012, total non-farm payrolls are still below where they were at the beginning of the Great Recession in 2007 (Chart I).
Declining growth in non-farm payrolls paired with a falling labor participation rate tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor
Chart I: Non-farm Employment in Selected Recessions
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
on short-term rates. Now is a good time to remind investors that income drives sustainable returns, not artificial constraints on interest rates, not momentum buying, nor chasing after prior years’ performance.
While private sector employment has fueled job growth over the last three years, state and local governments have been steadily eliminating jobs (Chart II). As reflected in recent Bureau of Labor Statistics data, cuts in state and local government employment have been far more severe than in any other recession during the last 40 years, evidenced by a 3% cumulative decline. While government employment cuts of this nature have their place, and are lauded among champions of fiscal conservatism, high unemployment stemming from the private and public sector remains an economic headwind.
Total state tax collections grew for the eleventh quarter through September 2012, providing some measure of support to
Chart II: State and Local Government Employment in Selected Recessions
Chart III: State Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
Certified Semi-Annual Report 9
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
credit fundamentals in the municipal market (Chart III). However, inflation-adjusted tax receipts are still more than 3% below pre-recession levels. The annual growth rate in tax collections at the state level, while still positive, has declined the last several quarters to an average of 1.5 percent for the four quarters leading up to September 30, 2012. This is down significantly from the annual growth rate through September 30, 2011 of 6.6 percent.
Chart IV: State Sales Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
At the local government level, tax collections have been slow to recover in recent years due primarily to lags in assessed property values. As we’ve seen in recent years, property taxes based on assessed values often lead to less pronounced but protracted periods of revenue decline following sharp declines in real estate prices. Fortunately, the rate of decline in assessed valuations has lessened nationwide, and in several regions growth is trending positive. From what we can glean from a recent uptrend in housing market values, we could reasonably anticipate this will provide some support to revenue growth in the years ahead.
While many of the fiscal trends impacting state and local governments have been positive and steady, the road to recovery has still been very slow. By no means are municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy day funds. Many have exhausted one-time revenue sources, and recent cuts to essential and non-essential government functions may limit flexibility to control expenses going forward.
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg Intermediate Municipal Fund, we believe a holding period of at least three to four years will make it easier to navigate through any potentially rough waters that may lie ahead.
10 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Your Thornburg Intermediate Municipal Fund is a laddered portfolio of 305 diversified municipal obligors. 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 should dampen the Fund’s price volatility. Laddering also 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 V: Percent of Portfolio Maturing
As of 3/31/13. Percentages vary over time.
Data may not add up to 100% due to rounding.
We 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 new opportunities and challenges present themselves.
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, 2013 (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 — 1.25% | ||||||||||
Alabama Drinking Water Finance Authority, 5.25% due 8/15/2015 (Insured: AMBAC) | NR/NR | $ | 1,200,000 | $ | 1,309,284 | |||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 | NR/Aa1 | 2,000,000 | 2,266,980 | |||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A/A2 | 2,000,000 | 2,052,620 | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2027 (Health Care Facilities Capital Improvements) | A/NR | 1,250,000 | 1,391,313 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 4.00% due 9/1/2014 | AAA/Aa1 | 1,310,000 | 1,376,993 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 5.00% due 9/1/2017 | AAA/Aa1 | 2,185,000 | 2,577,972 | |||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2025 | A+/A1 | 2,000,000 | 2,234,000 | |||||||
ALASKA — 0.53% | ||||||||||
Alaska Municipal Bond Bank, 5.00% due 10/1/2017 (Insured: Natl-Re/FGIC) | AA/Aa2 | 2,470,000 | 2,672,762 | |||||||
City of Valdez Alaska, 5.00% due 1/1/2014 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 500,000 | 516,850 | |||||||
City of Valdez Alaska, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 2,000,000 | 2,430,740 | |||||||
ARIZONA — 2.69% | ||||||||||
Arizona Board of Regents for the Benefit of the University of Arizona, 5.00% due 8/1/2024 (Stimulus Plan for Economic and Educational Development) | AA-/Aa3 | 1,635,000 | 1,931,671 | |||||||
Arizona Board of Regents for the Benefit of the University of Arizona COP, 5.00% due 6/1/2013 (Institute for Biomedical Science & Biotechnology and Medical Research Building Projects; Insured: AMBAC) | AA-/Aa3 | 500,000 | 503,895 | |||||||
Arizona HFA, 5.00% due 7/1/2017 (Catholic Health Care West) | A/A3 | 1,450,000 | 1,660,815 | |||||||
Arizona State University Energy Management LLC, 5.00% due 7/1/2017 (Tempe Campus Project) | AA-/A1 | 465,000 | 535,308 | |||||||
City of Flagstaff GO, 2.00% due 7/1/2014 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 160,000 | 163,128 | |||||||
City of Flagstaff GO, 1.75% due 7/1/2015 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 165,000 | 169,137 | |||||||
City of Flagstaff GO, 1.75% due 7/1/2016 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 200,000 | 205,772 | |||||||
City of Flagstaff GO, 3.00% due 7/1/2020 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 700,000 | 755,419 | |||||||
City of Flagstaff GO, 4.00% due 7/1/2022 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 420,000 | 479,224 | |||||||
City of Flagstaff GO, 4.00% due 7/1/2023 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 200,000 | 226,798 | |||||||
City of Tucson GO, 9.75% due 7/1/2013 (ETM) | AA-/NR | 500,000 | 512,225 | |||||||
Mohave County IDA, 7.25% due 5/1/2015 (Mohave Prison LLC) | BBB+/NR | 4,630,000 | 5,137,494 | |||||||
Phoenix Civic Improvement Corp., 5.00% due 7/1/2017 (Insured: Natl-Re) | AA/Aa3 | 1,000,000 | 1,162,930 | |||||||
Pima County IDA, 5.00% due 12/1/2030 (Providence Day School Project) | BBB+/NR | 2,000,000 | 2,073,360 | |||||||
Salt Verde Financial Corporation, 5.25% due 12/1/2022 (Salt River Project Agricultural Improvement and Power District) | A-/Baa2 | 2,000,000 | 2,322,000 | |||||||
Salt Verde Financial Corporation, 5.25% due 12/1/2028 (Salt River Project Agricultural Improvement and Power District) | A-/Baa2 | 735,000 | 855,467 | |||||||
State of Arizona, 5.00% due 7/1/2019 (Insured: AGM) | AA-/A1 | 7,280,000 | 8,736,291 | |||||||
University Medical Center Corp. GO, 5.00% due 7/1/2015 (UMCC Health Care Facilities) | BBB+/Baa1 | 1,000,000 | 1,084,630 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
CALIFORNIA — 8.45% | ||||||||||
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2026 (Insured: AGM) | AA-/NR | $ | 2,000,000 | $ | 2,197,980 | |||||
California Educational Facilities Authority, 5.50% due 4/1/2029 (Pitzer College) | NR/A3 | 3,000,000 | 3,411,960 | |||||||
California HFFA, 5.00% due 11/15/2022 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,000,000 | 1,157,840 | |||||||
California HFFA, 5.00% due 11/15/2023 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,000,000 | 1,139,600 | |||||||
California HFFA, 5.25% due 3/1/2027 (Catholic Health Care) | A/A3 | 5,250,000 | 6,004,687 | |||||||
California Infrastructure & Economic Development Bank, 5.75% due 8/15/2029 (King City Joint Union High School District) | A/NR | 1,500,000 | 1,661,205 | |||||||
California PCR Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) | BBB/Baa3 | 2,000,000 | 2,247,760 | |||||||
California State Housing Finance Agency, 4.55% due 2/1/2015 (Home Mtg; Insured: FGIC) | BBB/Baa2 | 2,640,000 | 2,730,024 | |||||||
California State Public Works Board, 5.00% due 6/1/2017 (Regents of University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 2,000,000 | 2,342,940 | |||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) | A-/A2 | 2,500,000 | 2,791,700 | |||||||
California Statewide Community Development Authority, 6.25% due 8/15/2028 (Enloe Medical Center; Insured: California Mtg Insurance) | A/NR | 1,050,000 | 1,258,688 | |||||||
California Statewide Community Development Authority, 6.00% due 7/1/2030 (Aspire Public Schools) | NR/NR | 7,045,000 | 7,450,792 | |||||||
Carson Redevelopment Agency, 6.25% due 10/1/2022 (Redevelopment Project Area No. 1) | A-/NR | 1,620,000 | 1,867,309 | |||||||
Carson Redevelopment Agency, 6.375% due 10/1/2024 (Redevelopment Project Area No. 1) | A-/NR | 1,300,000 | 1,536,080 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 4,000,000 | 4,091,800 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2018 (Insured: AGM) | AA-/A1 | 1,245,000 | 1,430,804 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2021 (Insured: AGM) | AA-/A1 | 1,000,000 | 1,148,970 | |||||||
El Camino Hospital District, 6.25% due 8/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 680,000 | 765,510 | |||||||
Franklin-McKinley School District GO, 5.25% due 8/1/2027 (Insured: Natl-Re/FGIC) | NR/A1 | 1,000,000 | 1,203,500 | |||||||
Fresno USD GO, 6.00% due 8/1/2026 (Educational Facilities and Improvements; Insured: Natl-Re) | A+/Baa2 | 1,165,000 | 1,445,544 | |||||||
Golden West Schools Financing Authority, 0% due 8/1/2018 pre-refunded 8/1/2013 (Insured: Natl-Re) | NR/Baa2 | 2,140,000 | 1,568,192 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 5,000,000 | 5,155,250 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2023 (City Police Building and Jail) | A/NR | 1,120,000 | 1,277,170 | |||||||
Los Angeles Regional Airport Improvement Corp., 5.00% due 1/1/2017 (LAX Fuel Corp.; Insured: AGM) (AMT) | AA-/A2 | 1,120,000 | 1,199,710 | |||||||
M-S-R Energy Authority, 6.125% due 11/1/2029 | A-/NR | 2,500,000 | 3,137,525 | |||||||
Mojave USD COP, 0% due 9/1/2021 (Insured: AGM) | AA-/NR | 1,095,000 | 793,568 | |||||||
Mojave USD COP, 0% due 9/1/2023 (Insured: AGM) | AA-/NR | 1,100,000 | 689,821 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2023 (Redevelopment Area A-2; Insured: AMBAC) | A-/NR | 2,060,000 | 1,330,863 | |||||||
San Jose Redevelopment Agency, 5.25% due 8/1/2027 (Merged Area Redevelopment Project) | A/Ba1 | 2,400,000 | 2,619,408 | |||||||
San Jose Redevelopment Agency, 5.375% due 8/1/2028 (Merged Area Redevelopment Project) | A/Ba1 | 1,175,000 | 1,290,949 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities Improvements; Insured: Natl-Re/FGIC) | AA/Aa1 | 3,000,000 | 2,690,310 | |||||||
Saratoga Union School District GO, 0% due 9/1/2023 (Insured: Natl-Re) | AA+/Aa2 | 900,000 | 647,073 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | A+/A2 | 1,000,000 | 1,026,330 | |||||||
State of California, 2.50% due 6/20/2013 (General Fund Cash Management) | SP-1+/Mig1 | 5,400,000 | 5,428,620 | |||||||
State of California GO, 5.25% due 9/1/2026 (Kindergarten University Facilities) | A/A1 | 5,000,000 | 5,893,050 | |||||||
Tuolumne Wind Project Authority, 5.875% due 1/1/2029 (Tuolumne Co.) | A+/A2 | 3,000,000 | 3,575,220 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2021 | A+/A2 | 1,750,000 | 2,060,905 | |||||||
Westminster Redevelopment Agency, 5.00% due 8/1/2024 (Commercial Redevelopment Project No. 1; Insured: AGM) | AA-/A3 | 1,205,000 | 1,305,569 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
COLORADO — 3.11% | ||||||||||
Adams County, 5.00% due 8/1/2014 (Platte Valley Medical Center; Insured: Natl-Re/FHA 242) | NR/NR | $ | 965,000 | $ | 1,016,579 | |||||
ADCOM Public Facilities Leasing Trust COP, 5.75% due 12/1/2016 (Adams County Communications Center, Inc.-Emergency Telephone System Project) | NR/A1 | 885,000 | 887,124 | |||||||
Colorado Water Resources & Power Development Authority, 3.00% due 9/1/2014 (Water System Facilities Improvements) | AAA/Aaa | 1,745,000 | 1,813,631 | |||||||
Denver City & County COP, 0.15% due 12/1/2031 put 4/1/2013 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 5,565,000 | 5,565,000 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2023 (Insured: Syncora) | BBB-/Baa3 | 2,430,000 | 2,606,637 | |||||||
El Paso County School District GO, 7.10% due 12/1/2013 (State Aid Withholding) | AA-/Aa2 | 500,000 | 523,040 | |||||||
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 pre-refunded 11/1/2017 (Three Towers Rehabilitation; Insured: AGM) | NR/Aaa | 1,220,000 | 1,454,106 | |||||||
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: AGM) | NR/A2 | 1,335,000 | 1,477,030 | |||||||
Jefferson County School District No. R-1 GO, 5.00% due 12/15/2026 (Educational Facility Improvements) (State Aid Withholding) | AA-/Aa2 | 8,000,000 | 10,097,920 | |||||||
Northwest Parkway Public Highway Authority, 5.20% due 6/15/2014 (Insured: AGM) (ETM) | AA-/A2 | 1,005,000 | 1,063,632 | |||||||
Park Creek Metropolitan District, 5.25% due 12/1/2020 (Insured: AGM) | AA-/NR | 1,120,000 | 1,332,789 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2022 (FasTracks Transportation System Projects) | A-/Aa3 | 3,000,000 | 3,574,650 | |||||||
Southlands Metropolitan District GO, 7.00% due 12/1/2024 pre-refunded 12/1/2014 | AA+/NR | 1,370,000 | 1,522,179 | |||||||
CONNECTICUT — 0.50% | ||||||||||
Connecticut Health & Educational Facilities Authority, 6.50% due 7/1/2013 (Hospital of Saint Raphael; Insured: AMBAC) (ETM) | NR/NR | 1,755,000 | 1,783,449 | |||||||
Connecticut Health & Educational Facilities Authority, 5.75% due 7/1/2029 (Ethel Walker School) | BBB-/NR | 1,350,000 | 1,461,699 | |||||||
State of Connecticut GO Floating Rate Note, 0.64% due 9/15/2017 (Public Improvements) | AA/Aa3 | 2,000,000 | 2,006,800 | |||||||
DELAWARE — 0.17% | ||||||||||
Delaware HFA, 5.50% due 6/1/2024 (Beebe Medical Center) | BBB-/Baa3 | 1,785,000 | 1,819,218 | |||||||
DISTRICT OF COLUMBIA — 1.62% | ||||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 1,000,000 | 1,150,050 | |||||||
District of Columbia COP, 5.25% due 1/1/2014 (Insured: Natl-Re/FGIC) | A+/Aa3 | 2,000,000 | 2,071,480 | |||||||
District of Columbia COP, 5.00% due 1/1/2020 (Insured: Natl-Re/FGIC) | A+/Aa3 | 3,900,000 | 4,268,511 | |||||||
District of Columbia GO, 6.00% due 6/1/2015 (Insured: Natl-Re) | AA-/Aa2 | 3,000,000 | 3,343,950 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2023 (Dulles Toll Road; Insured: AGM) | AA-/A3 | 4,890,000 | 3,232,877 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2024 (Dulles Toll Road; Insured: AGM) | AA-/A3 | 5,000,000 | 3,122,550 | |||||||
FLORIDA — 8.77% | ||||||||||
City of Gainesville, 0.15% due 10/1/2026 put 4/1/2013 (Utilities Systems; SPA: SunTrust Bank) (daily demand notes) | AA/Aa2 | 4,940,000 | 4,940,000 | |||||||
City of Lakeland, 5.00% due 10/1/2018 (Energy System; Insured: AGM) | AA/A1 | 2,000,000 | 2,376,680 | |||||||
City of Lakeland, 5.25% due 10/1/2036 (Energy System) | AA/A1 | 2,770,000 | 3,415,355 | |||||||
City of Miami GO, 5.375% due 9/1/2015 (Insured: Natl-Re) | BBB/A2 | 1,000,000 | 1,002,980 | |||||||
Correctional Privatization Commission COP, 5.00% due 8/1/2017 (Insured: AMBAC) | AA+/Aa2 | 1,000,000 | 1,059,760 | |||||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility Loan; Insured: AMBAC) | NR/NR | 2,130,000 | 2,224,423 | |||||||
Flagler County School Board COP, 5.00% due 8/1/2020 (Insured: AGM) | AA-/A2 | 2,560,000 | 2,814,771 | |||||||
Florida Board of Education GO, 9.125% due 6/1/2014 (Capital Outlay) | AAA/Aa1 | 165,000 | 167,450 | |||||||
Florida Department of Management Services, 5.00% due 9/1/2018 (Financing or Acquisition of State-Owned Office Buildings; Insured: AMBAC) | AA+/Aa2 | 500,000 | 558,935 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Florida Department of Management Services COP, 3.50% due 8/1/2016 (Correctional Facilities Construction and Improvements; Insured: AGM) | AA+/Aa2 | $ | 500,000 | $ | 545,395 | |||||
Florida Municipal Loan Council, 5.00% due 10/1/2020 (Insured: Natl-Re) | A-/Baa2 | 1,000,000 | 1,118,730 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: Natl-Re) | A-/Baa2 | 2,235,000 | 2,449,046 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) | AA+/NR | 2,090,000 | 2,283,492 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) | AA+/NR | 2,255,000 | 2,463,768 | |||||||
Florida State Department of Environmental Protection, 5.00% due 7/1/2017 (Florida Forever; Insured: Natl-Re/FGIC) | AA-/A1 | 1,000,000 | 1,022,330 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | AA-/Aa3 | 1,100,000 | 1,220,923 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health Hospital) | AA-/Aa3 | 875,000 | 971,189 | |||||||
Hillsborough County, 5.00% due 3/1/2017 (Water & Wastewater System Capital Improvements; Insured: Natl-Re/FGIC) | A+/A1 | 5,630,000 | 6,129,437 | |||||||
Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Insured: Syncora) | NR/A3 | 3,000,000 | 3,249,330 | |||||||
Lake County School Board Master Lease Program COP, 5.00% due 6/1/2026 (School District Facility Projects) | A/NR | 1,210,000 | 1,367,748 | |||||||
Manatee County, 2.00% due 10/1/2013 (Various County Capital Projects) | NR/Aa2 | 460,000 | 464,112 | |||||||
Manatee County, 5.00% due 10/1/2015 (Various County Capital Projects) | NR/Aa2 | 500,000 | 555,750 | |||||||
Manatee County, 5.00% due 10/1/2016 (Transportation Capital Improvements; Insured: AMBAC) | AA-/Aa2 | 1,000,000 | 1,070,680 | |||||||
Marion County Hospital District, 5.00% due 10/1/2022 (Munroe Regional Health) | NR/A3 | 1,000,000 | 1,109,330 | |||||||
Miami-Dade County GO, 5.00% due 10/1/2023 (Seaport Properties) | AA-/Aa2 | 1,040,000 | 1,225,245 | |||||||
Miami-Dade County GO, 6.25% due 7/1/2026 (Building Better Communities) | AA-/Aa2 | 2,130,000 | 2,599,985 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) | A/A1 | 3,035,000 | 3,606,369 | |||||||
Miami-Dade County School Board COP, 5.25% due 5/1/2022 (Insured: AGM) | AA-/A1 | 2,600,000 | 3,059,160 | |||||||
Orange County HFA, 6.25% due 10/1/2013 (Orlando Regional Hospital; Insured: Natl-Re) | A/A2 | 440,000 | 452,839 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Regional Hospital; Insured: Natl-Re) | A/A2 | 2,545,000 | 2,792,018 | |||||||
Orange County HFA, 5.125% due 10/1/2026 (Orlando Health, Inc.) | A/A2 | 2,000,000 | 2,270,060 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 | NR/Aa3 | 1,500,000 | 1,700,400 | |||||||
Polk County, 5.00% due 10/1/2026 (Utility System) | A+/Aa3 | 3,440,000 | 4,046,885 | |||||||
Sarasota County Public Hospital Board, 3.079% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | NR/A1 | 2,000,000 | 2,023,300 | |||||||
School Board of Broward County COP, 4.00% due 7/1/2014 pre-refunded 7/1/13 (Educational Facilities and Equipment; Insured: Natl-Re) | A/Aa3 | 1,000,000 | 1,009,490 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2020 (Educational Facilities and Equipment; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,110,230 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2026 (Educational Facilities and Equipment) | A/Aa3 | 3,000,000 | 3,458,160 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2027 (Educational Facilities and Equipment) | A/Aa3 | 2,000,000 | 2,282,960 | |||||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) | AA/Aa2 | 1,500,000 | 1,720,800 | |||||||
St. Johns County IDA, 5.85% due 8/1/2024 (Presbyterian Retirement) | NR/NR | 4,885,000 | 5,102,236 | |||||||
State of Florida Board of Governors, 4.00% due 7/1/2023 (University System Capital Improvement) | AA/Aa2 | 4,565,000 | 5,032,410 | |||||||
State of Florida GO, 5.00% due 7/1/2025 (Department of Transportation Right of Way and Bridge Construction) | AAA/Aa1 | 2,620,000 | 2,676,330 | |||||||
Tampa Health Systems, 5.50% due 11/15/2013 (Catholic Health East Group; Insured: Natl-Re) | NR/Aa2 | 1,050,000 | 1,083,306 | |||||||
University of Central Florida COP Convocation Corp., 5.00% due 10/1/2019 (Insured: Natl-Re/FGIC) | NR/NR | 1,135,000 | 1,182,193 | |||||||
GEORGIA — 2.02% | ||||||||||
City of Atlanta Water & Wastewater, 5.50% due 11/1/2022 (Insured: Natl-Re/FGIC) | A/A1 | 530,000 | 649,282 | |||||||
City of Atlanta Water & Wastewater, 5.50% due 11/1/2024 (Insured: AGM) | AA-/A1 | 5,000,000 | 5,783,850 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2023 (Athens Regional Medical Center) | AA/Aa1 | $ | 2,060,000 | $ | 2,507,988 | |||||
Clarke County Hospital Authority, 5.00% due 1/1/2024 (Athens Regional Medical Center) | AA/Aa1 | 2,310,000 | 2,765,647 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2025 (Athens Regional Medical Center) | AA/Aa1 | 525,000 | 619,500 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2026 (Athens Regional Medical Center) | AA/Aa1 | 725,000 | 848,098 | |||||||
Clayton County & Clayton County Water Authority, 2.00% due 5/1/2014 (Water & Sewerage System) | AA+/NR | 585,000 | 596,431 | |||||||
Fulton County Development Authority, 5.00% due 10/1/2019 (Georgia Tech Athletic Association) | NR/A2 | 3,000,000 | 3,580,590 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) | NR/A1 | 2,345,000 | 2,612,846 | |||||||
Valdosta & Lowndes County Hospital Authority, 5.00% due 10/1/2024 (South Medical Center) | AA-/Aa2 | 1,200,000 | 1,415,052 | |||||||
GUAM — 0.73% | ||||||||||
Guam Power Authority, 5.00% due 10/1/2023 (Electric Power System; Insured: AGM) | AA-/A2 | 2,000,000 | 2,408,600 | |||||||
Guam Power Authority, 5.00% due 10/1/2024 (Electric Power System; Insured: AGM) | AA-/A2 | 2,000,000 | 2,372,780 | |||||||
Guam Power Authority, 5.00% due 10/1/2025 (Electric Power System; Insured: AGM) | AA-/A2 | 2,500,000 | 2,933,550 | |||||||
HAWAII — 1.27% | ||||||||||
City & County of Honolulu GO, 5.00% due 7/1/2016 (Insured: Natl-Re) | NR/Aa1 | 1,000,000 | 1,098,540 | |||||||
Hawaii Department of Budget & Finance, 6.40% due 7/1/2013 (Kapiolani Health Care; Insured: Natl-Re) | NR/A3 | 455,000 | 457,016 | |||||||
State of Hawaii GO, 5.00% due 12/1/2027 | AA/Aa2 | 10,000,000 | 11,922,200 | |||||||
ILLINOIS — 7.22% | ||||||||||
Chicago Housing Authority, 5.00% due 7/1/2018 pre-refunded 7/01/2016 (Low Income Public Housing Program; Insured: AGM) | AA-/A2 | 5,295,000 | 6,054,832 | |||||||
Chicago Transit Authority, 5.00% due 12/1/2018 (Bombardier Transit Rail System) | AA/Aa3 | 1,500,000 | 1,785,720 | |||||||
City of Chicago, 6.25% due 11/15/2013 (Near South Redevelopment; Insured: ACA) | NR/NR | 875,000 | 875,604 | |||||||
City of Chicago, 5.00% due 1/1/2014 (Wastewater Transmission Project) | A+/Aa3 | 1,485,000 | 1,537,005 | |||||||
City of Chicago, 5.30% due 1/1/2014 (Lincoln Belmont; Insured: ACA) | NR/NR | 855,000 | 856,342 | |||||||
City of Chicago, 0% due 11/15/2014 (Near South Redevelopment; Insured: ACA) | NR/NR | 1,440,000 | 1,329,653 | |||||||
City of Chicago, 5.00% due 1/1/2019 (Midway Airport; Insured: AMBAC) (AMT) | A-/A3 | 1,210,000 | 1,295,898 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Municipal Facilities Projects; Insured: AMBAC) | A+/Aa3 | 1,000,000 | 1,114,600 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2025 (Various Municipal Capital Improvements; Insured: AGM) | AA-/A2 | 1,900,000 | 2,018,066 | |||||||
City of Waukegan GO, 4.00% due 12/30/2015 (Insured: AGM) | NR/A2 | 500,000 | 535,290 | |||||||
City of Waukegan GO, 5.00% due 12/30/2016 (Insured: AGM) | NR/A2 | 1,500,000 | 1,684,560 | |||||||
City of Waukegan GO, 5.00% due 12/30/2017 (Insured: AGM) | NR/A2 | 1,680,000 | 1,917,334 | |||||||
City of Waukegan GO, 5.00% due 12/30/2018 (Insured: AGM) | NR/A2 | 2,000,000 | 2,316,360 | |||||||
Community College District No. 525 GO, 6.25% due 6/1/2024 (Joliet Junior College) | AA/NR | 500,000 | 602,020 | |||||||
Community Consolidated School District No. 93, DuPage County GO, 2.00% due 1/1/2015 (Carol Stream Educational Facilities) (State Aid Withholding) | AA+/NR | 465,000 | 476,039 | |||||||
Community Consolidated School District No. 93, DuPage County GO, 2.00% due 1/1/2016 (Carol Stream Educational Facilities) (State Aid Withholding) | AA+/NR | 485,000 | 501,655 | |||||||
Community Unit School District No. 3, Champaign and Piatt Counties GO, 5.80% due 11/1/2013 pre-refunded 11/1/2013 (Mahomet-Seymour Educational Facilities; Insured: AGM) (ETM) | NR/A1 | 955,000 | 986,878 | |||||||
Cook County GO, 5.25% due 11/15/2024 | AA/Aa3 | 3,000,000 | 3,516,570 | |||||||
Cook County School District GO, 0% due 12/1/2022 (ETM) | NR/NR | 2,000,000 | 1,613,800 | |||||||
Illinois Educational Facilities Authority, 5.00% due 11/1/2016 (Rush University Medical Center) | A/A2 | 1,000,000 | 1,115,600 | |||||||
Illinois Educational Facilities Authority, 5.75% due 11/1/2028 (Rush University Medical Center) | A/A2 | 1,000,000 | 1,124,680 | |||||||
Illinois Finance Authority, 5.25% due 9/1/2015 (Water & Wastewater Facilities) | AAA/Aaa | 420,000 | 457,477 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2016 (Central DuPage Health) | AA/NR | 2,000,000 | 2,283,500 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Central DuPage Health) | AA/NR | 2,000,000 | 2,347,320 |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: Syncora) | A/NR | $ | 1,000,000 | $ | 1,066,740 | |||||
Illinois Finance Authority, 6.125% due 11/1/2023 (Advocate Health) | AA/Aa2 | 5,175,000 | 6,295,232 | |||||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Centers, Inc.; Collateralized GNMA) | NR/Aa1 | 630,000 | 631,814 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) (ETM) | NR/Aa2 | 45,000 | 43,670 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) | NR/Aa2 | 955,000 | 896,468 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2022 (McCormick Place Expansion Project) | AAA/NR | 1,000,000 | 1,238,230 | |||||||
Niles Park District GO, 2.00% due 12/1/2014 (Parks and Recreation Projects) | NR/Aa2 | 315,000 | 321,621 | |||||||
Niles Park District GO, 2.00% due 12/1/2015 (Parks and Recreation Projects) | NR/Aa2 | 325,000 | 334,932 | |||||||
Niles Park District GO, 2.00% due 12/1/2016 (Parks and Recreation Projects) | NR/Aa2 | 330,000 | 342,688 | |||||||
Niles Park District GO, 3.00% due 12/1/2017 (Parks and Recreation Projects) | NR/Aa2 | 340,000 | 369,308 | |||||||
Niles Park District GO, 3.00% due 12/1/2018 (Parks and Recreation Projects) | NR/Aa2 | 350,000 | 378,952 | |||||||
Niles Park District GO, 3.00% due 12/1/2019 (Parks and Recreation Projects) | NR/Aa2 | 360,000 | 389,527 | |||||||
Niles Park District GO, 3.00% due 12/1/2020 (Parks and Recreation Projects) | NR/Aa2 | 370,000 | 399,759 | |||||||
Railsplitter Tobacco Settlement Authority, 5.50% due 6/1/2023 | A-/NR | 13,000,000 | 15,629,380 | |||||||
Southern Illinois University, 0% due 4/1/2014 (Insured: Natl-Re) | NR/A2 | 1,425,000 | 1,398,438 | |||||||
Southern Illinois University, 5.00% due 4/1/2014 (Housing & Auxiliary Facilities System; Insured: Natl-Re) | A+/A2 | 1,350,000 | 1,409,521 | |||||||
Southern Illinois University, 5.25% due 4/1/2019 (Housing & Auxiliary Facilities System; Insured: Natl-Re) | A+/A2 | 1,000,000 | 1,187,370 | |||||||
State of Illinois, 5.00% due 6/15/2018 (Build Illinois) | AAA/NR | 2,000,000 | 2,384,860 | |||||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: Natl-Re/FGIC) | NR/A1 | 1,205,000 | 1,903,792 | |||||||
University of Illinois, 0% due 4/1/2014 (Insured: Natl-Re) | NR/Aa2 | 1,590,000 | 1,580,031 | |||||||
INDIANA — 5.60% | ||||||||||
Allen County Jail Building Corp., 5.00% due 4/1/2018 (Insured: Syncora) | NR/Aa2 | 2,495,000 | 2,792,878 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2018 | NR/A2 | 1,560,000 | 1,683,443 | |||||||
Board of Trustees for the Vincennes University, 5.375% due 6/1/2022 | NR/Aa3 | 895,000 | 1,078,931 | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2016 (Performing Arts Center) | AA+/Aa1 | 1,730,000 | 1,691,283 | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2021 (Performing Arts Center) | AA+/Aa1 | 2,000,000 | 1,644,680 | |||||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) | NR/NR | 2,730,000 | 2,908,050 | |||||||
Clay Multi-School Building Corp., 4.00% due 7/15/2013 (State Aid Withholding) | AA+/NR | 1,290,000 | 1,301,726 | |||||||
Clay Multi-School Building Corp., 5.00% due 1/15/2018 (State Aid Withholding) | AA+/NR | 1,735,000 | 2,019,228 | |||||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 (Harrison Square; Insured: AGM) | NR/Aa2 | 2,290,000 | 2,608,310 | |||||||
Franklin Township Multi-School Building Corp., 5.00% due 7/10/2017 (Franklin Central High School) (State Aid Withholding) | AA+/NR | 630,000 | 732,860 | |||||||
Hobart Building Corp., 6.50% due 7/15/2019 (Insured: Natl-Re) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,301,520 | |||||||
Indiana Bond Bank, 5.25% due 2/1/2015 (Safe Drinking Water & Wastewater Programs) | AAA/NR | 500,000 | 544,160 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2020 (Natural Gas Utility Improvements) | NR/A2 | 5,340,000 | 6,228,469 | |||||||
Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional Health Financing Program; Insured: AMBAC) | AA/NR | 2,000,000 | 2,505,060 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2019 (University Health) | A+/A1 | 5,000,000 | 5,930,850 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2021 (Sisters of St. Francis Health Services, Inc.) | NR/Aa3 | 605,000 | 692,870 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2022 (Marian University) | BBB-/NR | 2,480,000 | 2,674,829 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2023 (Marian University) | BBB-/NR | 2,605,000 | 2,790,424 | |||||||
Indiana Finance Authority, 0.15% due 2/1/2037 put 4/1/2013 (Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 8,000,000 | 8,000,000 | |||||||
Indiana Finance Authority, 0.15% due 2/1/2037 put 4/1/2013 (Lucas Oil Stadium Project; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa2 | 6,900,000 | 6,900,000 | |||||||
Indiana Finance Authority, 4.10% due 11/15/2046 put 11/3/2016 (Ascension Health) | AA+/Aa1 | 1,000,000 | 1,115,990 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 (146th Street Extension) | AA-/NR | 1,000,000 | 1,129,110 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 (146th Street Extension) | AA-/NR | 1,000,000 | 1,112,710 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
IOWA — 0.44% | ||||||||||
City of Coralville COP, 5.25% due 6/1/2022 (Marriott Hotel and Convention Center) | NR/Baa2 | $ | 2,980,000 | $ | 3,105,220 | |||||
City of Iowa City, 4.00% due 7/1/2013 (Water Utility System; Insured: AGM) | NR/Aa2 | 325,000 | 328,100 | |||||||
Iowa Higher Education Loan Authority, 4.00% due 12/1/2013 (Grinnell College Project) | AAA/Aaa | 1,200,000 | 1,230,660 | |||||||
KANSAS — 1.05% | ||||||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 10,000,000 | 10,001,100 | |||||||
Wyandotte County School District GO, 5.00% due 9/1/2014 (Insured: Natl-Re/FGIC) | NR/A1 | 1,030,000 | 1,094,159 | |||||||
KENTUCKY — 0.56% | ||||||||||
Jefferson County School District Finance Corp., 4.00% due 9/1/2018 (Educational Facility Acquisition and Improvements; Insured: AGM) | AA-/Aa2 | 610,000 | 639,676 | |||||||
Kentucky EDA, 5.85% due 10/1/2015 (Norton Healthcare; Insured: Natl-Re) | NR/Baa2 | 2,845,000 | 2,942,868 | |||||||
Kentucky EDA, 5.75% due 12/1/2028 (Louisville Arena; Insured: AGM) | AA-/A3 | 1,500,000 | 1,645,755 | |||||||
Turnpike Authority of Kentucky, 5.00% due 7/1/2017 (Revitalization Projects-Highway Capital Planning; Insured: AMBAC) | AA+/Aa2 | 650,000 | 715,598 | |||||||
LOUISIANA — 2.41% | ||||||||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2023 | BBB+/NR | 1,230,000 | 1,343,443 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2025 | BBB+/NR | 1,350,000 | 1,456,151 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.15% due 9/1/2027 | BBB+/NR | 1,490,000 | 1,609,841 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.30% due 9/1/2029 | BBB+/NR | 1,650,000 | 1,792,807 | |||||||
Louisiana Local Government Environment Facilities Authority, 5.00% due 3/1/2014 (Independence Stadium) | A/NR | 1,000,000 | 1,036,940 | |||||||
Louisiana Office Facilities Corp., 5.00% due 5/1/2014 (State Capitol) | NR/Aa3 | 1,000,000 | 1,049,390 | |||||||
Louisiana Offshore Terminal Authority, 2.125% due 10/1/2037 put 10/1/2015 (Loop LLC Project) | A-/NR | 2,500,000 | 2,541,425 | |||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) | AA-/A3 | 1,590,000 | 1,725,436 | |||||||
Morehouse Parish PCR, 5.25% due 11/15/2013 (International Paper Co.) | BBB/Baa3 | 3,000,000 | 3,084,060 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: AGM) (AMT) | AA-/A2 | 1,000,000 | 1,151,200 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: AGM) | AA-/A2 | 2,000,000 | 2,269,240 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2023 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,168,780 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2024 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,159,490 | |||||||
St. Tammany Parish, 5.00% due 6/1/2019 (Insured: CIFG) | A+/NR | 1,300,000 | 1,438,320 | |||||||
St. Tammany Parish, 5.00% due 6/1/2020 (Insured: CIFG) | A+/NR | 1,000,000 | 1,099,220 | |||||||
Terrebonne Parish Hospital Service District 1, 5.00% due 4/1/2028 (General Medical Center) | A+/A2 | 1,500,000 | 1,629,060 | |||||||
MAINE — 0.05% | ||||||||||
Town of Falmouth GO, 2.00% due 11/15/2013 (Elementary School Project) | AA+/Aa1 | 540,000 | 545,913 | |||||||
MARYLAND — 0.05% | ||||||||||
Mayor and City Council of Baltimore GO, 3.00% due 10/15/2013 (City Public Capital Improvement Projects; Insured: AGM) | AA-/Aa2 | 250,000 | 253,868 | |||||||
Mayor and City Council of Baltimore GO, 4.00% due 10/15/2013 (City Public Capital Improvement Projects) | AA-/Aa2 | 250,000 | 255,235 | |||||||
MASSACHUSETTS — 1.22% | ||||||||||
Commonwealth of Massachusetts GO, 4.00% due 6/1/2015 (Commonwealth Capital Investment Plan) | AA+/Aa1 | 525,000 | 566,601 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2022 (Student Loan Review) | AA/NR | 1,130,000 | 1,318,134 | |||||||
Massachusetts School Building Authority, 5.00% due 8/15/2030 pre-refunded 8/15/2015 (SMART Fund; Insured: AGM) | AA-/Aa1 | 10,000,000 | 11,100,100 |
18 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
MICHIGAN — 4.42% | ||||||||||
City of Detroit, 5.00% due 7/1/2015 (Water Supply System; Insured: AGM) | AA-/A2 | $ | 1,260,000 | $ | 1,350,405 | |||||
City of Detroit, 4.00% due 7/1/2016 (Water Supply System; Insured: FGIC) | AA+/Aa1 | 855,000 | 917,620 | |||||||
City of Detroit, 4.25% due 7/1/2016 (Water Supply System; Insured: Natl-Re) | NR/Baa2 | 1,100,000 | 1,189,254 | |||||||
City of Detroit, 5.25% due 7/1/2020 (Sewage Disposal System; Insured: Natl-Re) | A+/Baa2 | 3,000,000 | 3,315,210 | |||||||
City of Troy Michigan GO, 5.00% due 10/1/2016 | AAA/NR | 1,060,000 | 1,200,005 | |||||||
Detroit City School District GO, 5.25% due 5/1/2026 (School Building & Site Improvement; Insured: AGM/Q-SBLF) | AA-/Aa2 | 3,150,000 | 3,615,097 | |||||||
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site Improvement; Insured: AGM/Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,157,400 | |||||||
Fraser Public School District GO, 5.00% due 5/1/2018 (School Buildings and Sites; Insured: AGM/Q-SBLF) | AA-/Aa2 | 910,000 | 992,182 | |||||||
Kalamazoo Hospital Finance Authority, 6.25% due 6/1/2014 (Borgess Medical Center; Insured: FGIC) (ETM) | AA+/Aaa | 650,000 | 693,751 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2019 (Bronson Hospital; Insured: AGM) | AA-/A2 | 2,000,000 | 2,320,360 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 (Bronson Hospital; Insured: AGM) | NR/A2 | 2,470,000 | 2,887,109 | |||||||
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 (Bronson Hospital) | NR/A2 | 1,285,000 | 1,460,891 | |||||||
L’Anse Creuse Public Schools GO, 5.00% due 5/1/2014 (Macomb County School District Building & Site; Insured: AGM/Q-SBLF) | AA/Aa2 | 500,000 | 524,730 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2026 (Government Loan Program) | A+/NR | 1,580,000 | 1,778,464 | |||||||
Michigan Public Educational Facilities Authority, 5.50% due 9/1/2022 (Black River School) | NR/NR | 1,110,000 | 1,110,977 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 975,000 | 1,046,965 | |||||||
Michigan State Building Authority, 5.25% due 10/15/2017 (Insured: AGM) | AA-/Aa3 | 2,450,000 | 2,513,994 | |||||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: Natl-Re/FGIC) | A+/Aa3 | 6,000,000 | 3,498,660 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Sparrow Health System) | A+/A1 | 2,140,000 | 2,338,014 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Health System) | A/A2 | 3,000,000 | 3,232,440 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: AGM) | AA-/A1 | 1,000,000 | 1,132,360 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2016 (William Beaumont Hospital) | A/A1 | 2,000,000 | 2,237,600 | |||||||
Royal Oak Hospital Finance Authority, 8.00% due 9/1/2029 (William Beaumont Hospital) | A/A1 | 2,540,000 | 3,190,215 | |||||||
South Lyon Community Schools GO, 4.00% due 5/1/2019 (Oakland, Washtenaw, Livingston Counties School District Building & Site; Insured: Natl-Re/FGIC) | A+/Aa2 | 450,000 | 487,224 | |||||||
State of Michigan Trunk Line Fund, 5.50% due 11/1/2020 (Insured: AGM) | AA+/Aa2 | 1,500,000 | 1,904,085 | |||||||
Warren Consolidated Schools District GO, 4.00% due 5/1/2018 (School Buildings and Sites; Insured: AGM) | AA-/Aa2 | 750,000 | 812,520 | |||||||
MINNESOTA — 1.59% | ||||||||||
City of St. Cloud, 5.00% due 5/1/2014 (Centracare Health System) | NR/A1 | 835,000 | 877,118 | |||||||
Clay County GO, 3.00% due 4/1/2014 (Construction of County State-Aid Road Improvements) | AA/NR | 725,000 | 745,510 | |||||||
Housing & Redevelopment Authority of the City of St. Paul, 5.25% due 5/15/2020 (HealthPartners Health System) | A-/A3 | 1,965,000 | 2,149,435 | |||||||
Housing & Redevelopment Authority of the City of St. Paul & the City of Minneapolis, 6.00%due 12/1/2018 (HealthPartners Health System) | A-/A3 | 1,000,000 | 1,035,840 | |||||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2023 (Airport, Marina & Port Improvements; Insured: AMBAC) (AMT) | AA+/Aa1 | 3,885,000 | 4,142,420 | |||||||
Minnesota Agriculture & Economic Development Board, 5.50% due 2/15/2025 (Essential Healthcare; Insured: AGM) | AA-/NR | 2,500,000 | 2,920,550 | |||||||
State of Minnesota GO, 5.00% due 8/1/2015 (Public Facility Capital Projects) | AA+/Aa1 | 4,500,000 | 4,985,865 | |||||||
MISSISSIPPI — 0.89% | ||||||||||
Medical Center Educational Building Corp., 4.00% due 6/1/2014 (University of Mississippi Medical Center) | AA-/Aa2 | 1,240,000 | 1,288,893 |
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Mississippi Development Bank, 5.00% due 3/1/2018 (Municipal Energy Agency Power Supply; Insured: Syncora) | NR/Baa1 | $ | 1,920,000 | $ | 2,079,974 | |||||
Mississippi Development Bank, 5.00% due 7/1/2022 (Canton Public Improvement) | NR/NR | 1,935,000 | 2,131,925 | |||||||
Mississippi Development Bank, 5.25% due 8/1/2027 (Department of Corrections) | AA-/NR | 3,415,000 | 3,897,984 | |||||||
MISSOURI — 2.15% | ||||||||||
Kansas City Metropolitan Community Colleges Building Corp., 5.00% due 7/1/2017 (Junior College District; Insured: Natl-Re/FGIC) | NR/Aa2 | 1,000,000 | 1,132,070 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) | A-/NR | 1,000,000 | 1,098,790 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) | A-/NR | 2,000,000 | 2,158,640 | |||||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) | A-/NR | 2,000,000 | 2,188,000 | |||||||
Missouri Development Finance Board, 0.14% due 12/1/2033 put 4/1/2013 (Nelson Gallery Foundation; SPA: JPMorgan Chase Bank) (daily demand notes) | AAA/Aaa | 5,185,000 | 5,185,000 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2019 (Webster University) | NR/A2 | 2,235,000 | 2,615,978 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2021 (Webster University) | NR/A2 | 2,520,000 | 3,010,569 | |||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project-Public Improvements) | NR/NR | 925,000 | 971,555 | |||||||
Tax Increment Financing Commission of Kansas City, 5.00% due 5/1/2022 (Union Hill Redevelopment Project) | NR/NR | 4,140,000 | 4,384,136 | |||||||
NEVADA — 1.22% | ||||||||||
Carson City, 5.00% due 9/1/2027 (Carson Tahoe Regional Medical Center) | BBB+/NR | 2,450,000 | 2,723,469 | |||||||
Washoe County GO, 5.00% due 7/1/2026 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 5,000,000 | 5,724,500 | |||||||
Washoe County GO, 5.00% due 7/1/2029 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 2,000,000 | 2,248,540 | |||||||
Washoe County GO, 5.00% due 7/1/2032 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 2,000,000 | 2,214,960 | |||||||
NEW HAMPSHIRE — 1.34% | ||||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian/ACA) | NR/Caa1 | 4,990,000 | 4,123,037 | |||||||
New Hampshire Business Finance Authority PCR, 5.375% due 5/1/2014 (Central Maine Power Co.) | BBB+/Baa1 | 3,920,000 | 4,095,185 | |||||||
New Hampshire Health & Education Facilities Authority, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) | A-/NR | 1,000,000 | 1,096,780 | |||||||
State of New Hampshire, 5.00% due 2/1/2022 (Turnpike System) | A+/A1 | 2,250,000 | 2,759,513 | |||||||
State of New Hampshire, 5.00% due 2/1/2024 (Turnpike System) | A+/A1 | 1,755,000 | 2,105,070 | |||||||
NEW JERSEY — 2.09% | ||||||||||
Burlington County Bridge Commission, 2.00% due 12/1/2013 (Governmental Loan Programs) | AA/Aa2 | 660,000 | 667,616 | |||||||
Burlington County Bridge Commission, 4.00% due 12/1/2017 (Governmental Loan Programs) | AA/Aa2 | 850,000 | 968,261 | |||||||
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & State Court Facilities; Insured: Natl-Re) | NR/Aa2 | 2,500,000 | 3,191,900 | |||||||
Garden State Preservation Trust, 6.375% due 11/1/2013 (Open Space and Farmland Preservation Program; Insured: Natl-Re) | AAA/Aa3 | 300,000 | 310,938 | |||||||
New Jersey EDA, 5.50% due 9/1/2026 (School Facilities Construction; Insured: AMBAC) | A+/A1 | 2,000,000 | 2,557,580 | |||||||
New Jersey Water Supply Authority, 5.00% due 8/1/2019 (Manasquan Reservoir Water Supply System; Insured: Natl-Re) | AA/Aa3 | 635,000 | 696,633 | |||||||
Passaic Valley Sewage Commissioners GO, 5.75% due 12/1/2022 | NR/A2 | 3,000,000 | 3,713,820 | |||||||
State of New Jersey, 2.50% due 6/27/2013 (Cash Flow Management) | SP-1/Mig2 | 10,000,000 | 10,056,600 | |||||||
NEW MEXICO — 0.83% | ||||||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB+/Baa1 | 3,000,000 | 3,326,700 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2030 | NR/Aa3 | 2,040,000 | 2,291,736 | |||||||
Rio Rancho Public School District No. 94, 5.00% due 8/1/2015 (State Aid Withholding) | NR/Aa1 | 1,715,000 | 1,891,542 |
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2014 (Insured: AGM) (State Aid Withholding) | NR/Aa1 | $ | 1,205,000 | $ | 1,264,611 | |||||
NEW YORK — 3.70% | ||||||||||
City of New York GO, 5.00% due 8/1/2019 (Capital Projects; Insured: Natl-Re/IBC) | AA/Aa2 | 605,000 | 668,192 | |||||||
City of New York GO, 0.49% due 8/1/2021 (Capital Projects) | AA/Aa2 | 2,700,000 | 2,700,864 | |||||||
County of Cayuga GO, 1.00% due 4/26/2013 (Telecommunications Improvements) | NR/NR | 2,500,000 | 2,501,325 | |||||||
Erie County IDA, 5.00% due 5/1/2019 (Buffalo City School District) | AA-/Aa3 | 3,000,000 | 3,609,240 | |||||||
Ilion Central School District, 1.25% due 1/30/2014 (Educational Facilities) (State Aid Withholding) | NR/Mig1 | 5,000,000 | 5,037,350 | |||||||
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Elementary, Middle/High School Projects; Insured: Natl-Re/FGIC) (State Aid Withholding) | NR/A1 | 505,000 | 579,977 | |||||||
New York City Transitional Finance Authority, 4.00% due 8/1/2014 (City Capital Projects) | AAA/Aa1 | 3,340,000 | 3,510,340 | |||||||
New York City Transitional Finance Authority, 0.17% due 8/1/2031 put 4/1/2013 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 1,700,000 | 1,700,000 | |||||||
New York State Dormitory Authority, 5.625% due 7/1/2016 (City University System) | AA-/Aa3 | 995,000 | 1,107,485 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 850,000 | 956,675 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2021 (State University Educational Facilities) | AA-/Aa3 | 500,000 | 613,100 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2023 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 2,180,000 | 2,430,286 | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2027 (State Educational & Medical Facilities) | AAA/NR | 10,000,000 | 11,934,400 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 | NR/A1 | 1,700,000 | 1,906,516 | |||||||
NORTH DAKOTA — 0.23% | ||||||||||
County of Ward Health Care Facilities, 5.125% due 7/1/2021 (Trinity Health System) | BBB-/NR | 1,000,000 | 1,056,210 | |||||||
North Dakota Building Authority, 4.25% due 12/1/2015 (Insured: Natl-Re) | AA/Aa2 | 1,305,000 | 1,436,257 | |||||||
OHIO — 4.70% | ||||||||||
Akron, Bath Copley Joint Township Hospital District, 5.00% due 11/15/2024 (Children’s Hospital Medical Center of Akron) | NR/A1 | 1,000,000 | 1,135,230 | |||||||
City of Cleveland GO, 5.00% due 12/1/2016 (Various Municipal Capital Improvements) | AA/A1 | 1,000,000 | 1,146,110 | |||||||
City of Cleveland GO, 5.00% due 12/1/2024 (Various Municipal Capital Improvements) | AA/A1 | 1,000,000 | 1,180,180 | |||||||
City of Cleveland GO, 5.00% due 12/1/2026 (Various Municipal Capital Improvements) | AA/A1 | 1,230,000 | 1,418,670 | |||||||
City of Hamilton, 5.25% due 10/1/2017 (Wastewater System; Insured: AGM) | NR/A1 | 1,500,000 | 1,669,410 | |||||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | BBB+/NR | 785,000 | 786,962 | |||||||
Cleveland Cuyahoga County Port Authority, 5.00% due 10/1/2021 (Cleveland Museum of Art) | AA+/NR | 1,330,000 | 1,602,051 | |||||||
Cleveland Municipal School District GO, 5.25% due 12/1/2019 pre-refunded 6/1/2014 (Educational Facilities Improvements; Insured: AGM) (State Aid Withholding) | AA/Aa2 | 1,045,000 | 1,106,300 | |||||||
Cleveland Municipal School District GO, 5.25% due 12/1/2023 pre-refunded 6/1/2014 (Educational Facilities Improvements; Insured: AGM) (State Aid Withholding) | AA/Aa2 | 1,000,000 | 1,058,660 | |||||||
County of Allen Hospital Facilities, 5.00% due 5/1/2025 (Catholic Health Partners-Mercy Health West Facility) | AA-/A1 | 4,470,000 | 5,189,759 | |||||||
County of Allen Hospital Facilities, 5.00% due 5/1/2026 (Catholic Health Partners-Mercy Health West Facility) | AA-/A1 | 3,855,000 | 4,428,046 | |||||||
County of Hamilton, 5.00% due 12/1/2015 (Metropolitan Sewer District of Greater Cincinnati; Insured: Natl-Re) | AA+/Aa2 | 350,000 | 361,162 | |||||||
Deerfield Township, 5.00% due 12/1/2016 | NR/A1 | 1,035,000 | 1,158,082 | |||||||
Deerfield Township, 5.00% due 12/1/2025 | NR/A1 | 1,000,000 | 1,058,810 | |||||||
Lucas County Health Care Facility, 5.00% due 8/15/2021 (Sunset Retirement Community) | NR/NR | 1,000,000 | 1,134,350 | |||||||
Lucas County Health Care Facility, 5.125% due 8/15/2025 (Sunset Retirement Community) | NR/NR | 1,250,000 | 1,360,200 |
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Ohio State Air Quality Development Authority, 5.70% due 8/1/2020 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | $ | 3,000,000 | $ | 3,575,820 | |||||
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 | 3,012,810 | |||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 1,000,000 | 1,119,580 | |||||||
Ohio State Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 3,000,000 | 3,095,280 | |||||||
State of Ohio GO, 5.00% due 8/1/2015 (Educational Facilities Projects) | AA+/Aa1 | 10,775,000 | 11,933,528 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 put 7/1/2016 (Kenyon College) | A+/A1 | 1,200,000 | 1,330,500 | |||||||
OKLAHOMA — 0.77% | ||||||||||
Oklahoma City Municipal Water and Sewer, 0% due 7/1/2013 (Insured: AMBAC) | NR/NR | 1,485,000 | 1,483,129 | |||||||
Oklahoma State Industries Authority, 5.50% due 7/1/2023 (Oklahoma Medical Research Foundation) | NR/A1 | 3,730,000 | 4,251,380 | |||||||
Oklahoma State Power Authority, 5.00% due 1/1/2018 (Insured: AGM) | AA-/A2 | 1,000,000 | 1,178,780 | |||||||
Tulsa County Industrial Authority, 5.00% due 12/15/2024 (St. Francis Health System, Inc.) | AA+/Aa2 | 1,130,000 | 1,292,810 | |||||||
OREGON — 0.03% | ||||||||||
Oregon State Department of Administrative Services COP, 4.00% due 5/1/2014 (Correctional Facilities Improvements; Insured: Natl-Re/FGIC) | AA/Aa2 | 320,000 | 333,098 | |||||||
PENNSYLVANIA — 3.18% | ||||||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,500,000 | 3,005,100 | |||||||
Allegheny County IDA, 5.90% due 8/15/2026 (Propel Charter School-McKeesport) | BBB-/NR | 1,145,000 | 1,217,318 | |||||||
Allegheny County IDA, 6.375% due 8/15/2035 (Propel Charter School-McKeesport) | BBB-/NR | 1,130,000 | 1,225,926 | |||||||
Bradford County IDA, 5.20% due 12/1/2019 (International Paper Company) | BBB/Baa3 | 2,620,000 | 2,837,250 | |||||||
Chartiers Valley Industrial & Community Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) | NR/NR | 900,000 | 944,955 | |||||||
County of Lehigh GO, 5.00% due 11/15/2016 | NR/Aa1 | 5,725,000 | 6,610,371 | |||||||
Pennsylvania Economic Development Financing Authority, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 6,570,000 | 6,694,567 | |||||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) | NR/NR | 2,032,839 | 1,193,907 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) | A-/A3 | 4,000,000 | 3,856,400 | |||||||
School District of Philadelphia GO, 5.00% due 9/1/2018 (School Reform Commission) (State Aid Withholding) | A+/Aa3 | 5,250,000 | 6,137,303 | |||||||
RHODE ISLAND — 0.99% | ||||||||||
Rhode Island Health & Education Building Corp., 5.25% due 7/1/2015 (Memorial Hospital; LOC: Fleet Bank) | NR/NR | 1,325,000 | 1,338,912 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2023 (Consolidated Capital Development Loan) | AA/Aa2 | 800,000 | 908,704 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2024 (Consolidated Capital Development Loan) | AA/Aa2 | 3,450,000 | 3,857,238 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2025 (Consolidated Capital Development Loan) | AA/Aa2 | 3,985,000 | 4,400,038 | |||||||
SOUTH CAROLINA — 2.20% | ||||||||||
Greenwood Fifty School Facilities, Inc., 5.00% due 12/1/2025 (School District No. 50 Project; Insured: AGM) | AA-/A1 | 2,400,000 | 2,762,592 |
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Lexington County Health Services District, Inc., 5.75% due 11/1/2028 pre-refunded 11/1/2013 (Lexington Medical Center) | AA-/A1 | $ | 525,000 | $ | 542,273 | |||||
Lexington One School Facilities Corp., 5.00% due 12/1/2019 (School District No. 1 Project) | NR/Aa3 | 1,000,000 | 1,131,570 | |||||||
Lexington One School Facilities Corp., 5.25% due 12/1/2021 (School District No. 1 Project) | NR/Aa3 | 1,700,000 | 1,873,434 | |||||||
Medical University Hospital Authority, 5.25% due 8/15/2022 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) | NR/Baa2 | 300,000 | 319,809 | |||||||
Medical University Hospital Authority, 5.25% due 8/15/2023 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) | NR/Baa2 | 1,550,000 | 1,652,346 | |||||||
Medical University Hospital Authority, 5.25% due 2/15/2024 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) | NR/Baa2 | 725,000 | 772,872 | |||||||
Medical University Hospital Authority, 4.85% due 2/15/2026 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) | NR/Baa2 | 300,000 | 318,159 | |||||||
Medical University Hospital Authority, 5.25% due 2/15/2027 pre-refunded 8/15/2014 (Healthcare Facilities Capital Project; Insured: Natl-Re/FHA) | NR/Baa2 | 250,000 | 266,508 | |||||||
Scago Educational Facilities Corp., 5.00% due 12/1/2017 (Colleton School District; Insured: AGM) | AA-/A3 | 1,000,000 | 1,137,790 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2019 (Spartanburg School District; Insured: AGM) | AA-/Aa3 | 2,740,000 | 3,018,000 | |||||||
Scago Educational Facilities Corp., 5.00% due 4/1/2021 (Spartanburg School District; Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,099,360 | |||||||
Securing Assets For Education, 5.00% due 12/1/2019 (School District of Berkeley County Project) | A/Aa3 | 2,000,000 | 2,294,180 | |||||||
South Carolina Housing Finance & Development Authority, 5.875% due 7/1/2022 (AMT) | NR/Aa1 | 1,795,000 | 1,957,663 | |||||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 (AMT) | NR/Aa1 | 895,000 | 944,028 | |||||||
Sumter Two School Facilities, Inc., 5.00% due 12/1/2021 (School District No. 2 Project; Insured: AGM) | AA-/A3 | 2,855,000 | 3,201,597 | |||||||
SOUTH DAKOTA — 0.33% | ||||||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2023 (Avera Health) | A+/A1 | 1,375,000 | 1,585,100 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health) | A+/A1 | 1,700,000 | 1,906,040 | |||||||
TENNESSEE — 1.14% | ||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2014 | NR/Baa2 | 1,000,000 | 1,071,440 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 | BB/Baa3 | 2,500,000 | 2,826,800 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 | A-/Baa2 | 7,000,000 | 8,162,280 | |||||||
TEXAS — 8.60% | ||||||||||
Austin Community College District, 5.50% due 8/1/2023 (Round Rock Campus) | AA/Aa2 | 2,180,000 | 2,612,708 | |||||||
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence) | BBB/NR | 1,915,000 | 2,009,065 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2021 (Waterworks System; Insured: Syncora) | A/A1 | 1,300,000 | 1,493,284 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2022 (Waterworks System; Insured: Syncora) | A/A1 | 2,300,000 | 2,641,964 | |||||||
City of Arlington GO, 5.00% due 8/15/2019 (Insured: AGM) | AA+/Aa1 | 600,000 | 663,510 | |||||||
City of Bryan, 3.00% due 7/1/2013 (Electric System) | A+/A1 | 1,000,000 | 1,006,940 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Recreational Facility Improvements; Insured: Natl-Re) | NR/Aa2 | 75,000 | 78,142 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 (Recreational Facility Improvements; Insured: Natl-Re) | AA/Aa2 | 560,000 | 582,725 | |||||||
City of Cedar Park GO, 5.00% due 2/15/2016 pre-refunded 2/15/2014 (Recreational Facility Improvements; Insured: Natl-Re) | NR/Aa2 | 365,000 | 380,356 | |||||||
City of Dallas, 5.00% due 10/1/2031 pre-refunded 10/1/2015 (Waterworks & Sewer System; Insured: AGM) | AAA/Aa1 | 4,710,000 | 5,247,081 | |||||||
City of Galveston, 5.00% due 9/1/2021 (Galveston Island Convention Center; Insured: AGM) | NR/A2 | 545,000 | 639,912 |
Certified Semi-Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Galveston, 5.00% due 9/1/2024 (Galveston Island Convention Center; Insured: AGM) | NR/A2 | $ | 1,115,000 | $ | 1,295,585 | |||||
City of Houston, 5.00% due 9/1/2013 | A-/A2 | 1,500,000 | 1,530,390 | |||||||
City of Houston, 5.00% due 9/1/2013 | A-/A2 | 1,400,000 | 1,428,364 | |||||||
City of Laredo, 5.00% due 3/15/2018 (Sports Venue Improvements; Insured: AMBAC) | A+/A1 | 2,040,000 | 2,168,989 | |||||||
City of Laredo GO, 5.00% due 8/15/2017 (Waterworks and Sewer System Projects; Insured: AMBAC) | AA/Aa2 | 500,000 | 550,665 | |||||||
City of Pharr Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) | BBB/NR | 5,050,000 | 5,627,265 | |||||||
City of San Antonio Passenger Facility, 5.00% due 7/1/2024 (Airport System Improvements) (AMT) | A-/A2 | 2,065,000 | 2,365,168 | |||||||
City of San Antonio Passenger Facility, 5.00% due 7/1/2025 (Airport System Improvements) (AMT) | A-/A2 | 1,160,000 | 1,316,159 | |||||||
Dallas County Utilities & Reclamation District, 5.15% due 2/15/2022 (Insured: AMBAC) | BBB+/A3 | 3,000,000 | 3,349,290 | |||||||
Dallas-Fort Worth International Airport, 5.00% due 11/1/2015 | A+/A2 | 1,000,000 | 1,109,010 | |||||||
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 | 1,028,710 | |||||||
Grapevine-Colleyville ISD GO, 5.25% due 8/15/2023 (Educational Facility Acquisition and Improvement Projects; Insured: Natl-Re/FGIC) | AA/Aa2 | 565,000 | 626,715 | |||||||
Harris County Hospital District, 5.00% due 2/15/2015 (Insured: Natl-Re) | A/A2 | 2,075,000 | 2,220,146 | |||||||
Houston Airport System, 5.00% due 7/1/2014 | A/NR | 1,000,000 | 1,057,480 | |||||||
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 (Cosmos Foundation, Inc.) | BBB/NR | 700,000 | 867,587 | |||||||
Houston ISD GO, 1.00% due 6/1/2035 put 6/1/2014 (Harris County Educational Facilities; Guaranty: PSF) | AAA/Aaa | 2,000,000 | 2,010,680 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2017 | NR/NR | 510,000 | 579,523 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2018 | NR/NR | 525,000 | 605,388 | |||||||
La Vernia Higher Education Finance Corp., 5.75% due 8/15/2024 (Kipp, Inc.) | BBB/NR | 3,000,000 | 3,373,740 | |||||||
Mission Economic Development Corp., 6.00% due 8/1/2020 put 8/1/2013 (Waste Management, Inc. Project) (AMT) | BBB/NR | 3,250,000 | 3,302,325 | |||||||
North Texas Tollway Authority, 5.00% due 9/1/2017 (DOT-President George Bush Turnpike Western Extension) | AA/NR | 450,000 | 527,144 | |||||||
Northside ISD GO, 1.75% due 6/1/2037 put 6/1/2013 (Educational Facilities Improvements; Guaranty: PSF) | AAA/NR | 4,125,000 | 4,135,807 | |||||||
Round Rock Transportation System Development Corp., 3.00% due 8/15/2013 | AA/NR | 500,000 | 505,060 | |||||||
San Juan Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) | BBB/NR | 1,590,000 | 1,796,573 | |||||||
Socorro ISD GO, 5.25% due 8/15/2014 (Educational Facility Projects; Guaranty: PSF) | AAA/NR | 1,100,000 | 1,175,955 | |||||||
Stafford Economic Development Corp., 6.00% due 9/1/2017 (Convention Center-Performing Arts Center Theater Complex; Insured: Natl-Re/FGIC) | A+/A1 | 1,775,000 | 2,003,425 | |||||||
State of Texas, 2.50% due 8/30/2013 (General Revenue Fund Cash Management) | SP-1+/Mig1 | 15,000,000 | 15,147,450 | |||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) | A/A2 | 2,450,000 | 3,374,557 | |||||||
Texas Public Finance Authority, 5.00% due 8/15/2023 (IDEA Public Schools; Insured: ACA) | BBB/NR | 3,000,000 | 3,189,960 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.00% due 2/15/2030 (Cosmos Foundation, Inc.) | BBB/NR | 1,750,000 | 2,042,163 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (IDEA Public Schools; Insured: ACA) | BBB/NR | 2,000,000 | 2,112,460 | |||||||
Uptown Development Authority, 5.50% due 9/1/2029 (Infrastructure Improvements) | BBB/NR | 1,250,000 | 1,391,175 | |||||||
U.S. VIRGIN ISLANDS — 0.55% | ||||||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | 5,000,000 | 5,818,650 | |||||||
UTAH — 0.38% | ||||||||||
City of Herriman, 5.75% due 11/1/2027 (Towne Center Assessment Area) | A/NR | 1,000,000 | 1,131,470 | |||||||
Local Building Authority of Salt Lake Valley Fire Service Area, 5.25% due 4/1/2020 | NR/Aa2 | 1,250,000 | 1,459,437 | |||||||
Murray City, 0.14% due 5/15/2037 put 4/1/2013 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 1,405,000 | 1,405,000 |
24 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
VIRGINIA — 1.07% | ||||||||||
County of Hanover IDA, 6.00% due 10/1/2021 (FirstHealth Richmond Memorial Hospital) (ETM) | NR/NR | $ | 795,000 | $ | 860,937 | |||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 3,050,000 | 3,326,574 | |||||||
Pittsylvania County GO, 3.00% due 7/15/2017 (Educational Capital Projects) (State Aid Withholding) | A+/Aa3 | 280,000 | 284,659 | |||||||
Virginia Housing Development Authority GO, 4.85% due 4/1/2019 (Multi-Family Housing Development) (AMT) | AAA/Aaa | 3,100,000 | 3,417,564 | |||||||
Virginia Housing Development Authority GO, 4.85% due 10/1/2019 (Multi-Family Housing Development) (AMT) | AAA/Aaa | 3,100,000 | 3,416,789 | |||||||
WASHINGTON — 2.14% | ||||||||||
City of Seattle, 5.00% due 2/1/2019 (Light and Power Improvements) | AA-/Aa2 | 3,000,000 | 3,631,050 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.125% due 12/1/2015 (Skagit Valley Hospital; Insured: Natl-Re) | NR/A1 | 1,900,000 | 2,105,903 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2025 (Skagit Regional Health) | NR/A1 | 4,860,000 | 5,671,669 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2028 (Skagit Regional Health) | NR/A1 | 3,000,000 | 3,424,680 | |||||||
State of Washington COP, 5.00% due 7/1/2014 (Higher Education Capital Projects) | NR/Aa2 | 1,905,000 | 2,018,481 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/15/2024 (Multicare Systems; Insured: AGM) | AA-/A1 | 1,000,000 | 1,128,110 | |||||||
Washington Health Care Facilities Authority, 6.25% due 8/1/2028 (Highline Medical Centers; Insured: FHA 242) | AA-/NR | 3,985,000 | 4,758,767 | |||||||
WEST VIRGINIA — 0.16% | ||||||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) | A+/A2 | 1,530,000 | 1,675,182 | |||||||
WISCONSIN — 1.94% | ||||||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Agnesian Health Care, Inc.) | A-/A3 | 2,170,000 | 2,527,985 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2023 (ProHealth Care, Inc.) | A+/A1 | 1,980,000 | 2,309,927 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2024 (ProHealth Care, Inc.) | A+/A1 | 2,460,000 | 2,841,620 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.50% due 7/1/2025 (Agnesian Health Care, Inc.) | A-/A3 | 5,000,000 | 5,781,400 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2025 (ProHealth Care, Inc.) | A+/A1 | 3,180,000 | 3,632,387 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2026 (ProHealth Care, Inc.) | A+/A1 | 3,055,000 | 3,464,736 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.35% (Cost $958,550,965) | $ | 1,021,357,563 | ||||||||
OTHER ASSETS LESS LIABILITIES — 3.65% | 38,638,931 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 1,059,996,494 | ||||||||
|
|
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. |
Certified Semi-Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (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 | Insured by 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 | |
HFFA | Health Facilities Financing Authority | |
IBC | Insured Bond Certificate | |
IDA | Industrial Development Authority | |
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 Bond 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.
26 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $958,550,965) (Note 2) | $ | 1,021,357,563 | ||
Cash | 26,221,988 | |||
Receivable for investments sold | 201,391 | |||
Receivable for fund shares sold | 3,282,447 | |||
Interest receivable | 12,182,885 | |||
Prepaid expenses and other assets | 62,608 | |||
|
| |||
Total Assets | 1,063,308,882 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 2,075,597 | |||
Payable to investment advisor and other affiliates (Note 3) | 699,784 | |||
Accounts payable and accrued expenses | 102,917 | |||
Dividends payable | 434,090 | |||
|
| |||
Total Liabilities | 3,312,388 | |||
|
| |||
NET ASSETS | $ | 1,059,996,494 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (3,781 | ) | |
Net unrealized appreciation on investments | 62,806,598 | |||
Accumulated net realized gain (loss) | 320,356 | |||
Net capital paid in on shares of beneficial interest | 996,873,321 | |||
|
| |||
$ | 1,059,996,494 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($475,528,483 applicable to 33,437,593 shares of beneficial interest outstanding - Note 4) | $ | 14.22 | ||
Maximum sales charge, 2.00% of offering price | 0.29 | |||
|
| |||
Maximum offering price per share | $ | 14.51 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($178,680,236 applicable to 12,548,102 shares of beneficial interest outstanding - Note 4) | $ | 14.24 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($405,787,775 applicable to 28,570,720 shares of beneficial interest outstanding - Note 4) | $ | 14.20 | ||
|
|
* | 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 Intermediate Municipal Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME
Interest income (net of premium amortized of $3,699,320) | $ | 17,452,590 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 2,451,568 | |||
Administration fees (Note 3) | ||||
Class A Shares | 292,666 | |||
Class C Shares | 110,105 | |||
Class I Shares | 98,601 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 585,333 | |||
Class C Shares | 533,531 | |||
Transfer agent fees | ||||
Class A Shares | 68,130 | |||
Class C Shares | 35,751 | |||
Class I Shares | 63,166 | |||
Registration and filing fees | ||||
Class A Shares | 16,690 | |||
Class C Shares | 15,894 | |||
Class I Shares | 21,287 | |||
Custodian fees (Note 3) | 78,537 | |||
Professional fees | 24,656 | |||
Accounting fees | 15,715 | |||
Trustee fees | 18,200 | |||
Other expenses | 47,624 | |||
|
| |||
Total Expenses | 4,477,454 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (52,185 | ) | ||
Fees paid indirectly (Note 3) | (11,582 | ) | ||
|
| |||
Net Expenses | 4,413,687 | |||
|
| |||
Net Investment Income | 13,038,903 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 2,141,464 | |||
Net change in unrealized appreciation (depreciation) on investments | (2,358,150 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (216,686 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 12,822,217 | ||
|
|
See notes to financial statements.
28 Certified Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Intermediate Municipal Fund
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 13,038,903 | $ | 25,277,295 | ||||
Net realized gain (loss) on investments | 2,141,464 | 2,323,034 | ||||||
Net unrealized appreciation (depreciation) on investments | (2,358,150 | ) | 35,830,543 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,822,217 | 63,430,872 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,721,777 | ) | (12,120,165 | ) | ||||
Class C Shares | (1,871,770 | ) | (3,778,248 | ) | ||||
Class I Shares | (5,445,356 | ) | (9,378,882 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 19,049,355 | 56,002,136 | ||||||
Class C Shares | 8,642,235 | 38,025,992 | ||||||
Class I Shares | 40,480,401 | 120,086,204 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 67,955,305 | 252,267,909 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 992,041,189 | 739,773,280 | ||||||
|
|
|
| |||||
End of Period | $ | 1,059,996,494 | $ | 992,041,189 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
Certified Semi-Annual Report 29
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use
30 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities Municipal Bonds | $ | 1,021,357,563 | $ | — | $ | 1,021,357,563 | $ | — | ||||||||
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| |||||||||
Total Investments in Securities | $ | 1,021,357,563 | $ | — | $ | 1,021,357,563 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
Certified Semi-Annual Report 31
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (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 (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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $52,185 for Class C shares.
32 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $1,993 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,672 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $11,582.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,402,223 | $ | 48,623,329 | 7,619,891 | $ | 106,230,975 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 333,620 | 4,763,380 | 644,066 | 8,991,046 | ||||||||||||
Shares repurchased | (2,404,104 | ) | (34,337,354 | ) | (4,246,912 | ) | (59,219,885 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 1,331,739 | $ | 19,049,355 | 4,017,045 | $ | 56,002,136 | ||||||||||
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Class C Shares | ||||||||||||||||
Shares sold | 1,717,801 | $ | 24,560,855 | 3,973,096 | $ | 55,487,969 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 104,853 | 1,499,043 | 195,519 | 2,733,791 | ||||||||||||
Shares repurchased | (1,219,640 | ) | (17,417,663 | ) | (1,444,650 | ) | (20,195,768 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 603,014 | $ | 8,642,235 | 2,723,965 | $ | 38,025,992 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 6,915,160 | $ | 98,592,707 | 11,479,675 | $ | 160,071,744 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 255,852 | 3,647,786 | 424,006 | 5,917,617 | ||||||||||||
Shares repurchased | (4,333,832 | ) | (61,760,092 | ) | (3,290,060 | ) | (45,903,157 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 2,837,180 | $ | 40,480,401 | 8,613,621 | $ | 120,086,204 | ||||||||||
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Certified Semi-Annual Report 33
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $241,076,104 and $132,856,811, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 958,550,965 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 63,409,802 | ||
Gross unrealized depreciation on a tax basis | (603,204 | ) | ||
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| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 62,806,598 | ||
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At March 31, 2013, the Fund had cumulative 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:
2013 | $ | 39,577 | ||
2017 | 391,762 | |||
2018 | 533,767 | |||
2019 | 856,003 | |||
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| |||
$ | 1,821,109 | |||
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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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
34 Certified Semi-Annual Report
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Certified Semi-Annual Report 35
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 14.22 | 0.17 | — | 0.17 | (0.17 | ) | — | (0.17 | ) | $ | 14.22 | 2.44 | (d) | 0.92 | (d) | 0.92 | (d) | 0.92 | (d) | 1.22 | 14.03 | $ | 475,528 | ||||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.59 | 0.40 | 0.63 | 1.03 | (0.40 | ) | — | (0.40 | ) | $ | 14.22 | 2.88 | 0.93 | 0.93 | 0.93 | 7.69 | 16.94 | $ | 456,527 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 14.24 | 0.15 | — | 0.15 | (0.15 | ) | — | (0.15 | ) | $ | 14.24 | 2.13 | (d) | 1.24 | (d) | 1.24 | (d) | 1.30 | (d) | 1.06 | 14.03 | $ | 178,680 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.61 | 0.36 | 0.63 | 0.99 | (0.36 | ) | — | (0.36 | ) | $ | 14.24 | 2.56 | 1.24 | 1.24 | 1.31 | 7.36 | 16.94 | $ | 170,071 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 14.20 | 0.20 | — | 0.20 | (0.20 | ) | — | (0.20 | ) | $ | 14.20 | 2.76 | (d) | 0.60 | (d) | 0.60 | (d) | 0.60 | (d) | 1.39 | 14.03 | $ | 405,788 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.58 | 0.44 | 0.63 | 1.07 | (0.45 | ) | — | (0.45 | ) | $ | 14.20 | 3.18 | 0.61 | 0.61 | 0.61 | 7.96 | 16.94 | $ | 365,443 | ||||||||||||||||||||||||||||||||||||||||
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 |
(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, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
36 Certified Semi-Annual Report | Certified Semi-Annual Report 37 |
EXPENSE EXAMPLE | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.20 | $ | 4.60 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.36 | $ | 4.62 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.60 | $ | 6.19 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.77 | $ | 6.22 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.90 | $ | 3.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.95 | $ | 3.02 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.92%; C: 1.24%; I: 0.60%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
38 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg Intermediate Municipal Fund | March 31, 2013 (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 39
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
40 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 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 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. 41
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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. 43
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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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TH172 |
IMPORTANT INFORMATION
The information presented on the following pages is current as of March 31, 2013. 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 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 |
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 an 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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
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.
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
This page is not part of the Semi-Annual Report. 3
THORNBURG STRATEGIC MUNICIPAL INCOME FUND
The Thornburg Strategic Municipal Income Fund differentiates itself in four ways from other general municipal funds.
• | First, it has a more flexible mandate; we go where we perceive value. This allows us to search various sectors, issuers, credit qualities, geographic areas, and segments of the yield curve. |
• | Second, we don’t have a legacy of bonds purchased prior to the credit meltdown of 2007–2008. |
• | Third, the Fund does not use leverage, as do many high-yield muni funds. |
• | Finally, we believe that we can apply some of the risk-management skills we have demonstrated in our investment grade funds. Our portfolio managers have over 55 years of combined experience in the municipal market. |
Portfolio Managers
Josh Gonze, Chris Ryon, CFA, and Chris Ihlefeld
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | Since Inception | ||||||||||
A Shares (Incep: 4/1/09) | ||||||||||||
Without sales charge | 6.71 | % | 7.84 | % | 10.80 | % | ||||||
With sales charge | 4.57 | % | 7.11 | % | 10.25 | % |
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 thorn-burg.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 1.31%, 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, 2014, so that actual expenses for Class A shares do not exceed 1.25%.
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||||||
2.45 | % | 1.78 | % |
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 1.74% and the Annualized Distribution Yield would have been 2.41%.
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 202 | |||
Effective Duration | 6.5 Yrs | |||
Average Maturity | 11.8 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 Strategic Municipal Income Fund –
March 31, 2013
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32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
Certified Semi-Annual Report 5
April 18, 2013
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg Strategic Municipal Income Fund. The net asset value (NAV) of the Class A shares decreased by one cent to $15.16 per share during the six months ended March 31, 2013. If you were with us for the entire period, you received dividends of 20.8 cents per share. If you reinvested your dividends, you received 20.9 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 1.53% at NAV over the six months ended March 31, 2013, compared to 1.03% for the BofA Merrill Lynch Municipal Master Index.
Our relative overweight to revenue sectors, lower-tier investment grade and sub-investment grade credits, and under-weight to the general-obligation sector explained much of our outperformance for the period, as did our higher exposure to local government credits in once out-of-favor states such as California, Michigan, and Illinois. The Fund also benefitted from our concerted migration away from higher duration positions into more price-stable bonds.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield is near the average of its Lipper competitive group and above that of the BofA Merrill Lynch Municipal Master Index.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were at this time in 2011, several metrics are apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Not isolated to the municipal market space, fixed income as a broad asset class has been over-valued for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity — the Meredith Whitney event of 2010, for example — we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure, and locking in attractive rates we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the one we’re in, when yields reach a
6 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
Over the last six months, we’ve reduced the portfolio duration of the Thornburg Strategic Municipal Income Fund from 7.63 years to 6.53 years. Measured against the Fund’s historical duration average, the duration as of March 31, 2013, is positioned at the low end of its normal range. Subject to market conditions, we are prepared to reduce the Fund’s duration further into bearish territory.
Investors who have been with us through the years are rarely surprised to see us adopt a contrar-ian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We believe there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013, we’ve seen 30 consecutive months in employment growth. Put into proper perspective, however: As of December 2012, total non-farm payrolls are still below where they were at the beginning of the Great Recession in 2007 (Chart I).
Declining growth in non-farm payrolls paired with a falling labor participation rate tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor on short-term rates. Now is a good time to remind
Chart I: Non-farm Employment in Selected Recessions
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
investors that “income” drives sustainable returns, not artificial constraints on interest rates, not momentum buying, nor chasing after prior years’ performance.
While private-sector employment has fueled job growth over the last three years, state and local governments have been steadily eliminating jobs (Chart II). As reflected in recent Bureau of Labor Statistics data, cuts in state and local government employment have been far more severe than in any other recession during the last 40 years, evidenced by a 3% cumulative decline. While government employment cuts of this nature have their place, and are lauded among champions of fiscal conservatism, high unemployment stemming from the private and public sector remains an economic headwind.
Total state tax collections grew for the eleventh quarter through September 2012, providing some measure of support to credit fundamentals in the municipal market (Chart III). However, inflation-adjusted tax receipts are
Chart II: State and Local Government Employment in Selected Recessions
Chart III: State Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
still more than 3% below pre-recession levels. The annual growth rate in tax collections at the state level, while still positive, has declined the last several quarters to an average of 1.5 percent for the four quarters leading up to September 30, 2012. This is down significantly from the annual growth rate through September 30, 2011 of 6.6 percent.
At the local government level, tax collections have been slow to recover in recent years due primarily to lags in assessed property values. As we’ve seen in recent years, property taxes based on assessed values often lead to less pronounced, but protracted periods of revenue decline following sharp declines in real estate prices. Fortunately, the rate of decline in assessed valuations has lessened nationwide, and in several regions growth is trending positive. From what we can glean from a recent uptrend in housing market values, we could reasonably anticipate this will provide some support to revenue growth in the years ahead.
Chart IV: State Sales Tax Revenue Since the Start of the Recession
Four-Quarter Moving Average, Adjusted for Inflation
While many of the fiscal trends impacting state and local governments have been positive and steady, the road to recovery has still been very slow. By no means are municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy day funds. Many have exhausted one-time revenue sources, and recent cuts to essential and non-essential government functions may limit flexibility to control expenses going forward.
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg Strategic Municipal Income Fund, we believe a holding period of at least four to five years will make it easier to navigate through any potentially rough waters that may lie ahead.
Certified Semi-Annual Report 9
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Your Thornburg Strategic Municipal Income Fund is a portfolio of 155 diversified municipal obligors. The Fund’s investment objective emphasizes generation of current tax-exempt income*, allowing flexibility to migrate toward investments we believe represent the best opportunities in the market. The Fund invests principally in municipal obligations issued by state and local governments and their respective agencies, as well as select U.S. territories and possessions.
We 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 new opportunities and challenges present themselves.
Sincerely,
| ||||
![]() | ![]() | |||
Christopher Ihlefeld | Christopher Ryon, CFA | Josh Gonze | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
Managing Director | Managing Director | Managing Director |
* | Exempt from regular federal income tax, but may be subject to AMT. |
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
| ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (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 — 0.55% | ||||||||||||
City of Mobile Industrial Development Board PCR, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A/A2 | $ | 1,000,000 | $ | 1,026,310 | |||||||
ARIZONA — 0.99% | ||||||||||||
Maricopa County PCR, 6.00% due 5/1/2029 put 5/1/2014 (Arizona Public Service Co.) | BBB+/Baa1 | 500,000 | 525,065 | |||||||||
Pima County IDA, 6.25% due 7/1/2013 (Arizona Charter Schools) | NR/Baa3 | 185,000 | 185,736 | |||||||||
Pima County IDA, 5.875% due 4/1/2022 (Cambridge Academy) | NR/NR | 405,000 | 417,527 | |||||||||
Pima County IDA, 5.125% due 12/1/2040 (Providence Day School) | BBB+/NR | 710,000 | 722,794 | |||||||||
ARKANSAS — 0.08% | ||||||||||||
City of Springdale, 5.00% due 7/1/2017 (Baseball Stadium and Street Improvements; Insured: AGM) | AA-/A2 | 150,000 | 151,740 | |||||||||
CALIFORNIA — 15.38% | ||||||||||||
Benicia USD GO, 0% due 8/1/2026 (Benicia High School; Insured: AGM) | AA-/A2 | 830,000 | 452,682 | |||||||||
California HFFA, 6.25% due 2/1/2026 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | A/NR | 1,500,000 | 1,835,625 | |||||||||
California HFFA, 5.00% due 11/15/2034 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 420,000 | 452,928 | |||||||||
California Housing Finance Agency, 4.625% due 8/1/2016 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) | BBB/Baa2 | 1,175,000 | 1,230,389 | |||||||||
California Housing Finance Agency, 4.625% due 8/1/2026 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) | BBB/Baa2 | 560,000 | 553,106 | |||||||||
California Municipal Finance Authority, 8.50% due 11/1/2039 (Harbor Regional Center) | NR/Baa1 | 1,000,000 | 1,244,640 | |||||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) | A-/A2 | 1,000,000 | 1,116,680 | |||||||||
California State Public Works Board, 6.25% due 4/1/2034 (Department of General Services-Offices Renovation) | A-/A2 | 100,000 | 119,752 | |||||||||
California Statewide Communities Development Authority, 5.00% due 8/15/2039 (Children’s Hospital of Los Angeles; Insured: Natl-Re) | NR/Baa2 | 1,185,000 | 1,234,071 | |||||||||
California Statewide Communities Development Authority, 6.125% due 7/1/2046 (Aspire Public Schools) | NR/NR | 1,000,000 | 1,056,110 | |||||||||
Calipatria USD GO, 4.00% due 8/1/2017 (Educational Facilities Improvements; Insured: AMBAC) | NR/NR | 150,000 | 151,401 | |||||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities Improvements; Insured: ACA) | NR/NR | 2,425,000 | 1,159,320 | |||||||||
Carson Redevelopment Agency, 7.00% due 10/1/2036 (Project Area 1) | A-/NR | 500,000 | 593,705 | |||||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 1,000,000 | 1,022,950 | |||||||||
City of Los Angeles, 5.00% due 6/1/2027 (Wastewater System; Insured: MBIA) | AA/Aa3 | 600,000 | 604,254 | |||||||||
City of Santa Monica, 4.00% due 1/1/2017 (Hyperion Project-Wastewater Enterprise; Insured: Natl-Re/FGIC) | AAA/Aa2 | 75,000 | 75,203 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
a Corona-Norco USD COP, 5.00% due 4/15/2031 (Insured: AGM) | AA-/A1 | $ | 1,750,000 | $ | 1,897,875 | |||||||
County of El Dorado, 5.00% due 9/1/2026 (El Dorado Hills Development-Community Facilities) | A/NR | 630,000 | 699,256 | |||||||||
Daly County Housing Development Finance Agency, 5.25% due 12/15/2023 (Franciscan Country Club Mobile Home Park) | A/NR | 650,000 | 696,403 | |||||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 2,500,000 | 2,577,625 | |||||||||
Los Angeles County Public Works Financing Authority, 4.00% due 9/1/2015 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re/FGIC) | NR/NR | 50,000 | 52,794 | |||||||||
Los Angeles County Public Works Financing Authority, 3.625% due 9/1/2016 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re/FGIC) | NR/NR | 200,000 | 210,670 | |||||||||
M-S-R Energy Authority, 6.50% due 11/1/2039 | A-/NR | 1,000,000 | 1,348,860 | |||||||||
Moorpark Mobile Home Park, 6.15% due 5/15/2031 (Villa Del Arroyo) | BBB/NR | 1,000,000 | 1,096,270 | |||||||||
Redwood City Redevelopment Agency, 0% due 7/15/2021 (Redevelopment Project Area 2; Insured: AMBAC) | A-/NR | 1,285,000 | 933,874 | |||||||||
Riverside Community College District GO, 5.00% due 8/1/2021 (Insured: AGM) | AA/Aa2 | 150,000 | 165,113 | |||||||||
Riverside County Asset Leasing Corp., 0% due 6/1/2021 (Riverside County Hospital; Insured: Natl-Re) | NR/A2 | 535,000 | 376,030 | |||||||||
San Francisco City & County Redevelopment Financing Authority, 0% due 8/1/2023 (Redevelopment Project; Insured: Natl-Re) | A/Baa2 | 1,025,000 | 674,891 | |||||||||
San Francisco City & County Redevelopment Financing Authority, 6.50% due 8/1/2039 (Mission Bay North Redevelopment) | A-/NR | 250,000 | 292,155 | |||||||||
San Francisco City & County Redevelopment Financing Authority, 6.75% due 8/1/2041 (Mission Bay North Redevelopment) | A-/NR | 500,000 | 599,180 | |||||||||
San Jose Redevelopment Agency, 5.50% due 8/1/2035 (Merged Area Redevelopment) | A/Ba1 | 1,000,000 | 1,091,240 | |||||||||
Sonoma County Community Redevelopment Agency, 6.50% due 8/1/2034 (The Springs Redevelopment; Insured: AGM) | AA-/NR | 100,000 | 101,769 | |||||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2016 (Insured: AMBAC) | A+/A2 | 500,000 | 515,920 | |||||||||
State of California, 2.50% due 6/20/2013 (General Fund Cash Management) | SP-1+/Mig1 | 1,050,000 | 1,055,565 | |||||||||
State of California GO, 0.11% due 5/1/2034 put 4/1/2013 (Kindergarten University Facilities; LOC: Citibank N.A.) (daily demand notes) | AAA/Aa2 | 900,000 | 900,000 | |||||||||
Union Elementary School District, 0% due 9/1/2027 (Santa Clara County District Schools; Insured: Natl-Re) | AA+/NR | 905,000 | 513,307 | |||||||||
COLORADO — 4.01% | ||||||||||||
Colorado Department of Transportation, 5.50% due 6/15/2013 (Strategic Corridor Projects; Insured: Natl-Re) | AA/Aa2 | 225,000 | 227,549 | |||||||||
Colorado Housing & Finance Authority, 0% due 9/1/2014 (ETM) | NR/Aa1 | 200,000 | 198,950 | |||||||||
Denver Convention Center Hotel Authority, 5.125% due 12/1/2026 (Insured: Syncora) | BBB-/Baa3 | 2,450,000 | 2,587,617 | |||||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2030 (Insured: Syncora) | BBB-/Baa3 | 450,000 | 470,264 | |||||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2035 (Insured: Syncora) | BBB-/Baa3 | 605,000 | 627,083 | |||||||||
Eagle Bend Metropolitan District GO, 5.00% due 12/1/2020 (Insured: Radian) | A-/NR | 920,000 | 958,704 | |||||||||
Eagle River Fire District, 6.625% due 12/1/2024 | NR/NR | 225,000 | 246,530 | |||||||||
Eagle River Fire District, 6.875% due 12/1/2030 | NR/NR | 400,000 | 438,996 | |||||||||
Public Authority for Colorado Energy, 5.75% due 11/15/2018 (Natural Gas Purchase) | A-/Baa2 | 700,000 | 802,809 | |||||||||
Public Authority for Colorado Energy, 6.50% due 11/15/2038 (Natural Gas Purchase) | A-/Baa2 | 260,000 | 356,912 | |||||||||
Regional Transportation District COP, 5.375% due 6/1/2031 | A-/Aa3 | 500,000 | 562,550 | |||||||||
CONNECTICUT — 1.12% | ||||||||||||
Connecticut Health & Educational Facilities Authority, 6.00% due 7/1/2039 (Ethel Walker School) | BBB-/NR | 1,000,000 | 1,083,210 | |||||||||
State of Connecticut GO Floating Rate Note, 0.64% due 9/15/2017 (Public Improvements) | AA/Aa3 | 1,000,000 | 1,003,400 | |||||||||
DELAWARE — 0.55% | ||||||||||||
Delaware HFA, 5.50% due 6/1/2024 (Beebe Medical Center) | BBB-/Baa3 | 1,000,000 | 1,019,170 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
DISTRICT OF COLUMBIA — 0.42% | ||||||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2027 (Dulles Toll Road; Insured: AGM) | AA-/A3 | $ | 1,500,000 | $ | 786,495 | |||||||
FLORIDA — 7.48% | ||||||||||||
City of Lakeland, 5.25% due 10/1/2036 (Energy System) | AA/A1 | 2,000,000 | 2,465,960 | |||||||||
City of Miami GO, 5.00% due 1/1/2017 (Homeland Defense/Neighborhood Capital Improvements) | BBB-/A3 | 1,245,000 | 1,346,642 | |||||||||
City of Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements) | BBB-/A3 | 1,790,000 | 1,947,574 | |||||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2027 (Nova Southeastern University) | BBB/Baa2 | 1,000,000 | 1,095,210 | |||||||||
Hollywood Community Redevelopment Agency, 5.625% due 3/1/2024 | NR/A3 | 340,000 | 347,963 | |||||||||
Martin County IDA, 4.20% due 12/15/2025 (Indiantown Cogeneration, L.P. Project) | BB/NR | 1,000,000 | 1,003,970 | |||||||||
Miami-Dade County School Board COP, 5.00% due 8/1/2027 (District School Facilities and Infrastructure) | A/A1 | 1,100,000 | 1,240,558 | |||||||||
Pinellas County Educational Facilities Authority, 5.25% due 10/1/2030 (Barry University) | BBB/NR | 500,000 | 549,445 | |||||||||
Sarasota County Public Hospital Board, 3.079% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | NR/A1 | 1,000,000 | 1,011,650 | |||||||||
Sarasota County Public Hospital Board, 5.50% due 7/1/2028 (Sarasota Memorial Hospital; Insured: Natl-Re) | NR/A1 | 1,015,000 | 1,204,236 | |||||||||
St. Johns County IDA, 5.625% due 8/1/2034 (Presbyterian Retirement) | NR/NR | 230,000 | 237,348 | |||||||||
Tampa Sports Authority, 5.75% due 10/1/2020 (Tampa Bay Arena; Insured: Natl-Re) | NR/Baa2 | 1,000,000 | 1,104,890 | |||||||||
University of Southern Florida Financing Corp. COP, 5.00% due 7/1/2021 (Student Housing & Parking Facilities; Insured: AMBAC) | A/A1 | 375,000 | 410,175 | |||||||||
GEORGIA — 1.71% | ||||||||||||
City of Atlanta, 6.25% due 11/1/2034 (Water and Wastewater Capital Improvement Program) | A/A1 | 500,000 | 607,520 | |||||||||
Fulton County Development Authority, 5.00% due 10/1/2019 (Georgia Tech Athletic Association) | NR/A2 | 1,000,000 | 1,193,530 | |||||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A/A2 | 515,000 | 581,116 | |||||||||
Main Street Natural Gas, Inc., 5.50% due 9/15/2023 (Georgia Gas) | A-/Baa2 | 350,000 | 416,570 | |||||||||
Municipal Gas Authority of Georgia GO, 5.00% due 4/1/2016 (Public Gas Partners, Inc.-Gas Portfolio III Project) | AA-/A1 | 350,000 | 390,866 | |||||||||
GUAM — 2.11% | ||||||||||||
Guam Government, 5.75% due 12/1/2034 (Layon Solid Waste Disposal Facility) | BBB+/NR | 500,000 | 552,325 | |||||||||
Guam Government Department of Education COP, 6.875% due 12/1/2040 (John F. Kennedy High School) | B/NR | 1,000,000 | 1,102,600 | |||||||||
Guam Government GO, 7.00% due 11/15/2039 | B+/NR | 520,000 | 586,789 | |||||||||
Guam Power Authority, 5.00% due 10/1/2027 (Electric Power System; Insured: AGM) | AA-/A2 | 1,000,000 | 1,150,540 | |||||||||
Guam Power Authority, 5.00% due 10/1/2034 (Electric Power System) | BBB/Baa3 | 500,000 | 549,055 | |||||||||
ILLINOIS — 8.09% | ||||||||||||
Board of Education of the City of Chicago GO, 5.00% due 12/1/2020 (Education Capital Improvement Program; Insured: AGM) | AA-/A2 | 365,000 | 412,884 | |||||||||
City of Chicago, 4.70% due 11/15/2013 (Near South Redevelopment; Insured: AMBAC) | NR/NR | 800,000 | 802,536 | |||||||||
City of Chicago, 5.25% due 1/1/2016 (Municipal Residential Street Improvements; Insured: AMBAC) | AA+/A3 | 800,000 | 809,968 | |||||||||
City of Chicago, 5.75% due 1/1/2021 (O’Hare International Airport Capital Improvement Program; Insured: AGM) (AMT) | AA-/A2 | 3,000,000 | 3,116,700 | |||||||||
City of Chicago, 6.75% due 6/1/2022 (Pilsen Redevelopment) | NR/NR | 1,000,000 | 1,039,160 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
City of Chicago, 5.00% due 1/1/2035 (Midway Airport Development Plan; Insured: Natl-Re) | A/A2 | $ | 1,055,000 | $ | 1,058,123 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Insured: AGM) | AA-/Aa3 | 475,000 | 508,720 | |||||||||
Cook County GO, 5.25% due 11/15/2033 | AA/Aa3 | 1,000,000 | 1,126,240 | |||||||||
Illinois Finance Authority, 5.75% due 11/15/2037 (OSF Healthcare System) | A/A3 | 330,000 | 361,324 | |||||||||
Illinois Finance Authority, 6.00% due 5/15/2039 (OSF Healthcare System) | A/A3 | 1,565,000 | 1,799,281 | |||||||||
Kane County Community Unit School District No. 101 GO, 5.00% due 1/1/2017 (Educational Facilities; Insured: AGM) | NR/Aa2 | 100,000 | 111,202 | |||||||||
Metropolitan Pier & Exposition Authority, 5.00% due 6/15/2050 (McCormick Place) | AAA/A3 | 1,500,000 | 1,596,000 | |||||||||
Railsplitter Tobacco Settlement Authority, 6.00% due 6/1/2028 | A-/NR | 1,000,000 | 1,195,980 | |||||||||
Village of Melrose Park GO, 6.75% due 12/15/2016 (Redevelopment Project Costs; Insured: Natl-Re) | NR/Baa2 | 250,000 | 276,068 | |||||||||
Village of Melrose Park GO, 6.75% due 12/15/2021 (Redevelopment Project Costs; Insured: Natl-Re) | NR/Baa2 | 410,000 | 518,256 | |||||||||
Will County School District No. 114 GO, 0% due 12/1/2023 (Educational Facilities; Insured: Natl-Re/FGIC) | NR/NR | 570,000 | 355,828 | |||||||||
INDIANA — 2.92% | ||||||||||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) | NR/NR | 1,000,000 | 1,065,220 | |||||||||
Indiana Finance Authority, 6.00% due 12/1/2019 (U.S. Steel Corp.) | BB/B1 | 3,000,000 | 3,282,990 | |||||||||
Indiana Finance Authority, 6.375% due 9/15/2041 (Marian University) | BBB-/NR | 1,000,000 | 1,100,080 | |||||||||
KANSAS — 2.75% | ||||||||||||
City of Wichita GO, 0.30% due 8/15/2013 (Norris Training Systems) | SP-1+/Mig1 | 3,900,000 | 3,900,429 | |||||||||
City of Wichita MFR, 5.90% due 12/1/2016 (Brentwood Apartments) | B/NR | 330,000 | 321,176 | |||||||||
City of Wichita MFR, 5.85% due 12/1/2025 (Brentwood Apartments) | B/NR | 895,000 | 759,810 | |||||||||
Kansas City Community College COP, 3.00% due 4/1/2016 (Higher Education Campus Facilities) | AA/NR | 150,000 | 158,525 | |||||||||
KENTUCKY — 1.61% | ||||||||||||
County of Owen, 6.25% due 6/1/2039 (Kentucky-American Water Co. Project) | BBB+/Baa2 | 540,000 | 601,797 | |||||||||
Kentucky DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 715,000 | 534,906 | |||||||||
Kentucky DFA, 0% due 10/1/2022 (Norton Healthcare, Inc.; Insured: Natl-Re) | NR/Baa2 | 2,650,000 | 1,875,299 | |||||||||
LOUISIANA — 2.13% | ||||||||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, 5.00% due 7/15/2027 | NR/A2 | 1,000,000 | 1,128,190 | |||||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2032 (Black & Gold Facilities; Insured: CIFG) | AA-/A3 | 120,000 | 124,744 | |||||||||
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 (Ochsner Clinic Foundation) | NR/Baa1 | 500,000 | 525,330 | |||||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) | BBB/Baa2 | 2,000,000 | 2,189,560 | |||||||||
MASSACHUSETTS — 0.25% | ||||||||||||
Massachusetts Educational Financing Authority, 6.00% due 1/1/2028 | AA/NR | 405,000 | 464,657 | |||||||||
MICHIGAN — 8.54% | ||||||||||||
Charter County of Wayne, 5.00% due 12/1/2030 (Airport Hotel; Insured: Natl-Re) | BBB+/Baa2 | 805,000 | 805,024 | |||||||||
City of Detroit, 0% due 7/1/2017 (Sewage Disposal System; Insured: Natl-Re/FGIC) | A+/Baa3 | 100,000 | 89,282 | |||||||||
City of Detroit, 5.00% due 7/1/2017 (Sewage Disposal System; Insured: Natl-Re/FGIC) | A+/Baa3 | 100,000 | 108,656 | |||||||||
City of Detroit, 0% due 7/1/2018 (Sewage Disposal System; Insured: Natl-Re/FGIC) | A+/Baa3 | 330,000 | 282,170 | |||||||||
City of Detroit, 5.00% due 7/1/2018 (Water Supply System; Insured: Natl-Re) | NR/Baa2 | 350,000 | 379,032 | |||||||||
City of Detroit, 5.00% due 7/1/2020 (Water Supply System; Insured: Natl-Re/FGIC) | A+/Baa3 | 1,000,000 | 1,063,720 | |||||||||
City of Detroit, 5.25% due 7/1/2021 (Sewage Disposal System; Insured: Natl-Re) | A+/Baa2 | 200,000 | 220,588 | |||||||||
City of Detroit, 5.00% due 7/1/2022 (Water Supply System; Insured: Natl-Re/FGIC) | A+/Baa3 | 260,000 | 274,235 | |||||||||
City of Detroit, 5.25% due 7/1/2023 (Sewage Disposal System; Insured: Natl-Re) | A+/Baa2 | 180,000 | 196,144 | |||||||||
City of Detroit, 5.25% due 7/1/2039 (Sewage Disposal System; Insured: AGM) | A+/Baa3 | 1,250,000 | 1,349,737 | |||||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 (Bronson Methodist Hospital) | NR/A2 | 1,000,000 | 1,065,290 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 (Bronson Healthcare Group) | NR/A2 | $ | 1,000,000 | $ | 1,093,970 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2031 (State Dept. of Human Services Office Buildings) | A+/NR | 1,000,000 | 1,073,010 | |||||||||
Michigan Finance Authority, 8.125% due 4/1/2041 (Hope Academy Project) | NR/NR | 990,000 | 1,132,035 | |||||||||
Michigan Housing Development Authority, 3.375% due 11/1/2016 (AMT) | AA/NR | 655,000 | 675,777 | |||||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 1,070,000 | 1,148,977 | |||||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2015 (Edward W. Sparrow Hospital Assoc.) | A+/A1 | 200,000 | 220,568 | |||||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 (Oakwood Southshore Medical Center) | A/A2 | 650,000 | 700,362 | |||||||||
Michigan State Hospital Finance Authority, 5.75% due 11/15/2039 (Henry Ford Health System) | A/A2 | 1,000,000 | 1,130,180 | |||||||||
Michigan Strategic Fund, 5.00% due 8/1/2013 (NSF International Project) | A-/NR | 300,000 | 303,825 | |||||||||
Michigan Strategic Fund, 7.00% due 5/1/2021 (The Detroit Edison Company; Insured: Natl- Re/AMBAC) | NR/NR | 250,000 | 325,693 | |||||||||
School District of the City of Detroit, 5.00% due 5/1/2025 (School Building & Site; Insured: Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,142,440 | |||||||||
School District of the City of Detroit GO, 5.25% due 5/1/2027 (School Building & Site; Insured: AGM) | AA-/Aa2 | 1,000,000 | 1,157,400 | |||||||||
MINNESOTA — 0.86% | ||||||||||||
Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2023 (Airport, Marina & Port Improvements; Insured: AMBAC) (AMT) | AA+/Aa1 | 1,000,000 | 1,066,260 | |||||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2023 | A-/A3 | 100,000 | 106,542 | |||||||||
Washington County Housing Redevelopment Authority, 5.625% due 6/1/2037 (Birchwood & Woodbury) | NR/NR | 415,000 | 423,615 | |||||||||
MISSISSIPPI — 0.08% | ||||||||||||
Jackson Public School District, 4.00% due 2/1/2018 (District Long Range Capital Expenditure Program; Insured: AGM) (State Aid Withholding) | NR/Aa3 | 140,000 | 149,288 | |||||||||
MISSOURI — 2.08% | ||||||||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project-Public Improvements) | NR/NR | 1,170,000 | 1,228,886 | |||||||||
Tax Increment Financing Commission of Kansas City, 6.00% due 5/1/2030 (Union Hill Redevelopment Project) | NR/NR | 2,505,000 | 2,646,357 | |||||||||
NEVADA — 1.56% | ||||||||||||
Carson City, 5.00% due 9/1/2033 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,250,000 | 1,363,725 | |||||||||
Redevelopment Agency of the City of Mesquite, 7.00% due 6/1/2019 (Public Facility and Redevelopment Projects) | BBB+/NR | 700,000 | 723,387 | |||||||||
Redevelopment Agency of the City of Mesquite, 7.125% due 6/1/2021 (Public Facility and Redevelopment Projects) | BBB+/NR | 300,000 | 308,940 | |||||||||
Redevelopment Agency of the City of Mesquite, 7.375% due 6/1/2024 (Public Facility and Redevelopment Projects) | BBB+/NR | 500,000 | 514,230 | |||||||||
NEW JERSEY — 1.50% | ||||||||||||
Higher Education Student Assistance Authority, 5.75% due 12/1/2039 (NJCLASS Student Loan Program) (AMT) | A/A2 | 750,000 | 785,692 | |||||||||
State of New Jersey, 2.50% due 6/27/2013 (Cash Flow Management) | SP-1/Mig2 | 2,000,000 | 2,011,320 | |||||||||
NEW MEXICO — 2.27% | ||||||||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB+/Baa1 | 1,000,000 | 1,108,900 | |||||||||
City of Santa Fe, 5.00% due 5/15/2042 (El Castillo Retirement Residences) | BBB-/NR | 3,000,000 | 3,122,550 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
NEW YORK — 0.83% | ||||||||||||
City of Syracuse, 5.00% due 8/1/2017 (City Public and School Building Capital Projects; Insured: AGM) (State Aid Withholding) | AA-/A1 | $ | 400,000 | $ | 436,972 | |||||||
New York Thruway Authority, 5.00% due 1/1/2037 (Governor Thomas E. Dewey Thruway) | A+/A1 | 1,000,000 | 1,109,070 | |||||||||
NORTH CAROLINA — 1.55% | ||||||||||||
City of Charlotte COP, 5.50% due 8/1/2017 (Convention Facility Project) | AA+/Aa2 | 625,000 | 642,419 | |||||||||
b County of Dare, 5.00% due 6/1/2025 (Educational Facilities) | AA-/Aa3 | 1,500,000 | 1,786,155 | |||||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2020 (Progress Energy Carolinas, Inc. Initial Project Acquis.; Insured: AMBAC) | A-/NR | 410,000 | 455,215 | |||||||||
OHIO — 3.22% | ||||||||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) | A/A3 | 500,000 | 585,600 | |||||||||
American Municipal Power, Inc., 5.00% due 2/15/2037 (AMP Fremont Energy Center) | A/A1 | 1,000,000 | 1,100,780 | |||||||||
Cleveland Cuyahoga County Port Authority, 6.25% due 5/15/2016 (LOC: FifthThird Bank) | BBB+/NR | 295,000 | 295,737 | |||||||||
Cleveland Cuyahoga County Port Authority, 7.00% due 5/15/2040 (Flats East Development Project; Insured: City Appropriations) | BBB+/NR | 1,000,000 | 1,126,860 | |||||||||
Ohio State Air Quality Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 100,000 | 104,011 | |||||||||
Ohio State Water Development Authority PCR, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 1,000,000 | 1,119,580 | |||||||||
Ohio State Water Development Authority PCR, 3.375% due 7/1/2033 put 7/1/2015 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 1,350,000 | 1,392,876 | |||||||||
Wyoming City School District GO, 5.00% due 12/1/2018 (Educational Facilities; Insured: AGM) | NR/A2 | 250,000 | 275,915 | |||||||||
OREGON — 0.81% | ||||||||||||
City of Portland MFR, 6.05% due 11/1/2034 (Pacific Tower Apartments Project) (AMT) | NR/Baa1 | 495,000 | 495,520 | |||||||||
Western Generation Agency, 5.00% due 1/1/2016 (Wauna Cogeneration; Insured: ACA) | NR/NR | 1,000,000 | 1,024,500 | |||||||||
PENNSYLVANIA — 5.49% | ||||||||||||
Allegheny County IDA, 6.75% due 8/15/2035 (Propel Charter School) | BBB-/NR | 950,000 | 1,053,721 | |||||||||
City of Philadelphia, 5.00% due 6/15/2027 (Philadelphia International and Northeast Philadelphia Airports) (AMT) | A+/A2 | 2,000,000 | 2,208,100 | |||||||||
Hospitals and Higher Educational Facilities Authority of Philadelphia, 0.15% due 7/1/2025 put 4/1/2013 (The Children’s Hospital of Philadelphia; SPA: JPMorgan Chase Bank) (daily demand notes) | AA/Aa2 | 1,000,000 | 1,000,000 | |||||||||
Pennsylvania Economic Development Financing Authority, 5.00% due 12/1/2014 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 450,000 | 462,199 | |||||||||
Pennsylvania Economic Development Financing Authority, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 1,800,000 | 1,834,128 | |||||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 10/1/2035 (Shippensburg University Student Housing Project) | BBB-/Baa3 | 595,000 | 646,087 | |||||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) | A-/A3 | 2,000,000 | 1,928,200 | |||||||||
Philadelphia IDA, 6.00% due 8/1/2035 (Mast Charter School) | BBB+/NR | 1,000,000 | 1,122,040 | |||||||||
RHODE ISLAND — 0.42% | ||||||||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2022 (Public Housing Development) | AA-/NR | 315,000 | 378,324 | |||||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2024 (Public Housing Development) | AA-/NR | 350,000 | 414,631 | |||||||||
SOUTH DAKOTA — 0.45% | ||||||||||||
South Dakota Health & Educational Facilities Authority, 5.50% due 11/1/2040 (Sanford Health) | A+/A1 | 750,000 | 832,005 |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
TENNESSEE — 0.37% | ||||||||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2015 | BB/Baa3 | $ | 100,000 | $ | 106,183 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2024 | A-/Baa2 | 500,000 | 584,390 | |||||||||
TEXAS — 9.73% | ||||||||||||
Austin Convention Enterprises, Inc., 5.25% due 1/1/2024 (Austin Convention Center; Insured: Syncora) | BB+/Ba1 | 720,000 | 771,178 | |||||||||
Austin Convention Enterprises, Inc., 5.00% due 1/1/2034 (Austin Convention Center; Insured: Syncora) | BB+/Ba1 | 665,000 | 692,072 | |||||||||
Bexar County GO, 5.00% due 6/15/2018 (County Highway Construction and Maintenance) | AA+/Aaa | 200,000 | 219,294 | |||||||||
City of Kerrville Health Facilities Development Corp., 5.45% due 8/15/2035 (Sid Peterson Memorial Hospital) | BBB-/NR | 2,730,000 | 2,753,150 | |||||||||
Gulf Coast Waste Disposal Authority, 6.10% due 8/1/2024 (International Paper Co.) (AMT) | BBB/Baa3 | 100,000 | 100,400 | |||||||||
Kimble County Hospital District, 6.25% due 8/15/2033 | NR/NR | 500,000 | 585,790 | |||||||||
La Vernia Higher Education Finance Corp., 6.25% due 8/15/2039 (Kipp, Inc.) | BBB/NR | 1,000,000 | 1,158,470 | |||||||||
San Antonio Energy Acquisition Public Facilities Corp., 5.50% due 8/1/2021 | A-/Baa3 | 40,000 | 46,865 | |||||||||
San Juan Higher Education Finance Authority, 6.70% due 8/15/2040 (IDEA Public Schools) | BBB/NR | 1,000,000 | 1,178,020 | |||||||||
State of Texas, 2.50% due 8/30/2013 (General Revenue Fund Cash Management) | SP-1+/Mig1 | 3,500,000 | 3,534,405 | |||||||||
Tarrant County Cultural Educational Facilities Finance Corp., 0.15% due 10/1/2041 put 4/1/2013 (Methodist Hospitals of Dallas; LOC: JPMorgan Chase Bank) (daily demand notes) | AAA/Aa1 | 1,955,000 | 1,955,000 | |||||||||
Texas City Industrial Development Corp., 7.375% due 10/1/2020 (BP Pipelines N.A., Inc.) | A/A2 | 1,000,000 | 1,377,370 | |||||||||
Texas Public Finance Authority Charter School Finance Corp., 4.15% due 8/15/2016 (IDEA Public Schools; Insured: ACA) | BBB/NR | 100,000 | 106,015 | |||||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 2/15/2018 (Cosmos Foundation, Inc.) | BBB/NR | 670,000 | 706,649 | |||||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools; Insured: ACA) | BBB/NR | 155,000 | 164,815 | |||||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 (IDEA Public Schools; Insured: ACA) | BBB/NR | 1,550,000 | 1,637,156 | |||||||||
Texas Public Finance Authority Charter School Finance Corp., 6.20% due 2/15/2040 (Cosmos Foundation, Inc.) | BBB/NR | 1,000,000 | 1,179,720 | |||||||||
U.S. VIRGIN ISLANDS — 0.39% | ||||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2037 | NR/Baa3 | 500,000 | 583,870 | |||||||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 | NR/NR | 150,000 | 150,356 | |||||||||
UTAH — 1.32% | ||||||||||||
Herriman City, 4.75% due 11/1/2022 (Towne Center Access and Utility Improvements) | A/NR | 1,000,000 | 1,107,520 | |||||||||
Intermountain Power Agency, 5.00% due 7/1/2016 pre-refunded 7/11/2013 (Power Supply Projects; Insured: AGM) | AA-/Aa3 | 300,000 | 303,699 | |||||||||
Murray City, 0.14% due 5/15/2037 put 4/1/2013 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank) (daily demand notes) | AA+/Aa1 | 800,000 | 800,000 | |||||||||
State Board of Regents of the State of Utah, 4.00% due 11/1/2013 (Student Loans) | AAA/Aaa | 250,000 | 255,532 | |||||||||
VIRGINIA — 0.84% | ||||||||||||
City of Lexington IDA, 5.375% due 1/1/2028 (Residential Care Facility-Kendal at Lexington) | NR/NR | 1,000,000 | 1,021,550 | |||||||||
Virginia Small Business Financing Authority, 9.00% due 7/1/2039 (Hampton RDS Proton) | NR/NR | 500,000 | 539,165 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||||
WASHINGTON — 0.59% | ||||||||||||
Washington Health Care Facilities Authority, 5.70% due 7/1/2038 (Overlake Hospital Medical Center) | A-/A2 | $ | 1,000,000 | $ | 1,105,050 | |||||||
|
| |||||||||||
TOTAL INVESTMENTS — 95.05% (Cost $ 164,517,914) | $ | 177,370,675 | ||||||||||
OTHER ASSETS LESS LIABILITIES — 4.95% | 9,236,704 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.00% | $ | 186,607,379 | ||||||||||
|
|
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. |
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 | Insured by CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
DFA | Development Finance Authority | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
GO | General Obligation | |
HFA | Health Facilities Authority | |
HFFA | Health Facilities Financing Authority | |
IDA | Industrial Development Authority | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
Mtg | Mortgage | |
MFR | Multi-Family Revenue Bond | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
PCR | Pollution Control Revenue Bond | |
Q-SBLF | Qualified School Bond 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.
18 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $164,517,914) (Note 2) | $ | 177,370,675 | ||
Cash | 7,752,910 | |||
Receivable for investments sold | 452,953 | |||
Receivable for fund shares sold | 2,144,388 | |||
Interest receivable | 2,337,150 | |||
Prepaid expenses and other assets | 51,065 | |||
|
| |||
Total Assets | 190,109,141 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 2,482,282 | |||
Payable for fund shares redeemed | 771,289 | |||
Payable to investment advisor and other affiliates (Note 3) | 153,937 | |||
Accounts payable and accrued expenses | 33,300 | |||
Dividends payable | 60,954 | |||
|
| |||
Total Liabilities | 3,501,762 | |||
|
| |||
NET ASSETS | $ | 186,607,379 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 3,622 | ||
Net unrealized appreciation on investments | 12,852,761 | |||
Accumulated net realized gain (loss) | 2,193,810 | |||
Net capital paid in on shares of beneficial interest | 171,557,186 | |||
|
| |||
$ | 186,607,379 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($61,317,877 applicable to 4,043,696 shares of beneficial interest outstanding - Note 4) | $ | 15.16 | ||
Maximum sales charge, 2.00% of offering price | 0.31 | |||
|
| |||
Maximum offering price per share | $ | 15.47 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($25,578,707 applicable to 1,685,057 shares of beneficial interest outstanding - Note 4) | $ | 15.18 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($99,710,795 applicable to 6,569,538 shares of beneficial interest outstanding - Note 4) | $ | 15.18 | ||
|
|
* | 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 19
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Municipal Income Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME:
Interest income (net of premium amortized of $ 362,827) | $ | 3,746,826 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 705,745 | |||
Administration fees (Note 3) | ||||
Class A Shares | 42,064 | |||
Class C Shares | 15,869 | |||
Class I Shares | 23,876 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 84,129 | |||
Class C Shares | 77,322 | |||
Transfer agent fees | ||||
Class A Shares | 13,547 | |||
Class C Shares | 7,044 | |||
Class I Shares | 15,230 | |||
Registration and filing fees | ||||
Class A Shares | 14,329 | |||
Class C Shares | 11,428 | |||
Class I Shares | 11,773 | |||
Custodian fees (Note 3) | 32,992 | |||
Professional fees | 20,856 | |||
Accounting fees | 2,600 | |||
Trustee fees | 3,521 | |||
Other expenses | 11,987 | |||
|
| |||
Total Expenses | 1,094,312 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (30,691 | ) | ||
Fees paid indirectly (Note 3) | (2,780 | ) | ||
|
| |||
Net Expenses | 1,060,841 | |||
|
| |||
Net Investment Income | 2,685,985 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 2,193,849 | |||
Net change in unrealized appreciation (depreciation) on investments | (1,889,428 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 304,421 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 2,990,406 | ||
|
|
See notes to financial statements.
20 Certified Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Strategic Municipal Income Fund
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,685,985 | $ | 4,940,467 | ||||
Net realized gain (loss) on investments | 2,193,849 | 431,431 | ||||||
Net unrealized appreciation (depreciation) on investments | (1,889,428 | ) | 10,241,692 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,990,406 | 15,613,590 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (919,552 | ) | (1,821,624 | ) | ||||
Class C Shares | (309,392 | ) | (577,455 | ) | ||||
Class I Shares | (1,457,041 | ) | (2,541,388 | ) | ||||
From realized gains | ||||||||
Class A Shares | (158,051 | ) | (35,959 | ) | ||||
Class C Shares | (57,504 | ) | (13,233 | ) | ||||
Class I Shares | (215,913 | ) | (48,816 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | (4,076,738 | ) | 21,540,065 | |||||
Class C Shares | 2,078,319 | 6,778,829 | ||||||
Class I Shares | 7,379,523 | 32,570,889 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 5,254,057 | 71,464,898 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 181,353,322 | 109,888,424 | ||||||
|
|
|
| |||||
End of Period | $ | 186,607,379 | $ | 181,353,322 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 3,622 | $ | 3,622 |
* | Unaudited |
See notes to financial statements.
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case where management believes that a price
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 177,370,675 | $ | — | $ | 177,370,675 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 177,370,675 | $ | — | $ | 177,370,675 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
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.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $10,532 for Class A shares and $20,159 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, 2013, the Distributor has advised the Fund
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
that it earned net commissions aggregating $774 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $1,888 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $2,780.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 876,195 | $ | 13,390,507 | 2,136,532 | $ | 31,110,750 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 62,055 | 947,286 | 97,853 | 1,436,857 | ||||||||||||
Shares repurchased | (1,209,564 | ) | (18,414,531 | ) | (750,631 | ) | (11,007,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (271,314 | ) | $ | (4,076,738 | ) | 1,483,754 | $ | 21,540,065 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 312,900 | $ | 4,777,865 | 727,947 | $ | 10,720,340 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 19,790 | 302,391 | 28,039 | 412,028 | ||||||||||||
Shares repurchased | (196,813 | ) | (3,001,937 | ) | (296,969 | ) | (4,353,539 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 135,877 | $ | 2,078,319 | 459,017 | $ | 6,778,829 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,287,316 | $ | 19,626,753 | 3,079,352 | $ | 45,330,018 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 96,492 | 1,473,776 | 144,496 | 2,125,272 | ||||||||||||
Shares repurchased | (899,991 | ) | (13,721,006 | ) | (1,027,578 | ) | (14,884,401 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 483,817 | $ | 7,379,523 | 2,196,270 | $ | 32,570,889 | ||||||||||
|
|
|
|
|
|
|
|
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $44,423,509 and $30,683,110, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 164,517,914 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 13,005,758 | ||
Gross unrealized depreciation on a tax basis | (152,997 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 12,852,761 | ||
|
|
OTHER NOTES:
Risks: The Fund’s investments subject it to risks including, but not limited to, credit risk, interest rate risk, high yield 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, 2013 and the date of issuance of the financial statements that 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 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 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.17 | 0.21 | 0.02 | 0.23 | (0.21 | ) | (0.03 | ) | (0.24 | ) | $ | 15.16 | 2.73 | (c) | 1.25 | (c) | 1.25 | (c) | 1.28 | (c) | 1.53 | 17.94 | $ | 61,318 | |||||||||||||||||||||||||||||||||||
2012(b) | $ | 14.06 | 0.49 | 1.13 | 1.62 | (0.50 | ) | (0.01 | ) | (0.51 | ) | $ | 15.17 | 3.34 | 1.25 | 1.25 | 1.31 | 11.71 | 12.52 | $ | 65,446 | |||||||||||||||||||||||||||||||||||||||
2011(b) | $ | 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(b) | $ | 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(b)(d) | $ | 11.94 | 0.29 | 1.91 | 2.20 | (0.28 | ) | — | (0.28 | ) | $ | 13.86 | 4.71 | (c) | 1.25 | (c) | 1.25 | (c) | 2.92 | (c) | 18.65 | 14.37 | $ | 11,761 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | $ | 15.18 | 0.19 | 0.03 | 0.22 | (0.19 | ) | (0.03 | ) | (0.22 | ) | $ | 15.18 | 2.44 | (c) | 1.55 | (c) | 1.54 | (c) | 1.71 | (c) | 1.45 | 17.94 | $ | 25,578 | |||||||||||||||||||||||||||||||||||
2012 | $ | 14.07 | 0.45 | 1.12 | 1.57 | (0.45 | ) | (0.01 | ) | (0.46 | ) | $ | 15.18 | 3.04 | 1.55 | 1.55 | 1.78 | 11.38 | 12.52 | $ | 23,521 | |||||||||||||||||||||||||||||||||||||||
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(d) | $ | 11.94 | 0.27 | 1.93 | 2.20 | (0.27 | ) | — | (0.27 | ) | $ | 13.87 | 4.40 | (c) | 1.55 | (c) | 1.55 | (c) | 6.40 | (c)(e) | 18.58 | 14.37 | $ | 3,684 | ||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013 | $ | 15.18 | 0.23 | 0.03 | 0.26 | (0.23 | ) | (0.03 | ) | (0.26 | ) | $ | 15.18 | 3.05 | (c) | 0.93 | (c) | 0.93 | (c) | 0.93 | (c) | 1.76 | 17.94 | $ | 99,711 | |||||||||||||||||||||||||||||||||||
2012 | $ | 14.07 | 0.53 | 1.13 | 1.66 | (0.54 | ) | (0.01 | ) | (0.55 | ) | $ | 15.18 | 3.62 | 0.95 | 0.95 | 0.95 | 12.03 | 12.52 | $ | 92,386 | |||||||||||||||||||||||||||||||||||||||
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(d) | $ | 11.94 | 0.31 | 1.92 | 2.23 | (0.30 | ) | — | (0.30 | ) | $ | 13.87 | 4.90 | (c) | 0.99 | (c) | 0.99 | (c) | 2.12 | (c) | 18.87 | 14.37 | $ | 18,561 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Annualized. |
(d) | Fund commenced operations on April 1, 2009. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
EXPENSE EXAMPLE | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.30 | $ | 6.28 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.70 | $ | 6.29 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.50 | $ | 7.76 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.23 | $ | 7.77 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.60 | $ | 4.68 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.54%; I: 0.93%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
30 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Strategic Municipal Income Fund versus BofA Merrill Lynch Municipal Master Index
and Consumer Price Index (April 1, 2009 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | Since Inception | ||||||||||
A Shares (Incep: 4/1/09) | 4.57 | % | 7.11 | % | 10.25 | % | ||||||
C Shares (Incep: 4/1/09) | 5.79 | % | 7.52 | % | 10.51 | % | ||||||
I Shares (Incep: 4/1/09) | 7.10 | % | 8.17 | % | 11.14 | % | ||||||
BofA Merrill Lynch Municipal Master Index (Since: 4/1/09) | 5.59 | % | 6.56 | % | 7.61 | % |
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 2.00% . Class C shares assume deduction of a 0.60% contingent deferred sales charge (CDSC) for the first year only. There is no sales charge for Class I shares.
Certified Semi-Annual Report 31
OTHER INFORMATION | ||
Thornburg Strategic Municipal Income Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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38 This page is not part of the Semi-Annual Report.
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| Waste not, Wait not |
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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. | ||||
Distributor: | ||||||
Thornburg Securities Corporation® 800.847.0200 | You invest in the future, without spending a dime. | |||||
TH1979 |
IMPORTANT INFORMATION
The information presented on the following pages is current as of March 31, 2013. 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 |
Glossary
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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
This page is not part of the Semi-Annual Report. 3
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 pursue 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 0.95%, 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, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 2/19/87) | ||||||||||||||||||||
Without sales charge | 3.17 | % | 4.30 | % | 4.39 | % | 3.43 | % | 4.72 | % | ||||||||||
With sales charge | 1.60 | % | 3.77 | % | 4.08 | % | 3.27 | % | 4.66 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||
1.63% | 0.60 | % |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 274 | |||
Effective Duration | 3.3Yrs | |||
Average Maturity | 4.0Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 10.
4 This page is not part of the Semi-Annual Report.
Thornburg California Limited Term Municipal Fund –
March 31, 2013
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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 5
April 18, 2013
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 one cent to $13.76 per share during the six months ended March 31, 2013. If you were with us for the entire period, you received dividends of 12.4 cents per share. If you reinvested your dividends, you received 12.5 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 1.05% at NAV over the six months ended March 31, 2013, compared to the 0.71% for the BofA Merrill Lynch 1–10 Year U.S. Municipal Securities Index.
Our overweights to California revenue sectors, middle-tier investment grade credits, local school districts, and zero-coupon bonds, combined with our underweight to the general obligation sector explained much of our relative outperformance for the period. The Fund also benefitted from our concerted migration away from higher duration positions into more price-stable bonds maturing inside of three years.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield remains near the average of its Morningstar competitive group and comfortably above the BofA Merrill Lynch 1–10 Year U.S. Municipal Securities Index.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were at this time in 2011, several metrics are apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Not isolated to California’s municipal market space, fixed income as a broad asset class has been over-valued for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity – the banking crisis of 2008 and the Meredith Whitney event of 2010, for example – we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure and locking in attractive rates that we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the one we’re in, when yields reach a trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Investors who have been with us through the years are rarely surprised to see us adopt a contrarian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We believe there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013, we’ve seen 30 consecutive months in national employment growth. The state of California has been leading the march in recent U.S. employment growth, creating 300,000 jobs during the twelve months leading up to December 31, 2012.
Total non-farm payrolls at both the state and national level are still below where they were at the beginning of the Great Recession in 2007. The brown line in chart I illustrates this national trend. This, combined with a falling labor participation rate, tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor on short-term rates. Now is a good time to remind investors that “income” drives sustainable returns, not artificial constraints on interest rates, not momentum buying, nor chasing after prior years’ performance.
Chart I: Non-farm Employment in Selected Recessions
While private-sector employment has fueled job growth in California over the last three years, state and local governments have been steadily eliminating jobs nationally. The brown line in chart II on the next page shows state and local government employment trends in the Great Recession; state and local government recovery in previous recessions is shown for comparison. As reflected in recent Bureau of Labor Statistics data, cuts in government employment have been far more severe than in any other recession during the last 40 years. While government employment cuts of this nature have their
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
place, and are lauded among champions of fiscal conservatism, high unemployment stemming from the private and public sector remains an economic headwind.
Investment ratings of state of California general obligation and appropriation debt have been revised upward by rating agencies Fitch and Standard and Poor’s in recent months. Both agencies cite improvements in fiscal management, along with a demonstrated willingness to implement constraints on spending and create new sources of tax revenue, as progress toward addressing the state’s long-standing structural deficit.
Chart II: State and Local Government Employment in Selected Recessions
At the local government level, tax collections among most of California’s city and county municipalities have been slow to recover in recent years due primarily to lags in assessed property values. As we’ve seen in recent years, property taxes based on assessed values often lead to less pronounced, but protracted periods of revenue decline following sharp declines in real estate prices. Fortunately, the rate of decline in assessed valuations has lessened within the state, and in some areas growth is trending positive. From what we can glean from a recent uptrend in housing market values, we could reasonably anticipate this will provide some support to revenue growth in the years ahead.
While many fiscal trends impacting California’s state and local governments have been positive and steady, the road to recovery has still been very slow. By no means are state and local government municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy day funds. Many have exhausted one-time revenue sources, and recent cuts to essential and non-essential government functions may limit flexibility to control expenses going forward.
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg California Limited Term Municipal Fund, we believe a holding period of at least two to three years will make it easier to navigate through any potentially rough waters that may lie ahead.
Your Thornburg California Limited Term Municipal Fund is a laddered portfolio of 145 diversified municipal obligors within the state of California, the U.S. Virgin Islands, and Guam. We ladder the
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
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 should dampen the Fund’s price volatility. Laddering also 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.
We continue to search for opportunities in the California 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 new opportunities and challenges present themselves.
Chart III: Percent of Portfolio Maturing
As of 3/31/13. Percentages vary over time.
Data may not add up to 100% due to rounding.
Sincerely, | ||||
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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 9
SCHEDULE OF INVESTMENTS | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (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 | |||||||
Alameda County COP, 5.625% due 12/1/2016 (Santa Rita Jail; Insured: AMBAC) | AA/NR | $ | 1,830,000 | $ | 2,124,465 | |||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Capital Projects) | AA/Aa3 | 1,000,000 | 1,221,860 | |||||||
Alvord USD GO, 5.25% due 2/1/2014 (Insured: Natl-Re) | A+/Baa2 | 1,150,000 | 1,195,816 | |||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2020 (Electric System Distribution Facilities; Insured: AMBAC) | NR/NR | 445,000 | 474,819 | |||||||
Anaheim Public Financing Authority, 5.00% due 10/1/2021 (Electric System Distribution Facilities; Insured: AMBAC) | NR/NR | 820,000 | 871,635 | |||||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) | AA-/A2 | 3,000,000 | 2,207,760 | |||||||
Bay Area Toll Authority, 5.00% due 4/1/2016 (San Francisco Bay Area Toll Bridge) | AA/Aa3 | 2,075,000 | 2,351,784 | |||||||
Bay Area Toll Authority, 0.82% due 4/1/2047 put 10/1/2019 (San Francisco Bay Area Toll Bridge) | AA/Aa3 | 5,000,000 | 5,009,250 | |||||||
Bay Area Water Supply & Conservation Agency, 1.00% due 10/1/2014 (Regional Water System Improvements) | AA-/Aa3 | 1,000,000 | 1,011,660 | |||||||
Bay Area Water Supply & Conservation Agency, 2.00% due 10/1/2015 (Regional Water | ||||||||||
System Improvements) | AA-/Aa3 | 1,000,000 | 1,040,280 | |||||||
Bay Area Water Supply & Conservation Agency, 3.00% due 10/1/2016 (Regional Water | ||||||||||
System Improvements) | AA-/Aa3 | 3,965,000 | 4,300,201 | |||||||
Calexico USD COP, 6.75% due 9/1/2017 | A-/NR | 3,060,000 | 3,372,701 | |||||||
California Education Notes Program, 2.00% due 1/31/2014 (School Districts Capital Program Cash Flow Management) | �� | SP-1+/NR | 13,340,000 | 13,536,765 | ||||||
California Educational Facilities Authority, 5.00% due 4/1/2018 (Pitzer College) | NR/A3 | 1,540,000 | 1,784,845 | |||||||
California Educational Facilities Authority, 0% due 10/1/2019 (Loyola Marymount University; Insured: Natl-Re) | NR/A2 | 2,025,000 | 1,726,535 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2020 (Pitzer College) | NR/A3 | 1,445,000 | 1,707,990 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2022 (Chapman University) | NR/A2 | 2,000,000 | 2,366,420 | |||||||
California HFFA, 5.25% due 10/1/2013 (Providence Health and Services) | AA/Aa2 | 650,000 | 666,367 | |||||||
California HFFA, 5.00% due 8/15/2014 (Cedars-Sinai Medical Center) | NR/A2 | 1,500,000 | 1,594,200 | |||||||
California HFFA, 4.00% due 2/1/2016 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | A/NR | 2,475,000 | 2,675,302 | |||||||
California HFFA, 5.50% due 10/1/2017 (Providence Health and Services) | AA/Aa2 | 1,100,000 | 1,314,181 | |||||||
California HFFA, 5.50% due 2/1/2018 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | A/NR | 2,715,000 | 3,221,673 | |||||||
California HFFA, 6.00% due 10/1/2018 (Providence Health and Services) | AA/Aa2 | 1,000,000 | 1,251,050 | |||||||
California HFFA, 5.00% due 11/15/2018 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,235,000 | 1,430,266 | |||||||
California HFFA, 5.10% due 2/1/2019 (Episcopal Home; Insured: California Mtg Insurance) (ETM) | A/NR | 1,460,000 | 1,660,838 | |||||||
California HFFA, 5.00% due 11/15/2020 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,190,000 | 1,392,133 | |||||||
California HFFA, 5.25% due 3/1/2022 (Catholic Healthcare West Health Facilities) | A/A3 | 1,000,000 | 1,189,450 | |||||||
California HFFA, 5.125% due 7/1/2022 (Catholic Healthcare West Health Facilities) | A/A3 | 2,635,000 | 2,885,167 | |||||||
California HFFA, 1.45% due 8/15/2023 put 3/15/2017 (Lucile Salter Packard Children’s Hospital) | AA/Aa3 | 3,000,000 | 3,040,260 | |||||||
California HFFA, 5.00% due 7/1/2027 put 7/1/2014 (Catholic Healthcare West Health Facilities) | A/A3 | 2,000,000 | 2,111,180 | |||||||
California Mobilehome Park Financing Authority, 5.00% due 11/15/2013 (Rancho Vallecitos; Insured: ACA) | NR/NR | 290,000 | 292,190 | |||||||
California PCR Financing Authority, 5.90% due 6/1/2014 (San Diego Gas & Electric) | A/A2 | 2,500,000 | 2,664,650 |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
California PCR Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) | BBB/Baa3 | $ | 2,820,000 | $ | 3,169,342 | |||||
California School Cash Reserve Program Authority, 2.00% due 10/1/2013 (Series AA School Districts Educational Purposes) | SP-1+/NR | 500,000 | 504,390 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | A-/A2 | 1,580,000 | 1,586,589 | |||||||
California State Department of Veterans Affairs, 2.75% due 12/1/2018 (Farm and Home Purchase Program) | AA/Aa3 | 1,000,000 | 1,038,180 | |||||||
California State Department of Veterans Affairs, 3.00% due 12/1/2019 (Farm and Home Purchase Program) | AA/Aa3 | 500,000 | 523,145 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2014 (DWR Power Supply Program) | AA-/Aa3 | 1,000,000 | 1,051,980 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) | AA-/Aa3 | 5,000,000 | 5,481,550 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2015 (DWR Power Supply Program) | AA-/Aa3 | 3,400,000 | 3,727,454 | |||||||
California State Economic Recovery GO, 5.25% due 7/1/2014 (Insured; Natl-Re/FGIC) | A+/Aa3 | 1,045,000 | 1,110,051 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2015 (Insured: Natl-Re) | A+/Aa3 | 585,000 | 619,006 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2018 | A+/Aa3 | 3,000,000 | 3,601,230 | |||||||
California State Housing Finance Agency, 3.70% due 8/1/2013 (Single Family Housing; Insured: FGIC) | BBB/Baa2 | 1,670,000 | 1,680,738 | |||||||
California State Housing Finance Agency, 3.80% due 2/1/2014 (Single Family Housing; Insured: FGIC) | BBB/Baa2 | 770,000 | 781,796 | |||||||
California State Housing Finance Agency, 5.00% due 2/1/2014 (Single Family Housing; Insured: FGIC) (AMT) | BBB/Baa2 | 1,200,000 | 1,216,488 | |||||||
California State Housing Finance Agency, 4.85% due 8/1/2016 (Single Family Housing; Insured: AGM) (AMT) | AA-/A2 | 1,000,000 | 1,068,320 | |||||||
California State Housing Finance Agency, 5.00% due 8/1/2017 (Single Family Housing; Insured: AGM) (AMT) | AA-/A2 | 980,000 | 1,049,619 | |||||||
California State Housing Finance Agency, 5.125% due 8/1/2018 (Single Family Housing; Insured: AGM) (AMT) | AA-/A2 | 1,000,000 | 1,060,820 | |||||||
California State Housing Finance Agency, 3.05% due 12/1/2019 (Multi-Famiy Housing; Insured: FHA) | NR/Aaa | 735,000 | 753,596 | |||||||
California State Infrastructure & Economic Development Bank, 5.25% due 8/15/2020 (King City High School) | A/NR | 1,000,000 | 1,168,960 | |||||||
California State Public Works Board, 5.25% due 10/1/2013 (California State University) | A-/Aa3 | 500,000 | 502,080 | |||||||
California State Public Works Board, 5.25% due 11/1/2014 (University of California; Insured: Natl-Re) | AA-/Aa2 | 1,000,000 | 1,078,620 | |||||||
California State Public Works Board, 5.25% due 12/1/2014 (California Community Colleges) | A-/A2 | 1,525,000 | 1,531,069 | |||||||
California State Public Works Board, 5.00% due 1/1/2015 (Correctional Facilities Improvements; Insured: AMBAC) | A-/A2 | 2,000,000 | 2,159,180 | |||||||
California State Public Works Board, 5.00% due 11/1/2015 (University of California) | AA-/Aa2 | 1,000,000 | 1,074,600 | |||||||
California State Public Works Board, 5.00% due 11/1/2016 (California State University-J. Paul Leonard & Sutro Library) | A-/Aa3 | 1,000,000 | 1,146,680 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (University of California; Insured: Natl-Re/FGIC) | AA-/Aa2 | 1,185,000 | 1,445,285 | |||||||
California State Public Works Board, 5.125% due 3/1/2021 (Various State Participating Agency Capital Projects) | A-/A2 | 1,635,000 | 1,940,712 | |||||||
California State Public Works Board, 5.00% due 12/1/2021 (Judicial Council Projects) | A-/A2 | 2,500,000 | 3,030,225 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (Riverside Campus) | A-/A2 | 565,000 | 680,220 | |||||||
California State Public Works Board, 5.00% due 11/1/2022 (Correctional Facilities Improvements) | A-/A2 | 1,500,000 | 1,815,885 | |||||||
California State Public Works Board, 5.00% due 12/1/2022 (Judicial Council Projects) | A-/A2 | 1,200,000 | 1,430,244 | |||||||
California State Public Works Board, 5.00% due 3/1/2023 (Judicial Council Projects) | A-/A2 | 1,400,000 | 1,682,730 | |||||||
California State Public Works Board, 5.00% due 3/1/2024 (Judicial Council Projects) | A-/A2 | 1,000,000 | 1,181,100 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
California Statewide Communities Development Authority, 5.50% due 8/15/2014 (Enloe Medical Center; Insured: California Mtg Insurance) | A/NR | $ | 750,000 | $ | 796,642 | |||||
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) | A+/NR | 3,715,000 | 4,483,113 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; Insured: College for Certain LLC) | NR/NR | 1,460,000 | 1,516,079 | |||||||
California Statewide Communities Development Authority, 3.90% due 8/1/2031 put 7/1/2014 (Kaiser Foundation Hospitals) | A+/NR | 800,000 | 828,416 | |||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities Improvements; Insured: ACA) | NR/NR | 5,000,000 | 2,390,350 | |||||||
Carson Redevelopment Agency, 6.00% due 10/1/2019 (Project Area 1) | A-/NR | 1,050,000 | 1,228,762 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re/FGIC) | A+/NR | 3,300,000 | 2,708,112 | |||||||
Centinela Valley USD GO, 4.00% due 12/1/2013 | SP-1+/NR | 3,000,000 | 3,068,430 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2015 (Carson Ice) | A+/A1 | 1,000,000 | 1,088,640 | |||||||
Central Valley Financing Authority, 5.25% due 7/1/2020 (Carson Ice) | A+/A1 | 500,000 | 598,990 | |||||||
Cerritos Public Financing Authority, 5.00% due 11/1/2014 (Insured: AMBAC) | A-/NR | 1,260,000 | 1,324,714 | |||||||
Chabot-Las Positas Community College District GO, 0% due 8/1/2018 (Capital Improvements; Insured: AMBAC) | A+/Aa3 | 2,465,000 | 2,132,964 | |||||||
Chula Vista Elementary School District COP, 4.70% due 9/1/2022 (Elementary School Building Project; Insured: Natl-Re) | NR/Baa2 | 900,000 | 903,753 | |||||||
City of Burbank California Water and Power Electric, 5.00% due 6/1/2015 (Electric Systems Capital Improvements) | AA-/A1 | 750,000 | 822,315 | |||||||
City of Burbank California Water and Power Electric, 5.00% due 6/1/2016 (Electric Systems Capital Improvements) | AA-/A1 | 500,000 | 567,285 | |||||||
City of Burbank California Water and Power Electric, 5.00% due 6/1/2017 (Electric Systems Capital Improvements) | AA-/A1 | 1,000,000 | 1,168,330 | |||||||
City of Burbank California Water and Power Electric, 5.00% due 6/1/2018 (Electric Systems Capital Improvements) | AA-/A1 | 360,000 | 429,772 | |||||||
City of Burbank California Water and Power Electric, 5.00% due 6/1/2020 (Electric Systems Capital Improvements) | AA-/A1 | 625,000 | 767,919 | |||||||
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.) | A+/Aa3 | 3,000,000 | 3,052,950 | |||||||
City of Chula Vista COP, 5.25% due 3/1/2020 (Capital Facilities Project) | A-/NR | 1,300,000 | 1,508,260 | |||||||
City of Folsom, 4.00% due 12/1/2014 (Community Facilities District No. 2) | A+/NR | 755,000 | 794,177 | |||||||
City of Folsom, 5.00% due 12/1/2016 (Community Facilities District No. 2) | A+/NR | 1,100,000 | 1,224,234 | |||||||
City of Folsom, 5.00% due 12/1/2018 (Community Facilities District No. 2) | A+/NR | 965,000 | 1,096,906 | |||||||
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/Aa3 | 2,880,000 | 3,035,117 | |||||||
City of Manteca, 2.00% due 12/1/2013 (Wastewater and Sewer System Improvements) | AA-/Aa3 | 425,000 | 429,964 | |||||||
City of Manteca, 2.00% due 7/1/2014 (Water Supply System Improvements) | AA-/A1 | 450,000 | 459,315 | |||||||
City of Manteca, 3.00% due 12/1/2015 (Wastewater and Sewer System Improvements) | AA-/Aa3 | 280,000 | 296,789 | |||||||
City of Manteca, 4.00% due 7/1/2016 (Water Supply System Improvements) | AA-/A1 | 300,000 | 331,272 | |||||||
City of Manteca, 3.00% due 12/1/2016 (Wastewater and Sewer System Improvements) | AA-/Aa3 | 520,000 | 560,461 | |||||||
City of Manteca, 4.00% due 7/1/2018 (Water Supply System Improvements) | AA-/A1 | 550,000 | 626,434 | |||||||
City of Manteca, 4.00% due 12/1/2018 (Wastewater and Sewer System Improvements) | AA-/Aa3 | 375,000 | 430,013 | |||||||
City of Manteca, 5.00% due 7/1/2019 (Water Supply System Improvements) | AA-/A1 | 400,000 | 482,392 | |||||||
City of Manteca, 5.00% due 7/1/2021 (Water Supply System Improvements) | AA-/A1 | 1,000,000 | 1,220,060 | |||||||
City of Manteca, 5.00% due 7/1/2023 (Water Supply System Improvements) | AA-/A1 | 650,000 | 786,526 | |||||||
City of Moorpark Mobile Home Park, 4.90% due 5/15/2017 (Villa Del Arroyo) | BBB/NR | 965,000 | 1,008,261 | |||||||
City of Oxnard Financing Authority, 5.00% due 5/1/2013 (Solid Waste System; Insured: AMBAC) (AMT) | A-/NR | 2,115,000 | 2,121,620 | |||||||
City of Oxnard Financing Authority, 5.25% due 6/1/2014 (Wastewater Treatment Plants; Insured: Natl-Re/FGIC) | BBB/NR | 1,000,000 | 1,007,890 | |||||||
City of Pasadena, 4.00% due 6/1/2013 (Electric System Improvements; Insured: AGM) | AA-/NR | 730,000 | 734,555 | |||||||
City of Porterville COP, 6.30% due 10/1/2018 (Public Service Capital Projects; Insured: AMBAC) | NR/NR | 1,250,000 | 1,341,650 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Roseville COP, 5.00% due 2/1/2019 (Electric System Improvements; Insured: Natl- Re/FGIC) | A+/A2 | $ | 850,000 | $ | 901,153 | |||||
City of Santa Fe Springs Community Development Commission, 5.00% due 9/1/2018 (Redevelopment Project; Insured: Natl-Re) | A/Baa2 | 1,235,000 | 1,353,622 | |||||||
City of Seal Beach Redevelopment Agency, 5.20% due 12/15/2013 (Seal Beach Mobile Home Park; Insured: ACA) | NR/NR | 125,000 | 125,976 | |||||||
City of Torrance, 5.00% due 9/1/2020 (Torrance Memorial Medical Center) | A/A2 | 1,155,000 | 1,380,029 | |||||||
City of Torrance, 6.00% due 6/1/2022 (Torrance Memorial Medical Center) | A/A2 | 2,600,000 | 2,610,816 | |||||||
City of Vallejo, 5.00% due 5/1/2017 (Water Improvement Project; Insured: Natl-Re) | NR/Baa2 | 1,240,000 | 1,365,079 | |||||||
City of Whittier, 5.375% due 8/1/2014 (Solid Waste; Insured: AMBAC) | NR/NR | 370,000 | 370,895 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2017 (Electric Generation Facility Project) | NR/A2 | 530,000 | 583,270 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2018 (Electric Generation Facility Project) | NR/A2 | 550,000 | 613,289 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2019 (Electric Generation Facility Project) | NR/A2 | 400,000 | 446,712 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2020 (Electric Generation Facility Project) | NR/A2 | 410,000 | 481,566 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2021 (Electric Generation Facility Project) | NR/A2 | 650,000 | 764,588 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2022 (Electric Generation Facility Project) | NR/A2 | 970,000 | 1,138,702 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM) | AA-/NR | 250,000 | 287,558 | |||||||
Contra Costa Water District, 2.50% due 10/1/2013 | AA/NR | 2,000,000 | 2,024,020 | |||||||
Corona-Norco USD GO, 0% due 9/1/2017 (Insured: AGM) | AA-/Aa2 | 1,595,000 | 1,504,787 | |||||||
County of El Dorado Community Facilities District, 5.00% due 9/1/2019 (El Dorado Hills Development) | A/NR | 1,700,000 | 1,959,505 | |||||||
County of Monterey COP, 5.00% due 8/1/2014 (Natividad Medical Center; Insured: AGM) | AA/A1 | 2,000,000 | 2,113,300 | |||||||
County of Monterey COP, 5.25% due 8/1/2021 (Natividad Medical Center; Insured: AGM) | AA/A1 | 3,700,000 | 4,377,951 | |||||||
County of Stanislaus, 5.75% due 5/1/2015 (Insured: Natl-Re) | A+/Baa2 | 1,815,000 | 1,992,090 | |||||||
Delano Financing Authority, 5.00% due 12/1/2017 (Police Station and Capital Improvements) | A/NR | 1,085,000 | 1,241,338 | |||||||
Delano Financing Authority, 5.00% due 12/1/2018 (Police Station and Capital Improvements) | A/NR | 1,135,000 | 1,316,975 | |||||||
Delano Financing Authority, 5.00% due 12/1/2019 (Police Station and Capital Improvements) | A/NR | 1,195,000 | 1,403,002 | |||||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling Financing Project; Insured: CIFG) | AA-/A3 | 735,000 | 811,014 | |||||||
Fresno County USD GO, 5.90% due 8/1/2017 (Educational Facilities Improvements; Insured: Natl-Re) | A+/Baa2 | 590,000 | 712,525 | |||||||
Fresno County USD GO, 5.90% due 8/1/2018 (Educational Facilities Improvements; Insured: Natl-Re) | A+/Baa2 | 630,000 | 774,207 | |||||||
Fresno County USD GO, 5.90% due 8/1/2019 (Educational Facilities Improvements; Insured: Natl-Re) | A+/Baa2 | 675,000 | 833,935 | |||||||
Fresno County USD GO, 5.00% due 2/1/2020 (Educational Facilities Improvements; Insured: Natl-Re) | A+/Baa2 | 2,510,000 | 2,930,977 | |||||||
Fresno County USD GO, 5.90% due 8/1/2020 (Educational Facilities Improvements; Insured: Natl-Re) | A+/Baa2 | 720,000 | 884,974 | |||||||
Fullerton Public Financing Authority, 5.00% due 9/1/2016 (Insured: AMBAC) | A/NR | 1,775,000 | 1,944,228 | |||||||
Guam Power Authority, 5.00% due 10/1/2021 (Electric Power System; Insured: AGM) | AA-/A2 | 1,275,000 | 1,545,453 | |||||||
Hemet USD GO, 4.00% due 8/1/2018 (Insured: AGM) | AA-/NR | 1,335,000 | 1,498,177 | |||||||
Irvine Public Facilities & Infrastructure Authority, 2.00% due 9/2/2013 | BBB+/NR | 1,000,000 | 1,005,430 | |||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2015 | BBB+/NR | 570,000 | 588,371 | |||||||
Irvine Public Facilities & Infrastructure Authority, 3.00% due 9/2/2016 | BBB+/NR | 1,290,000 | 1,334,324 | |||||||
Kern Community College District COP, 4.00% due 4/1/2014 | SP-1+/NR | 3,000,000 | 3,093,150 | |||||||
Kern High School District GO, 3.00% due 8/1/2014 (Insured: AGM) | A+/Aa2 | 610,000 | 631,911 | |||||||
Kern High School District GO, 3.00% due 8/1/2015 (Insured: AGM) | A+/Aa2 | 500,000 | 529,365 | |||||||
Kern High School District GO, 4.00% due 8/1/2016 (Insured: AGM) | A+/Aa2 | 500,000 | 556,085 | |||||||
Kern High School District GO, 4.00% due 8/1/2017 (Insured: AGM) | A+/Aa2 | 500,000 | 568,230 | |||||||
Kern High School District GO, 4.00% due 8/1/2018 (Insured: AGM) | A+/Aa2 | 500,000 | 575,660 | |||||||
Lindsay USD COP, 5.75% due 10/1/2017 (Insured: AGM) | AA-/NR | 1,160,000 | 1,291,347 | |||||||
Lindsay USD COP, 6.00% due 10/1/2018 (Insured: AGM) | AA-/NR | 680,000 | 772,881 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Lodi Public Financing Authority, 3.00% due 10/1/2016 (City Police Building and Jail) | A/NR | $ | 830,000 | $ | 872,305 | |||||
Lodi Public Financing Authority, 5.00% due 10/1/2020 (City Police Building and Jail) | A/NR | 965,000 | 1,113,649 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2021 (City Police Building and Jail) | A/NR | 1,020,000 | 1,180,650 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2022 (City Police Building and Jail) | A/NR | 1,040,000 | 1,196,042 | |||||||
Los Alamitos USD GO, 0% due 9/1/2016 (School Facilities Improvements) | SP-1+/Aa2 | 2,000,000 | 1,931,500 | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2016 | A+/A2 | 2,100,000 | 2,334,381 | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2017 | A+/A2 | 1,660,000 | 1,875,136 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 9/1/2014 (Multiple Facilities Projects; Insured: Natl-Re/FGIC) | NR/NR | 2,990,000 | 3,163,599 | |||||||
Los Angeles County Public Works Financing Authority, 4.25% due 6/1/2016 (Calabasas Landfill; Insured: AMBAC) | AA-/A1 | 1,000,000 | 1,056,410 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | AA-/A1 | 2,060,000 | 2,443,510 | |||||||
Los Angeles County Schools Pooled Financing Program COP, 2.00% due 12/31/2013 (Cash Flow Management) | SP-1+/NR | 2,000,000 | 2,025,460 | |||||||
Los Angeles County Schools Pooled Financing Program COP, 2.00% due 12/31/2013 (Cash Flow Management) | SP-1+/NR | 6,000,000 | 6,078,180 | |||||||
Los Angeles County Schools Regionalized Business Services Corp. COP, 0% due 8/1/2021 (Insured: AMBAC) | NR/NR | 2,135,000 | 1,471,720 | |||||||
Los Angeles Department of Airports, 5.50% due 5/15/2018 (Los Angeles International Airport) (AMT) | AA/Aa3 | 2,000,000 | 2,416,780 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 11/1/2017 (Capital Improvements) | A+/A3 | 3,235,000 | 3,744,254 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 3/1/2018 (Capital Improvements) | A+/A3 | 4,765,000 | 5,534,690 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2014 (Information Technology Projects; Insured: AMBAC) | A+/A1 | 725,000 | 774,336 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2015 (Information Technology Projects; Insured: AMBAC) | A+/A1 | 2,000,000 | 2,202,140 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2016 (Information Technology Projects; Insured: AMBAC) | A+/A1 | 425,000 | 481,262 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities Improvements) | A+/A1 | 2,000,000 | 2,392,680 | |||||||
Los Angeles USD GO, 4.00% due 7/1/2013 (Educational Facilities Improvements) | AA-/Aa2 | 775,000 | 782,703 | |||||||
Manteca Financing Authority, 5.00% due 12/1/2033 pre-refunded 12/1/2013 (Wastewater Quality Control Facility; Insured: | NR/Aa3 | 1,535,000 | 1,583,752 | |||||||
Manteca USD Community Facilities District No. 1989-2, 3.00% due 9/1/2016 (Educational Facilities; Insured: AGM) | AA-/A2 | 410,000 | 435,687 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2018 (Educational Facilities; Insured: AGM) | AA-/A2 | 500,000 | 555,240 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2019 (Educational Facilities; Insured: AGM) | AA-/A2 | 870,000 | 962,620 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2020 (Educational Facilities; Insured: AGM) | AA-/A2 | 1,425,000 | 1,665,654 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2021 (Educational Facilities; Insured: AGM) | AA-/A2 | 750,000 | 878,767 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2023 (Educational Facilities; Insured: AGM) | AA-/A2 | 500,000 | 581,645 | |||||||
Mark West Union School District GO, 4.125% due 8/1/2020 (Educational Facilities Improvements; Insured: Natl-Re/FGIC) | AA-/NR | 1,275,000 | 1,291,192 | |||||||
Milpitas Redevelopment Agency, 5.00% due 9/1/2015 (Insured: Natl-Re) | A/Baa2 | 2,200,000 | 2,243,010 | |||||||
Modesto Irrigation District, 5.00% due 7/1/2022 (San Joaquin Valley Electric System) | A+/A2 | 1,000,000 | 1,222,560 | |||||||
Mojave USD COP, 0% due 9/1/2017 (Educational Facilities Improvements; Insured: AGM) | AA-/NR | 1,045,000 | 964,201 | |||||||
Mojave USD COP, 0% due 9/1/2018 (Educational Facilities Improvements; Insured: AGM) | AA-/NR | 1,095,000 | 968,429 | |||||||
Mojave USD GO, 0% due 6/1/2013 (Cash Flow Management) | SP-1+/NR | 2,070,000 | 2,069,131 | |||||||
Northern California Power Agency, 4.00% due 7/1/2015 (Hydroelectric Project) | A+/A2 | 500,000 | 539,010 | |||||||
Northern California Power Agency, 5.00% due 7/1/2016 (Hydroelectric Project) | A+/A2 | 500,000 | 568,530 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) | A+/A2 | $ | 100,000 | $ | 116,520 | |||||
Northern California Power Agency, 5.00% due 7/1/2018 (Hydroelectric Project) | A+/A2 | 1,250,000 | 1,487,812 | |||||||
Northern California Power Agency, 5.00% due 6/1/2019 (Lodi Energy Center) | A-/A3 | 2,340,000 | 2,793,515 | |||||||
Norwalk Redevelopment Agency, 5.00% due 10/1/2014 (Insured: Natl-Re) | NR/Baa2 | 625,000 | 655,394 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2019 (Insured: AGM) | AA-/A1 | 2,000,000 | 1,725,460 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2021 (Insured: Natl-Re) | A+/A1 | 2,850,000 | 2,232,319 | |||||||
Pasadena USD GO, 5.00% due 11/1/2018 (Insured: AGM) | NR/Aa2 | 1,200,000 | 1,356,624 | |||||||
Pomona USD GO, 6.10% due 2/1/2020 (Educational Facilities Improvements; Insured: Natl-Re) | A/Baa2 | 465,000 | 575,159 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/A2 | 2,500,000 | 2,919,800 | |||||||
Redevelopment Agency of the City of San Mateo, 4.00% due 8/1/2020 (Downtown and Shoreline Area Redevelopment Projects; Insured: XLCA) | A/Ba1 | 400,000 | 408,496 | |||||||
Regents of the University of California, 4.00% due 5/15/2017 (Campus Housing and Facilities) | AA-/Aa2 | 1,250,000 | 1,417,650 | |||||||
Richmond Joint Powers Financing Authority, 5.25% due 5/15/2013 | A+/NR | 105,000 | 105,272 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2016 (Ridgecrest Redevelopment Project) | A-/Ba1 | 1,055,000 | 1,147,629 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2017 (Ridgecrest Redevelopment Project) | A-/Ba1 | 1,055,000 | 1,159,287 | |||||||
Ridgecrest Redevelopment Agency, 5.25% due 6/30/2018 (Ridgecrest Redevelopment Project) | A-/Ba1 | 1,050,000 | 1,174,372 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2019 (Ridgecrest Redevelopment Project) | A-/Ba1 | 1,050,000 | 1,195,834 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2020 (Ridgecrest Redevelopment Project) | A-/Ba1 | 1,040,000 | 1,194,534 | |||||||
Riverside County Palm Desert Financing Authority, 5.00% due 5/1/2013 (County Facilities Projects) | AA-/A2 | 1,000,000 | 1,004,340 | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2015 (Redevelopment Project Area No. 1; Insured: AMBAC) | A+/NR | 1,015,000 | 1,113,597 | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2016 (Redevelopment Project Area No. 1; Insured: AMBAC) | A+/NR | 700,000 | 769,111 | |||||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 | A-/Baa2 | 1,390,000 | 1,549,155 | |||||||
Sacramento City Financing Authority, 0% due 11/1/2014 (Insured: Natl-Re) | NR/Baa2 | 3,480,000 | 3,345,394 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements) | A+/A1 | 3,600,000 | 4,401,396 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2015 (Procter & Gamble Project) | A+/A1 | 1,100,000 | 1,203,048 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2019 (Procter & Gamble Project) | A+/A1 | 625,000 | 744,694 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 (Cosumnes Project; Insured: Natl-Re) | BBB/A3 | 3,000,000 | 3,338,790 | |||||||
San Bernardino County Community Facilities District, 5.30% due 9/1/2013 | NR/NR | 300,000 | 304,728 | |||||||
San Diego Public Facilities Financing Authority, 5.00% due 9/1/2013 (Balboa and Mission Bay Parks and Jack Murphy Stadium) | A+/A2 | 500,000 | 509,840 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2014 (Centre City Redevelopment; Insured: AMBAC) | NR/Ba1 | 200,000 | 208,970 | |||||||
San Diego Redevelopment Agency, 5.25% due 9/1/2015 (Centre City Redevelopment; Insured: AGM) | AA-/A2 | 1,375,000 | 1,387,444 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2018 (Centre City Redevelopment; Insured: AMBAC) | NR/Ba1 | 3,215,000 | 3,491,201 | |||||||
San Diego Redevelopment Agency, 0% due 9/1/2019 (Centre City Redevelopment; Insured: AGM) | AA-/A2 | 1,910,000 | 1,622,736 | |||||||
San Diego Redevelopment Agency, 5.80% due 11/1/2021 (Horton Plaza) | A-/Ba1 | 2,635,000 | 2,640,797 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) | AA-/Aa3 | 1,390,000 | 1,722,947 | |||||||
San Francisco City & County Airports Commission, 4.00% due 5/1/2013 | A+/A1 | 500,000 | 501,770 | |||||||
San Francisco City & County COP, 5.00% due 11/1/2022 (525 Golden Gate Ave-Public Utilities Commission Office Project) | AA-/Aa3 | 700,000 | 810,383 | |||||||
San Francisco City & County Redevelopment Agency, 0% due 7/1/2013 (George R. Moscone Convention Center) | AA-/Aa3 | 1,200,000 | 1,198,944 | |||||||
San Francisco City & County Redevelopment Agency, 5.25% due 8/1/2013 (San Francisco Redevelopment Project; Insured: Natl-Re/FGIC) | A/Ba1 | 1,250,000 | 1,269,075 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
San Francisco City & County Redevelopment Agency, 5.25% due 8/1/2014 (San Francisco Redevelopment Project; Insured: Natl-Re/FGIC) | A/Ba1 | $ | 2,000,000 | $ | 2,030,300 | |||||
San Francisco City & County Redevelopment Agency, 5.00% due 6/1/2020 (San Francisco Redevelopment Project; Insured: AGM) | AA-/A1 | 1,730,000 | 2,045,933 | |||||||
San Joaquin County COP, 5.50% due 11/15/2013 (Capital Facilities; Insured: Natl-Re) | NR/Baa2 | 355,000 | 364,244 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) | AA-/Aa2 | 5,000,000 | 4,156,350 | |||||||
San Jose Evergreen Community College District GO, 5.25% due 9/1/2017 (Higher Education Facilities; Insured: AMBAC) | AA-/Aa1 | 395,000 | 422,741 | |||||||
San Jose Financing Authority, 5.25% due 6/1/2016 (Civic Center Project; Insured: AMBAC) | AA/Aa3 | 500,000 | 502,110 | |||||||
San Juan USD GO, 5.00% due 8/1/2014 (Educational Facilities Improvements) | NR/Aa2 | 1,335,000 | 1,419,038 | |||||||
San Luis & Delta-Mendota Water Authority, 4.50% due 3/1/2014 (DHCCP Development Project) | A+/NR | 2,000,000 | 2,069,980 | |||||||
San Mateo County Joint Powers Authority, 5.00% due 7/15/2018 (County Capital Projects) | AA+/Aa2 | 800,000 | 942,680 | |||||||
San Mateo County Transit District, 4.50% due 6/1/2022 (Transit Services; Insured: Natl-Re) | AA/Aa2 | 400,000 | 431,456 | |||||||
San Mateo Flood Control District COP, 5.25% due 8/1/2017 (Colma Creek; Insured: Natl-Re) | NR/Baa2 | 1,000,000 | 1,002,050 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities Improvements; Insured: Natl-Re/FGIC) | AA/Aa1 | 2,000,000 | 1,793,540 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | NR/Baa2 | 2,000,000 | 2,342,560 | |||||||
Santa Ana USD GO, 0% due 8/1/2020 (Insured: Natl-Re/FGIC) | AA-/NR | 2,035,000 | 1,698,655 | |||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2017 (Multiple Facilities) | AA/A1 | 1,000,000 | 1,106,190 | |||||||
Santa Margarita-Dana Point Authority, 7.25% due 8/1/2013 (Improvement Districts 3-3A, 4-4A; Insured: Natl-Re) | NR/Baa2 | 2,000,000 | 2,040,480 | |||||||
Santa Monica Community College District GO, 0% due 8/1/2018 (College District Capital Improvements; Insured: MBIA) | AA/Aa1 | 1,320,000 | 1,117,222 | |||||||
Solano County COP, 5.00% due 11/15/2013 (Health & Social Services Headquarters) | AA-/A1 | 1,780,000 | 1,832,172 | |||||||
Solano County COP, 5.00% due 11/15/2016 (Health & Social Services Headquarters) | AA-/A1 | 1,000,000 | 1,136,310 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2013 (Insured: AMBAC) (AMT) | A+/A2 | 1,060,000 | 1,087,910 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A2 | 1,000,000 | 1,031,140 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2018 (Insured: AMBAC) (AMT) | A+/A2 | 2,000,000 | 2,063,960 | |||||||
Southern California Public Power Authority, 5.00% due 11/1/2013 (Gas Project No. 1) | BB/Baa1 | 1,000,000 | 1,027,850 | |||||||
Southern California Public Power Authority, 0% due 7/1/2015 (Multiple Transmission Projects; Insured: Natl-Re) | AA-/Aa3 | 1,500,000 | 1,472,370 | |||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Mead-Adelanto Projects; Insured: AMBAC) | NR/Aa3 | 450,000 | 476,442 | |||||||
Southern California Public Power Authority, 5.15% due 7/1/2015 (Mead-Phoenix Project; Insured: AMBAC) | NR/Aa3 | 275,000 | 291,253 | |||||||
Southern California Public Power Authority, 5.00% due 7/1/2016 (Southern Transmission Project) | AA-/NR | 2,000,000 | 2,287,360 | |||||||
State of California, 2.50% due 6/20/2013 (General Fund Cash Management) | SP-1+/Mig1 | 8,850,000 | 8,896,905 | |||||||
State of California GO, 4.00% due 8/1/2016 Kindergarten University Facilities) | A/A1 | 500,000 | 555,135 | |||||||
State of California GO, 5.00% due 3/1/2017 (Various Capital Projects; Insured: Syncora) | A/A1 | 2,860,000 | 3,213,124 | |||||||
State of California GO, 4.75% due 9/1/2018 (Various Capital Projects; Insured: AGM) | AA-/A1 | 365,000 | 371,763 | |||||||
State of California GO, 5.00% due 9/1/2020 (Kindergarten University Facilities) | A/A1 | 2,000,000 | 2,442,300 | |||||||
State of California GO, 5.125% due 2/1/2028 pre-refunded 2/1/2014 (Kindergarten University Facilities) | AA+/A1 | 1,615,000 | 1,681,683 | |||||||
Sweetwater Authority, 3.30% due 4/1/2013 (Water System Improvements; Insured: AMBAC) | AA/Aa3 | 500,000 | 500,130 | |||||||
Sweetwater Union High School District COP, 4.00% due 9/1/2014 (Rancho Del Rey Middle School; Insured: Natl-Re) | NR/Baa2 | 1,020,000 | 1,056,547 | |||||||
Sweetwater Union High School District COP, 5.00% due 9/1/2021 (High Schools No. 11 & No. 12 Projects; Insured: AGM) | AA-/A2 | 2,250,000 | 2,280,127 |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Tamalpais Union High School District GO, 4.25% due 8/1/2013 (Educational Facilities; Insured: Natl-Re) | AAA/Baa2 | $ | 1,000,000 | $ | 1,014,070 | |||||
Tracy Area Public Facilities Financing Agency, 5.875% due 10/1/2019 (Community Facilities District No. 87) | NR/Baa2 | 590,000 | 598,431 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2015 (Tuolumne Co.) | A+/A2 | 500,000 | 537,500 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 (Tuolumne Co.) | A+/A2 | 1,690,000 | 1,975,035 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2015 | A+/A2 | 1,125,000 | 1,211,445 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2019 | A+/A2 | 1,000,000 | 1,184,490 | |||||||
Tustin Community Redevelopment Agency, 3.50% due 9/1/2014 (Public Improvements; Insured: AGM) | AA-/NR | 760,000 | 790,195 | |||||||
Twin Rivers USD COP, 3.50% due 6/1/2041 put 5/31/2013 (Educational Facilities Improvements; Insured: AGM) | AA-/NR | 2,000,000 | 2,005,020 | |||||||
Twin Rivers USD GO, 0% due 4/1/2014 (Educational Facilities Improvements) | SP-1/NR | 1,000,000 | 991,980 | |||||||
Ukiah USD GO, 0% due 8/1/2019 (Insured: Natl-Re) | A/A1 | 2,000,000 | 1,697,040 | |||||||
Upper Lake Union High School District GO, 0% due 8/1/2020 (Insured: | NR/Baa2 | 1,050,000 | 775,414 | |||||||
Val Verde USD COP, 5.00% due 1/1/2014 (Insured: Natl-Re/FGIC) (ETM) | NR/NR | 945,000 | 979,275 | |||||||
Virgin Islands Public Finance Authority, 5.00% due 10/1/2017 | BBB-/Baa2 | 1,440,000 | 1,596,989 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2017 (West Sacramento High School; Insured: AMBAC) | A/NR | 725,000 | 849,758 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2021 (West Sacramento High School; Insured: AMBAC) | A/NR | 910,000 | 1,024,578 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2022 (West Sacramento High School; Insured: AMBAC) | A/NR | 2,010,000 | 2,246,718 | |||||||
West Contra Costa USD GO, 4.00% due 8/1/2013 (Educational Facilities Improvements; Insured: AGM) | AA-/Aa3 | 500,000 | 505,715 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 93.83% (Cost $404,563,949) | $ | 423,775,991 | ||||||||
OTHER ASSETS LESS LIABILITIES — 6.17% | 27,855,419 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 451,631,410 | ||||||||
|
|
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 | Insured by CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
FHA | Insured by Federal Housing Administration | |
GO | General Obligation |
HFFA | Health Facilities Financing Authority | |
LOC | Letter of Credit | |
MBIA | Insured by Municipal Bond Investors Assurance | |
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 | |
XLCA | Insured by XL Capital Assurance |
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $404,563,949) (Note 2) | $ | 423,775,991 | ||
Cash | 14,690,006 | |||
Receivable for investments sold | 7,675,000 | |||
Receivable for fund shares sold | 2,518,343 | |||
Interest receivable | 4,408,907 | |||
Prepaid expenses and other assets | 1,346 | |||
|
| |||
Total Assets | 453,069,593 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 906,387 | |||
Payable to investment advisor and other affiliates (Note 3) | 283,862 | |||
Accounts payable and accrued expenses | 39,085 | |||
Dividends payable | 208,849 | |||
|
| |||
Total Liabilities | 1,438,183 | |||
|
| |||
NET ASSETS | $ | 451,631,410 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,404 | ||
Net unrealized appreciation on investments | 19,212,042 | |||
Accumulated net realized gain (loss) | 7,099 | |||
Net capital paid in on shares of beneficial interest | 432,409,865 | |||
|
| |||
$ | 451,631,410 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($158,970,902 applicable to 11,549,008 shares of beneficial interest outstanding - Note 4) | $ | 13.76 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
|
| |||
Maximum offering price per share | $ | 13.97 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($63,973,607 applicable to 4,643,708 shares of beneficial interest outstanding - Note 4) | $ | 13.78 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($228,686,901 applicable to 16,598,151 shares of beneficial interest outstanding - Note 4) | $ | 13.78 | ||
|
|
* | 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, 2013 (Unaudited) |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $2,139,972) | $ | 5,844,238 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 1,062,927 | |||
Administration fees (Note 3) | ||||
Class A Shares | 96,233 | |||
Class C Shares | 38,918 | |||
Class I Shares | 52,232 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 192,466 | |||
Class C Shares | 156,354 | |||
Transfer agent fees | ||||
Class A Shares | 17,858 | |||
Class C Shares | 10,941 | |||
Class I Shares | 18,428 | |||
Registration and filing fees | ||||
Class A Shares | 19 | |||
Class C Shares | 19 | |||
Class I Shares | 19 | |||
Custodian fees (Note 3) | 45,256 | |||
Professional fees | 15,327 | |||
Accounting fees | 6,587 | |||
Trustee fees | 7,708 | |||
Other expenses | 17,792 | |||
|
| |||
Total Expenses | 1,739,084 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (6,955 | ) | ||
|
| |||
Net Expenses | 1,732,129 | |||
|
| |||
Net Investment Income | 4,112,109 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 7,576 | |||
Net change in unrealized appreciation (depreciation) on investments | 816,189 | |||
|
| |||
Net Realized and Unrealized Gain | 823,765 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 4,935,874 | ||
|
|
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, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 4,112,109 | $ | 7,693,993 | ||||
Net realized gain (loss) on investments | 7,576 | 293,032 | ||||||
Net unrealized appreciation (depreciation) on investments | 816,189 | 7,910,143 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,935,874 | 15,897,168 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (1,394,258 | ) | (2,954,435 | ) | ||||
Class C Shares | (481,532 | ) | (975,200 | ) | ||||
Class I Shares | (2,236,319 | ) | (3,764,358 | ) | ||||
From realized gains | ||||||||
Class A Shares | (106,242 | ) | — | |||||
Class C Shares | (43,151 | ) | — | |||||
Class I Shares | (144,116 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 8,609,890 | 22,903,988 | ||||||
Class C Shares | 4,341,394 | 12,392,594 | ||||||
Class I Shares | 32,360,563 | 71,789,804 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 45,842,103 | 115,289,561 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 405,789,307 | 290,499,746 | ||||||
|
|
|
| |||||
End of Period | $ | 451,631,410 | $ | 405,789,307 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 2,404 | $ | 2,404 |
* | Unaudited |
See notes to financial statements.
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 423,775,991 | $ | — | $ | 423,775,991 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 423,775,991 | $ | — | $ | 423,775,991 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (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 (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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2013, the Distributor has advised the Fund that it earned $793 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $3,853 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $6,955.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,909,513 | $ | 26,267,428 | 3,337,311 | $ | 45,421,777 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 86,344 | 1,188,657 | 165,009 | 2,247,338 | ||||||||||||
Shares repurchased | (1,368,839 | ) | (18,846,195 | ) | (1,821,571 | ) | (24,765,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 627,018 | $ | 8,609,890 | 1,680,749 | $ | 22,903,988 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 775,728 | $ | 10,686,572 | 1,559,315 | $ | 21,248,082 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 28,578 | 393,841 | 51,394 | 700,402 | ||||||||||||
Shares repurchased | (489,455 | ) | (6,739,019 | ) | (701,947 | ) | (9,555,890 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 314,851 | $ | 4,341,394 | 908,762 | $ | 12,392,594 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,538,368 | $ | 62,502,960 | 7,459,712 | $ | 101,835,082 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 112,186 | 1,546,007 | 162,300 | 2,214,254 | ||||||||||||
Shares repurchased | (2,300,870 | ) | (31,688,404 | ) | (2,366,192 | ) | (32,259,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,349,684 | $ | 32,360,563 | 5,255,820 | $ | 71,789,804 | ||||||||||
|
|
|
|
|
|
|
|
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $103,672,784 and $30,662,446, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 404,563,949 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 19,306,607 | ||
Gross unrealized depreciation on a tax basis | (94,565 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 19,212,042 | ||
|
|
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 25
Thornburg California Limited Term 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 13.75 | 0.12 | 0.02 | 0.14 | (0.12 | ) | (0.01 | ) | (0.13 | ) | $ | 13.76 | 1.81 | (d) | 0.94 | (d) | 0.94 | (d) | 0.94 | (d) | 1.05 | 8.06 | $ | 158,971 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.41 | 0.29 | 0.34 | 0.63 | (0.29 | ) | — | (0.29 | ) | $ | 13.75 | 2.15 | 0.95 | 0.95 | 0.95 | 4.78 | 13.06 | $ | 150,155 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.76 | 0.11 | 0.03 | 0.14 | (0.11 | ) | (0.01 | ) | (0.12 | ) | $ | 13.78 | 1.55 | (d) | 1.21 | (d) | 1.20 | (d) | 1.21 | (d) | 0.99 | 8.06 | $ | 63,973 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.42 | 0.26 | 0.34 | 0.60 | (0.26 | ) | — | (0.26 | ) | $ | 13.76 | 1.88 | 1.22 | 1.22 | 1.22 | 4.49 | 13.06 | $ | 59,563 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.76 | 0.15 | 0.03 | 0.18 | (0.15 | ) | (0.01 | ) | (0.16 | ) | $ | 13.78 | 2.14 | (d) | 0.61 | (d) | 0.61 | (d) | 0.61 | (d) | 1.29 | 8.06 | $ | 228,687 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.42 | 0.33 | 0.35 | 0.68 | (0.34 | ) | — | (0.34 | ) | $ | 13.76 | 2.46 | 0.62 | 0.62 | 0.62 | 5.12 | 13.06 | $ | 196,071 | ||||||||||||||||||||||||||||||||||||||||
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 |
(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, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
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, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.50 | $ | 4.70 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.25 | $ | 4.73 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.90 | $ | 6.03 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.93 | $ | 6.05 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.90 | $ | 3.05 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.90 | $ | 3.06 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.94%; C: 1.20%; I: 0.61%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
28 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg California Limited Term Municipal Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg���s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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 |
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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 Securities 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 | You invest in the future, without spending a dime. | |||||
TH1070 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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 |
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.
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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
This page is not part of the Semi-Annual Report. 3
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 pursue 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 June 18, 1991 through March 31, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 6/18/91) | ||||||||||||||||||||
Without sales charge | 3.30 | % | 4.08 | % | 4.40 | % | 3.72 | % | 4.85 | % | ||||||||||
With sales charge | 1.24 | % | 3.39 | % | 3.98 | % | 3.51 | % | 4.75 | % |
30-Day Yields, a Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |
2.56% | 1.01% |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 128 | |||
Effective Duration | 5.1 Yrs | |||
Average Maturity | 8.0 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 11.
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Thornburg New Mexico Intermediate Municipal Fund –
March 31, 2013
Table of Contents | ||||
7 | ||||
11 | ||||
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17 | ||||
18 | ||||
19 | ||||
24 | ||||
26 | ||||
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.
6 Certified Semi-Annual Report
April 18, 2013
Dear Fellow Shareholder:
We are pleased to present the semi-annual report for the Thornburg New Mexico Intermediate Municpal Fund. The net asset value (NAV) of the Class A shares decreased by 12 cents to $13.83 per share during the six months ended March 31, 2013. If you were with us for the entire period, you received dividends of 18.7 cents per share. If you reinvested your dividends, you received 18.8 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 underperformed the Index, with a total return of 0.48% at NAV over the six months ended March 31, 2013, compared to the 0.89% for the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index.
The Fund’s concentrated overweight to holdings issued within the state of New Mexico, combined with its relative overweight to upper-tier investment grade and underweight to lower-rated credits, explains most of the Fund’s under-performance during the last six months. The Fund’s performance benefitted somewhat from our concerted migration away from long duration positions into more price-stable bonds.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield is above that of its Lipper and Morningstar competitive group as well as the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were at this time in 2011, several metrics are apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Not isolated to New Mexico’s municipal market space, fixed income as a broad asset class has been over-valued for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity - the banking crisis of 2008 and the Meredith Whitney event of 2010, for example — we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure, and locking in attractive rates that we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the
Certified Semi-Annual Report. 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
one we’re in, when yields reach a trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
Investors who have been with us through the years are rarely surprised to see us adopt a contrarian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We believe there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013, we’ve seen 30 consecutive months in national employment growth. After nearly three years of near zero job growth however, New Mexico job growth is only recently beginning to trend positive.
Total non-farm payrolls at both the state and national level are still below where they were at the beginning of the Great Recession in 2007. The brown line in chart I illustrates this national trend.
This, combined with a falling labor participation rate, tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor on short-term rates. Now is a good time to remind investors that “income” drives sustainable returns, not artificial constraints on interest rates, not momentum buying, nor chasing after prior years’ performance.
Chart I: Non-farm Employment in Selected Recessions
While private-sector employment has fueled job growth in New Mexico over the last three years,
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
federal, state, and local governments have been steadily eliminating jobs nationally. The brown line in chart II shows state and local government employment trends in the Great Recession; state and local government recovery in previous recessions is shown for comparison. As reflected in recent Bureau of Labor Statistics data, cuts in government employment have been far more severe than in any other recession during the last 40 years. While government employment cuts of this nature have their place, and are lauded among champions of fiscal conservatism, high unemployment stemming from the private and public sector remains an economic headwind.
Chart II: State and Local Government Employment in Selected Recessions
New Mexico’s economic health indicators have been mixed to somewhat weak in recent years, lagging most national growth trends. However, state tax collections rebounded impressively through 2012, providing a measure of support to credit fundamentals. The state remains challenged by below average employment growth, a weak housing market, and slow GDP growth. While New Mexico was not severely impacted by the 2007 recession, evidenced by positive year-over-year GDP growth each successive year since, it remains on a slow growth rate trajectory.
At the local government level, tax collections among many New Mexico city and county municipalities have been slow to recover, due in part to lags in assessed property values. As we’ve seen in recent years, property taxes based on assessed values often lead to less pronounced, but protracted periods of revenue decline following sharp declines in real estate prices. Fortunately, the rate of decline in assessed valuations has lessened within the state, and in many areas growth is trending positive.
While several fiscal trends impacting New Mexico’s state and local governments have been positive, the road to recovery has been very slow. By no means are New Mexico state and local government municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy-day funds. Many have exhausted one-time revenue sources, and recent cuts to
Certified Semi-Annual Report 9
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
essential and non-essential government functions may limit flexibility to control expenses going forward.
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg New Mexico Intermediate Municipal Fund we believe a holding period of three to four years will make it easier to navigate through any potentially rough waters that may lie ahead.
Chart III: Percent of Portfolio Maturing
As of 3/31/13. Percentages vary over time.
Data may not add up to 100% due to rounding.
Your Thornburg New Mexico Intermediate Municipal Fund is a portfolio of 51 diversified municipal obligors. 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 should dampen the Fund’s price volatility. Laddering also 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.
We continue to search for opportunities in the New Mexico 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 new opportunities and challenges present themselves.
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.
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (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† | Principal | Value | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2021 (New Mexico Utilities, Inc. Water System) | AA+/Aa2 | $ | 1,760,000 | $ | 2,103,394 | |||||
Albuquerque Bernalillo County Water Utility Authority, 5.50% due 7/1/2025 (New Mexico Utilities, Inc. Water System) | AA+/Aa2 | 1,000,000 | 1,212,430 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (San Juan- Chama Drinking Water Project) | AA+/Aa2 | 1,420,000 | 1,664,950 | |||||||
Albuquerque Metropolitan Arroyo Flood Control Authority GO, 2.00% due 8/1/2013 (Flood Control System Improvements) | AAA/Aaa | 2,200,000 | 2,213,794 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 5,885,000 | 7,213,068 | |||||||
Bernalillo County GRT, 5.00% due 4/1/2021 (Government Services; Insured: Natl-Re) | AAA/Aa2 | 3,000,000 | 3,533,490 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2022 (Government Services; Insured: AMBAC) | AAA/Aa2 | 3,170,000 | 3,925,474 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2023 (Government Services; Insured: AMBAC) | AAA/Aa2 | 1,275,000 | 1,579,304 | |||||||
Bernalillo County GRT, 5.25% due 10/1/2025 (Government Services; Insured: AMBAC) | AAA/Aa2 | 3,850,000 | 4,760,140 | |||||||
Bernalillo County GRT, 5.25% due 4/1/2027 (Government Services) | AAA/Aa2 | 100,000 | 124,324 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 (Juvenile Detention Facilities) | AAA/Aa2 | 3,000,000 | 3,836,790 | |||||||
Bernalillo County GRT, 5.70% due 4/1/2027 (Government Services; Insured: Natl-Re) | AAA/Aa2 | 745,000 | 952,803 | |||||||
Central New Mexico Community College, 4.00% due 8/15/2023 | AA+/Aa1 | 1,920,000 | 2,167,469 | |||||||
City of Albuquerque, 5.50% due 7/1/2013 (Albuquerque International Sunport & Double Eagle II Airports) | A/A2 | 4,000,000 | 4,054,320 | |||||||
City of Albuquerque, 5.00% due 7/1/2014 (Albuquerque International Sunport & Double Eagle II Airports) | A/A2 | 1,000,000 | 1,058,330 | |||||||
City of Albuquerque GRT, 5.00% due 7/1/2021 | AAA/Aa2 | 1,340,000 | 1,594,868 | |||||||
City of Albuquerque GRT, 5.00% due 7/1/2021 | AAA/Aa2 | 3,000,000 | 3,570,600 | |||||||
City of Albuquerque IDRB, 5.15% due 4/1/2016 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | NR/A2 | 630,000 | 631,877 | |||||||
City of Albuquerque IDRB, 5.25% due 4/1/2017 (MCT Industries Inc.; LOC: Bank of the West) (AMT) | NR/A2 | 2,140,000 | 2,146,249 | |||||||
City of Farmington, 5.00% due 6/1/2013 (San Juan Regional Medical Center) | NR/A3 | 500,000 | 503,985 | |||||||
City of Farmington, 5.00% due 6/1/2017 (San Juan Regional Medical Center) | NR/A3 | 1,035,000 | 1,179,196 | |||||||
City of Farmington, 5.125% due 6/1/2018 (San Juan Regional Medical Center) | NR/A3 | 570,000 | 592,264 | |||||||
City of Farmington, 5.125% due 6/1/2019 (San Juan Regional Medical Center) | NR/A3 | 645,000 | 668,175 | |||||||
City of Farmington, 5.00% due 6/1/2022 (San Juan Regional Medical Center) | NR/A3 | 2,825,000 | 3,071,086 | |||||||
City of Farmington PCR, 4.70% due 5/1/2024 (Arizona Public Service Company Four Corners Project) | BBB+/Baa1 | 965,000 | 1,072,154 | |||||||
City of Farmington PCR, 4.70% due 9/1/2024 (Arizona Public Service Co.) | BBB+/Baa1 | 4,000,000 | 4,435,600 | |||||||
City of Farmington PCR, 1.875% due 6/1/2032 put 9/1/2017 (El Paso Electric Co. Four Corners Project) | BBB/Baa2 | 3,300,000 | 3,304,290 | |||||||
City of Gallup PCR, 5.00% due 8/15/2013 (Tri-State Generation & Transmission Assoc., Inc. Project; Insured: AMBAC) | A/A3 | 2,110,000 | 2,144,287 | |||||||
City of Gallup PCR, 5.00% due 8/15/2017 (Tri-State Generation & Transmission Assoc., Inc. Project; Insured: AMBAC) | A/A3 | 3,540,000 | 3,814,031 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal | Value | |||||||
City of Rio Rancho GRT, 5.00% due 6/1/2014 (Public Service Facility Projects; Insured: Natl- Re/FGIC) | AA-/Aa2 | $ | 955,000 | $ | 1,005,223 | |||||
City of Rio Rancho GRT, 5.00% due 6/1/2016 (Public Service Facility Projects; Insured: Natl- Re/FGIC) | AA-/Aa2 | 555,000 | 606,848 | |||||||
City of Rio Rancho GRT, 5.00% due 6/1/2022 (Public Service Facility Projects; Insured: Natl- Re/FGIC) | AA-/Aa2 | 1,000,000 | 1,090,530 | |||||||
City of Santa Fe, 4.50% due 5/15/2027 (El Castillo Retirement Residences) | BBB-/NR | 3,275,000 | 3,443,368 | |||||||
City of Santa Fe, 5.00% due 5/15/2034 (El Castillo Retirement Residences) | BBB-/NR | 1,965,000 | 2,064,842 | |||||||
Colfax County GRT, 5.00% due 9/1/2019 (Government Center Facility) | A-/NR | 760,000 | 870,998 | |||||||
Colfax County GRT, 5.50% due 9/1/2029 (Government Center Facility) | A-/NR | 2,510,000 | 2,816,471 | |||||||
County of Los Alamos, 5.00% due 7/1/2013 (Public Utility Systems; Insured: AGM) | AA-/A2 | 1,265,000 | 1,280,269 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2016 (Public Facilities Projects) | AA+/Aa3 | 1,315,000 | 1,524,361 | |||||||
County of Los Alamos GRT, 5.625% due 6/1/2023 (Public Facilities Projects) | AA+/Aa3 | 1,000,000 | 1,190,290 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2024 (Public Facilities Projects) | AA+/Aa3 | 3,000,000 | 3,579,510 | |||||||
County of Los Alamos GRT, 5.75% due 6/1/2025 (Public Facilities Projects) | AA+/Aa3 | 1,000,000 | 1,189,360 | |||||||
Dona Ana County, 5.50% due 12/1/2014 (County Administrative Facilities; Insured: Radian) | A/NR | 460,000 | 494,371 | |||||||
Dona Ana County GRT, 5.50% due 6/1/2016 (County Jail Improvement Project; Insured: AMBAC) | NR/NR | 250,000 | 272,243 | |||||||
Espanola Public School District, 3.55% due 7/1/2013 (State Aid Withholding) | NR/Aa1 | 410,000 | 413,288 | |||||||
Gadsden Independent School District No. 16 GO, 2.00% due 8/15/2014 (Dona Ana & Otero Counties School Facilities) (State Aid Withholding) | NR/Aa1 | 3,025,000 | 3,097,600 | |||||||
Government of Guam, 5.375% due 12/1/2024 | BBB+/NR | 2,000,000 | 2,195,680 | |||||||
Grant County, 3.75% due 7/1/2014 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 250,000 | 259,325 | |||||||
Grant County, 5.50% due 7/1/2020 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,565,000 | 1,856,904 | |||||||
Grant County, 5.50% due 7/1/2021 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,655,000 | 1,963,691 | |||||||
Grant County, 5.50% due 7/1/2022 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,745,000 | 2,070,477 | |||||||
Guam Power Authority, 5.00% due 10/1/2026 (Electric Power System; Insured: AGM) | AA-/A2 | 2,000,000 | 2,324,280 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2021 | NR/Aa3 | 730,000 | 878,497 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2022 | NR/Aa3 | 765,000 | 906,992 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2023 | NR/Aa3 | 800,000 | 938,448 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2024 | NR/Aa3 | 840,000 | 977,659 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2030 | NR/Aa3 | 2,000,000 | 2,246,800 | |||||||
Las Cruces State Shared GRT, 5.00% due 6/1/2037 | NR/Aa3 | 5,000,000 | 5,481,950 | |||||||
New Mexico Educational Assistance Foundation, 4.10% due 9/1/2015 (Student Loans; LOC: Royal Bank of Canada) (AMT) | NR/Aaa | 2,000,000 | 2,136,860 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2016 (Student Loans) | NR/Aaa | 690,000 | 767,818 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) | NR/Aaa | 1,150,000 | 1,304,468 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2019 (Student Loans) | AAA/Aaa | 1,000,000 | 1,225,920 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2022 (Student Loans) | AAA/Aaa | 3,000,000 | 3,611,520 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2013 (Bernalillo County Metropolitan Court; Insured: AMBAC) | NR/Aa2 | 2,280,000 | 2,303,210 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2014 (Various Governmental Projects; Insured: Natl-Re) | AAA/Aa1 | 2,660,000 | 2,682,158 | |||||||
New Mexico Finance Authority, 5.25% due 6/1/2015 (Various Governmental Projects; Insured: AMBAC) | AAA/Aa1 | 1,000,000 | 1,055,450 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2015 (Bernalillo County Metropolitan Court; Insured: AMBAC) | NR/Aa2 | 2,360,000 | 2,590,218 | |||||||
New Mexico Finance Authority, 5.25% due 6/1/2016 (Bernalillo County Water Authority; Insured: AMBAC) | AAA/Aa1 | 250,000 | 264,475 | |||||||
New Mexico Finance Authority, 2.00% due 6/15/2016 (State Highway Infrastructure) | AAA/Aa1 | 3,000,000 | 3,134,940 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2018 (Bernalillo County Metropolitan Court; Insured: AMBAC) | NR/Aa2 | 2,915,000 | 3,183,355 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (UNM Health Sciences Center; Insured: Natl-Re) | NR/Aa2 | 1,215,000 | 1,324,605 |
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SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal | Value | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (Various Governmental Projects; Insured: AMBAC) | AAA/Aa1 | $ | 365,000 | $ | 410,742 | |||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (Various Governmental Projects; Insured: Natl-Re) | AA/Aa2 | 1,300,000 | 1,485,445 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (Various Governmental Projects; Insured: Natl-Re) | AA/Aa2 | 7,000,000 | 7,973,910 | |||||||
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 | 1,891,046 | |||||||
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 | 1,093,090 | |||||||
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 | 1,295,312 | |||||||
New Mexico Hospital Equipment Loan Council, 6.00% due 8/1/2023 (Presbyterian Healthcare Services) | AA/Aa3 | 6,000,000 | 7,217,760 | |||||||
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 | 1,098,670 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group) | NR/NR | 2,000,000 | 2,027,980 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2039 (Presbyterian Healthcare Services) | AA/Aa3 | 3,000,000 | 3,273,990 | |||||||
New Mexico Housing Authority MFR, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) | NR/NR | 790,000 | 790,000 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2015 | A+/A1 | 490,000 | 533,086 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2020 | A+/A1 | 590,000 | 695,044 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2023 | A+/A1 | 685,000 | 785,606 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2024 | A+/A1 | 525,000 | 597,366 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2025 | A+/A1 | 505,000 | 571,271 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2028 | A+/A1 | 1,500,000 | 1,669,185 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2031 | A+/A1 | 1,700,000 | 1,864,815 | |||||||
New Mexico MFA SFMR, 5.25% due 7/1/2023 (HERO Loan Program; Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 830,000 | 898,218 | |||||||
New Mexico MFA SFMR, 5.375% due 7/1/2023 (Saver Loan Program; Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 710,000 | 715,843 | |||||||
New Mexico MFA SFMR, 4.625% due 3/1/2028 (NIBP Program; Collateralized: GNMA/ FNMA/FHLMC) | AA+/NR | 1,815,000 | 1,959,292 | |||||||
New Mexico MFA SFMR, 5.50% due 7/1/2028 (HERO Loan Program; Collateralized: GNMA/FNMA/FHLMC) (AMT) | AA+/NR | 1,805,000 | 1,936,494 | |||||||
New Mexico MFA SFMR, 5.60% due 7/1/2028 (Saver Loan Program; Collateralized: GNMA/ FNMA/FHLMC) (AMT) | AA+/NR | 640,000 | 692,045 | |||||||
New Mexico MFA SFMR, 5.40% due 9/1/2029 (Saver Loan Program; Collateralized: GNMA/ FNMA/FHLMC) | AA+/NR | 715,000 | 796,817 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2013 (University Capital Facilities; Insured: AGM) | AA/Aa2 | 1,000,000 | 1,000,400 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2014 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 1,000,000 | 1,033,150 | |||||||
Regents of the University of New Mexico, 5.00% due 6/1/2015 (Campus Improvements; Insured: AMBAC) | AA/Aa2 | 1,590,000 | 1,744,214 | |||||||
Regents of the University of New Mexico, 5.25% due 6/1/2015 (UNM Hospital Capital Improvements) | AA/Aa2 | 1,195,000 | 1,205,217 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2016 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 2,920,000 | 3,066,584 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2017 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 2,000,000 | 2,114,180 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† | Principal | Value | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2018 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | $ | 2,000,000 | $ | 2,114,180 | |||||
Regents of the University of New Mexico, 5.25% due 6/1/2018 (UNM Hospital Capital Improvements) | AA/Aa2 | 1,200,000 | 1,210,260 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2019 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 3,000,000 | 3,170,100 | |||||||
Regents of the University of New Mexico, 5.00% due 7/1/2019 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 3,000,000 | 3,142,860 | |||||||
Regents of the University of New Mexico, 5.00% due 1/1/2020 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 2,310,000 | 2,420,002 | |||||||
Regents of the University of New Mexico, 5.00% due 7/1/2020 (Children’s Hospital and Critical Care Pavilion; Insured: AGM/FHA) | AA-/A2 | 500,000 | 523,810 | |||||||
Regents of the University of New Mexico, 6.00% due 6/1/2021 (Campus Buildings Acquisition & Improvements) | AA/Aa2 | 610,000 | 723,338 | |||||||
Rio Rancho Public School District No. 94 GO, 3.00% due 8/1/2013 (Sandoval County School Facilities) (State Aid Withholding) | NR/Aa1 | 2,795,000 | 2,821,413 | |||||||
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2013 (Sandoval County School Facilities) (State Aid Withholding) | NR/Aa1 | 1,210,000 | 1,225,343 | |||||||
Rio Rancho Public School District No. 94 GO, 4.00% due 8/1/2014 (Sandoval County School Facilities) (State Aid Withholding) | NR/Aa1 | 1,715,000 | 1,798,040 | |||||||
San Juan County GRT, 5.00% due 6/15/2014 (Insured: Natl-Re) | A+/A2 | 1,225,000 | 1,290,341 | |||||||
Sandoval County, 4.00% due 6/1/2015 (Intel Corp.) | A+/NR | 625,000 | 640,250 | |||||||
Sandoval County, 5.50% due 8/15/2015 (Landfill Improvements) | NR/Baa2 | 1,090,000 | 1,115,255 | |||||||
Sandoval County, 5.75% due 8/15/2018 (Landfill Improvements) | NR/Baa2 | 1,335,000 | 1,363,556 | |||||||
Sandoval County, 5.00% due 6/1/2020 (Intel Corp.) | A+/NR | 6,390,000 | 6,843,754 | |||||||
Santa Fe County, 5.00% due 2/1/2018 (County Correctional System; Insured: AGM) | AA-/A2 | 920,000 | 1,008,854 | |||||||
Santa Fe County, 6.00% due 2/1/2027 (County Correctional System; Insured: AGM) | AA-/A2 | 1,520,000 | 1,878,629 | |||||||
Santa Fe County GO, 4.00% due 7/1/2019 (County Road and Water System Improvement Projects; Insured: Natl-Re) | NR/Aaa | 750,000 | 814,387 | |||||||
Santa Fe County GRT, 5.00% due 6/1/2025 (County Courthouse and Other Public Facilities) | AA+/Aa1 | 1,400,000 | 1,638,434 | |||||||
Santa Fe County GRT, 5.00% due 6/1/2026 (County Courthouse and Other Public Facilities) | AA+/Aa1 | 1,535,000 | 1,736,377 | |||||||
Town of Silver City GRT, 4.00% due 6/1/2029 (Public Facility Capital Projects) | A+/NR | 1,000,000 | 1,071,240 | |||||||
Town of Silver City GRT, 4.25% due 6/1/2032 (Public Facility Capital Projects) | A+/NR | 1,050,000 | 1,124,812 | |||||||
Ventana West Public Improvement District, 6.625% due 8/1/2023 | NR/NR | 1,885,000 | 1,911,164 | |||||||
Village of Los Ranchos de Albuquerque, 4.50% due 9/1/2040 (Albuquerque Academy) | A/NR | 3,000,000 | 3,172,470 | |||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | 2,500,000 | 2,909,325 | |||||||
Virgin Islands Water & Power Authority, 5.00% due 7/1/2025 (Electric System) | BB+/Baa3 | 990,000 | 1,037,639 | |||||||
Virgin Islands Water & Power Authority, 5.00% due 7/1/2026 (Electric System) | BB+/Baa3 | 1,090,000 | 1,140,260 | |||||||
Zuni Public School District, 5.00% due 8/1/2028 (Teacher Housing Projects) | A/NR | 1,600,000 | 1,783,008 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.65% (Cost $229,394,542) | $ | 245,819,887 | ||||||||
OTHER ASSETS LESS LIABILITIES — 2.35% | 5,907,456 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 251,727,343 | ||||||||
|
|
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, 2013 (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 | |
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 | |
MFR | Multi-Family Revenue Bond | |
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, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $229,394,542) (Note 2) | $ | 245,819,887 | ||
Cash | 3,127,469 | |||
Receivable for investments sold | 235,173 | |||
Receivable for fund shares sold | 132,637 | |||
Interest receivable | 3,110,165 | |||
Prepaid expenses and other assets | 1,331 | |||
|
| |||
Total Assets | 252,426,662 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 402,187 | |||
Payable to investment advisor and other affiliates (Note 3) | 183,364 | |||
Accounts payable and accrued expenses | 37,459 | |||
Dividends payable | 76,309 | |||
|
| |||
Total Liabilities | 699,319 | |||
|
| |||
NET ASSETS | $ | 251,727,343 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (25,896 | ) | |
Net unrealized appreciation on investments | 16,425,345 | |||
Accumulated net realized gain (loss) | (931,145 | ) | ||
Net capital paid in on shares of beneficial interest | 236,259,039 | |||
|
| |||
$ | 251,727,343 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($181,817,695 applicable to 13,143,729 shares of beneficial interest outstanding - Note 4) | $ | 13.83 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
|
| |||
Maximum offering price per share | $ | 14.11 | ||
|
| |||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($32,295,191 applicable to 2,333,570 shares of beneficial interest outstanding - Note 4) | $ | 13.84 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($37,614,457 applicable to 2,720,507 shares of beneficial interest outstanding - Note 4) | $ | 13.83 | ||
|
|
See notes to financial statements.
16 Certified Semi-Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg New Mexico Intermediate Municipal Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME:
Interest income (net of premium amortized of $ 808,150) | $ | 4,631,548 | ||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 637,499 | |||
Administration fees (Note 3) | ||||
Class A Shares | 115,613 | |||
Class D Shares | 20,045 | |||
Class I Shares | 9,486 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 231,227 | |||
Class D Shares | 79,576 | |||
Transfer agent fees | ||||
Class A Shares | 23,034 | |||
Class D Shares | 4,862 | |||
Class I Shares | 1,877 | |||
Registration and filing fees | ||||
Class A Shares | 258 | |||
Class D Shares | 261 | |||
Class I Shares | 262 | |||
Custodian fees (Note 3) | 25,049 | |||
Professional fees | 13,922 | |||
Accounting fees | 4,743 | |||
Trustee fees | 4,550 | |||
Other expenses | 12,277 | |||
|
| |||
Total Expenses | 1,184,541 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (5,349 | ) | ||
|
| |||
Net Expenses | 1,179,192 | |||
|
| |||
Net Investment Income | 3,452,356 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 231,898 | |||
Net change in unrealized appreciation (depreciation) on investments | (2,443,705 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (2,211,807 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,240,549 | ||
|
|
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, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,452,356 | $ | 7,504,074 | ||||
Net realized gain (loss) on investments | 231,898 | (1,163,043 | ) | |||||
Net unrealized appreciation (depreciation) on investments | (2,443,705 | ) | 5,728,003 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,240,549 | 12,069,034 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,487,096 | ) | (5,492,712 | ) | ||||
Class D Shares | (394,172 | ) | (748,415 | ) | ||||
Class I Shares | (571,088 | ) | (1,262,947 | ) | ||||
From realized gains | ||||||||
Class A Shares | — | (142,643 | ) | |||||
Class D Shares | — | (19,090 | ) | |||||
Class I Shares | — | (32,129 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (4,158,530 | ) | (809,076 | ) | ||||
Class D Shares | 589,477 | 7,285,463 | ||||||
Class I Shares | (152,798 | ) | (4,267,820 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (5,933,658 | ) | 6,579,665 | |||||
NET ASSETS | ||||||||
Beginning of Period | 257,661,001 | 251,081,336 | ||||||
|
|
|
| |||||
End of Period | $ | 251,727,343 | $ | 257,661,001 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case where management believes that a price
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
provided by a pricing service for a debt obligation held by the Fund may be unreliable, the Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 245,819,887 | $ | — | $ | 245,819,887 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 245,819,887 | $ | — | $ | 245,819,887 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
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.
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $666 from the sale of Class A shares.
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $5,349.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 586,850 | $ | 8,167,302 | 1,301,259 | $ | 18,006,908 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 145,829 | 2,029,674 | 312,719 | 4,326,709 | ||||||||||||
Shares repurchased | (1,031,432 | ) | (14,355,506 | ) | (1,673,821 | ) | (23,142,693 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (298,753 | ) | $ | (4,158,530 | ) | (59,843 | ) | $ | (809,076 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class D Shares | ||||||||||||||||
Shares sold | 274,728 | $ | 3,827,419 | 710,780 | $ | 9,852,694 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 27,093 | 377,316 | 51,740 | 716,479 | ||||||||||||
Shares repurchased | (259,043 | ) | (3,615,258 | ) | (237,274 | ) | (3,283,710 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 42,778 | $ | 589,477 | 525,246 | $ | 7,285,463 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 93,746 | $ | 1,306,332 | 249,807 | $ | 3,463,659 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 37,444 | 521,004 | 78,558 | 1,086,275 | ||||||||||||
Shares repurchased | (142,622 | ) | (1,980,134 | ) | (633,977 | ) | (8,817,754 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (11,432 | ) | $ | (152,798 | ) | (305,612 | ) | $ | (4,267,820 | ) | ||||||
|
|
|
|
|
|
|
|
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $26,503,422 and $15,482,814, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 229,394,542 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 16,584,280 | ||
Gross unrealized depreciation on a tax basis | (158,935 | ) | ||
|
| |||
Net unrealized appreciation (depreciation)on investments (tax basis) | $ | 16,425,345 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $1,163,043. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 23
Thornburg New Mexico Intermediate Municipal 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 13.95 | 0.19 | (0.12 | ) | 0.07 | (0.19 | ) | — | (0.19 | ) | $ | 13.83 | 2.69 | (d) | 0.95 | (d) | 0.94 | (d) | 0.95 | (d) | 0.48 | 6.33 | $ | 181,818 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.72 | 0.41 | 0.24 | 0.65 | (0.41 | ) | (0.01 | ) | (0.42 | ) | $ | 13.95 | 2.95 | 0.95 | 0.95 | 0.95 | 4.80 | 11.66 | $ | 187,578 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
Class D Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.96 | 0.17 | (0.12 | ) | 0.05 | (0.17 | ) | — | (0.17 | ) | $ | 13.84 | 2.44 | (d) | 1.20 | (d) | 1.20 | (d) | 1.20 | (d) | 0.36 | 6.33 | $ | 32,295 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.72 | 0.37 | 0.26 | 0.63 | (0.38 | ) | (0.01 | ) | (0.39 | ) | $ | 13.96 | 2.71 | 1.18 | 1.18 | 1.22 | 4.62 | 11.66 | $ | 31,984 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.95 | 0.21 | (0.12 | ) | 0.09 | (0.21 | ) | — | (0.21 | ) | $ | 13.83 | 3.03 | (d) | 0.61 | (d) | 0.60 | (d) | 0.61 | (d) | 0.64 | 6.33 | $ | 37,614 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.71 | 0.46 | 0.25 | 0.71 | (0.46 | ) | (0.01 | ) | (0.47 | ) | $ | 13.95 | 3.30 | 0.61 | 0.61 | 0.61 | 5.24 | 11.66 | $ | 38,099 | |||||||||||||||||||||||||||||||||||||||
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 |
(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%. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
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, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.80 | $ | 4.72 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.23 | $ | 4.75 | ||||||
Class D Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.60 | $ | 5.98 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.97 | $ | 6.02 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.40 | $ | 3.02 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.92 | $ | 3.05 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.94%; D: 1.20%; I: 0.60%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
26 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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TH178 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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 | THNYX | 885-215-665 | ||
Class I | TNYIX | 885-216-705 |
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.
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.
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.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – 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.
Quantitative Easing – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
Riskless (or risk-free) Interest Rate – The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest that an investor would expect from an absolutely risk-free investment over a given period of time. Though a truly risk-free asset exists only in theory, in practice most professionals and academics use short-dated government bonds, such as a three-month U.S. Treasury bill.
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.
This page is not part of the Semi-Annual Report. 3
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 pursue 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 1.05%, as disclosed in the most recent Prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, resulting in a net expense ratio of 0.99%. For more detailed information, please see the fund’s prospectus.
Long-term Stability of Principal
Net Asset Value History of A shares from September 5, 1997 through March 31, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 9/5/97) | ||||||||||||||||||||
Without sales charge | 4.51 | % | 5.40 | % | 5.05 | % | 3.92 | % | 4.43 | % | ||||||||||
With sales charge | 2.40 | % | 4.70 | % | 4.63 | % | 3.71 | % | 4.29 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |
2.38% | 0.97% |
Without fee waivers and expense reimbursements, the 30-day SEC Yield would have been 0.94% and the Annualized Distribution Yield would have been 2.36%.
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 62 | |||
Effective Duration | 5.2 Yrs | |||
Average Maturity | 7.7 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 10.
4 This page is not part of the Semi-Annual Report.
Thornburg New York Intermediate Municipal Fund –
March 31, 2013
Table of Contents | ||||
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25 |
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
April 18, 2013
Dear Shareholder:
We are pleased to present the semi-annual report for the Thornburg New York Intermediate Municpal Fund. The net asset value (NAV) of the Class A shares decreased by 9 cents to $13.35 per share during the six months ended March 31, 2013. If you were with us for the entire period, you received dividends of 17.2 cents per share. If you reinvested your dividends, you received 17.3 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 underperformed the Index, with a total return of 0.61% at NAV over the six months ended March 31, 2013, compared to the 0.89% for the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index.
The Fund’s concentrated overweight to holdings issued within the state of New York, combined with its relative underweight to upper-tier investment grade credits and overweight to lower-tier investment grade credits, explain most of the Fund’s under-performance during the last six months. The Fund’s performance benefitted somewhat from our concerted migration away from long duration positions into more price-stable bonds.
Guided by limited buying opportunity sets, being comparatively short and liquid these last six months has only benefitted the Fund’s relative performance. Since yields bottomed in the fall of 2012, we mindfully took advantage of opportunities to reduce the Fund’s risk exposure, even liquidating a few of our weakest credits into an identifiable yield grab at attractive premiums. Aware that the “risk-off” trade comes at a certain cost, the Fund’s dividend yield remains near the average of its Morningstar competitive group and comfortably above the BofA Merrill Lynch 3–15 Year U.S. Municipal Securities Index.
Market opportunities have diminished over the last two years. Contrasting today’s market to where we were at this time in 2011, several metrics are apparent. The 10-year risk-free rate has declined by 110 basis points, term spreads between one-year and 10-year bonds declined 90 basis points, and credit spreads between AAA and single-A narrowed another 22 basis points. During the fourth calendar quarter of 2012, inflation-adjusted municipal yields reached their lowest levels in over thirty years. Not isolated to New York’s municipal market space, fixed income as a broad asset class has been over-valued for several quarters now.
Among the particular virtues of the Fund’s investment strategy is its relative flexibility in managing exposure along the risk curve. In the past, when we’ve found ourselves in markets of opportunity — the banking crisis of 2008 and the Meredith Whitney event of 2010, for example — we maintained flexibility and exercised the discipline to migrate further out along the risk curve, adding to our duration and credit exposure, and locking in attractive rates we were then able to carry forward to future years. Conversely, when we find ourselves in markets of limited opportunity, such as the one
6 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
we’re in, when yields reach a trough and asset prices appear overvalued, we appropriately exercise discipline to migrate toward a more defensive posture.
Investors who have been with us through the years are rarely surprised to see us adopt a contrarian approach to the market. Recently, as we’ve observed market participants chase after yield and take on risk without much consideration of the cost, we’ve mindfully taken the opportunity to build relatively higher quality and liquidity back into the Fund, redoubling our efforts managing credit risk, and deferring some of our risk asset purchases to future dates. We feel certain there will be better opportunities to invest in longer-term, higher-duration, risk assets. That time is not the present. When the time does come, however, we believe the Fund to be well positioned to capitalize on market weakness.
With economic health indicators mixed to slightly positive, it’s still not apparent when we will see an end to federal stimulus. Quantitative easing should remain intact through the next quarter, with some likelihood of extending into 2014, dependent on labor conditions. Through March 31, 2013, we’ve seen 30 consecutive months in national employment growth. Despite lagging the national employment trend, the state of New York continues to experience productive private sector employment growth.
Total non-farm payrolls at both the state and national level are still below where they were at the beginning of the Great Recession in 2007. The brown line in chart I illustrates this national trend. Employment recovery in previous recessions is also shown. This, combined with a falling labor participation rate tempers our optimism with awareness that we still have a way to go before the Federal Reserve (Fed) removes its anchor on short-term rates. Now is a good time to remind investors that “income” drives sustainable returns, not artificial constraints on interest rates, not momentum buying nor chasing after prior years’ performance.
Chart I: Non-farm Employment in Selected Recessions
While private-sector employment has fueled New York’s job growth in recent years, state and local governments have been steadily eliminating jobs nationally. The brown line in chart II shows state and local government employment trends in the
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS,
CONTINUED
Great Recession; state and local government recovery in previous recessions is shown for comparison. As reflected in recent Bureau of Labor Statistics data, cuts in government employment have been far more severe than in any other recession during the last 40 years. While government employment cuts of this nature have their place, and are lauded among champions of fiscal conservatism, high unemployment stemming from the private and public sector remains an economic headwind.
Chart II: State and Local Government Employment in Selected Recessions
Compared to national averages, state of New York economic health indicators have been mixed, but generally below average during the twelve months leading up to December 31, 2012. The state lags the national trend in personal income and employment growth. New York’s housing market also remains weak, evidenced by year-over-year declines in average home prices and increasing mortgage delinquency rates. State tax collections however have grown during the last twelve months, providing some measure of support to credit fundamentals.
At the local government level, tax collections among many New York city and county municipalities have also been slow to recover, due in part to lags in assessed property values. As we’ve seen in recent years, property taxes based on assessed values often lead to less pronounced, but protracted periods of revenue decline following sharp declines in real estate prices. Fortunately, the rate of decline in assessed valuations has lessened state-wide, and in several areas growth is trending positive.
While several fiscal trends impacting New York’s state and local governments have been positive, the road to recovery has been slow. By no means are New York state and local government municipalities out of the woods. Governments remain vulnerable to sluggish or negative economic growth, especially taking into consideration that many municipal governments have yet to replenish cash reserves and rainy day funds. Many have exhausted one-time revenue sources, and recent cuts to essential and non-essential government functions may limit flexibility to control expenses going forward.
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
We remind investors of the importance of maintaining an appropriate holding period. For the Thornburg New York Intermediate Municipal Fund we believe a holding period of three to four years will make it easier to navigate through any potentially rough waters that may lie ahead.
Chart III: Percent of Portfolio Maturing
As of 3/31/13. Percentages vary over time.
Data may not add up to 100% due to rounding.
Your Thornburg New York Intermediate Municipal Fund is a portfolio of 41 diversified municipal obligors. 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 dampen the Fund’s price volatility. Laddering also 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.
We continue to search for opportunities in the New York 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 new opportunities and challenges present themselves.
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 New York Intermediate Municipal Fund | March 31, 2013 (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 | |||||||
City of New York GO, 5.00% due 6/1/2019 (Government Financial Management; Insured: AGM) | AA/Aa2 | $ | 255,000 | $ | 288,928 | |||||
City of New York GO, 5.00% due 8/1/2025 (Government Financial Management) | AA/Aa2 | 400,000 | 461,540 | |||||||
Dutchess County IDA, 5.00% due 8/1/2020 (Bard College) | NR/Baa1 | 825,000 | 912,268 | |||||||
Dutchess County IDA, 5.00% due 8/1/2021 (Bard College) | NR/Baa1 | 1,100,000 | 1,207,360 | |||||||
Erie County Industrial Development Agency, 5.25% due 5/1/2025 (Buffalo City School District) | AA-/Aa3 | 1,000,000 | 1,181,540 | |||||||
Government of Guam, 5.375% due 12/1/2024 | BBB+/NR | 1,000,000 | 1,097,840 | |||||||
Hempstead Town Local Development Corp., 5.00% due 7/1/2028 (Hofstra University) | A/A3 | 500,000 | 563,290 | |||||||
Ilion Central School District, 1.25% due 1/30/2014 (Educational Facilities) (State Aid Withholding) | NR/Mig1 | 900,000 | 906,723 | |||||||
Long Island Power Authority, 5.25% due 9/1/2029 | NR/A3 | 645,000 | 776,980 | |||||||
Monroe County Industrial Development Corp., 4.00% due 6/1/2016 (St. John Fisher College) | BBB+/NR | 880,000 | 946,642 | |||||||
Nassau County IDA, 4.75% due 3/1/2026 (New York Institute of Technology) | BBB+/NR | 1,000,000 | 1,086,960 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2020 (Health Care Facilities Improvements) | A+/Aa3 | 770,000 | 923,977 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2025 (Health Care Facilities Improvements) | A+/Aa3 | 1,000,000 | 1,135,710 | |||||||
New York City Metropolitan Transportation Authority, 6.25% due 11/15/2023 | A/A2 | 1,000,000 | 1,252,700 | |||||||
New York City Municipal Water Finance Authority, 5.75% due 6/15/2013 (Water and Sewer System; Insured: Natl-Re) (ETM) | AAA/A2 | 520,000 | 522,350 | |||||||
New York City Municipal Water Finance Authority, 5.875% due 6/15/2013 (Water and Sewer System; Insured: AMBAC) (ETM) | AAA/Aa1 | 550,000 | 556,710 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2020 (World Trade Center Recovery) (State Aid Withholding) | AA-/Aa3 | 1,000,000 | 1,198,840 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2020 (World Trade Center Recovery) | AAA/Aaa | 1,000,000 | 1,114,160 | |||||||
New York City Trust For Cultural Resources, 5.25% due 12/1/2018 (Lincoln Center for the Performing Arts) | A+/A2 | 175,000 | 208,679 | |||||||
New York Convention Center Development Corp., 5.00% due 11/15/2017 (Hotel Unit Fee; Insured: AMBAC) | NR/A1 | 1,000,000 | 1,089,390 | |||||||
New York Environmental Facilities Corp. PCR, 6.875% due 6/15/2014 | AAA/Aaa | 215,000 | 216,200 | |||||||
New York Municipal Bond Bank Agency, 5.00% due 4/15/2018 (Insured: AGM) | AA-/A2 | 1,000,000 | 1,171,320 | |||||||
New York State Dormitory Authority, 5.25% due 2/15/2014 (Presbyterian Hospital; Insured: AGM) | AA-/A2 | 500,000 | 521,495 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2014 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A2 | 1,000,000 | 1,068,080 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2015 (Mental Health Services Facilities; Insured: AMBAC) | AA-/NR | 1,000,000 | 1,084,870 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2016 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 600,000 | 679,224 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School District Financing Program; Insured: AGM) | AA-/A1 | 1,000,000 | 1,164,100 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2018 (School District Financing Program; Insured: AGM) | AA-/A1 | 775,000 | 926,288 |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 3/15/2019 pre-refunded 3/15/2015 (University & College Improvements; Insured: AGM) | AA-/NR | $ | 950,000 | $ | 1,036,535 | |||||
New York State Dormitory Authority, 5.00% due 3/15/2019 (University & College Improvements; Insured: AGM) | AAA/NR | 50,000 | 54,458 | |||||||
New York State Dormitory Authority, 5.50% due 7/1/2019 pre-refunded 7/1/2013 (Brooklyn Law School; Insured: Radian) | BBB+/Baa1 | 1,400,000 | 1,418,928 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) | NR/Aa3 | 1,175,000 | 1,406,310 | |||||||
New York State Dormitory Authority, 4.00% due 10/1/2020 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A3 | 325,000 | 373,331 | |||||||
New York State Dormitory Authority, 5.00% due 2/15/2021 (Interfaith Medical Center) | AA-/NR | 2,000,000 | 2,398,780 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2021 (State University of New York; Insured: Natl-Re) | AA-/NR | 300,000 | 328,851 | |||||||
New York State Dormitory Authority, 3.375% due 7/1/2022 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 1,010,000 | 1,030,856 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2022 (St. John’s University; Insured: Natl-Re) | A-/A3 | 1,000,000 | 1,227,850 | |||||||
New York State Dormitory Authority, 5.00% due 1/15/2023 (Municipal Health Facilities) | AA-/Aa3 | 1,000,000 | 1,154,180 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 1,000,000 | 1,071,720 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 1,540,000 | 1,719,610 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2024 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA-/A1 | 1,000,000 | 1,156,680 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2025 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 1,105,000 | 1,216,948 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Interagency Council Pooled Loan Program) | NR/Aa3 | 1,000,000 | 1,112,710 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Columbia Univesity Teachers College) | A+/A1 | 750,000 | 873,075 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2027 (Health Quest Systems; Insured: AGM) | AA-/A3 | 500,000 | 569,730 | |||||||
New York State Dormitory Authority, 5.25% due 5/1/2030 (North Shore Long Island Jewish Medical) | A-/A3 | 1,000,000 | 1,109,110 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/Baa1 | 1,000,000 | 1,026,170 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2022 (Highway and Bridge Trust Fund) | AA/NR | 1,000,000 | 1,166,760 | |||||||
New York State Urban Development Corp., 5.25% due 1/1/2021 | AA-/NR | 1,000,000 | 1,178,890 | |||||||
Oneida County IDA, 6.10% due 6/1/2020 (Presbyterian Home for Central New York; LOC: HSBC Bank USA) | NR/A1 | 450,000 | 451,584 | |||||||
Onondaga Civic Development Corp., 5.00% due 7/1/2021 (Le Moyne College) | NR/Baa2 | 1,000,000 | 1,127,100 | |||||||
Onondaga Civic Development Corp., 5.50% due 12/1/2031 (Upstate Properties Development) | A+/NR | 1,000,000 | 1,141,240 | |||||||
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: AGM) | AA-/Aa3 | 1,000,000 | 1,168,950 | |||||||
Syracuse Industrial Development Agency, 5.25% due 5/1/2026 (Syracuse City School District) | AA-/Aa3 | 2,150,000 | 2,523,369 | |||||||
Tobacco Settlement Funding Corp., 5.50% due 6/1/2021 | AA-/Aa3 | 1,000,000 | 1,009,200 | |||||||
Town of Amherst Development Corp., 5.00% due 10/1/2020 (University at Buffalo Foundation Facility-Student Housing; Insured: AGM) | AA-/A2 | 1,000,000 | 1,178,190 | |||||||
Town of Babylon GO, 5.00% due 9/1/2015 (Insured: AMBAC) | NR/NR | 465,000 | 494,714 | |||||||
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2025 pre-refunded 11/15/2017 (MTA Bridges and Tunnels) | AA-/Aa3 | 1,410,000 | 1,687,474 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 | NR/A1 | $ | 710,000 | $ | 796,251 | |||||
Virgin Islands Water & Power Authority, 5.50% due 7/1/2017 | NR/NR | 1,350,000 | 1,353,199 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.94% (Cost $55,439,141) | $ | 59,826,917 | ||||||||
OTHER ASSETS LESS LIABILITIES — 4.06% | 2,532,312 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 62,359,229 | ||||||||
|
|
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. | |
PCR | Pollution Control Revenue Bond | |
Radian | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority |
See notes to financial statements.
12 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $55,439,141) (Note 2) | $ | 59,826,917 | ||
Cash | 1,891,726 | |||
Receivable for fund shares sold | 72,920 | |||
Interest receivable | 762,294 | |||
Prepaid expenses and other assets | 351 | |||
|
| |||
Total Assets | 62,554,208 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 94,455 | |||
Payable to investment advisor and other affiliates (Note 3) | 43,974 | |||
Accounts payable and accrued expenses | 21,821 | |||
Dividends payable | 34,729 | |||
|
| |||
Total Liabilities | 194,979 | |||
|
| |||
NET ASSETS | $ | 62,359,229 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (16,847 | ) | |
Net unrealized appreciation on investments | 4,387,776 | |||
Accumulated net realized gain (loss) | (126,052 | ) | ||
Net capital paid in on shares of beneficial interest | 58,114,352 | |||
|
| |||
$ | 62,359,229 | |||
|
| |||
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($57,403,115 applicable to 4,300,211 shares of beneficial interest outstanding - Note 4) | $ | 13.35 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
|
| |||
Maximum offering price per share | $ | 13.62 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($4,956,114 applicable to 371,241 shares of beneficial interest outstanding - Note 4) | $ | 13.35 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg New York Intermediate Municipal Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $190,733) | $ | 1,113,658 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 156,377 | |||
Administration fees (Note 3) | ||||
Class A Shares | 35,781 | |||
Class I Shares | 1,325 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 71,563 | |||
Transfer agent fees | ||||
Class A Shares | 10,362 | |||
Class I Shares | 1,225 | |||
Registration and filing fees | ||||
Class A Shares | 146 | |||
Custodian fees (Note 3) | 15,189 | |||
Professional fees | 12,953 | |||
Accounting fees | 967 | |||
Trustee fees | 1,085 | |||
Other expenses | 4,938 | |||
|
| |||
Total Expenses | 311,911 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (10,349 | ) | ||
Fees paid indirectly (Note 3) | (443 | ) | ||
|
| |||
Net Expenses | 301,119 | |||
|
| |||
Net Investment Income | 812,539 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | 7,159 | |||
Net change in unrealized appreciation (depreciation) on investments | (460,021 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (452,862 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 359,677 | ||
|
|
See notes to financial statements.
14 Certified Semi-Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New York Intermediate Municipal Fund |
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 812,539 | $ | 1,544,080 | ||||
Net realized gain (loss) on investments | 7,159 | (1,824 | ) | |||||
Net unrealized appreciation (depreciation) on investments | (460,021 | ) | 2,135,272 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 359,677 | 3,677,528 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (735,921 | ) | (1,416,550 | ) | ||||
Class I Shares | (76,618 | ) | (127,530 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 1,956,744 | 8,331,577 | ||||||
Class I Shares | 286,397 | 1,038,620 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 1,790,279 | 11,503,645 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 60,568,950 | 49,065,305 | ||||||
|
|
|
| |||||
End of Period | $ | 62,359,229 | $ | 60,568,950 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
Certified Semi-Annual Report 15
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (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 outstanding: Class A and Institutional Class (“Class I”) shares. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use
16 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities Municipal Bonds | $ | 59,826,917 | $ | — | $ | 59,826,917 | $ | — | ||||||||
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Total Investments in Securities | $ | 59,826,917 | $ | — | $ | 59,826,917 | $ | — |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013.
Certified Semi-Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (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 (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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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: Investment transactions are accounted for on a trade date basis. Interest income is accrued as earned. Premiums and discounts on investments purchased are amortized to call dates or maturity dates of the respective investments. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $9,333 for Class A shares and $1,016 for Class I shares.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2013, the Distributor has advised the Fund that it earned no commissions from the sale of Class A shares.
Pursuant to a service plan under Rule 12b-1 of the Investment Company Act of 1940, the Fund may reimburse to the Advisor an amount not to exceed .25 of 1% per annum of the average daily net assets 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, 2013, 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 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, 2013, fees paid indirectly were $443.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 454,129 | $ | 6,105,769 | 880,583 | $ | 11,619,127 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 39,616 | 532,120 | 74,364 | 982,762 | ||||||||||||
Shares repurchased | (349,335 | ) | (4,681,145 | ) | (323,381 | ) | (4,270,312 | ) | ||||||||
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Net increase (decrease) | 144,410 | $ | 1,956,744 | 631,566 | $ | 8,331,577 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 105,717 | $ | 1,418,346 | 131,881 | $ | 1,742,051 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,364 | 72,052 | 8,665 | 114,614 | ||||||||||||
Shares repurchased | (90,037 | ) | (1,204,001 | ) | (62,258 | ) | (818,045 | ) | ||||||||
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Net increase (decrease) | 21,044 | $ | 286,397 | 78,288 | $ | 1,038,620 | ||||||||||
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NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $5,708,935 and $2,742,160, respectively.
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 55,439,141 | ||
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Gross unrealized appreciation on a tax basis | $ | 4,399,608 | ||
Gross unrealized depreciation on a tax basis | (11,832 | ) | ||
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Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,387,776 | ||
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At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $1,824. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $98,557, 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 do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occured in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At March 31, 2013, the Fund had cumulative 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. These capital loss carryforwards expire September 30, 2014.
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, 2013 and the date of issuance of the financial statements that 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 Otherwise | 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 | 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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2013(b)(c) | $ | 13.44 | 0.17 | (0.09 | ) | 0.08 | (0.17 | ) | — | (0.17 | ) | $ | 13.35 | 2.57(d) | 0.99 | (d) | 0.99 | (d) | 1.02 | (d) | 0.61 | 4.65 | $ | 57,403 | ||||||||||||||||||||||||||||||||||
2012(c) | $ | 12.93 | 0.37 | 0.51 | 0.88 | (0.37 | ) | — | (0.37 | ) | $ | 13.44 | 2.80 | 0.99 | 0.99 | 1.05 | 6.90 | 13.37 | $ | 55,862 | ||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class I Shares |
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2013(b) | $ | 13.44 | 0.19 | (0.09 | ) | 0.10 | (0.19 | ) | — | (0.19 | ) | $ | 13.35 | 2.89(d) | 0.67 | (d) | 0.67 | (d) | 0.71 | (d) | 0.77 | 4.65 | $ | 4,956 | ||||||||||||||||||||||||||||||||||
2012 | $ | 12.92 | 0.41 | 0.52 | 0.93 | (0.41 | ) | — | (0.41 | ) | $ | 13.44 | 3.12 | 0.67 | 0.67 | 0.77 | 7.33 | 13.37 | $ | 4,707 | ||||||||||||||||||||||||||||||||||||||
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, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
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, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.10 | $ | 4.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.70 | $ | 3.35 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.60 | $ | 3.37 |
† | 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 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
24 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg New York Intermediate Municipal Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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30 This page is not part of the Semi-Annual Report.
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TH1069 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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 maybe higher than those for other classes. Class I, R3, and R5 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 | ||
Class R5 | LTGRX | 885-216-861 | ||
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 | ||
Class R5 | THRRX | 885-216-853 |
Glossary
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.
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.
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.
Basis Point (bp) – 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 Bloomberg Market Data and are a combination of ratings from Standard and Poor’s, Moody’s Investors Service, and/or Fitch Ratings.
Consumer Price Index (CPI) – Index that measures prices of a fixed basket of goods bought by a typical consumer, including food, transportation, shelter, utilities, clothing, medical care, entertainment and other items. The CPI, published by the Bureau of Labor Statistics in the Department of Labor, is based at 100 in 1982 and is released monthly. It is widely used as a cost-of-living benchmark to adjust Social Security payments and other payment schedules, union contracts and tax brackets. Also known as the cost-of-living index.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
OAS (Option Adjusted Spread) – The difference between the yield of a fixed income instrument and the duration-matched Treasury yield assuming the instrument had no embedded options (such as an issuer’s option to call a bond at a future date). Option-adjusted spreads enable investors to separate out embedded options and better judge the degree to which an instrument’s yield compensates them for credit risk, liquidity risk, or other such factors.
Quantitative Easing (QE) – The Federal Reserve’s monetary policy used to stimulate the U.S. economy following the recession that began in 2007/08.
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 pursue attractive returns. These include:
Portfolio Manager
Jason Brady, 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 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.
Portfolio Ladder
As of March 31, 2013
• | 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. |
Long-Term Stability of Principal
Net Asset Value History of A shares from November 16, 1987 through March 31, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 11/16/87) | ||||||||||||||||||||
Without sales charge | 1.52 | % | 2.71 | % | 3.38 | % | 3.32 | % | 5.58 | % | ||||||||||
With sales charge | 0.00 | % | 2.19 | % | 3.08 | % | 3.17 | % | 5.51 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||||
2.41 | % | 0.96 | % |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 167 | |||
Effective Duration | 2.9 Yrs | |||
Average Maturity | 3.5 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 10.
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:
Portfolio Managers
Jason Brady, CFA and Lon Erickson, 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 the Limited Term Income Fund’s Class A shares is 1.50%. The total annual operating expenses of Class A shares are 0.93% as disclosed in the most recent Prospectus.
Portfolio Ladder
As of March 31, 2013
• | 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. |
Long-Term Stability of Principal
Net Asset Value History of A shares from October 1, 1992 through March 31, 2013
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 10/1/92) | ||||||||||||||||||||
Without sales charge | 5.87 | % | 5.81 | % | 6.06 | % | 4.74 | % | 5.68 | % | ||||||||||
With sales charge | 4.31 | % | 5.27 | % | 5.75 | % | 4.58 | % | 5.60 | % |
30-Day Yields, A Shares
As of March 31, 2013
Annualized Distribution Yield | SEC Yield | |||||
2.23 | % | 1.45 | % |
Key Portfolio Attributes
As of March 31, 2013
Number of Bonds | 525 | |||
Effective Duration | 3.4 Yrs | |||
Average Maturity | 4.5 Yrs |
See the entire portfolio in the Schedule of Investments beginning on page 14.
This page is not part of the Semi-Annual Report. 5
Thornburg Limited Term Income Funds –
March 31, 2013
Table of Contents | ||||
7 | ||||
Schedule of Investments | ||||
10 | ||||
14 | ||||
30 | ||||
32 | ||||
Statements of Changes in Net Assets | ||||
34 | ||||
35 | ||||
36 | ||||
Financial Highlights | ||||
46 | ||||
48 | ||||
50 | ||||
51 |
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 15, 2013
Dear Fellow Shareholders:
We are pleased to present the semi-annual reports for the Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund for the six-month period ended March 31, 2013. The net asset value (NAV) of a Class A share of the Thornburg Limited Term U.S. Government Fund decreased 20 cents in the period to $13.66. If you were invested for the entire period, you received dividends of 18.6 cents per share. If you reinvested your dividends, you received 18.7 cents per share. The NAV of a Class A share of the Thornburg Limited Term Income Fund increased 3 cents in the period to $13.75. If you were invested for the entire period, you received dividends of 18.1 cents per share. If you reinvested your dividends, you received 18.2 cents per share. Dividends per share were lower for Class B, C, and R3 shares and higher for Class I and R5 shares to account for varying class-specific expenses. Please examine the accompanying exhibits for more detailed information.
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 negative 0.10% over the six-month period, assuming a beginning-of-period investment at the NAV. The Barclays Intermediate Government Bond Index produced a 0.17% total return over the same time period. The average return for the Lipper Short-Intermediate U.S. Government Bond Category was negative 0.11%. The Class A shares of the Thornburg Limited Term Income Fund produced a total return of 1.98% over the period, assuming a beginning-of-period investment at the NAV. The Barclays Intermediate Government/Credit Bond Index produced a 0.61% total return over the same time period. The average return for the Lipper Short-Intermediate Investment-Grade Debt Category was 0.84%. Both Barclays indices reflect no deduction for fees, expenses, or taxes.
The U.S. Federal Reserve’s (the Fed) interest rate/economic policies continue to drive the market. With unemployment staying high and inflation still stable, the Fed remains steadfast in their chosen course: 0% to 0.25% target Fed Funds rates and $85 billion per month in bond purchases. In mid-February, the Fed released the minutes from its January 2013 meeting in which more than the expected number of governors questioned the need to continue quantitative easing (QE) as long as previously indicated. The stock market fell and Treasuries rallied; however, Chairman Bernanke (and a few others) rode to the rescue by quickly reiterating that QE will remain in effect for the foreseeable future. The markets calmed, once again demonstrating to us that they remain securely under the Fed’s spell. Additionally, while Treasury yields rose over the past six months (the Treasury’s 10-year bond yield rose to 1.85% from 1.63%), they continue to be quite volatile with the flow of U.S. and global economic and political news. Weak but better than expected U.S. fourth-quarter GDP, no fiscal cliff, and limited tax increase impact (thus far) propelled Treasury yields higher, but the yields fell toward the end of the period as investors ran for safety given the Cyprus and Italian election debacles. Of course “safety” is all in the eye of the beholder: real rates of return on U.S. risk-free assets are negative for some distance out the maturity curve, even in a currently benign inflationary environment (last annualized CPI rate was 2.0%).
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
By keeping the QE pedal to the metal, the Fed continues to “tell” investors to put their money anywhere besides U.S. Treasuries and other “risk-free” assets. Investors have responded, since earning 0% in bank deposits or money market accounts is not particularly palatable or consistent with their long-term financial plans. In the search for income and higher total returns, they have pushed increasing amounts of money into risk assets, driving prices skyward and credit spreads and bond yields lower. According to data from the Barclays indices, U.S. corporate average option-adjusted spread declined from 156 basis points to 139 basis points and U.S. Corporate High Yield average yield-to-worst (the lowest potential yield on a bond without issuer default) declined from 6.51% to 5.67% over the last six months. The S&P 500 Index total return was 10.19% for the six months ended March 31, 2013. We believe that the run of capital appreciation in higher-quality bond funds such as the Thornburg Limited Term U.S. Government and the Thornburg Limited Term Income Funds is very well advanced. When rates begin to return to a more “normalized” level, there is likely to be a period in which returns on high-quality bond funds are close to zero or indeed negative (depending on the speed of adjustment). While a position in our Funds can be a prudent part of an investor’s allocation in order to reduce volatility and provide ballast and income, investors should consider these effects when interest rates increase.
So, are there opportunities left in fixed income? Yes, but they are fewer in number and harder to find. Furthermore, our sights have become more locked in on risk rather than reward. This is not because we see impending doom on the horizon but because the spreads/yields being offered in the marketplace are so low. Duration continues to be the primary risk over the medium to long term. We do not expect a significant rise in Treasury rates near term, but the risk-reward dynamics continue to favor taking some credit risk, in our view. That said, with the significant spread tightening, the reward for accepting credit risk has declined significantly. Corporations continue to have strong balance sheets and are generating significant cash flow; however, these very attributes combined with the low-interest-rate, slow-growth economic environment have set the table for shareholder-friendly activity such as debt-financed common stock buybacks and special dividends – as well as leveraged buyouts. We believe that particularly it is in these environments, when the income buffer for mistakes is small, that our in-depth, fundamental credit work is likely to prove its worth. Our team of global generalists continues to conduct bottom-up analysis in support of current holdings and in search of new opportunities.
Capital preservation will always be a focus in these core Funds. We intend to proceed prudently, especially in periods when we believe market yields do not warrant taking additional risk (whether it be duration, credit, inflation or any other risk), and we will not forget that your bond portfolio should be a store of value that benefits you through economic cycles. No matter the direction of interest rates or credit spreads in the near term, we believe your Funds are well positioned to achieve their longer-term goals of principal stability, reasonable income, and total returns not highly correlated to equity returns. The Thornburg Limited Term U.S. Government Fund and the Thornburg Limited Term Income Fund are laddered portfolios comprised primarily of short-to-intermediate term bonds (i.e. maturity, or average life, of 0-10 years). This balances duration and yield in a way that is designed to provide what we consider the best risk-adjusted bond returns over time consistent with the Funds’ objectives.
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Thank you very much for investing in the 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.
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.
Certified Semi-Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||||
U.S. TREASURY SECURITIES — 9.11% | ||||||||
United States Treasury Notes, 2.625%, 12/31/2014 | $ | 2,000,000 | $ | 2,083,193 | ||||
United States Treasury Notes, 1.375%, 11/30/2015 | 2,500,000 | 2,569,141 | ||||||
United States Treasury Notes, 2.625%, 2/29/2016 | 2,000,000 | 2,131,250 | ||||||
United States Treasury Notes, 4.875%, 8/15/2016 | 5,000,000 | 5,742,090 | ||||||
United States Treasury Notes, 4.625%, 2/15/2017 | 4,000,000 | 4,627,031 | ||||||
United States Treasury Notes, 2.25%, 11/30/2017 | 3,500,000 | 3,750,195 | ||||||
United States Treasury Notes, 3.625%, 2/15/2020 | 1,000,000 | 1,161,943 | ||||||
United States Treasury Notes Inflationary Index, 2.00%, 7/15/2014 | 2,443,100 | 2,585,630 | ||||||
United States Treasury Notes Inflationary Index, 1.875%, 7/15/2015 | 4,735,160 | 5,194,249 | ||||||
United States Treasury Notes Inflationary Index, 2.00%, 1/15/2016 | 5,800,600 | 6,463,711 | ||||||
|
| |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $33,186,791) | 36,308,433 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 22.20% | ||||||||
Carobao Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.829%, 9/7/2024 | 4,647,917 | 4,754,410 | ||||||
Federal Agricultural Mtg Corp., 6.71%, 7/28/2014 | 200,000 | 216,098 | ||||||
Federal Farm Credit Bank, 6.06%, 5/28/2013 | 240,000 | 242,310 | ||||||
Federal Farm Credit Bank, 3.98%, 1/22/2015 | 1,000,000 | 1,065,669 | ||||||
Federal Home Loan Bank, 5.375%, 6/13/2014 | 2,000,000 | 2,122,973 | ||||||
Federal Home Loan Bank, 5.00%, 12/8/2017 | 3,000,000 | 3,584,965 | ||||||
Federal Home Loan Bank, 1.25%, 8/15/2022 | 3,000,000 | 3,017,895 | ||||||
Federal Home Loan Bank, 1.50%, 10/25/2022 | 3,700,000 | 3,678,215 | ||||||
Federal Home Loan Mtg Corp., 4.50%, 1/15/2015 | 5,000,000 | 5,376,135 | ||||||
Federal Home Loan Mtg Corp., 4.875%, 6/13/2018 | 3,000,000 | 3,597,888 | ||||||
Federal National Mtg Assoc., 4.40%, 2/19/2015 | 1,585,000 | 1,705,805 | ||||||
Government of Tunisia, (Guaranty: U.S. Agency for International Development), 1.686%, 7/16/2019 | 5,000,000 | 4,974,760 | ||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06%, 1/15/2022 | 2,175,658 | 2,220,232 | ||||||
New Valley Generation I, Tennessee Valley Authority, 7.299%, 3/15/2019 | 2,433,454 | 2,847,046 | ||||||
Overseas Private Investment Corp., 4.10%, 11/15/2014 | 504,000 | 506,117 | ||||||
Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70%, 12/20/2022 | 3,100,000 | 3,141,931 | ||||||
Private Export Funding Corp., 4.974%, 8/15/2013 | 2,700,000 | 2,749,378 | ||||||
Private Export Funding Corp., 5.45%, 9/15/2017 | 3,000,000 | 3,588,714 | ||||||
Small Business Administration Participation Certificates, Series 2001-20D Class 1, 6.35%, 4/1/2021 | 3,280,180 | 3,640,037 | ||||||
Small Business Administration Participation Certificates, Series 2001-20F Class 1, 6.44%, 6/1/2021 | 1,903,051 | 2,122,093 | ||||||
Small Business Administration Participation Certificates, Series 2002-20A Class 1, 6.14%, 1/1/2022 | 1,058,456 | 1,176,029 | ||||||
Small Business Administration Participation Certificates, Series 2002-20K Class 1, 5.08%, 11/1/2022 | 1,217,426 | 1,343,209 | ||||||
Small Business Administration Participation Certificates, Series 2005-20H Class 1, 5.11%, 8/1/2025 | 809,094 | 918,755 | ||||||
Small Business Administration Participation Certificates, Series 2007-20D Class 1, 5.32%, 4/1/2027 | 1,580,550 | 1,801,530 | ||||||
Small Business Administration Participation Certificates, Series 2007-20F Class 1, 5.71%, 6/1/2027 | 892,931 | 1,036,017 | ||||||
Small Business Administration Participation Certificates, Series 2007-20I Class 1, 5.56%, 9/1/2027 | 2,790,199 | 3,209,875 | ||||||
Small Business Administration Participation Certificates, Series 2007-20K Class 1, 5.51%, 11/1/2027 | 1,729,204 | 1,985,726 | ||||||
Small Business Administration Participation Certificates, Series 2008-20G Class 1, 5.87%, 7/1/2028 | 4,319,280 | 5,066,687 | ||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74%, 7/1/2031 | 3,745,520 | 4,089,415 |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87%, 11/1/2031 | $ | 3,816,636 | $ | 3,994,285 | ||||
Tennessee Valley Authority, 4.75%, 8/1/2013 | 3,000,000 | 3,046,477 | ||||||
a,b U.S. Department of Transportation, 5.594%, 12/7/2021 | 2,404,133 | 2,817,572 | ||||||
Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.87%, 6/28/2024 | 2,828,794 | 2,871,110 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $84,237,499) | 88,509,358 | |||||||
|
| |||||||
MORTGAGE BACKED — 61.58% | ||||||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00%, 8/15/2022 | 302,156 | 334,667 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2420 Class MC, 6.00%, 2/15/2017 | 300,571 | 319,267 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2527 Class BP, 5.00%, 11/15/2017 | 711,082 | 750,514 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2529 Class MB, 5.00%, 11/15/2017 | 735,474 | 785,134 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2553 Class GB, 5.00%, 1/15/2018 | 549,537 | 583,591 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2558 Class BD, 5.00%, 1/15/2018 | 2,544,125 | 2,701,832 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2622 Class PE, 4.50%, 5/15/2018 | 1,245,962 | 1,311,505 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class DQ, 3.00%, 11/15/2017 | 80,049 | 80,910 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2641 Class WE, 4.50%, 1/15/2033 | 279,631 | 291,459 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2642 Class JE, 5.00%, 9/15/2032 | 1,749,233 | 1,836,481 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2649 Class QH, 4.50%, 7/15/2018 | 676,008 | 717,858 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2692 Class QD, 5.00%, 12/15/2022 | 1,340,001 | 1,378,680 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2731 Class Vl, 5.50%, 12/15/2014 | 887,933 | 912,374 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50%, 5/15/2015 | 2,904,628 | 3,028,394 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00%, 6/15/2019 | 241,476 | 248,287 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50%, 6/15/2015 | 2,016,338 | 2,075,116 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50%, 7/15/2019 | 1,872,356 | 1,949,538 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50%, 3/15/2022 | 3,000,000 | 3,196,949 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3456 Class KV, 5.50%, 9/15/2017 | 604,612 | 609,423 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3477 Class VA, 5.50%, 7/15/2019 | 3,252,421 | 3,332,877 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3480 Class VA, 6.00%, 6/15/2019 | 1,959,934 | 2,099,791 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3563 Class BC, 4.00%, 6/15/2022 | 26,807 | 26,808 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00%, 10/15/2021 | 752,305 | 779,670 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3640 Class EL, 4.00%, 3/15/2020 | 2,052,416 | 2,163,277 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3678 Class AL, 4.50%, 10/15/2027 | 692,233 | 710,388 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3704 Class DC, 4.00%, 11/15/2036 | 874,965 | 958,077 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3867 Class VA, 4.50%, 3/15/2024 | 2,551,377 | 2,850,881 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3920 Class AB, 3.00%, 9/15/2025 | 1,941,769 | 2,005,772 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00%, 4/15/2041 | 3,003,171 | 3,063,371 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3981 Class ME, 3.00%, 1/15/2027 | 3,577,714 | 3,779,238 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3996 Class VN, 3.50%, 3/15/2025 | 4,664,502 | 5,063,296 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50%, 8/15/2023 | 3,286,115 | 3,553,466 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75%, 5/15/2039 | 3,926,967 | 3,978,346 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50%, 10/15/2027 | 4,799,549 | 4,832,061 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class UE, 2.00%, 10/15/2027 | 4,619,119 | 4,720,252 | ||||||
Federal Home Loan Mtg Corp., CMO Series K708 Class A2, 2.13%, 1/25/2019 | 5,100,000 | 5,282,084 | ||||||
Federal Home Loan Mtg Corp., CMO Series K709 Class A2, 2.086%, 3/25/2019 | 3,000,000 | 3,101,919 | ||||||
Federal Home Loan Mtg Corp., Pool AK6768, 3.00%, 3/1/2027 | 3,613,544 | 3,801,984 | ||||||
Federal Home Loan Mtg Corp., Pool B14155, 3.50%, 5/1/2019 | 474,050 | 500,167 | ||||||
Federal Home Loan Mtg Corp., Pool C90041, 6.50%, 11/1/2013 | 1,043 | 1,160 | ||||||
Federal Home Loan Mtg Corp., Pool D37120, 7.00%, 7/1/2023 | 9,125 | 10,301 | ||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50%, 1/1/2032 | 2,709,435 | 2,859,936 | ||||||
Federal Home Loan Mtg Corp., Pool E96575, 4.50%, 6/1/2018 | 1,333,397 | 1,422,672 | ||||||
Federal Home Loan Mtg Corp., Pool G12079, 4.50%, 4/1/2019 | 1,169,861 | 1,248,187 | ||||||
Federal Home Loan Mtg Corp., Pool G12140, 4.00%, 2/1/2020 | 319,983 | 340,993 | ||||||
Federal Home Loan Mtg Corp., Pool G13804, 5.00%, 3/1/2025 | 1,498,348 | 1,598,960 | ||||||
Federal Home Loan Mtg Corp., Pool J11371, 4.50%, 12/1/2024 | 1,610,954 | 1,718,813 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||||
Federal Home Loan Mtg Corp., Pool J13583, 3.50%, 11/1/2025 | $ | 2,088,980 | $ | 2,224,110 | ||||
Federal Home Loan Mtg Corp., Pool J14888, 3.50%, 4/1/2026 | 2,180,311 | 2,300,228 | ||||||
Federal Home Loan Mtg Corp., REMIC Series 3626 Class AV, 5.50%, 10/15/2020 | 695,307 | 698,830 | ||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50%, 10/15/2023 | 2,853,031 | 3,078,611 | ||||||
Federal National Mtg Assoc., CMO Series 1993-32 Class H, 6.00%, 3/25/2023 | 39,394 | 43,992 | ||||||
Federal National Mtg Assoc., CMO Series 2002-18 Class PC, 5.50%, 4/25/2017 | 101,062 | 102,512 | ||||||
Federal National Mtg Assoc., CMO Series 2003-15 Class CY, 5.00%, 3/25/2018 | 426,712 | 452,794 | ||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00%, 2/25/2018 | 1,128,384 | 1,200,571 | ||||||
Federal National Mtg Assoc., CMO Series 2003-49 Class YD, 5.50%, 6/25/2023 | 570,667 | 602,942 | ||||||
Federal National Mtg Assoc., CMO Series 2003-89 Class XC, 6.00%, 9/25/2014 | 386,591 | 388,535 | ||||||
Federal National Mtg Assoc., CMO Series 2003-9 Class DB, 5.00%, 2/25/2018 | 509,100 | 540,880 | ||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00%, 8/25/2042 | 2,753,013 | 3,175,854 | ||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50%, 1/25/2030 | 1,584,158 | 1,625,894 | ||||||
Federal National Mtg Assoc., CMO Series 2005-26 Class G, 5.00%, 6/25/2032 | 699,371 | 720,165 | ||||||
Federal National Mtg Assoc., CMO Series 2005-99 Class VA, 5.50%, 11/25/2016 | 919,855 | 969,701 | ||||||
Federal National Mtg Assoc., CMO Series 2006-121 Class VA, 5.50%, 3/25/2017 | 645,493 | 648,427 | ||||||
Federal National Mtg Assoc., CMO Series 2007-60 Class VA, 6.00%, 12/25/2017 | 2,603,681 | 2,643,807 | ||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00%, 7/25/2019 | 1,894,926 | 1,923,924 | ||||||
Federal National Mtg Assoc., CMO Series 2009-111 Class VB, 4.50%, 2/25/2021 | 1,355,548 | 1,366,962 | ||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.558%, 3/25/2039 | 1,026,856 | 1,034,204 | ||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00%, 2/25/2024 | 374,609 | 393,445 | ||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00%, 7/25/2024 | 900,096 | 943,620 | ||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50%, 8/25/2019 | 569,688 | 601,684 | ||||||
Federal National Mtg Assoc., CMO Series 2009-78 Class A, 4.50%, 8/25/2019 | 800,216 | 843,951 | ||||||
Federal National Mtg Assoc., CMO Series 2010-46 Class VM, 5.00%, 5/25/2021 | 2,352,888 | 2,478,129 | ||||||
Federal National Mtg Assoc., CMO Series 2010-6 Class VA, 5.00%, 2/25/2021 | 2,628,157 | 2,800,178 | ||||||
Federal National Mtg Assoc., CMO Series 2010-69 Class EJ, 2.50%, 7/25/2024 | 768,357 | 782,071 | ||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00%, 12/25/2022 | 2,668,503 | 2,852,983 | ||||||
Federal National Mtg Assoc., CMO Series 2011-106 Class LV, 3.50%, 1/25/2023 | 3,550,449 | 3,735,252 | ||||||
Federal National Mtg Assoc., CMO Series 2011-110 Class JV, 4.00%, 1/25/2023 | 2,975,481 | 3,179,652 | ||||||
Federal National Mtg Assoc., CMO Series 2011-118 Class V, 4.00%, 10/25/2029 | 3,015,266 | 3,198,219 | ||||||
Federal National Mtg Assoc., CMO Series 2011-124 Class QA, 2.00%, 12/25/2041 | 4,451,920 | 4,513,631 | ||||||
Federal National Mtg Assoc., CMO Series 2011-45 Class VA, 4.00%, 3/25/2024 | 3,524,474 | 3,831,346 | ||||||
Federal National Mtg Assoc., CMO Series 2011-63 Class MV, 3.50%, 7/25/2024 | 3,559,276 | 3,809,705 | ||||||
Federal National Mtg Assoc., CMO Series 2011-70 Class CA, 3.00%, 8/25/2026 | 6,549,050 | 6,938,888 | ||||||
Federal National Mtg Assoc., CMO Series 2011-72 Class KV, 3.50%, 11/25/2022 | 2,093,281 | 2,240,549 | ||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50%, 9/25/2026 | 3,234,305 | 3,334,002 | ||||||
Federal National Mtg Assoc., CMO Series 2011-98 Class VC, 3.50%, 1/25/2023 | 3,994,246 | 4,257,337 | ||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00%, 6/25/2023 | 3,708,050 | 4,016,630 | ||||||
Federal National Mtg Assoc., CMO Series 2012-48 Class PD, 2.00%, 7/25/2041 | 4,201,141 | 4,262,880 | ||||||
Federal National Mtg Assoc., CMO Series 2012-50 Class LV, 3.50%, 8/25/2023 | 5,097,903 | 5,413,352 | ||||||
Federal National Mtg Assoc., Pool 044003, 8.00%, 6/1/2017 | 5,646 | 6,090 | ||||||
Federal National Mtg Assoc., Pool 076388, 9.25%, 9/1/2018 | 15,584 | 16,935 | ||||||
Federal National Mtg Assoc., Pool 190555, 7.00%, 1/1/2014 | 655 | 665 | ||||||
Federal National Mtg Assoc., Pool 251759, 6.00%, 5/1/2013 | 70 | 70 | ||||||
Federal National Mtg Assoc., Pool 252648, 6.50%, 5/1/2022 | 44,766 | 49,876 | ||||||
Federal National Mtg Assoc., Pool 342947, 7.25%, 4/1/2024 | 90,682 | 102,763 | ||||||
Federal National Mtg Assoc., Pool 443909, 6.50%, 9/1/2018 | 31,354 | 34,844 | ||||||
Federal National Mtg Assoc., Pool 555207, 7.00%, 11/1/2017 | 13,697 | 15,662 | ||||||
Federal National Mtg Assoc., Pool 726308, 4.00%, 7/1/2018 | 724,376 | 774,828 | ||||||
Federal National Mtg Assoc., Pool 889906, 4.00%, 7/1/2023 | 627,538 | 671,245 | ||||||
Federal National Mtg Assoc., Pool 895572, 2.941%, 6/1/2036 | 635,304 | 683,151 | ||||||
Federal National Mtg Assoc., Pool 930986, 4.50%, 4/1/2019 | 1,200,037 | 1,292,008 | ||||||
Federal National Mtg Assoc., Pool AA2870, 4.00%, 3/1/2024 | 1,537,946 | 1,645,061 | ||||||
Federal National Mtg Assoc., Pool AD8191, 4.00%, 9/1/2025 | 1,933,559 | 2,093,606 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Principal Amount | Value | ||||||
Federal National Mtg Assoc., Pool AJ1752, 3.50%, 9/1/2026 | $ | 4,117,872 | $ | 4,415,774 | ||||
Federal National Mtg Assoc., Pool AK6518, 3.00%, 3/1/2027 | 3,922,948 | 4,161,849 | ||||||
Federal National Mtg Assoc., Pool MA0045, 4.00%, 4/1/2019 | 844,674 | 903,505 | ||||||
Federal National Mtg Assoc., Pool MA0071, 4.50%, 5/1/2019 | 620,500 | 668,055 | ||||||
Federal National Mtg Assoc., Pool MA0125, 4.50%, 7/1/2019 | 480,341 | 517,155 | ||||||
Federal National Mtg Assoc., Pool MA0380, 4.00%, 4/1/2020 | 1,167,996 | 1,249,345 | ||||||
Government National Mtg Assoc., CMO Series 2004-45 Class C, 5.67%, 10/16/2033 | 3,000,000 | 3,274,187 | ||||||
Government National Mtg Assoc., CMO Series 2004-45 Class C, 5.585%, 11/20/2059 | 5,094,942 | 5,599,703 | ||||||
Government National Mtg Assoc., CMO Series 2005-67 Class C, 4.907%, 3/16/2035 | 1,108,257 | 1,181,152 | ||||||
Government National Mtg Assoc., CMO Series 2009-105 Class A, 3.456%, 12/16/2050 | 771,096 | 784,680 | ||||||
Government National Mtg Assoc., CMO Series 2009-92 Class VA, 5.00%, 10/20/2020 | 1,171,953 | 1,279,494 | ||||||
Government National Mtg Assoc., CMO Series 2010-160 Class VY, 4.50%, 1/20/2022 | 834,306 | 933,361 | ||||||
Government National Mtg Assoc., Pool 000623, 8.00%, 9/20/2016 | 7,996 | 8,404 | ||||||
Government National Mtg Assoc., Pool 003550, 5.00%, 5/20/2019 | 527,067 | 570,460 | ||||||
Government National Mtg Assoc., Pool 714631, 5.691%, 10/20/2059 | 1,993,453 | 2,183,527 | ||||||
Government National Mtg Assoc., Pool 721652, 5.044%, 5/20/2061 | 4,346,837 | 4,933,599 | ||||||
Government National Mtg Assoc., Pool 751388, 5.307%, 1/20/2061 | 3,457,338 | 3,967,565 | ||||||
Government National Mtg Assoc., Pool 751392, 5.00%, 2/20/2061 | 5,094,010 | 5,956,808 | ||||||
Government National Mtg Assoc., Pool 757313, 4.307%, 12/20/2060 | 5,928,871 | 6,510,493 | ||||||
Government National Mtg Assoc., Pool 765151, 4.692%, 7/20/2061 | 3,096,009 | 3,497,800 | ||||||
Government National Mtg Assoc., Pool 894205, 4.00%, 8/20/2039 | 1,619,449 | 1,712,706 | ||||||
Government National Mtg Assoc., Pool MA0100, 2.50%, 5/20/2042 | 4,497,548 | 4,738,567 | ||||||
|
| |||||||
TOTAL MORTGAGE BACKED (Cost $242,115,753) | 245,522,166 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 2.51% | ||||||||
Overseas Private Investment Corp., 0.15%, 6/15/2030 | 10,000,000 | 10,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $10,000,000) | 10,000,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 95.40% (Cost $369,540,043) | $ | 380,339,957 | ||||||
OTHER ASSETS LESS LIABILITIES — 4.60% | 18,334,121 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 398,674,078 | ||||||
|
|
Footnote Legend
a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
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, 2013, the aggregate value of these securities in the Fund’s portfolio was $2,817,572, representing 0.71% of the Fund’s net assets. |
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 13
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
We have used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings. Where neither rating is available, we have used ratings from Fitch Ratings. “NR” = not rated.
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
U.S. TREASURY SECURITIES — 0.65% | ||||||||||
United States Treasury Notes, 1.75% due 4/15/2013 | NR/NR | $ | 2,500,000 | $ | 2,501,562 | |||||
United States Treasury Notes, 2.50% due 3/31/2015 | NR/NR | 6,500,000 | 6,791,104 | |||||||
United States Treasury Notes, 5.125% due 5/15/2016 | NR/NR | 1,000,000 | 1,146,328 | |||||||
United States Treasury Notes, 4.875% due 8/15/2016 | NR/NR | 2,000,000 | 2,296,836 | |||||||
United States Treasury Notes, 3.00% due 2/28/2017 | NR/NR | 2,000,000 | 2,190,020 | |||||||
United States Treasury Notes, 2.125% due 8/15/2021 | NR/NR | 5,000,000 | 5,225,049 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $18,950,653) | 20,150,899 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 8.30% | ||||||||||
a Agribank FCB, 9.125% due 7/15/2019 | A-/NR | 14,185,000 | 19,120,869 | |||||||
b Alex Alpha LLC, (Guaranty: Export-Import Bank of the United States), 1.617% due 8/15/2024 | NR/NR | 5,000,000 | 4,985,600 | |||||||
Carobao Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.829% due 9/7/2024 | NR/NR | 9,583,333 | 9,802,907 | |||||||
b,c Durrah MSN 35603, (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025 | NR/NR | 15,000,000 | 14,925,000 | |||||||
Federal Home Loan Bank, 1.25% due 8/15/2022 | AA+/Aaa | 4,600,000 | 4,627,439 | |||||||
Federal Home Loan Bank, 1.50% due 10/25/2022 | AA+/Aaa | 16,000,000 | 15,905,795 | |||||||
Federal National Mtg Assoc., 7.491% due 8/1/2014 | AA+/Aaa | 7,874 | 7,874 | |||||||
Government of Tunisia, (Guaranty: U.S. Agency for International Development), 1.686% due 7/16/2019 | NR/NR | 10,000,000 | 9,949,520 | |||||||
Helios Leasing I LLC, (Guaranty: Export-Import Bank of the United States), 1.562% due 9/28/2024 | NR/NR | 5,772,953 | 5,758,353 | |||||||
MSN 41079 and 41084 Ltd., (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024 | NR/NR | 11,551,262 | 11,623,123 | |||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06% due 1/15/2022 | AA+/NR | 2,991,530 | 3,052,819 | |||||||
Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70% due 12/20/2022 | NR/NR | 6,000,000 | 6,081,156 | |||||||
Private Export Funding Corp., 5.45% due 9/15/2017 | AA+/Aaa | 3,000,000 | 3,588,714 | |||||||
Santa Rosa Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.693% due 8/15/2024 | NR/NR | 5,771,391 | 5,799,353 | |||||||
Santa Rosa Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.472% due 11/3/2024 | NR/NR | 15,698,378 | 15,577,846 | |||||||
Small Business Administration Participation Certificates, Series 2001-20J Class 1, 5.76% due 10/1/2021 | NR/NR | 1,027,804 | 1,132,429 | |||||||
Small Business Administration Participation Certificates, Series 2008-20D Class 1, 5.37% due 4/1/2028 | NR/NR | 2,537,010 | 2,919,256 | |||||||
Small Business Administration Participation Certificates, Series 2009-20K Class 1, 4.09% due 11/1/2029 | NR/NR | 10,427,019 | 11,605,200 | |||||||
Small Business Administration Participation Certificates, Series 2011-20E Class 1, 3.79% due 5/1/2031 | NR/NR | 14,002,214 | 15,466,025 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74% due 7/1/2031 | NR/NR | $ | 14,982,082 | $ | 16,357,659 | |||||
Small Business Administration Participation Certificates, Series 2011-20I Class 1, 2.85% due 9/1/2031 | NR/NR | 9,168,659 | 9,587,355 | |||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87% due 11/1/2031 | NR/NR | 14,856,256 | 15,547,757 | |||||||
Small Business Administration Participation Certificates, Series 2012-20D Class 1, 2.67% due 4/1/2032 | NR/NR | 14,556,111 | 15,149,967 | |||||||
Small Business Administration Participation Certificates, Series 2012-20J Class 1, 2.18% due 10/1/2032 | NR/NR | 11,000,000 | 11,093,668 | |||||||
Small Business Administration Participation Certificates, Series 2012-20K Class 1, 2.09% due 11/1/2032 | NR/NR | 6,650,000 | 6,693,748 | |||||||
Small Business Administration, Series 2005-P10A Class 1, 4.638% due 2/10/2015 | NR/NR | 756,540 | 796,598 | |||||||
a,b U.S. Department of Transportation, 5.594% due 12/7/2021 | NR/NR | 2,203,789 | 2,582,774 | |||||||
a,b U.S. Department of Transportation, 6.001% due 12/7/2021 | NR/NR | 3,000,000 | 3,652,350 | |||||||
b Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.682% due 12/19/2024 | NR/NR | 14,698,789 | 14,671,210 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $253,955,574) | 258,062,364 | |||||||||
|
| |||||||||
OTHER GOVERNMENT — 3.31% | ||||||||||
c Export-Import Bank of Korea, 8.125% due 1/21/2014 | A+/Aa3 | 11,250,000 | 11,881,586 | |||||||
c Export-Import Bank of Korea, 5.875% due 1/14/2015 | A+/Aa3 | 3,000,000 | 3,248,166 | |||||||
c Government of Aruba, 6.80% due 4/2/2014 | A-/NR | 5,616,000 | 5,878,323 | |||||||
a,c Government of Bermuda, 5.603% due 7/20/2020 | AA-/Aa2 | 3,000,000 | 3,447,564 | |||||||
a,c Government of Bermuda, 4.138% due 1/3/2023 | AA-/Aa2 | 4,000,000 | 4,198,524 | |||||||
c Korea Finance Corp., 4.625% due 11/16/2021 | A+/Aa3 | 7,500,000 | 8,413,950 | |||||||
a,c Korea Housing Finance Co., 3.50% due 12/15/2016 | NR/Aa1 | 6,000,000 | 6,407,830 | |||||||
a,c Republic of Iceland, 4.875% due 6/16/2016 | BBB-/Baa3 | 17,000,000 | 18,126,250 | |||||||
a,c Republic of Iceland, 5.875% due 5/11/2022 | BBB-/Baa3 | 2,100,000 | 2,407,673 | |||||||
a,c State of Qatar, 3.125% due 1/20/2017 | AA/Aa2 | 4,000,000 | 4,214,795 | |||||||
c Swedish Export Credit Corp., 1.75% due 5/30/2017 | AA+/Aa1 | 14,300,000 | 14,709,123 | |||||||
c Swedish Export Credit Corp. Floating Rate Note, 0.602% due 1/23/2017 | AA+/Aa1 | 20,000,000 | 20,052,960 | |||||||
|
| |||||||||
TOTAL OTHER GOVERNMENT (Cost $98,885,819) | 102,986,744 | |||||||||
|
| |||||||||
MORTGAGE BACKED — 8.69% | ||||||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K008 Class X1, 1.673% due 6/25/2020 | NR/NR | 38,930,479 | 3,567,943 | |||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K710 Class X1, 1.784% due 5/25/2019 | NR/NR | 49,877,034 | 4,618,020 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2528 Class HN, 5.00% due 11/15/2017 | NR/NR | 447,424 | 471,936 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2627 Class GY, 4.50% due 6/15/2018 | NR/NR | 2,442,061 | 2,581,086 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class AB, 4.50% due 6/15/2018 | NR/NR | 575,531 | 597,047 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2654 Class OG, 5.00% due 2/15/2032 | NR/NR | 317,165 | 323,555 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2682 Class JG, 4.50% due 10/15/2023 | NR/NR | 2,071,761 | 2,235,796 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2778 Class JD, 5.00% due 12/15/2032 | NR/NR | 1,331,651 | 1,365,292 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2808 Class VA, 5.50% due 5/15/2015 | NR/NR | 1,304,981 | 1,360,586 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | NR/NR | 241,476 | 248,287 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2825 Class VP, 5.50% due 6/15/2015 | NR/NR | 1,489,836 | 1,533,266 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50% due 7/15/2019 | NR/NR | 2,246,827 | 2,339,445 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2943 Class BV, 5.00% due 3/15/2016 | NR/NR | 1,607,134 | 1,648,232 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3195 Class PD, 6.50% due 7/15/2036 | NR/NR | 3,251,551 | 3,615,334 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50% due 3/15/2022 | NR/NR | 4,000,000 | 4,262,599 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3504 Class PC, 4.00% due 1/15/2039 | NR/NR | 574,559 | 601,186 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Federal Home Loan Mtg Corp., CMO Series 3563 Class BC, 4.00% due 6/15/2022 | NR/NR | $ | 53,613 | $ | 53,617 | |||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00% due 10/15/2021 | NR/NR | 1,128,457 | 1,169,504 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3919 Class VB, 4.00% due 8/15/2024 | NR/NR | 5,449,313 | 6,048,081 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00% due 4/15/2041 | NR/NR | 4,504,757 | 4,595,057 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50% due 8/15/2023 | NR/NR | 3,754,487 | 4,059,944 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4079 Class WV, 3.50% due 3/15/2027 | NR/NR | 3,662,719 | 3,963,007 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75% due 5/15/2039 | NR/NR | 11,780,901 | 11,935,037 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4101 Class QN, 3.50% due 9/15/2042 | NR/NR | 29,917,837 | 32,285,794 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50% due 10/15/2027 | NR/NR | 6,232,256 | 6,274,473 | |||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50% due 1/1/2032 | AA+/Aaa | 9,069,822 | 9,573,623 | |||||||
Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026 | AA+/Aaa | 4,291,641 | 4,539,081 | |||||||
Federal Home Loan Mtg Corp., Pool P10039, 5.00% due 4/1/2013 | AA+/Aaa | 12,271 | 12,286 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 3626 Class AV, 5.50% due 10/15/2020 | NR/NR | 1,158,845 | 1,164,717 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 3838 Class GV, 4.00% due 3/15/2024 | NR/NR | 10,754,776 | 11,888,033 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50% due 10/15/2023 | NR/NR | 2,870,932 | 3,097,927 | |||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00% due 2/25/2018 | NR/NR | 1,137,102 | 1,209,846 | |||||||
Federal National Mtg Assoc., CMO Series 2003-74 Class KN, 4.50% due 8/25/2018 | NR/NR | 474,942 | 503,359 | |||||||
Federal National Mtg Assoc., CMO Series 2003-92 Class VG, 5.00% due 9/25/2014 | NR/NR | 309,207 | 317,519 | |||||||
Federal National Mtg Assoc., CMO Series 2003-W3 Class 1A2, 7.00% due 8/25/2042 | NR/NR | 1,576,358 | 1,818,474 | |||||||
Federal National Mtg Assoc., CMO Series 2004-33 Class MW, 4.50% due 1/25/2030 | NR/NR | 1,640,481 | 1,683,701 | |||||||
Federal National Mtg Assoc., CMO Series 2005-48 Class AR, 5.50% due 2/25/2035 | NR/NR | 1,021,683 | 1,113,193 | |||||||
Federal National Mtg Assoc., CMO Series 2007-26 Class VH, 5.50% due 2/25/2018 | NR/NR | 3,262,932 | 3,366,671 | |||||||
Federal National Mtg Assoc., CMO Series 2007-42 Class PA, 5.50% due 4/25/2037 | NR/NR | 1,524,176 | 1,624,979 | |||||||
Federal National Mtg Assoc., CMO Series 2008-54 Class EA, 5.00% due 7/25/2019 | NR/NR | 2,526,568 | 2,565,231 | |||||||
Federal National Mtg Assoc., CMO Series 2008-55 Class VA, 5.00% due 7/25/2019 | NR/NR | 2,024,663 | 2,034,073 | |||||||
Federal National Mtg Assoc., CMO Series 2009-111 Class VB, 4.50% due 2/25/2021 | NR/NR | 1,355,548 | 1,366,962 | |||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.558% due 3/25/2039 | NR/NR | 1,711,427 | 1,723,674 | |||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00% due 2/25/2024 | NR/NR | 874,088 | 918,039 | |||||||
Federal National Mtg Assoc., CMO Series 2009-5 Class A, 4.50% due 12/25/2023 | AA+/Aaa | 2,447,014 | 2,580,442 | |||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00% due 7/25/2024 | NR/NR | 1,500,160 | 1,572,701 | |||||||
Federal National Mtg Assoc., CMO Series 2009-65 Class GA, 4.50% due 11/25/2023 | NR/NR | 521,708 | 545,043 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50% due 8/25/2019 | NR/NR | 1,424,220 | 1,504,210 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class PA, 5.00% due 8/25/2035 | NR/NR | 366,216 | 368,943 | |||||||
Federal National Mtg Assoc., CMO Series 2009-89 Class BV, 4.50% due 12/25/2020 | NR/NR | 1,785,796 | 1,800,184 | |||||||
Federal National Mtg Assoc., CMO Series 2011-100 Class VE, 4.00% due 12/25/2022 | NR/NR | 6,876,901 | 7,175,017 | |||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00% due 12/25/2022 | NR/NR | 2,643,597 | 2,826,355 | |||||||
Federal National Mtg Assoc., CMO Series 2011-15 Class VA, 4.00% due 4/25/2022 | NR/NR | 1,687,915 | 1,821,074 | |||||||
Federal National Mtg Assoc., CMO Series 2011-88 Class WA, 2.50% due 9/25/2026 | NR/NR | 2,627,873 | 2,708,877 | |||||||
Federal National Mtg Assoc., CMO Series 2011-89 Class VA, 4.00% due 9/25/2023 | NR/NR | 6,101,721 | 6,275,540 | |||||||
Federal National Mtg Assoc., CMO Series 2012-129 Class LA, 3.50% due 12/25/2042 | NR/NR | 15,730,350 | 16,776,245 | |||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00% due 6/25/2023 | NR/NR | 3,382,669 | 3,664,170 | |||||||
Federal National Mtg Assoc., CMO Series 2012-48 Class PD, 2.00% due 7/25/2041 | NR/NR | 13,863,766 | 14,067,505 | |||||||
Federal National Mtg Assoc., Pool 357384, 4.50% due 5/1/2018 | AA+/Aaa | 371,407 | 399,871 | |||||||
Federal National Mtg Assoc., Pool 897936, 5.50% due 8/1/2021 | AA+/Aaa | 1,787,721 | 1,941,633 | |||||||
Federal National Mtg Assoc., Pool AK6518, 3.00% due 3/1/2027 | AA+/Aaa | 5,472,013 | 5,805,250 | |||||||
Government National Mtg Assoc., CMO Series 2009-35 Series KV, 4.50% due 6/20/2020 | NR/NR | 3,536,216 | 3,726,415 | |||||||
Government National Mtg Assoc., CMO Series 2009-68 Class DP, 4.50% due 11/16/2038 | NR/NR | 1,467,013 | 1,582,356 | |||||||
Government National Mtg Assoc., Pool 003007, 8.50% due 11/20/2015 | AA+/Aaa | 8,923 | 9,480 | |||||||
Government National Mtg Assoc., Pool 714631, 5.691% due 10/20/2059 | AA+/Aaa | 5,382,323 | 5,895,522 | |||||||
Government National Mtg Assoc., Pool 721652, 5.044% due 5/20/2061 | AA+/Aaa | 6,337,490 | 7,192,963 | |||||||
Government National Mtg Assoc., Pool 731491, 5.156% due 12/20/2060 | AA+/Aaa | 3,835,820 | 4,402,566 | |||||||
Government National Mtg Assoc., Pool 751388, 5.307% due 1/20/2061 | AA+/Aaa | 5,432,960 | 6,234,746 | |||||||
Government National Mtg Assoc., Pool 765151, 4.692% due 7/20/2061 | AA+/Aaa | 5,005,215 | 5,654,777 | |||||||
Government National Mtg Assoc., Pool 783299, 4.50% due 2/15/2022 | AA+/Aaa | 6,123,191 | 6,573,941 |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Government National Mtg Assoc., Pool 827148, 1.625% due 2/20/2024 | AA+/Aaa | $ | 27,418 | $ | 28,307 | |||||
Government National Mtg Assoc., Pool MA0100, 2.50% due 5/20/2042 | AA+/Aaa | 4,542,978 | 4,786,431 | |||||||
|
| |||||||||
TOTAL MORTGAGE BACKED (Cost $267,113,390) | 270,196,076 | |||||||||
|
| |||||||||
ASSET BACKED SECURITIES — 12.18% | ||||||||||
ADVANCE RECEIVABLES — 0.42% | ||||||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A1, 0.898% due 1/15/2044 | AAA/NR | 8,000,000 | 8,008,000 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A2, 1.495% due 1/16/2046 | AAA/NR | 5,000,000 | 5,034,000 | |||||||
|
| |||||||||
13,042,000 | ||||||||||
|
| |||||||||
AUTO RECEIVABLES — 0.46% | ||||||||||
Santander Drive Auto Receivables Trust, 2.86% due 6/15/2017 | AA-/NR | 637,597 | 641,796 | |||||||
Santander Drive Auto Receivables Trust, 2.72% due 5/16/2016 | AA/Aa1 | 2,500,000 | 2,551,272 | |||||||
a,c SMART Trust, Series 2012-2USA Class A3B Floating Rate Note, 1.153% due 10/14/2016 | NR/Aaa | 8,000,000 | 8,074,148 | |||||||
a,c SMART Trust, Series 2012-2USA Class A4B Floating Rate Note, 1.453% due 3/14/2018 | NR/Aaa | 3,000,000 | 3,064,554 | |||||||
|
| |||||||||
14,331,770 | ||||||||||
|
| |||||||||
COMMERCIAL MTG TRUST — 3.54% | ||||||||||
Banc of America Commercial Mtg Inc., Series 2006-6 Class A3, 5.369% due 10/10/2045 | AAA/Aaa | 3,000,000 | 3,217,282 | |||||||
a Banc of America Re-Remic Trust Series 2012-CLRN Class A Floating Rate Note, 1.353% due 8/15/2029 | NR/Aaa | 5,000,000 | 5,043,520 | |||||||
a CFCRE Commercial Mtg Trust Series 2011-C1 Class A4, 4.961% due 4/15/2044 | NR/Aaa | 11,877,000 | 13,937,561 | |||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.914% due 3/25/2034 | CCC/Caa2 | 347,905 | 269,072 | |||||||
a COMM Mtg Trust Series 2012-MVP Class A Floating Rate Note, 2.141% due 11/17/2026 | AAA/NR | 16,903,768 | 17,140,489 | |||||||
Commercial Mtg Pass-Through Certificates, Series 2011-THL Class A, 3.376% due 6/9/2028 | NR/Aaa | 4,742,910 | 4,841,881 | |||||||
Commercial Mtg Pass-Through Certificates, Series 2011-THL Class B, 4.554% due 6/9/2028 | NR/Aa2 | 1,500,000 | 1,547,733 | |||||||
Credit Suisse Commercial Mtg Capital Certificates, Series 2007-C2 Class A2, 5.448% due 1/15/2049 | AAA/Aaa | 142,339 | 146,131 | |||||||
DBUBS Mtg Trust CMO, Series 2011-LC1A Class A1, 3.742% due 11/10/2046 | NR/Aaa | 5,250,305 | 5,634,096 | |||||||
DBUBS Mtg Trust CMO, Series 2011-LC2A Class A1FL, 1.552% due 7/12/2044 | NR/Aaa | 1,276,730 | 1,315,572 | |||||||
JPMorgan Chase Commercial Mtg, Series 2004-C3 Class A-5, 4.878% due 1/15/2042 | NR/Aaa | 5,000,000 | 5,286,196 | |||||||
JPMorgan Chase, Series 2011-FL1 Class B, 3.953% due 11/15/2028 | AA/Aa2 | 2,725,000 | 2,779,476 | |||||||
Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.787% due 8/12/2045 | NR/Aaa | 2,838,000 | 3,260,811 | |||||||
a Motel 6 Trust Series 2012-MTL6 Class A2, 1.948% due 10/5/2025 | AAA/NR | 7,000,000 | 7,017,485 | |||||||
a Motel 6 Trust, Series 2012-MTL6 Class C, 3.139% due 10/5/2025 | A-/NR | 12,000,000 | 12,078,935 | |||||||
a VNO Mtg Trust Series 2012-6AVE Class A, 2.996% due 11/15/2030 | AAA/NR | 7,000,000 | 7,097,920 | |||||||
Wachovia Bank Commercial Mtg Trust, Series 2004-C10 Class C, 4.842% due 2/15/2041 | AA+/Aaa | 4,000,000 | 4,092,389 | |||||||
a,b Wells Fargo Commercial Mtg Trust, Series 2013-120B Class A, 2.80% due 3/18/2028 | NR/NR | 15,000,000 | 15,248,437 | |||||||
|
| |||||||||
109,954,986 | ||||||||||
|
| |||||||||
CREDIT CARD — 0.55% | ||||||||||
First Financial Bank USA, 5.19% due 9/17/2018 | AA-/NR | 2,000,000 | 2,015,333 | |||||||
First Financial Bank USA, 3.72% due 6/17/2019 | AAA/NR | 5,000,000 | 5,088,216 | |||||||
a,c Turquoise Card Backed Securities plc Floating Rate Note, 1.003% due 6/17/2019 | NR/Aaa | 10,000,000 | 10,050,131 | |||||||
|
| |||||||||
17,153,680 | ||||||||||
|
| |||||||||
OTHER ASSET BACKED — 3.19% | ||||||||||
a Ascentium Equipment Receivables LLC, 1.83% due 9/15/2019 | NR/NR | 6,084,373 | 6,083,764 | |||||||
a Beacon Container Finance LLC, 3.72% due 9/20/2027 | A/NR | 9,530,760 | 9,933,787 | |||||||
a,c Cie Financement Foncier, 2.50% due 9/16/2015 | AAA/Aaa | 6,000,000 | 6,220,602 | |||||||
a,b Concord Funding Company LLC, 2.42% due 2/15/2015 | A/NR | 10,000,000 | 10,000,000 | |||||||
a,b Concord Funding Company LLC, 3.92% due 2/15/2015 | BBB/NR | 4,000,000 | 4,000,000 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a,c Cronos Containers Program Ltd., 3.81% due 9/18/2027 | A/NR | $ | 6,365,000 | $ | 6,620,667 | |||||
a Fairway Outdoor Funding LLC, 4.212% due 10/15/2042 | NR/NR | 6,932,530 | 7,288,862 | |||||||
a GTP Cellular Sites LLC, 3.721% due 3/15/2042 | NR/NR | 9,500,000 | 9,826,002 | |||||||
MIRAMAX LLC, 6.25% due 10/20/2021 | BBB/Baa3 | 6,121,429 | 6,442,289 | |||||||
b Northwind Holdings, LLC Floating Rate Note, 1.067% due 12/1/2037 | A/Baa1 | 4,243,750 | 3,861,813 | |||||||
a PFS Financing Corp. Floating Rate Note, 0.753% due 2/15/2018 | AAA/Aaa | 9,000,000 | 9,001,674 | |||||||
Sierra Receivables Funding Co. LLC, 2.84% due 11/20/2028 | A+/NR | 5,644,634 | 5,765,963 | |||||||
Sonic Capital LLC, 5.438% due 5/20/2041 | BBB/Baa2 | 7,241,600 | 8,049,661 | |||||||
a,c Trafigura Securitisation Finance plc Floating Rate Note, 2.603% due 10/15/2015 | AAA/Aaa | 6,000,000 | 6,118,009 | |||||||
|
| |||||||||
99,213,093 | ||||||||||
|
| |||||||||
RESIDENTIAL MTG TRUST — 2.21% | ||||||||||
Ameriquest Mtg Securities Inc., Series 2004-R12 Class A4 Floating Rate Note, 0.674% due 1/25/2035 | A+/Aaa | 2,149,686 | 2,130,362 | |||||||
Arran Residential Mtg Funding plc, Series 2011-1A Class A2C, 1.74% due 11/19/2047 | NR/Aaa | 5,000,000 | 5,092,254 | |||||||
Banc of America Mtg Securities, Inc., Series 2004-4 Class 1A2, 5.50% due 5/25/2034 | AA+/NR | 608,476 | 616,828 | |||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.172% due 2/25/2035 | NR/NR | 2,434,657 | 196,845 | |||||||
Bear Stearns Mtg, Series 2004-3 Class 1-A2, 3.129% due 7/25/2034 | BBB+/B3 | 226,943 | 235,759 | |||||||
Countrywide Home Loan, Series 2004 Class 1-A, 2.79% due 7/20/2034 | A/B1 | 462,956 | 491,821 | |||||||
a,b FDIC Trust, Series 2013-R1 Class A, 1.15% due 3/25/2033 | NR/NR | 7,000,000 | 6,991,250 | |||||||
FNBC Trust, Series 1993 A, 8.08% due 1/5/2018 | A+/Aa1 | 703,475 | 779,522 | |||||||
a,c Fosse Master Issuer plc, Series 2011-1A Class A2 Floating Rate Note, 1.703% due 10/18/2054 | AAA/Aaa | 6,971,015 | 7,055,519 | |||||||
a FREMF Mtg Trust, Series 2012-K709 Class B, 3.741% due 4/25/2045 | NR/NR | 10,000,000 | 10,491,262 | |||||||
a FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.80% due 10/25/2044 | NR/A3 | 4,000,000 | 4,083,058 | |||||||
Home Equity Asset Trust, Series 2006-3 Class 2A, 0.384% due 7/25/2036 | BBB+/A1 | 927,244 | 924,498 | |||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.575% due 8/25/2034 | CCC/NR | 794,610 | 508,887 | |||||||
Merrill Lynch Mtg Investors, Series 2003 E Class B3, 2.454% due 10/25/2028 | CCC/Caa2 | 1,061,540 | 367,296 | |||||||
New Century Home Equity Loan Trust, Series 2005-2 Class A2C, 0.504% due 6/25/2035 | AAA/Aa1 | 2,354,537 | 2,351,493 | |||||||
Option One Mtg Loan Trust, Series 2005-5 Class A3 Floating Rate Note, 0.414% due 12/25/2035 | AA+/Baa2 | 1,464,302 | 1,424,725 | |||||||
Popular ABS Mtg Pass-Through Trust, Series 2005-4 Class AF5, 5.537% due 9/25/2035 | BBB+/Baa1 | 5,624,299 | 5,897,224 | |||||||
Residential Asset Mtg Products, Inc., 0.504% due 3/25/2035 | NR/Aa3 | 631,353 | 610,513 | |||||||
Residential Asset Mtg Products, Inc., 7.125% due 4/25/2031 | AA+/NR | 2,419,281 | 2,611,943 | |||||||
a RiverView HECM Trust Series 2007-1 Class A, 0.64% due 5/25/2047 | A-/Ba3 | 6,202,698 | 5,497,141 | |||||||
c Silverstone Master Issuer, Series 2010-1A Class A1 Floating Rate Note, 1.702% due 1/21/2055 | AAA/Aaa | 5,000,000 | 5,033,151 | |||||||
Structured Asset Securities Corp., 5.50% due 3/25/2019 | A+/Ba2 | 1,126,414 | 1,157,253 | |||||||
Structured Asset Securities Corp., 2.506% due 3/25/2033 | AA+/Baa1 | 2,882,429 | 3,029,641 | |||||||
Washington Mutual Mtg, Series 2003-S13 Class 21-A1, 4.50% due 12/25/2018 | A+/NR | 1,050,260 | 1,063,755 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616% due 2/25/2035 | D/C | 806,805 | 77,235 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.674% due 3/25/2035 | NR/NR | 751,634 | 47,746 | |||||||
|
| |||||||||
68,766,981 | ||||||||||
|
| |||||||||
STUDENT LOAN — 1.81% | ||||||||||
a Nelnet Student Loan Trust Floating Rate Note, 0.804% due 6/25/2041 | NR/Aaa | 14,831,537 | 14,859,524 | |||||||
a Pennsylvania Higher Education Assistance Agency Floating Rate Note, 0.754% due 5/25/2027 | AA+/NR | 6,653,185 | 6,684,007 | |||||||
SLM Student Loan Trust, Series 2003-C Class A2 Floating Rate Note, 0.67% due 9/15/2020 | A+/Aa2 | 3,003,050 | 2,944,367 | |||||||
SLM Student Loan Trust, Series 2006-B Class A3 Floating Rate Note, 0.42% due 12/15/2022 | AA/Aaa | 1,865,911 | 1,860,895 | |||||||
SLM Student Loan Trust, Series 2011-B Class A2, 3.74% due 2/15/2029 | AAA/Aaa | 5,000,000 | 5,412,048 | |||||||
a SLM Student Loan Trust, Series 2013-R1 Class A Floating Rate Note, 1.704% due 3/25/2033 | AAA/NR | 25,000,000 | 24,657,078 | |||||||
|
| |||||||||
56,417,919 | ||||||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $374,777,548) | 378,880,429 | |||||||||
|
|
18 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
CORPORATE BONDS — 50.81% | ||||||||||
AUTOMOBILES & COMPONENTS — 1.33% | ||||||||||
AUTOMOBILES — 1.33% | ||||||||||
a American Honda Finance Corp., 2.60% due 9/20/2016 | A+/A1 | $ | 5,000,000 | $ | 5,260,495 | |||||
a American Honda Finance Corp., 1.00% due 8/11/2015 | A+/A1 | 3,000,000 | 3,010,746 | |||||||
a American Honda Finance Corp., 1.50% due 9/11/2017 | A+/A1 | 2,000,000 | 2,016,762 | |||||||
a Daimler Finance North America LLC, 1.25% due 1/11/2016 | A-/A3 | 7,000,000 | 7,023,975 | |||||||
a,c Hyundai Capital Services, Inc., 6.00% due 5/5/2015 | BBB+/Baa1 | 8,000,000 | 8,746,864 | |||||||
a Nissan Motor Acceptance Corp., 1.95% due 9/12/2017 | BBB+/A3 | 15,000,000 | 15,220,935 | |||||||
|
| |||||||||
41,279,777 | ||||||||||
|
| |||||||||
BANKS — 10.66% | ||||||||||
COMMERCIAL BANKS — 9.91% | ||||||||||
a,c ABN AMRO Bank N.V., 4.25% due 2/2/2017 | A/A2 | 1,000,000 | 1,089,210 | |||||||
a,c ANZ National International Ltd., 6.20% due 7/19/2013 | AA-/Aa3 | 1,000,000 | 1,017,434 | |||||||
a,c ANZ National International Ltd., 3.125% due 8/10/2015 | AA-/Aa3 | 4,000,000 | 4,179,396 | |||||||
a,c Australia and New Zealand Bank, 2.40% due 11/23/2016 | NR/Aaa | 6,000,000 | 6,302,400 | |||||||
a,c Banco Bradesco, 4.50% due 1/12/2017 | BBB/Baa1 | 2,500,000 | 2,668,750 | |||||||
a,c Banco BTG Pactual SA/Cayman Islands N.A., 4.00% due 1/16/2020 | NR/Baa3 | 7,000,000 | 6,755,000 | |||||||
a,c Banco Latinoamericano de Comercio Exterior, S.A., 3.75% due 4/4/2017 | BBB/NR | 4,000,000 | 4,122,000 | |||||||
a,c Banco Santander Brasil Floating Rate Note, 2.38% due 3/18/2014 | BBB/Baa1 | 7,883,000 | 7,902,763 | |||||||
a,c Bank of China Hong Kong, 3.75% due 11/8/2016 | A+/Aa3 | 4,000,000 | 4,316,024 | |||||||
c Bank of Nova Scotia, 2.55% due 1/12/2017 | A+/Aa2 | 5,000,000 | 5,237,955 | |||||||
a,c Barclays Bank plc, 2.50% due 9/21/2015 | AAA/Aaa | 14,650,000 | 15,240,248 | |||||||
a,c BNP Paribas Home Loan Covered Bonds SA, 2.20% due 11/2/2015 | AAA/Aaa | 10,000,000 | 10,332,000 | |||||||
a,c Commonwealth Bank of Australia, 2.25% due 3/16/2017 | NR/Aaa | 7,500,000 | 7,842,750 | |||||||
c Corp Andina de Fomento, 3.75% due 1/15/2016 | AA-/Aa3 | 11,000,000 | 11,636,174 | |||||||
a,c Credit Agricole London, 1.752% due 1/21/2014 | A/A2 | 7,000,000 | 7,056,084 | |||||||
a,c Credit Mutuel-CIC Home Loan SFH, 1.50% due 11/16/2017 | AAA/Aaa | 10,000,000 | 10,030,310 | |||||||
a,c Danske Bank A/S, 3.75% due 4/1/2015 | A-/Baa1 | 4,000,000 | 4,175,760 | |||||||
a,c DNB Bank ASA, 3.20% due 4/3/2017 | A+/A1 | 10,000,000 | 10,591,620 | |||||||
a,c HSBC Bank plc, 3.50% due 6/28/2015 | AA-/Aa3 | 2,000,000 | 2,115,858 | |||||||
HSBC USA, Inc., 2.375% due 2/13/2015 | A+/A2 | 2,000,000 | 2,057,840 | |||||||
a,c Kookmin Bank, 7.25% due 5/14/2014 | AA/Aa1 | 7,000,000 | 7,463,344 | |||||||
a,c National Australia Bank, 2.00% due 6/20/2017 | NR/Aaa | 16,000,000 | 16,582,400 | |||||||
a,c National Bank of Canada, 2.20% due 10/19/2016 | NR/Aaa | 2,000,000 | 2,095,200 | |||||||
National City Bank Floating Rate Note, 0.651% due 6/7/2017 | A-/A3 | 4,000,000 | 3,954,260 | |||||||
North American Development Bank, 4.375% due 2/11/2020 | A+/Aaa | 15,500,000 | 17,200,350 | |||||||
a,c Oversea-Chinese Banking Corp. Ltd., 3.15% due 3/11/2023 | A+/Aa2 | 29,650,000 | 30,187,021 | |||||||
c Rabobank Nederland, 3.375% due 1/19/2017 | AA-/Aa2 | 2,000,000 | 2,141,228 | |||||||
c Royal Bank of Scotland plc, 9.50% due 3/16/2022 | BBB-/NR | 12,000,000 | 13,830,000 | |||||||
a,c Societe Generale, 3.10% due 9/14/2015 | A/A2 | 6,000,000 | 6,212,478 | |||||||
a Sovereign Bank Lease Pass-Through Trust, 12.18% due 6/30/2020 | BBB/A2 | 5,920,404 | 8,051,750 | |||||||
a,c Sparebank 1 Boligkreditt AS, 2.30% due 6/30/2018 | NR/Aaa | 8,000,000 | 8,338,984 | |||||||
a,c Sparebank 1 Boligkreditt AS, 1.75% due 11/15/2019 | NR/Aaa | 20,000,000 | 19,818,000 | |||||||
a,c Standard Chartered plc, 3.20% due 5/12/2016 | A+/A2 | 5,000,000 | 5,286,250 | |||||||
c Svenska Handelsbanken AB, 3.125% due 7/12/2016 | AA-/Aa3 | 6,000,000 | 6,368,976 | |||||||
a,c Swedbank Hypotek AB, 2.375% due 4/5/2017 | AAA/Aaa | 5,000,000 | 5,255,000 | |||||||
a,c Toronto-Dominion Bank, 2.20% due 7/29/2015 | NR/Aaa | 3,000,000 | 3,112,800 | |||||||
US Bank NA, 3.778% due 4/29/2020 | A+/A1 | 10,000,000 | 10,535,710 | |||||||
Wells Fargo Bank NA, 0.50% due 5/16/2016 | A+/A1 | 4,629,000 | 4,553,330 | |||||||
c Westpac Banking Corp., 3.00% due 8/4/2015 | AA-/Aa2 | 2,000,000 | 2,100,382 |
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a,c Westpac Banking Corp. Floating Rate Note, 1.103% due 7/17/2015 | NR/Aaa | $ | 5,000,000 | $ | 5,053,760 | |||||
a,c Woori Bank, 4.75% due 1/20/2016 | A-/A1 | 5,000,000 | 5,443,985 | |||||||
THRIFTS & MORTGAGE FINANCE — 0.75% | ||||||||||
a,c Northern Rock Asset Management plc, 5.625% due 6/22/2017 | AAA/Aaa | 20,000,000 | 23,177,500 | |||||||
|
| |||||||||
331,432,284 | ||||||||||
|
| |||||||||
CAPITAL GOODS — 2.53% | ||||||||||
AEROSPACE & DEFENSE — 0.05% | ||||||||||
Boeing Co., 5.00% due 3/15/2014 | A/A2 | 1,500,000 | 1,563,214 | |||||||
CONSTRUCTION & ENGINEERING — 0.30% | ||||||||||
a URS Corp., 4.10% due 4/1/2017 | BBB-/Baa3 | 8,995,000 | 9,347,856 | |||||||
ELECTRICAL EQUIPMENT — 0.19% | ||||||||||
Roper Industries, Inc., 6.25% due 9/1/2019 | BBB/Baa2 | 4,840,000 | 5,862,581 | |||||||
INDUSTRIAL CONGLOMERATES — 0.48% | ||||||||||
General Electric Co., 5.25% due 12/6/2017 | AA+/Aa3 | 2,500,000 | 2,928,472 | |||||||
a,c Hutchison Whampoa Ltd., 3.50% due 1/13/2017 | A-/A3 | 5,000,000 | 5,323,145 | |||||||
a,c Smiths Group plc, 6.05% due 5/15/2014 | BBB+/Baa2 | 3,000,000 | 3,128,463 | |||||||
a,c Smiths Group plc, 7.20% due 5/15/2019 | BBB+/Baa2 | 3,000,000 | 3,679,458 | |||||||
MACHINERY — 0.63% | ||||||||||
Aeroquip Vickers, Inc., 6.875% due 4/9/2018 | A-/NR | 1,500,000 | 1,773,816 | |||||||
Ingersoll Rand Co., 6.391% due 11/15/2027 | BBB+/Baa1 | 3,000,000 | 3,563,820 | |||||||
a,c Volvo Treasury AB, 5.95% due 4/1/2015 | BBB/Baa2 | 13,100,000 | 14,227,137 | |||||||
OIL, GAS & CONSUMABLE FUELS — 0.13% | ||||||||||
c Sasol Financing International plc, 4.50% due 11/14/2022 | BBB/Baa1 | 4,000,000 | 3,955,000 | |||||||
TRADING COMPANIES & DISTRIBUTORS — 0.75% | ||||||||||
a Air Lease Corp., 7.375% due 1/30/2019 | NR/NR | 11,144,516 | 12,036,078 | |||||||
a Aviation Capital Group, 6.75% due 4/6/2021 | BB+/NR | 3,000,000 | 3,336,159 | |||||||
a Aviation Capital Group, 7.125% due 10/15/2020 | BB+/NR | 6,912,000 | 7,849,177 | |||||||
|
| |||||||||
78,574,376 | ||||||||||
|
| |||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.23% | ||||||||||
PROFESSIONAL SERVICES — 0.23% | ||||||||||
Dun & Bradstreet Corp., 3.25% due 12/1/2017 | BBB/NR | 6,875,000 | 7,068,298 | |||||||
|
| |||||||||
7,068,298 | ||||||||||
|
| |||||||||
CONSUMER DURABLES & APPAREL — 0.35% | ||||||||||
HOUSEHOLD DURABLES — 0.27% | ||||||||||
Newell Rubbermaid, Inc., 2.00% due 6/15/2015 | BBB-/Baa3 | 3,000,000 | 3,052,197 | |||||||
Tupperware Brands Corp., 4.75% due 6/1/2021 | BBB-/Baa3 | 5,000,000 | 5,266,345 | |||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.08% | ||||||||||
Nike, Inc., 5.15% due 10/15/2015 | A+/A1 | 2,315,000 | 2,554,788 | |||||||
|
| |||||||||
10,873,330 | ||||||||||
|
| |||||||||
CONSUMER SERVICES — 0.54% | ||||||||||
DIVERSIFIED CONSUMER SERVICES — 0.54% | ||||||||||
George Washington University, 4.411% due 9/15/2017 | A+/A1 | 1,750,000 | 1,972,917 | |||||||
Rensselaer Polytechnic I, 5.60% due 9/1/2020 | A-/A3 | 10,925,000 | 12,681,543 | |||||||
University of Chicago, 3.065% due 10/1/2024 | AA/Aa1 | 1,880,000 | 2,022,600 | |||||||
|
| |||||||||
16,677,060 | ||||||||||
|
|
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 7.57% | ||||||||||
CAPITAL MARKETS — 3.57% | ||||||||||
Bank of New York Mellon, 2.40% due 1/17/2017 | A+/Aa3 | $ | 7,000,000 | $ | 7,315,441 | |||||
a,c CDP Financial, Inc., 3.00% due 11/25/2014 | AAA/Aaa | 4,000,000 | 4,156,436 | |||||||
a,c CDP Financial, Inc., 4.40% due 11/25/2019 | AAA/Aaa | 5,000,000 | 5,724,630 | |||||||
a,c Credit Suisse Group AG - Guernsey, 1.625% due 3/6/2015 | NR/Aaa | 13,000,000 | 13,250,718 | |||||||
Deutsche Bank Financial LLC, 5.375% due 3/2/2015 | BBB+/Baa3 | 5,000,000 | 5,331,915 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 0.702% due 7/22/2015 | A-/A3 | 8,890,000 | 8,799,038 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 0.734% due 3/22/2016 | A-/A3 | 5,000,000 | 4,943,085 | |||||||
a,c IPIC GMTN Ltd., 3.125% due 11/15/2015 | AA/Aa3 | 1,000,000 | 1,043,500 | |||||||
c IPIC GMTN Ltd., 3.75% due 3/1/2017 | AA/Aa3 | 3,000,000 | 3,210,000 | |||||||
a,c IPIC GMTN Ltd., 5.00% due 11/15/2020 | AA/Aa3 | 1,000,000 | 1,130,000 | |||||||
a,c IPIC GMTN Ltd., 5.50% due 3/1/2022 | AA/Aa3 | 3,500,000 | 4,060,000 | |||||||
Legg Mason, Inc., 5.50% due 5/21/2019 | BBB/Baa1 | 13,065,000 | 14,176,348 | |||||||
a,c Macquarie Bank Ltd., 3.45% due 7/27/2015 | A/A2 | 2,000,000 | 2,083,972 | |||||||
a,c Macquarie Group Ltd., 7.30% due 8/1/2014 | BBB/A3 | 8,000,000 | 8,571,200 | |||||||
a,c Macquarie Group Ltd., 7.625% due 8/13/2019 | BBB/A3 | 2,000,000 | 2,415,800 | |||||||
c Man Group plc, 6.50% due 8/1/2013 | NR/Baa3 | 5,000,000 | 5,067,500 | |||||||
c Man Group plc Floating Rate Note, 1.934% due 9/22/2015 | NR/Ba1 | 5,000,000 | 4,525,985 | |||||||
Merrill Lynch & Co., 6.875% due 4/25/2018 | A-/Baa2 | 2,000,000 | 2,414,040 | |||||||
Merrill Lynch & Co., 0.848% due 5/2/2017 | BBB+/Baa3 | 2,500,000 | 2,383,135 | |||||||
Morgan Stanley Floating Rate Note, 2.792% due 5/14/2013 | A-/Baa1 | 5,000,000 | 5,013,120 | |||||||
Murray Street Investment Trust, 4.647% due 3/9/2017 | A-/A3 | 5,000,000 | 5,467,495 | |||||||
CONSUMER FINANCE — 0.95% | ||||||||||
American Express Credit Co., 5.125% due 8/25/2014 | A-/A2 | 3,000,000 | 3,187,077 | |||||||
American Express Credit Co., 2.80% due 9/19/2016 | A-/A2 | 8,000,000 | 8,470,688 | |||||||
American Express Credit Co., 1.75% due 6/12/2015 | A-/A2 | 1,000,000 | 1,021,781 | |||||||
a,c Banque PSA Finance, 2.205% due 4/4/2014 | BB+/Baa3 | 7,000,000 | 6,939,240 | |||||||
c DFS Funding Corp. Floating Rate Note, 1.105% due 6/15/2015 | NR/Baa3 | 3,600,000 | 3,450,672 | |||||||
Western Union Co., 6.50% due 2/26/2014 | BBB+/Baa1 | 1,000,000 | 1,050,698 | |||||||
Western Union Co., 3.65% due 8/22/2018 | BBB+/Baa1 | 2,000,000 | 2,063,662 | |||||||
Western Union Co., 2.375% due 12/10/2015 | BBB+/Baa1 | 1,000,000 | 1,017,744 | |||||||
Western Union Co., 2.875% due 12/10/2017 | BBB+/Baa1 | 2,250,000 | 2,283,554 | |||||||
DIVERSIFIED FINANCIAL SERVICES — 3.05% | ||||||||||
Bank of America Corp. Floating Rate Note, 1.354% due 3/22/2018 | A-/Baa2 | 15,000,000 | 14,985,495 | |||||||
Citigroup, Inc., 6.50% due 8/19/2013 | A-/Baa2 | 696,000 | 711,630 | |||||||
Citigroup, Inc., 5.00% due 9/15/2014 | BBB+/Baa3 | 3,000,000 | 3,150,090 | |||||||
Citigroup, Inc., 6.00% due 12/13/2013 | A-/Baa2 | 1,329,000 | 1,376,948 | |||||||
a CME Group Index Services, 4.40% due 3/15/2018 | AA-/Aa3 | 4,530,000 | 5,111,715 | |||||||
General Electric Capital Corp., 1.00% due 1/8/2016 | AA+/A1 | 2,000,000 | 2,000,864 | |||||||
General Electric Capital Corp. Floating Rate Note, 1.281% due 3/15/2023 | AA+/A1 | 7,725,000 | 7,746,599 | |||||||
General Electric Capital Corp. Floating Rate Note, 0.43% due 12/28/2018 | AA+/A1 | 4,850,000 | 4,395,802 | |||||||
a General Electric Capital Corp./LJ VP Holdings LLC, 3.80% due 6/18/2019 | AA+/A1 | 5,000,000 | 5,381,940 | |||||||
JPMorgan Chase & Co. Floating Rate Note, 1.201% due 1/25/2018 | A/A2 | 16,900,000 | 17,011,118 | |||||||
JPMorgan Chase Bank N.A. Floating Rate Note, 0.61% due 6/13/2016 | A/A1 | 16,875,000 | 16,606,181 | |||||||
c Korea Development Bank, 8.00% due 1/23/2014 | A/Aa3 | 3,000,000 | 3,166,338 | |||||||
a,c National Agricultural Cooperative Federation, 5.00% due 9/30/2014 | A/A1 | 2,000,000 | 2,112,146 | |||||||
National Rural Utilities CFC, 10.375% due 11/1/2018 | A+/A1 | 2,000,000 | 2,918,834 | |||||||
a USAA Capital Corp., 2.25% due 12/13/2016 | AA+/Aa1 | 8,000,000 | 8,286,840 | |||||||
|
| |||||||||
235,531,014 | ||||||||||
|
|
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
ENERGY — 3.65% | ||||||||||
ENERGY EQUIPMENT & SERVICES — 0.28% | ||||||||||
Rowan Companies, Inc., 7.875% due 8/1/2019 | BBB-/Baa3 | $ | 7,000,000 | $ | 8,744,603 | |||||
OIL, GAS & CONSUMABLE FUELS — 3.37% | ||||||||||
a,c BG Energy Capital plc, 2.875% due 10/15/2016 | A/A2 | 5,000,000 | 5,297,075 | |||||||
c BP Capital Markets plc, 3.875% due 3/10/2015 | A/A2 | 2,000,000 | 2,120,460 | |||||||
a,c CNPC General Capital Ltd., 2.75% due 4/19/2017 | A+/A1 | 5,000,000 | 5,197,370 | |||||||
a DCP Midstream LLC, 9.75% due 3/15/2019 | BBB/Baa2 | 6,500,000 | 8,560,337 | |||||||
Energen Corp., 4.625% due 9/1/2021 | BBB/Baa3 | 10,000,000 | 10,306,060 | |||||||
Energy Transfer Partners LP, 9.70% due 3/15/2019 | BBB-/Baa3 | 3,856,000 | 5,197,815 | |||||||
a,c Eni S.p.A., 4.15% due 10/1/2020 | A/A3 | 15,925,000 | 16,721,139 | |||||||
a Florida Gas Transmission, 4.00% due 7/15/2015 | BBB/Baa2 | 2,000,000 | 2,121,256 | |||||||
a,c Gazprom, 4.95% due 5/23/2016 | BBB/Baa1 | 4,000,000 | 4,279,360 | |||||||
Gulf South Pipeline Co. LP, 4.00% due 6/15/2022 | BBB/Baa1 | 4,000,000 | 4,222,096 | |||||||
a,c Korea National Oil Corp., 4.00% due 10/27/2016 | A+/A1 | 2,000,000 | 2,169,658 | |||||||
a Maritimes & Northeast Pipeline LLC, 7.50% due 5/31/2014 | BBB-/Ba1 | 2,574,000 | 2,683,704 | |||||||
Murphy Oil Corp., 2.50% due 12/1/2017 | BBB/Baa3 | 5,000,000 | 5,020,745 | |||||||
c Norsk Hydro A/S, 6.70% due 1/15/2018 | AA-/Aa2 | 1,000,000 | 1,236,257 | |||||||
a Northern Natural Gas Co., 5.75% due 7/15/2018 | A/A2 | 50,000 | 59,896 | |||||||
NuStar Logistics LP, 4.75% due 2/1/2022 | BB+/Ba1 | 5,000,000 | 4,875,575 | |||||||
a Semco Energy, Inc., 5.15% due 4/21/2020 | A-/A3 | 3,000,000 | 3,354,705 | |||||||
c Shell International Finance, 3.10% due 6/28/2015 | AA/Aa1 | 3,000,000 | 3,170,880 | |||||||
a,c Sinopec Group Overseas Development Ltd., 2.75% due 5/17/2017 | A+/Aa3 | 6,000,000 | 6,255,816 | |||||||
Sunoco Logistics, 8.75% due 2/15/2014 | BBB-/Baa3 | 5,000,000 | 5,337,990 | |||||||
c Total Capital International S.A., 1.55% due 6/28/2017 | AA-/Aa1 | 6,500,000 | 6,605,807 | |||||||
|
| |||||||||
113,538,604 | ||||||||||
|
| |||||||||
FOOD, BEVERAGE & TOBACCO — 1.36% | ||||||||||
BEVERAGES — 0.62% | ||||||||||
Coca Cola Enterprises, Inc., 5.71% due 3/18/2037 | AA-/NR | 3,380,000 | 4,003,539 | |||||||
c Coca Cola HBC Finance BV, 5.125% due 9/17/2013 | BBB/Baa1 | 6,524,000 | 6,635,541 | |||||||
c Coca Cola HBC Finance BV, 5.50% due 9/17/2015 | BBB/Baa1 | 7,985,000 | 8,692,303 | |||||||
FOOD PRODUCTS — 0.03% | ||||||||||
Corn Products International, Inc., 3.20% due 11/1/2015 | BBB/Baa2 | 1,000,000 | 1,049,151 | |||||||
TOBACCO — 0.71% | ||||||||||
Altria Group, Inc., 8.50% due 11/10/2013 | BBB/Baa1 | 1,000,000 | 1,047,710 | |||||||
a,c B.A.T International Finance plc, 2.125% due 6/7/2017 | A-/A3 | 8,000,000 | 8,239,840 | |||||||
Lorillard Tobacco Co., 8.125% due 6/23/2019 | BBB-/Baa2 | 5,259,000 | 6,690,668 | |||||||
Lorillard Tobacco Co., 6.875% due 5/1/2020 | BBB-/Baa2 | 5,000,000 | 6,063,985 | |||||||
|
| |||||||||
42,422,737 | ||||||||||
|
| |||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.29% | ||||||||||
HEALTH CARE PROVIDERS & SERVICES — 0.29% | ||||||||||
Catholic Health Initiatives, 1.60% due 11/1/2017 | AA-/NR | 2,000,000 | 2,023,582 | |||||||
Catholic Health Initiatives, 2.95% due 11/1/2022 | AA-/NR | 7,000,000 | 7,069,909 | |||||||
|
| |||||||||
9,093,491 | ||||||||||
|
| |||||||||
HOTELS RESTAURANTS & LEISURE — 0.16% | ||||||||||
HOTELS, RESTAURANTS & LEISURE — 0.16% | ||||||||||
a Hyatt Hotels Corp., 5.75% due 8/15/2015 | BBB/Baa2 | 2,500,000 | 2,715,828 | |||||||
a,c TDIC Finance Ltd., 6.50% due 7/2/2014 | AA/A1 | 2,000,000 | 2,122,500 | |||||||
|
| |||||||||
4,838,328 | ||||||||||
|
|
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.07% | ||||||||||
HOUSEHOLD PRODUCTS — 0.07% | ||||||||||
Energizer Holdings, Inc., 4.70% due 5/24/2022 | BBB-/Baa3 | $ | 2,000,000 | $ | 2,128,446 | |||||
|
| |||||||||
2,128,446 | ||||||||||
|
| |||||||||
INSURANCE — 3.25% | ||||||||||
INSURANCE — 3.25% | ||||||||||
Aflac, Inc., 2.65% due 2/15/2017 | A-/A3 | 2,000,000 | 2,102,642 | |||||||
a Forethought Financial Group, Inc., 8.625% due 4/15/2021 | BBB-/Baa3 | 2,600,000 | 3,129,508 | |||||||
a Genworth Life Institutional Fund, 5.875% due 5/3/2013 | A-/A3 | 1,000,000 | 1,004,229 | |||||||
Hanover Insurance Group, 6.375% due 6/15/2021 | BBB-/Baa3 | 2,480,000 | 2,863,944 | |||||||
Hartford Financial Services Group, Inc., 4.625% due 7/15/2013 | BBB/Baa3 | 5,370,000 | 5,431,916 | |||||||
Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | BBB/Baa2 | 3,000,000 | 3,117,063 | |||||||
a ING US, Inc., 2.90% due 2/15/2018 | BBB-/Baa3 | 5,000,000 | 5,071,485 | |||||||
Kemper Corp., 6.00% due 5/15/2017 | BBB-/Baa3 | 1,950,000 | 2,154,592 | |||||||
a,c Lancashire Holdings Ltd., 5.70% due 10/1/2022 | BBB/Baa2 | 10,000,000 | 9,920,255 | |||||||
a Liberty Mutual Group, Inc., 5.75% due 3/15/2014 | BBB-/Baa2 | 1,000,000 | 1,037,608 | |||||||
a MassMutual Global Funding LLC, 2.00% due 4/5/2017 | AA+/Aa2 | 8,000,000 | 8,200,512 | |||||||
a MetLife Institutional Funding II, 1.625% due 4/2/2015 | AA-/Aa3 | 5,000,000 | 5,081,970 | |||||||
a Metropolitan Life Global Funding I, 1.055% due 1/10/2014 | AA-/Aa3 | 6,000,000 | 6,031,476 | |||||||
a Metropolitan Life Global Funding I, 1.70% due 6/29/2015 | AA-/Aa3 | 4,000,000 | 4,084,556 | |||||||
a Metropolitan Life Global Funding I, 1.50% due 1/10/2018 | AA-/Aa3 | 5,000,000 | 5,021,805 | |||||||
c Montpelier Re Holdings Ltd., 4.70% due 10/15/2022 | BBB/NR | 5,000,000 | 5,131,755 | |||||||
a Principal Life Global Funding II, 1.00% due 12/11/2015 | A+/Aa3 | 7,000,000 | 7,019,278 | |||||||
a Prudential Covered Trust Co., 2.997% due 9/30/2015 | A/Baa2 | 2,850,000 | 2,971,484 | |||||||
a,c QBE Insurance Group Ltd., 5.647% due 7/1/2023 | BBB+/Baa1 | 9,141,000 | 9,109,546 | |||||||
Unitrin, Inc., 6.00% due 11/30/2015 | BBB-/Baa3 | 5,000,000 | 5,474,775 | |||||||
a,c White Mountains Re Group Ltd., 6.375% due 3/20/2017 | BBB/Baa3 | 6,335,000 | 7,127,103 | |||||||
|
| |||||||||
101,087,502 | ||||||||||
|
| |||||||||
MATERIALS — 3.02% | ||||||||||
CHEMICALS — 0.46% | ||||||||||
a Incitec Pivot Finance LLC, 6.00% due 12/10/2019 | BBB/Baa3 | 4,538,000 | 5,266,036 | |||||||
a Incitec Pivot Ltd., 4.00% due 12/7/2015 | BBB/Baa3 | 4,325,000 | 4,529,827 | |||||||
RPM International, Inc., 6.125% due 10/15/2019 | BBB-/Baa3 | 4,000,000 | 4,696,396 | |||||||
CONSTRUCTION MATERIALS — 0.05% | ||||||||||
CRH America, Inc., 8.125% due 7/15/2018 | BBB+/Baa2 | 1,150,000 | 1,429,225 | |||||||
METALS & MINING — 2.51% | ||||||||||
a,c Anglo American Capital plc, 2.625% due 9/27/2017 | BBB+/Baa1 | 9,700,000 | 9,852,203 | |||||||
c Anglogold Holdings plc, 5.375% due 4/15/2020 | BBB-/Baa2 | 7,100,000 | 7,515,179 | |||||||
c Anglogold Holdings plc, 5.125% due 8/1/2022 | BBB-/Baa2 | 7,000,000 | 7,095,886 | |||||||
c ArcelorMittal, 4.25% due 8/5/2015 | BB+/Ba1 | 3,000,000 | 3,118,050 | |||||||
c ArcelorMittal, 10.35% due 6/1/2019 | BB+/Ba1 | 8,089,000 | 10,214,765 | |||||||
c ArcelorMittal, 5.00% due 2/25/2017 | BB+/Ba1 | 3,000,000 | 3,139,500 | |||||||
Carpenter Technology Corp., 4.45% due 3/1/2023 | BBB/Baa3 | 3,000,000 | 3,080,883 | |||||||
c Kinross Gold Corp., 3.625% due 9/1/2016 | NR/Baa3 | 7,000,000 | 7,162,652 | |||||||
a,c Samarco Mineracao S.A., 4.125% due 11/1/2022 | BBB/NR | 5,000,000 | 4,865,000 | |||||||
a,c Xstrata Finance Canada Ltd., 3.60% due 1/15/2017 | BBB+/Baa2 | 10,000,000 | 10,518,800 | |||||||
a,c Xstrata Finance Canada Ltd., 4.95% due 11/15/2021 | BBB+/Baa2 | 5,000,000 | 5,377,470 | |||||||
a,c Xstrata Finance Canada Ltd., 4.00% due 10/25/2022 | BBB+/Baa2 | 6,000,000 | 6,043,086 | |||||||
|
| |||||||||
93,904,958 | ||||||||||
|
|
Certified Semi-Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
MEDIA — 0.35% | ||||||||||
MEDIA — 0.35% | ||||||||||
a NBCUniversal Enterprise, Inc., 1.974% due 4/15/2019 | A-/A3 | $ | 3,000,000 | $ | 3,008,301 | |||||
The Washington Post Co., 7.25% due 2/1/2019 | BBB/Baa1 | 5,000,000 | 5,945,295 | |||||||
Time Warner Cable, Inc., 8.05% due 1/15/2016 | BBB/Baa2 | 200,000 | 232,566 | |||||||
Time Warner Cable, Inc., 7.50% due 4/1/2014 | BBB/Baa2 | 1,500,000 | 1,599,720 | |||||||
|
| |||||||||
10,785,882 | ||||||||||
|
| |||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.79% | ||||||||||
BIOTECHNOLOGY — 0.10% | ||||||||||
Genzyme Corp., 3.625% due 6/15/2015 | AA-/A1 | 3,000,000 | 3,198,297 | |||||||
PHARMACEUTICALS — 0.69% | ||||||||||
AbbVie, Inc., 1.20% due 11/6/2015 | A/Baa1 | 9,650,000 | 9,724,971 | |||||||
AbbVie, Inc., 2.00% due 11/6/2018 | A/Baa1 | 5,000,000 | 5,059,600 | |||||||
c Teva Pharmaceuticals, 2.40% due 11/10/2016 | A-/A3 | 4,500,000 | 4,701,150 | |||||||
Tiers Inflation Linked Trust, Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 3.591% due 2/1/2014 | AA/A1 | 2,000,000 | 2,045,200 | |||||||
|
| |||||||||
24,729,218 | ||||||||||
|
| |||||||||
REAL ESTATE — 0.94% | ||||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.84% | ||||||||||
Commonwealth REIT (HRPT Properties), 6.25% due 6/15/2017 | BBB-/Baa3 | 4,000,000 | 4,421,552 | |||||||
a,c Goodman Funding Property Ltd., 6.00% due 3/22/2022 | BBB/Baa2 | 10,285,000 | 11,731,667 | |||||||
Washington REIT, 4.95% due 10/1/2020 | BBB/Baa2 | 9,100,000 | 9,951,296 | |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.10% | ||||||||||
Jones Lang LaSalle, Inc., 4.40% due 11/15/2022 | BBB-/Baa2 | 3,000,000 | 3,086,112 | |||||||
|
| |||||||||
29,190,627 | ||||||||||
|
| |||||||||
RETAILING — 0.84% | ||||||||||
MULTILINE RETAIL — 0.28% | ||||||||||
Family Dollar Stores, Inc., 5.00% due 2/1/2021 | BBB-/Baa3 | 8,000,000 | 8,611,224 | |||||||
SPECIALTY RETAIL — 0.56% | ||||||||||
Advance Auto Parts, Inc., 4.50% due 1/15/2022 | BBB-/Baa3 | 6,400,000 | 6,578,490 | |||||||
Best Buy Co., Inc., 7.25% due 7/15/2013 | BB/Baa2 | 3,000,000 | 3,045,000 | |||||||
Best Buy Co., Inc., 3.75% due 3/15/2016 | BB/Baa2 | 8,000,000 | 8,000,000 | |||||||
|
| |||||||||
26,234,714 | ||||||||||
|
| |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.55% | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.55% | ||||||||||
KLA Tencor Corp., 6.90% due 5/1/2018 | BBB/Baa1 | 14,314,000 | 17,159,709 | |||||||
|
| |||||||||
17,159,709 | ||||||||||
|
| |||||||||
SOFTWARE & SERVICES — 0.72% | ||||||||||
INFORMATION TECHNOLOGY SERVICES — 0.33% | ||||||||||
Computer Sciences Corp., 6.50% due 3/15/2018 | BBB/Baa2 | 6,075,000 | 7,044,685 | |||||||
Electronic Data Systems Corp., 6.00% due 8/1/2013 | BBB+/Baa1 | 1,000,000 | 1,017,188 | |||||||
SAIC, Inc., 4.45% due 12/1/2020 | A-/A3 | 2,000,000 | 2,138,034 | |||||||
SOFTWARE — 0.39% | ||||||||||
BMC Software, Inc., 4.50% due 12/1/2022 | BBB+/Baa2 | 12,000,000 | 12,232,320 | |||||||
|
| |||||||||
22,432,227 | ||||||||||
|
|
24 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.74% | ||||||||||
COMMUNICATIONS EQUIPMENT — 0.48% | ||||||||||
c Ericsson LM, 4.125% due 5/15/2022 | BBB+/A3 | $ | 14,300,000 | $ | 14,868,439 | |||||
COMPUTERS & PERIPHERALS — 0.56% | ||||||||||
Hewlett-Packard Co., 3.30% due 12/9/2016 | BBB+/Baa1 | 2,000,000 | 2,082,866 | |||||||
Hewlett-Packard Co., 2.60% due 9/15/2017 | BBB+/Baa1 | 3,000,000 | 3,023,262 | |||||||
Lexmark International, Inc., 5.125% due 3/15/2020 | BBB-/Baa3 | 12,000,000 | 12,292,272 | |||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.70% | ||||||||||
Arrow Electronics, Inc., 3.00% due 3/1/2018 | BBB-/Baa3 | 2,000,000 | 2,017,726 | |||||||
Avnet, Inc., 4.875% due 12/1/2022 | BBB-/Baa3 | 15,000,000 | 15,556,125 | |||||||
Tech Data Corp., 3.75% due 9/21/2017 | BBB-/Baa3 | 4,000,000 | 4,166,164 | |||||||
|
| |||||||||
54,006,854 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES — 3.45% | ||||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.66% | ||||||||||
c France Telecom, 5.375% due 7/8/2019 | A-/A3 | 10,000,000 | 11,679,080 | |||||||
a,b Hidden Ridge Facility, 5.65% due 1/1/2022 | NR/Baa1 | 3,858,482 | 4,205,745 | |||||||
Michigan Bell Telephone Co., 7.85% due 1/15/2022 | A-/NR | 3,000,000 | 4,044,423 | |||||||
a,c Oi S.A., 5.75% due 2/10/2022 | BBB-/Baa3 | 5,000,000 | 5,225,000 | |||||||
a,c Qtel International Finance Ltd., 6.50% due 6/10/2014 | A/A2 | 1,000,000 | 1,062,900 | |||||||
a,c Qtel International Finance Ltd., 3.375% due 10/14/2016 | A/A2 | 500,000 | 526,750 | |||||||
Qwest Corp., 6.75% due 12/1/2021 | BBB-/Baa3 | 3,000,000 | 3,454,182 | |||||||
c Telecom Italia Capital SA, 6.175% due 6/18/2014 | BBB/Baa3 | 3,000,000 | 3,138,510 | |||||||
c Telefonica Emisiones SAU, 6.421% due 6/20/2016 | BBB/Baa2 | 10,000,000 | 11,090,690 | |||||||
a,c Vivendi SA, 2.40% due 4/10/2015 | BBB/Baa2 | 2,000,000 | 2,039,442 | |||||||
a,c Vivendi SA, 3.45% due 1/12/2018 | BBB/Baa2 | 5,000,000 | 5,176,500 | |||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.79% | ||||||||||
c America Movil S.A.B. de C.V., 2.375% due 9/8/2016 | A-/A2 | 2,500,000 | 2,571,680 | |||||||
c America Movil S.A.B. de C.V., 5.00% due 10/16/2019 | A-/A2 | 5,000,000 | 5,670,370 | |||||||
a Crown Castle Towers LLC, 6.113% due 1/15/2040 | NR/A2 | 4,395,000 | 5,376,830 | |||||||
a Crown Castle Towers LLC, 5.495% due 1/15/2037 | NR/A2 | 8,220,000 | 9,409,204 | |||||||
a Richland Towers, 4.606% due 3/15/2041 | NR/NR | 2,429,888 | 2,613,259 | |||||||
a SBA Tower Trust, 4.254% due 4/15/2040 | NR/A2 | 14,225,000 | 15,051,985 | |||||||
a SBA Tower Trust, 5.101% due 4/15/2042 | NR/A2 | 2,305,000 | 2,592,540 | |||||||
a Unison Ground Lease Funding LLC, 6.392% due 4/15/2040 | NR/NR | 8,540,000 | 9,802,408 | |||||||
a Unison Ground Lease Funding LLC, 5.349% due 4/15/2040 | NR/NR | 2,470,000 | 2,675,432 | |||||||
|
| |||||||||
107,406,930 | ||||||||||
|
| |||||||||
TRANSPORTATION — 1.65% | ||||||||||
AIR FREIGHT & LOGISTICS �� 0.15% | ||||||||||
FedEx Corp., 8.76% due 5/22/2015 | BBB/A3 | 457,256 | 485,834 | |||||||
a FedEx Corp., 2.625% due 1/15/2018 | BBB/A3 | 4,129,748 | 4,223,170 | |||||||
AIRLINES — 0.30% | ||||||||||
a,c BAA Funding Ltd., 2.50% due 6/25/2017 | A-/NR | 5,000,000 | 5,148,450 | |||||||
b,c Iberbond plc, 4.826% due 12/24/2017 | NR/Baa3 | 4,063,424 | 4,032,949 | |||||||
ROAD & RAIL — 1.20% | ||||||||||
a,c Asciano Finance, 5.00% due 4/7/2018 | BBB-/Baa2 | 2,000,000 | 2,194,084 | |||||||
a,c Asciano Finance, 4.625% due 9/23/2020 | BBB-/Baa2 | 5,830,000 | 6,187,402 | |||||||
a,c Asciano Finance, 3.125% due 9/23/2015 | BBB-/Baa2 | 3,000,000 | 3,090,831 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 3.75% due 5/11/2017 | BBB-/Baa3 | 9,970,000 | 10,680,732 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 2.50% due 3/15/2016 | BBB-/Baa3 | 6,000,000 | 6,145,536 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 2.875% due 7/17/2018 | BBB-/Baa3 | 3,000,000 | 3,059,082 |
Certified Semi-Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 4.25% due 1/17/2023 | BBB-/Baa3 | $ | 3,000,000 | $ | 3,021,609 | |||||
Ryder System, Inc., 3.50% due 6/1/2017 | BBB/Baa1 | 2,885,000 | 3,086,119 | |||||||
|
| |||||||||
51,355,798 | ||||||||||
|
| |||||||||
UTILITIES — 4.77% | ||||||||||
ELECTRIC UTILITIES — 2.78% | ||||||||||
Detroit Edison Corporate Senior Note Series D, 5.40% due 8/1/2014 | A/A1 | 2,000,000 | 2,122,730 | |||||||
a,c E.ON International Finance BV, 5.80% due 4/30/2018 | A-/A3 | 2,000,000 | 2,389,500 | |||||||
a,c Electricite de France SA, 5.50% due 1/26/2014 | A+/Aa3 | 1,250,000 | 1,298,261 | |||||||
Empire District Electric Co., 4.65% due 6/1/2020 | A-/A3 | 3,000,000 | 3,268,491 | |||||||
a,c Enel Finance International S.A., 6.25% due 9/15/2017 | BBB+/Baa2 | 9,500,000 | 10,602,665 | |||||||
Entergy Louisiana LLC, 4.80% due 5/1/2021 | A-/A3 | 4,300,000 | 4,914,784 | |||||||
Entergy Texas, Inc., 7.125% due 2/1/2019 | A-/Baa2 | 2,000,000 | 2,479,654 | |||||||
Entergy Texas, Inc., 3.60% due 6/1/2015 | A-/Baa2 | 3,000,000 | 3,159,969 | |||||||
a Great River Energy, 5.829% due 7/1/2017 | A-/Baa1 | 2,531,705 | 2,747,933 | |||||||
Gulf Power Co., 4.35% due 7/15/2013 | A/A3 | 925,000 | 934,447 | |||||||
a,c Iberdrola Finance Ireland Ltd., 3.80% due 9/11/2014 | BBB/Baa1 | 6,000,000 | 6,178,080 | |||||||
Idaho Power Corp., 6.025% due 7/15/2018 | A-/A2 | 1,000,000 | 1,217,346 | |||||||
a Kincaid Generation LLC, 7.33% due 6/15/2020 | BBB-/Ba1 | 6,953,275 | 7,828,945 | |||||||
a,c Korea East-West Power Co., 2.50% due 7/16/2017 | A+/A1 | 5,000,000 | 5,136,380 | |||||||
a,c Korea Southern Power Co., 5.375% due 4/18/2013 | A+/A1 | 1,000,000 | 1,001,741 | |||||||
Metropolitan Edison Co., 7.70% due 1/15/2019 | BBB-/Baa2 | 2,250,000 | 2,889,536 | |||||||
a Monongahela Power Co., 5.70% due 3/15/2017 | BBB+/Baa1 | 4,785,000 | 5,375,660 | |||||||
MP Environmental, 4.982% due 7/15/2016 | AAA/Aaa | 1,129,505 | 1,159,557 | |||||||
Public Service Co. of New Mexico, 5.35% due 10/1/2021 | BBB-/Baa3 | 3,000,000 | 3,355,905 | |||||||
a Rochester Gas & Electric, 5.90% due 7/15/2019 | A/A3 | 11,732,000 | 13,303,595 | |||||||
a Steelriver Transmission Co. LLC, 4.71% due 6/30/2017 | NR/Baa2 | 3,606,903 | 3,803,630 | |||||||
Toledo Edison Co., 7.25% due 5/1/2020 | BBB/Baa1 | 1,000,000 | 1,283,963 | |||||||
GAS UTILITIES — 0.51% | ||||||||||
a,c APT Pipelines Ltd., 3.875% due 10/11/2022 | BBB/Baa2 | 10,500,000 | 10,436,118 | |||||||
a Southern Star Central Gas Pipeline, Inc., 6.00% due 6/1/2016 | BBB-/Baa3 | 5,000,000 | 5,536,050 | |||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.26% | ||||||||||
a Midland Cogen Venture, 6.00% due 3/15/2025 | BBB-/NR | 7,655,856 | 7,982,066 | |||||||
MULTI-UTILITIES — 1.22% | ||||||||||
Black Hills Corp., 5.875% due 7/15/2020 | BBB-/Baa3 | 5,000,000 | 5,806,510 | |||||||
a Enogex, LLC, 6.875% due 7/15/2014 | BBB-/Baa3 | 4,000,000 | 4,211,848 | |||||||
a Enogex, LLC, 6.25% due 3/15/2020 | BBB-/Baa3 | 3,640,000 | 4,118,664 | |||||||
a,c GDF Suez, 1.625% due 10/10/2017 | A/A1 | 3,000,000 | 3,015,510 | |||||||
a Niagara Mohawk Power Corp., 4.881% due 8/15/2019 | A-/A3 | 10,000,000 | 11,590,190 | |||||||
Scana Corp., 4.125% due 2/1/2022 | BBB/Baa3 | 2,000,000 | 2,100,508 | |||||||
a,c Taqa Abu Dhabi National Energy Co., 6.60% due 8/1/2013 | A-/A3 | 5,000,000 | 5,087,500 | |||||||
Union Electric Co., 4.65% due 10/1/2013 | A-/A3 | 2,000,000 | 2,031,876 | |||||||
|
| |||||||||
148,369,612 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $1,507,104,190) | 1,580,121,776 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 1.44% | ||||||||||
DIVERSIFIED FINANCIALS — 0.79% | ||||||||||
CAPITAL MARKETS — 0.79% | ||||||||||
Apollo Investment Corp., 5.75% due 1/15/2016 | BBB/NR | 6,275,000 | 6,667,187 | |||||||
a Prospect Capital Corp., 5.75% due 3/15/2018 | BBB/NR | 17,298,000 | 17,935,864 | |||||||
|
| |||||||||
24,603,051 | ||||||||||
|
|
26 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
REAL ESTATE — 0.65% | ||||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.65% | ||||||||||
a IAS Operating Partnership LP, 5.00% due 3/15/2018 | NR/NR | $ | 20,000,000 | $ | 20,037,500 | |||||
|
| |||||||||
20,037,500 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $43,413,071) | 44,640,551 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 5.84% | ||||||||||
American Municipal Power Ohio, Inc., 5.072% due 2/15/2018 | A/A1 | 5,000,000 | 5,586,300 | |||||||
Anaheim California Public Financing Authority, 5.316% due 9/1/2017 (Insured: Natl Re/FGIC) | BBB+/A1 | 2,205,000 | 2,222,221 | |||||||
Anaheim California Public Financing Authority, 5.486% due 9/1/2020 (Insured: Natl-Re/FGIC) | BBB+/A1 | 3,270,000 | 3,460,903 | |||||||
Brentwood California Infrastructure Financing Authority, 6.16% due 10/1/2019 | AA-/NR | 2,110,000 | 2,406,476 | |||||||
California Health Facilities Financing Authority, 6.76% due 2/1/2019 | A/NR | 3,905,000 | 4,500,122 | |||||||
California School Finance Authority, 5.041% due 7/1/2020 (LOC: City National Bank) | AA+/NR | 4,000,000 | 4,408,040 | |||||||
Camden County New Jersey, 5.47% due 7/1/2018 | A+/A2 | 2,140,000 | 2,399,133 | |||||||
Camden County New Jersey, 5.62% due 7/1/2019 | A+/A2 | 3,025,000 | 3,413,259 | |||||||
Carson California Redevelopment Agency, 4.511% due 10/1/2016 | A-/NR | 5,000,000 | 5,030,950 | |||||||
City of North Little Rock Arkansas, 3.562% due 7/1/2022 (Insured: AGM) | AA-/NR | 8,185,000 | 8,187,210 | |||||||
City of Riverside California, 5.61% due 8/1/2017 | A/Aa2 | 2,000,000 | 2,277,580 | |||||||
Cleveland Cuyahoga County Ohio, 6.10% due 5/15/2013 | BBB-/NR | 200,000 | 200,164 | |||||||
Connecticut Housing Finance Authority, 5.071% due 11/15/2019 | AAA/Aaa | 3,255,000 | 3,405,446 | |||||||
Florida State Board of Education, 3.60% due 6/1/2015 | AAA/Aa1 | 3,000,000 | 3,201,120 | |||||||
Fort Collins Colorado Electric Utility, 4.92% due 12/1/2020 | AA-/NR | 2,250,000 | 2,477,632 | |||||||
Illinois Finance Authority, 5.629% due 7/1/2016 (Insured: Syncora) | AA-/NR | 1,425,000 | 1,491,077 | |||||||
Irvine Ranch Water District Joint Powers Agency, 2.388% due 3/15/2014 | A-/NR | 13,935,000 | 13,965,239 | |||||||
JobsOhio Beverage System, 2.217% due 1/1/2019 (Liquor Enterprise) | AA/A2 | 11,345,000 | 11,496,683 | |||||||
Kentucky Asset/Liability Commission, 2.099% due 4/1/2019 (Teachers’ Retirement System) | A+/Aa3 | 3,000,000 | 3,044,850 | |||||||
Los Angeles California Department of Airports, 5.175% due 5/15/2017 | AA-/A1 | 4,000,000 | 4,535,960 | |||||||
Los Angeles California Municipal Improvement Corp. (Build America Bonds), 6.165% due 11/1/2020 | A+/A3 | 10,000,000 | 11,603,800 | |||||||
Los Angeles County California Public Works Financing Authority, 5.591% due 8/1/2020 | AA-/A1 | 3,000,000 | 3,353,460 | |||||||
Louisiana Public Facilities Authority, 5.72% due 7/1/2015 (Insured: CIFG) | AA-/A3 | 1,390,000 | 1,391,612 | |||||||
Maine Finance Authority, 4.55% due 10/1/2014 | A/NR | 750,000 | 772,620 | |||||||
Menomonee Falls Wisconsin GO, 4.25% due 11/1/2014 | NR/Aa2 | 3,350,000 | 3,362,093 | |||||||
a Midwest Family Housing, 5.168% due 7/1/2016 (Insured: CIFG) | AA-/Baa2 | 870,000 | 902,906 | |||||||
Mississippi Development Bank, 5.21% due 7/1/2013 (Insured: AGM) | AA-/NR | 1,200,000 | 1,212,888 | |||||||
New York City Transitional Finance Authority, 4.075% due 11/1/2020 | AAA/Aa1 | 2,500,000 | 2,811,150 | |||||||
New York, New York GO, 3.48% due 10/1/2018 | AA/Aa2 | 3,500,000 | 3,874,850 | |||||||
Oakland California Redevelopment Agency, 8.00% due 9/1/2016 | A-/NR | 4,200,000 | 4,589,550 | |||||||
Ohio Housing Financing Agency, 5.20% due 9/1/2014 (GNMA/FNMA) | NR/Aaa | 490,000 | 509,517 | |||||||
Oklahoma Development Finance Authority, 8.00% due 5/1/2020 | NR/NR | 8,500,000 | 8,474,585 | |||||||
Orleans Parish Louisiana School Board GO, 4.40% due 2/1/2021 | AA-/A2 | 10,000,000 | 10,927,600 | |||||||
Port St. Lucie Florida, 4.457% due 9/1/2014 (Wyndcrest) | A/Aa3 | 1,470,000 | 1,499,841 | |||||||
Redlands California Redevelopment Agency, 5.818% due 8/1/2022 (Insured: AMBAC) | A-/NR | 2,250,000 | 2,348,302 | |||||||
San Bernardino County California San Sevaine Redevelopment Agency, 7.135% due 9/1/2020 | BBB/NR | 1,840,000 | 1,964,770 | |||||||
San Francisco California City and County Redevelopment Financing Authority, 8.00% due 8/1/2019 | A/Ba1 | 6,500,000 | 7,410,325 | |||||||
San Jose California Redevelopment Agency, 3.447% due 8/1/2013 | A/Ba1 | 1,000,000 | 1,005,750 | |||||||
San Jose California Redevelopment Agency, 4.281% due 8/1/2014 | A/Ba1 | 750,000 | 772,215 |
Certified Semi-Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | March 31, 2013 (Unaudited) |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
San Luis Obispo County California, 7.45% due 9/1/2019 | AA-/NR | $ | 3,950,000 | $ | 4,813,470 | |||||
San Marcos California Redevelopment Agency, 6.125% due 10/1/2018 | AA-/NR | 5,000,000 | 5,431,800 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.22% due 7/1/2018 (Electronic Tolling Program) | A-/A3 | 2,000,000 | 2,001,940 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.49% due 7/1/2019 (Electronic Tolling Program) | A-/A3 | 2,500,000 | 2,510,050 | |||||||
Tampa-Hillsborough County Expressway Authority, 2.84% due 7/1/2020 (Electronic Tolling Program) | A-/A3 | 1,750,000 | 1,751,208 | |||||||
Victor, New York, 9.20% due 5/1/2014 | NR/NR | 255,000 | 260,358 | |||||||
Wallenpaupack Pennsylvania Area School District GO, (State Aid Withholding), 3.80% due 9/1/2019 | AA-/NR | 3,000,000 | 3,154,140 | |||||||
Wallenpaupack Pennsylvania Area School District GO, (State Aid Withholding), 4.00% due 9/1/2020 | AA-/NR | 2,750,000 | 2,896,190 | |||||||
Wisconsin State Health & Educational Facilities (Richland Hospital), 7.08% due 6/1/2016 (Insured: ACA) | NR/NR | 1,325,000 | 1,312,850 | |||||||
Yuba California Levee Financing Authority, 6.375% due 9/1/2021 | AA-/NR | 1,000,000 | 1,078,170 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost $170,862,748) | 181,708,375 | |||||||||
|
| |||||||||
SHORT TERM INVESTMENTS — 6.87% | ||||||||||
AT&T, Inc., 0.51% due 7/22/2013 | NR/NR | 25,000,000 | 24,960,333 | |||||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 3/28/2013 due 4/1/2013, repurchase price $91,003,640 collateralized by 18 U.S. Government debt securities and 23 corporate debt securities, having an average coupon of 3.94%, a minimum credit rating of BBB-, maturity dates from 7/5/2016 to 2/1/2043, and having an aggregate market value of $97,067,332 at 3/28/2013 | NR/NR | 91,000,000 | 91,000,000 | |||||||
Consolidated Edison Co. of New York, Inc., 0.26% due 4/3/2013 | NR/NR | 39,000,000 | 38,999,437 | |||||||
Consolidated Edison Co. of New York, Inc., 0.26% due 4/1/2013 | NR/NR | 15,000,000 | 15,000,000 | |||||||
Wisconsin Gas Co., 0.22% due 4/1/2013 | NR/NR | 43,700,000 | 43,700,000 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $213,659,770) | 213,659,770 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.09% (Cost $2,948,722,785) | $ | 3,050,406,984 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.91% | 59,540,378 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 3,109,947,362 | ||||||||
|
|
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, 2013, the aggregate value of these securities in the Fund’s portfolio was $1,219,468,667, representing 39.21% 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. |
28 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (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. | |
CIFG | Insured by 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, 2013 (Unaudited) |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
ASSETS | ||||||||
Investments at value (cost $369,540,043 and $2,948,722,785) (Note 2) | $ | 380,339,957 | $ | 3,050,406,984 | ||||
Cash | 17,611,222 | 26,261,263 | ||||||
Receivable for investments sold | — | 710,797 | ||||||
Receivable for fund shares sold | 656,100 | 26,202,558 | ||||||
Dividend and interest reclaim receivable | — | 66,089 | ||||||
Interest receivable | 1,713,112 | 21,718,614 | ||||||
Prepaid expenses and other assets | 192,584 | 170,896 | ||||||
|
|
|
| |||||
Total Assets | 400,512,975 | 3,125,537,201 | ||||||
|
|
|
| |||||
LIABILITIES | ||||||||
Payable for fund shares redeemed | 1,412,319 | 12,788,675 | ||||||
Payable to investment advisor and other affiliates (Note 3) | 249,955 | 1,760,750 | ||||||
Dividends payable | 176,623 | 1,040,414 | ||||||
|
|
|
| |||||
Total Liabilities | 1,838,897 | 15,589,839 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 398,674,078 | $ | 3,109,947,362 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: | ||||||||
Distribution in excess of net investment income | $ | (2,308,825 | ) | $ | (2,943,845 | ) | ||
Net unrealized appreciation on investments | 10,799,914 | 101,684,199 | ||||||
Accumulated net realized gain (loss) | (2,876,744 | ) | 19,570,174 | |||||
Net capital paid in on shares of beneficial interest | 393,059,733 | 2,991,636,834 | ||||||
|
|
|
| |||||
$ | 398,674,078 | $ | 3,109,947,362 | |||||
|
|
|
|
30 Certified Semi-Annual Report
STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (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 ($196,058,801 and $1,139,504,256 applicable to 14,349,194 and 82,869,437 shares of beneficial interest outstanding - Note 4) | $ | 13.66 | $ | 13.75 | ||||
Maximum sales charge, 1.50% of offering price | 0.21 | 0.21 | ||||||
|
|
|
| |||||
Maximum offering price per share | $ | 13.87 | $ | 13.96 | ||||
|
|
|
| |||||
Class B Shares: | ||||||||
Net asset value per share* ($2,276,519 applicable to 167,000 shares of beneficial interest outstanding - Note 4) | $ | 13.63 | $ | — | ||||
|
|
|
| |||||
Class C Shares: | ||||||||
Net asset value and offering price per share* ($91,836,349 and $672,165,551 applicable to 6,680,790 and 48,963,009 shares of beneficial interest outstanding - Note 4) | $ | 13.75 | $ | 13.73 | ||||
|
|
|
| |||||
Class I Shares: | ||||||||
Net asset value, offering and redemption price per share ($92,217,068 and $1,212,295,184 applicable to 6,749,330 and 88,147,360 shares of beneficial interest outstanding - Note 4) | $ | 13.66 | $ | 13.75 | ||||
|
|
|
| |||||
Class R3 Shares: | ||||||||
Net asset value, offering and redemption price per share ($16,115,743 and $ 81,747,320 applicable to 1,178,761 and 5,940,669 shares of beneficial interest outstanding - Note 4) | $ | 13.67 | $ | 13.76 | ||||
|
|
|
| |||||
Class R5 Shares: | ||||||||
Net asset value, offering and redemption price per share ($169,598 and $4,235,051 applicable to 12,412 and 307,989 shares of beneficial interest outstanding - Note 4) | $ | 13.66 | $ | 13.75 | ||||
|
|
|
|
* | 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, 2013 (Unaudited) |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
INVESTMENT INCOME | ||||||||
Interest income (net of premium amortized of $761,277 and $5,406,453 and net of paydown losses of $1,385,950 and $1,075,600, respectively) | $ | 5,042,075 | $ | 48,535,532 | ||||
|
|
|
| |||||
EXPENSES | ||||||||
Investment advisory fees (Note 3) | 792,058 | 5,530,545 | ||||||
Administration fees (Note 3) | ||||||||
Class A Shares | 130,106 | 694,961 | ||||||
Class B Shares | 1,885 | — | ||||||
Class C Shares | 61,876 | 398,820 | ||||||
Class I Shares | 24,025 | 276,179 | ||||||
Class R3 Shares | 9,911 | 47,997 | ||||||
Class R5 Shares | 71 | 683 | ||||||
Distribution and service fees (Note 3) | ||||||||
Class A Shares | 260,211 | 1,389,921 | ||||||
Class B Shares | 14,948 | — | ||||||
Class C Shares | 248,415 | 1,611,861 | ||||||
Class R3 Shares | 39,661 | 191,968 | ||||||
Transfer agent fees | ||||||||
Class A Shares | 73,617 | 429,210 | ||||||
Class B Shares | 3,575 | — | ||||||
Class C Shares | 42,905 | 208,841 | ||||||
Class I Shares | 24,452 | 307,259 | ||||||
Class R3 Shares | 6,225 | 23,396 | ||||||
Class R5 Shares | 1,514 | 1,520 | ||||||
Registration and filing fees | ||||||||
Class A Shares | 13,097 | 34,072 | ||||||
Class B Shares | 8,446 | — | ||||||
Class C Shares | 10,457 | 20,128 | ||||||
Class I Shares | 13,677 | 46,207 | ||||||
Class R3 Shares | 9,263 | 10,876 | ||||||
Class R5 Shares | 10,016 | 10,928 | ||||||
Custodian fees (Note 3) | 45,882 | 157,321 | ||||||
Professional fees | 21,123 | 38,143 | ||||||
Accounting fees | 7,950 | 40,610 | ||||||
Trustee fees | 7,522 | 52,375 | ||||||
Other expenses | 25,054 | 185,734 | ||||||
|
|
|
| |||||
Total Expenses | 1,907,942 | 11,709,555 | ||||||
Less: | ||||||||
Expenses reimbursed by investment advisor (Note 3) | (32,288 | ) | (60,778 | ) | ||||
Fees paid indirectly (Note 3) | (4,796 | ) | (2,168 | ) | ||||
|
|
|
| |||||
Net Expenses | 1,870,858 | 11,646,609 | ||||||
|
|
|
| |||||
Net Investment Income | $ | 3,171,217 | $ | 36,888,923 | ||||
|
|
|
|
32 Certified Semi-Annual Report
STATEMENTS OF OPERATIONS, CONTINUED | ||
Thornburg Limited Term Income Funds | Six Months Ended March 31, 2013 (Unaudited) |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
Net realized gain (loss) on investments | $ | 353,532 | $ | 22,360,780 | ||||
Net change in unrealized appreciation (depreciation) on investments | (3,792,608 | ) | (1,376,943 | ) | ||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) | (3,439,076 | ) | 20,983,837 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (267,859 | ) | $ | 57,872,760 | |||
|
|
|
|
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, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,171,217 | $ | 7,694,029 | ||||
Net realized gain (loss) on investments | 353,532 | 603,821 | ||||||
Net unrealized appreciation (depreciation) on investments | (3,792,608 | ) | 1,453,008 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (267,859 | ) | 9,750,858 | |||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (2,826,654 | ) | (5,424,214 | ) | ||||
Class B Shares | (20,213 | ) | (48,104 | ) | ||||
Class C Shares | (1,207,361 | ) | (2,366,058 | ) | ||||
Class I Shares | (1,461,532 | ) | (2,792,566 | ) | ||||
Class R3 Shares | (206,056 | ) | (373,741 | ) | ||||
Class R5 Shares | (4,178 | ) | (1,030 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (15,739,584 | ) | 12,467,979 | |||||
Class B Shares | (1,132,344 | ) | (899,839 | ) | ||||
Class C Shares | (9,548,402 | ) | 2,899,499 | |||||
Class I Shares | (4,527,906 | ) | 15,374,578 | |||||
Class R3 Shares | 852,973 | 2,769,576 | ||||||
Class R5 Shares | (125,142 | ) | 297,969 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (36,214,258 | ) | 31,654,907 | |||||
NET ASSETS | ||||||||
Beginning of Period | 434,888,336 | 403,233,429 | ||||||
|
|
|
| |||||
End of Period | $ | 398,674,078 | $ | 434,888,336 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | — | $ | 245,952 |
* | 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, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 36,888,923 | $ | 61,416,905 | ||||
Net realized gain (loss) on investments | 22,360,780 | 12,965,543 | ||||||
Net unrealized appreciation (depreciation) on investments | (1,376,943 | ) | 73,342,069 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 57,872,760 | 147,724,517 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (14,644,404 | ) | (25,172,276 | ) | ||||
Class C Shares | (7,622,862 | ) | (13,689,646 | ) | ||||
Class I Shares | (16,424,133 | ) | (24,360,205 | ) | ||||
Class R3 Shares | (963,506 | ) | (1,669,104 | ) | ||||
Class R5 Shares | (38,018 | ) | (1,939 | ) | ||||
From realized gains | ||||||||
Class A Shares | (4,830,257 | ) | (4,404,576 | ) | ||||
Class C Shares | (2,753,549 | ) | (2,727,096 | ) | ||||
Class I Shares | (4,644,607 | ) | (3,486,977 | ) | ||||
Class R3 Shares | (328,154 | ) | (237,575 | ) | ||||
Class R5 Shares | (7,863 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 88,469,519 | 442,203,183 | ||||||
Class C Shares | 66,629,309 | 221,399,070 | ||||||
Class I Shares | 197,623,563 | 538,081,197 | ||||||
Class R3 Shares | 8,222,963 | 41,267,790 | ||||||
Class R5 Shares | 2,903,378 | 1,312,866 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 369,464,139 | 1,316,239,229 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 2,740,483,223 | 1,424,243,994 | ||||||
|
|
|
| |||||
End of Period | $ | 3,109,947,362 | $ | 2,740,483,223 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
Certified Semi-Annual Report 35
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the “Government Fund”) and Thornburg Limited Term Income Fund (the “Income Fund”), collectively 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 six classes of shares of beneficial interest outstanding: Class A, Class B, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3” and “Class R5”). The Fund no longer offers Class B shares for sale. The Income Fund currently offers five classes of shares of beneficial interest outstanding, Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3” and “Class R5”). 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, (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, 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 Policy and Procedures: The Funds’ Trustees of the Trust (the “Trustees”) have authorized employees of the Funds’ investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Funds’ investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees. In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Funds would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the determination of fair value for an investment may differ from the value that would be realized by the Funds upon a sale of the investment, and that difference could be material to the Funds’ financial statements. The 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 of Investments: Debt obligations held by the Funds have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. The pricing service ordinarily values debt obligations at quoted bid prices. When quotations are not available, debt obligations held by the Funds are valued at evaluated prices determined by the pricing
36 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
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 when a pricing service fails to provide a price for a debt obligation held by the Funds, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. Additionally, in any case where management believes that a price provided by a pricing service for a debt obligation held by the Funds may be unreliable, the Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
Valuation Measurements: The Funds categorize their investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Account Standards Board, (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable valuation inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect the Funds’ assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level of any input that is deemed significant to the asset or liability’s fair value measurement. The inputs or methodologies used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Funds’ investments. These inputs are summarized according to the three-level hierarchy listed below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
Level 3: Significant unobservable inputs, (including the Funds’ own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
Certified Semi-Annual Report 37
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
GOVERNMENT FUND
The following table displays a summary of the fair value hierarchy measurements of the Government Fund’s net investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 36,308,433 | $ | 36,308,433 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 88,509,358 | — | 85,691,786 | 2,817,572 | ||||||||||||
Mortgage Backed | 245,522,166 | — | 245,522,166 | — | ||||||||||||
Short Term Investments | 10,000,000 | — | 10,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 380,339,957 | $ | 36,308,433 | $ | 341,213,952 | $ | 2,817,572 |
(a) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at March 31, 2013. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2013.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2013 is as follows:
U.S. Government Agencies | Total | |||||||
Beginning Balance 9/30/2012 | $ | 2,946,080 | $ | 2,946,080 | ||||
Accrued Discounts (Premiums) | 1,538 | 1,538 | ||||||
Net Realized Gain (Loss)(a) | 914 | 914 | ||||||
Gross Purchases | — | — | ||||||
Gross Sales | (68,056 | ) | (68,056 | ) | ||||
Change in Unrealized Appreciation | ||||||||
(Depreciation)(b) | (62,904 | ) | (62,904 | ) | ||||
Transfers into Level 3(c) | — | — | ||||||
Transfers out of Level 3(c) | — | — | ||||||
|
|
|
| |||||
Ending Balance 3/31/2013(d) | $ | 2,817,572 | $ | 2,817,572 |
(a) | Total amount of net realized gain (loss) from investments recognized in the net increase in assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(b) | Total amount of net change in unrealized appreciation (depreciation) on investments recognized in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(c) | Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 0.71% of total Net Assets at the six months ended March 31, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
38 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
INCOME FUND
The following table displays a summary of the fair value hierarchy measurements of the Income Fund’s net investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 20,150,899 | $ | 20,150,899 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 258,062,364 | — | 217,245,430 | 40,816,934 | ||||||||||||
Other Government | 102,986,744 | — | 102,986,744 | — | ||||||||||||
Mortgage Backed | 270,196,076 | — | 270,196,076 | — | ||||||||||||
Asset Backed Securities | 378,880,429 | — | 338,778,929 | 40,101,500 | ||||||||||||
Corporate Bonds | 1,580,121,776 | — | 1,571,883,082 | 8,238,694 | ||||||||||||
Convertible Bonds | 44,640,551 | — | 44,640,551 | — | ||||||||||||
Municipal Bonds | 181,708,375 | — | 181,708,375 | — | ||||||||||||
Short Term Investments | 213,659,770 | — | 213,659,770 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,050,406,984 | $ | 20,150,899 | $ | 2,941,098,957 | $ | 89,157,128 |
(a) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at March 31, 2013. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2013.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2013 is as follows:
Asset Backed Securities | Corporate Bonds | Other Government | Municipal Bonds | Total | ||||||||||||||||
Beginning Balance 9/30/2012 | $ | 13,715,411 | $ | 33,987,735 | $ | 27,214,342 | $ | 1,019,153 | $ | 75,936,641 | ||||||||||
Accrued Discounts (Premiums) | 13,535 | 10,217 | (15,899 | ) | — | 7,853 | ||||||||||||||
Net Realized Gain (Loss)(a) | 49,774 | (16,367 | ) | 26,797 | 60,204 | |||||||||||||||
Gross Purchases | 36,208,766 | — | 35,181,549 | — | 71,390,315 | |||||||||||||||
Gross Sales | (322,388 | ) | (1,623,600 | ) | (3,386,052 | ) | — | (5,332,040 | ) | |||||||||||
Change in Unrealized Appreciation | ||||||||||||||||||||
(Depreciation)(b) | 498,902 | 102,041 | (196,303 | ) | — | 404,640 | ||||||||||||||
Transfers into Level 3(c) | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3(c) | (10,062,500 | ) | (24,221,332 | ) | (18,007,500 | ) | (1,019,153 | ) | (53,310,485 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ending Balance 3/31/2013(d) | $ | 40,101,500 | $ | 8,238,694 | $ | 40,816,934 | $ | — | $ | 89,157,128 |
(a) | Total amount of net realized gain (loss) from investments recognized in the net increase in assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(b) | Total amount of net change in unrealized appreciation (depreciation) on investments recognized in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
Certified Semi-Annual Report 39
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
(c) | Transfers into or out of Level 3 were out of or into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 2.87% of total Net Assets at the six months ended March 31, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
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 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, 2013, 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 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: The Funds may invest excess cash in repurchase agreements whereby the Funds purchase investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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.
40 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
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 United States 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 amounts could differ from those estimates.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, Thornburg Investment Management, Inc. (the “Advisor”) serves as the investment advisor and performs services to the Funds for which the fees are payable at the end of each month. For the six months ended March 31, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses and administrative fees of $869 for the Class B shares, $20,168 for the Class R3 shares, and $11,251 for the Class R5 shares of the Government Fund and $51,203 for the Class R3 shares and $9,575 for the Class R5 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, 2013, the Distributor has advised the Funds that they earned net commissions aggregating $849 from the sale of Class A shares of the Government Fund and $5,892 from the sale of Class A shares of the Income Fund, and collected contingent deferred sales charges aggregating $4,563 and $44,963 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 applicable 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, 2013, 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 shares, 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 each class of shares of the Funds under their respective Service and Distribution Plans for the six months ended March 31, 2013, are set forth in the Statements of Operations.
Certified Semi-Annual Report 41
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
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, 2013, fees paid indirectly were $4,796 for the Government Fund and $2,168 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, 2013, there were an unlimited number of shares of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND | Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | ||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,675,230 | $ | 36,886,118 | 5,047,470 | $ | 69,868,966 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 160,804 | 2,210,773 | 295,188 | 4,086,639 | ||||||||||||
Shares repurchased | (3,983,813 | ) | (54,836,475 | ) | (4,443,689 | ) | (61,487,626 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,147,779 | ) | $ | (15,739,584 | ) | 898,969 | $ | 12,467,979 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 30,862 | $ | 424,972 | 57,885 | $ | 800,862 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,426 | 19,584 | 2,898 | 40,033 | ||||||||||||
Shares repurchased | (114,988 | ) | (1,576,900 | ) | (126,040 | ) | (1,740,734 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (82,700 | ) | $ | (1,132,344 | ) | (65,257 | ) | $ | (899,839 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 849,923 | $ | 11,777,559 | 2,770,702 | $ | 38,593,798 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 71,353 | 987,172 | 131,511 | 1,831,613 | ||||||||||||
Shares repurchased | (1,613,419 | ) | (22,313,133 | ) | (2,695,423 | ) | (37,525,912 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (692,143 | ) | $ | (9,548,402 | ) | 206,790 | $ | 2,899,499 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,578,580 | $ | 21,713,372 | 5,010,466 | $ | 69,361,668 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 80,958 | 1,112,911 | 155,056 | 2,146,620 | ||||||||||||
Shares repurchased | (1,990,616 | ) | (27,354,189 | ) | (4,056,310 | ) | (56,133,710 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (331,078 | ) | $ | (4,527,906 | ) | 1,109,212 | $ | 15,374,578 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 333,358 | $ | 4,588,470 | 691,586 | $ | 9,580,609 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 14,209 | 195,416 | 25,564 | 354,172 | ||||||||||||
Shares repurchased | (285,630 | ) | (3,930,913 | ) | (516,999 | ) | (7,165,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 61,937 | $ | 852,973 | 200,151 | $ | 2,769,576 | ||||||||||
|
|
|
|
|
|
|
|
42 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares* | ||||||||||||||||
Shares sold | 2,157 | $ | 29,713 | 21,925 | $ | 302,955 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 305 | 4,186 | 74 | 1,030 | ||||||||||||
Shares repurchased | (11,613 | ) | (159,041 | ) | (436 | ) | (6,016 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (9,151 | ) | $ | (125,142 | ) | 21,563 | $ | 297,969 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* Effective date of this share Class was May 1, 2012. | ||||||||||||||||
INCOME FUND | ||||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 21,203,269 | $ | 291,200,679 | 47,057,811 | $ | 631,127,101 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,232,779 | 16,926,796 | 1,838,883 | 24,670,726 | ||||||||||||
Shares repurchased | (16,006,467 | ) | (219,657,956 | ) | (15,896,424 | ) | (213,594,644 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,429,581 | $ | 88,469,519 | 33,000,270 | $ | 442,203,183 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 9,534,360 | $ | 130,742,347 | 21,374,155 | $ | 286,302,664 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 632,067 | 8,665,130 | 971,990 | 13,011,563 | ||||||||||||
Shares repurchased | (5,309,589 | ) | (72,778,168 | ) | (5,818,601 | ) | (77,915,157 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,856,838 | $ | 66,629,309 | 16,527,544 | $ | 221,399,070 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 27,722,354 | $ | 380,711,548 | 53,493,565 | $ | 718,064,995 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,253,320 | 17,216,172 | 1,617,644 | 21,734,746 | ||||||||||||
Shares repurchased | (14,587,287 | ) | (200,304,157 | ) | (15,023,845 | ) | (201,718,544 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 14,388,387 | $ | 197,623,563 | 40,087,364 | $ | 538,081,197 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,406,515 | $ | 19,333,563 | 4,091,469 | $ | 54,734,839 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 91,111 | 1,251,974 | 136,421 | 1,833,436 | ||||||||||||
Shares repurchased | (899,705 | ) | (12,362,574 | ) | (1,137,089 | ) | (15,300,485 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 597,921 | $ | 8,222,963 | 3,090,801 | $ | 41,267,790 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares* | ||||||||||||||||
Shares sold | 220,424 | $ | 3,023,490 | 96,188 | $ | 1,310,927 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 3,322 | 45,617 | 141 | 1,939 | ||||||||||||
Shares repurchased | (12,086 | ) | (165,729 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 211,660 | $ | 2,903,378 | 96,329 | $ | 1,312,866 | ||||||||||
|
|
|
|
|
|
|
|
* | Effective date of this share Class was May 1, 2012. |
Certified Semi-Annual Report 43
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Income Funds | March 31, 2013 (Unaudited) |
NOTE 5 ��� INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Government Fund had purchase and sale transactions of investments (excluding short-term investments) of $28,594,792 and $10,822,422, respectively, while the Income Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $738,345,298 and $493,049,489, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Government Fund | Income Fund | |||||||
Cost of investments for tax purposes | $ | 369,540,043 | $ | 2,948,722,785 | ||||
|
|
|
| |||||
Gross unrealized appreciation on a tax basis | $ | 11,752,662 | $ | 109,211,624 | ||||
Gross unrealized depreciation on a tax basis | (952,748 | ) | (7,527,425 | ) | ||||
|
|
|
| |||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 10,799,914 | $ | 101,684,199 | ||||
|
|
|
|
At March 31, 2013, the Government Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $1,965,636. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Government Fund had cumulative tax basis capital losses of $1,141,175, 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 do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occured in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At March 31, 2013, the Government Fund had cumulative 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 | |||
|
|
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
44 Certified Semi-Annual Report
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Certified Semi-Annual Report 45
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 Fiscal | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 13.86 | 0.10 | (0.11 | ) | (0.01 | ) | (0.19 | ) | — | (0.19 | ) | $ | 13.66 | 1.51 | (d) | 0.88 | (d) | 0.88 | (d) | 0.88 | (d) | (0.10 | ) | 2.77 | $ | 196,059 | |||||||||||||||||||||||||||||||||
2012(c) | $ | 13.90 | 0.25 | 0.06 | 0.31 | (0.35 | ) | — | (0.35 | ) | $ | 13.86 | 1.79 | 0.89 | 0.89 | 0.89 | 2.29 | 9.89 | $ | 214,749 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class B Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.83 | 0.01 | (0.12 | ) | (0.11 | ) | (0.09 | ) | — | (0.09 | ) | $ | 13.63 | 0.12 | (d) | 2.28 | (d) | 2.28 | (d) | 2.34 | (d) | (0.81 | ) | 2.77 | $ | 2,277 | |||||||||||||||||||||||||||||||||
2012 | $ | 13.87 | 0.06 | 0.06 | 0.12 | (0.16 | ) | — | (0.16 | ) | $ | 13.83 | 0.42 | 2.26 | 2.25 | 2.26 | 0.90 | 9.89 | $ | 3,452 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.94 | 0.08 | (0.10 | ) | (0.02 | ) | (0.17 | ) | — | (0.17 | ) | $ | 13.75 | 1.23 | (d) | 1.16 | (d) | 1.16 | (d) | 1.16 | (d) | (0.16 | ) | 2.77 | $ | 91,836 | |||||||||||||||||||||||||||||||||
2012 | $ | 13.98 | 0.21 | 0.07 | 0.28 | (0.32 | ) | — | (0.32 | ) | $ | 13.94 | 1.51 | 1.17 | 1.17 | 1.17 | 2.01 | 9.89 | $ | 102,790 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.86 | 0.13 | (0.12 | ) | 0.01 | (0.21 | ) | — | (0.21 | ) | $ | 13.66 | 1.83 | (d) | 0.56 | (d) | 0.55 | (d) | 0.56 | (d) | 0.06 | 2.77 | $ | 92,217 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.90 | 0.29 | 0.07 | 0.36 | (0.40 | ) | — | (0.40 | ) | $ | 13.86 | 2.12 | 0.56 | 0.55 | 0.56 | 2.63 | 9.89 | $ | 98,112 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.87 | 0.10 | (0.12 | ) | (0.02 | ) | (0.18 | ) | — | (0.18 | ) | $ | 13.67 | 1.39 | (d) | 0.99 | (d) | 0.99 | (d) | 1.25 | (d) | (0.16 | ) | 2.77 | $ | 16,116 | |||||||||||||||||||||||||||||||||
2012 | $ | 13.91 | 0.23 | 0.07 | 0.30 | (0.34 | ) | — | (0.34 | ) | $ | 13.87 | 1.69 | 1.00 | 0.99 | 1.29 | 2.19 | 9.89 | $ | 15,486 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.85 | 0.12 | (0.11 | ) | 0.01 | (0.20 | ) | — | (0.20 | ) | $ | 13.66 | 1.72 | (d) | 0.67 | (d) | 0.67 | (d) | 8.58 | (d)(e) | 0.08 | 2.77 | $ | 169 | |||||||||||||||||||||||||||||||||||
2012(f) | $ | 13.84 | 0.10 | 0.07 | 0.17 | (0.16 | ) | — | (0.16 | ) | $ | 13.85 | 1.87 | (d) | 0.68 | (d) | 0.67 | (d) | 44.86 | (d)(e) | 1.20 | 9.89 | $ | 299 |
(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 May 1, 2012. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
46 Certified Semi-Annual Report | Certified Semi-Annual Report 47 |
Thornburg Limited Term Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Fiscal | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 13.72 | 0.17 | 0.10 | 0.27 | (0.18 | ) | (0.06 | ) | (0.24 | ) | $ | 13.75 | 2.44 | (d) | 0.87 | (d) | 0.87 | (d) | 0.87 | (d) | 1.98 | 18.60 | $ | 1,139,504 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.32 | 0.39 | 0.52 | 0.91 | (0.42 | ) | (0.09 | ) | (0.51 | ) | $ | 13.72 | 2.94 | 0.93 | 0.93 | 0.93 | 7.04 | 23.72 | $ | 1,049,044 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.70 | 0.15 | 0.10 | 0.25 | (0.16 | ) | (0.06 | ) | (0.22 | ) | $ | 13.73 | 2.20 | (d) | 1.11 | (d) | 1.11 | (d) | 1.11 | (d) | 1.86 | 18.60 | $ | 672,166 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.30 | 0.36 | 0.52 | 0.88 | (0.39 | ) | (0.09 | ) | (0.48 | ) | $ | 13.70 | 2.70 | 1.18 | 1.18 | 1.18 | 6.78 | 23.72 | $ | 604,314 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.73 | 0.19 | 0.09 | 0.28 | (0.20 | ) | (0.06 | ) | (0.26 | ) | $ | 13.75 | 2.78 | (d) | 0.52 | (d) | 0.52 | (d) | 0.52 | (d) | 2.08 | 18.60 | $ | 1,212,295 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.32 | 0.44 | 0.53 | 0.97 | (0.47 | ) | (0.09 | ) | (0.56 | ) | $ | 13.73 | 3.27 | 0.58 | 0.58 | 0.58 | 7.49 | 23.72 | $ | 1,012,430 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.73 | 0.16 | 0.10 | 0.26 | (0.17 | ) | (0.06 | ) | (0.23 | ) | $ | 13.76 | 2.32 | (d) | 0.99 | (d) | 0.99 | (d) | 1.12 | (d) | 1.92 | 18.60 | $ | 81,747 | |||||||||||||||||||||||||||||||||||
2012 | $ | 13.33 | 0.39 | 0.52 | 0.91 | (0.42 | ) | (0.09 | ) | (0.51 | ) | $ | 13.73 | 2.88 | 0.99 | 0.99 | 1.19 | 6.97 | 23.72 | $ | 73,373 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.72 | 0.18 | 0.10 | 0.28 | (0.19 | ) | (0.06 | ) | (0.25 | ) | $ | 13.75 | 2.61 | (d) | 0.67 | (d) | 0.67 | (d) | 1.37 | (d) | 2.09 | 18.60 | $ | 4,235 | |||||||||||||||||||||||||||||||||||
2012(e) | $ | 13.47 | 0.16 | 0.27 | 0.43 | (0.18 | ) | — | (0.18 | ) | $ | 13.72 | 2.96 | (d) | 0.67 | (d) | 0.67 | (d) | 25.61 | (d)(f) | 3.19 | 23.72 | $ | 1,322 |
(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 May 1, 2012. |
(f) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
48 Certified Semi-Annual Report | Certified Semi-Annual Report 49 |
EXPENSE EXAMPLE | ||
Thornburg Limited Term Income Funds | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Limited Term U.S. Government Fund | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 999.00 | $ | 4.40 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.53 | $ | 4.44 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 991.90 | $ | 11.32 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.57 | $ | 11.44 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.40 | $ | 5.77 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.16 | $ | 5.83 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.60 | $ | 2.76 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.17 | $ | 2.79 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.40 | $ | 4.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.80 | $ | 3.34 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.60 | $ | 3.37 | ||||||
Limited Term Income Fund | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.80 | $ | 4.37 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.61 | $ | 4.37 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.60 | $ | 5.59 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.39 | $ | 5.59 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 2.64 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.32 | $ | 2.64 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.20 | $ | 4.98 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.90 | $ | 3.37 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.60 | $ | 3.37 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.88%; B: 2.28%; C: 1.16%; I: 0.55%; R3: 0.99% R5: 0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
† | Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.87%; C: 1.11%; I: 0.52%; R3: 0.99% R5: 0.67%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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.
50 Certified Semi-Annual Report
OTHER INFORMATION | ||
Thornburg Limited Term Income Funds | March 31, 2013 (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 51
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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Thornburg Securities Corporation® 800.847.0200 | You invest in the future, without spending a dime. | |||||
TH174 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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, R3, 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 | TSIAX | 885-215-228 | ||
Class C | TSICX | 885-215-210 | ||
Class I | TSIIX | 885-215-194 | ||
Class R3 | TSIRX | 885-216-887 | ||
Class R5 | TSRRX | 885-216-879 |
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. 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.
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.
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.
This page is not part of the Semi-Annual Report. 3
IMPORTANT INFORMATION, | ||
CONTINUED |
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.
THORNBURG STRATEGIC INCOME FUND
Portfolio Manager
Jason Brady, 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 operating expenses of Class A shares are 1.33%, as disclosed in the most recent prospectus. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, resulting in a net expense ratio of 1.27%. For more detailed information, please see the fund’s prospectus.
Harvesting a Sustainable Yield
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. We believe 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
30-Day Yields, Class A
Unsubsidized, as of March 31, 2013
SEC Yield | 5.19 | % | ||
Annualized Distribution Yield | 4.46 | % |
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 12/19/07) | ||||||||||||||||
Without sales charge | 10.74 | % | 9.59 | % | 8.90 | % | 8.78 | % | ||||||||
With sales charge | 5.72 | % | 7.91 | % | 7.91 | % | 7.84 | % | ||||||||
Barclays U.S. Universal Index | ||||||||||||||||
(Since 12/19/07) | 4.72 | % | 6.01 | % | 5.86 | % | 5.94 | % | ||||||||
Blended Index (Since 12/19/07) | 5.50 | % | 6.37 | % | 5.17 | % | 5.02 | % |
Blended Index: 80% Barclays Aggregate Bond Index and 20% MSCI World Index
This page is not part of the Semi-Annual Report. 5
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.
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 also typically has a smaller allocation to equity securities. As such, the occasional “bond-like” equity, which typically exhibits little growth but relatively strong 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
For the Six Months Ended March 31, 2013
Fixed Income Statistics | ||||
Weighted Average Coupon | 6.3 | % | ||
Average Maturity | 5.5 yrs | |||
Effective Duration | 2.9 yrs | |||
Bond Holdings | 260 |
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 16.17 | |||
Median Market Cap | $ | 2.4 B | ||
Equity & Pref. Equity Holdings | 24 |
Source: FactSet and Thornburg
Portfolio Composition
As of March 31, 2013
Credit Quality Summary
As of March 31, 2013
6 This page is not part of the Semi-Annual Report.
Thornburg Strategic Income Fund –
March 31, 2013
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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
April 21, 2013
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, 2013. The net asset value (NAV) of a Class A share of the Fund increased 15 cents to $12.43 since September 30, 2012. If you were invested for the entire period, you received dividends of 32.0 cents per share. If you reinvested your dividends, you received 32.3 cents per share. Dividends per share were higher for Class I and R5 shares and lower for Class C and R3 shares to account for varying class-specific expenses. In addition, the Fund distributed 14 cents per share of capital gains to all share classes. Please examine the accompanying report 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 5.05% at NAV since September 30, 2012. A blended index of 80% of the Barclays Aggregate Bond Index and 20% of the MSCI World Index produced a 2.11% total return, and the Barclays U.S. Universal Index produced a 0.65% total return over the same time period. These indices reflect no deduction for fees, expenses, or taxes, but also do not fully capture the goals of the Fund. To review, our primary goal is to seek a high level of current income and we do so with a considered risk/reward balance. Total return, including capital appreciation, is a secondary goal. Over the course of the March 31, 2012 to March 31, 2013 time frame, the Fund earned a total return of 10.74% on the Class A shares at NAV.
A relentless appreciation in all risk assets over the past year and half has created a more dangerous market environment with a smaller margin for safety than we have seen in some time. 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 goals mentioned above, the market price environment has led us to invest more cautiously over the past six months.
The flexibility we are able to exhibit in pursuing our Fund’s mandate is especially important in the current environment, as many assets have increased in value without regard to their fundamental merits. We have been warning of overvalued markets for some time, and as such perhaps that claim has lost credibility. But while crying “wolf” in income markets has not led to subsequent sightings of canis lupus, underlying global economic actions have not exactly been red meat for those seeking good value. We have continued to experience slow or slowing growth conditions globally, with China downgrading GDP estimates, the International Monetary Fund doing the same, and many of the relative gains in the U.S. coming more from — once again — degrading savings versus spending newfound income. Housing in the U.S. is on the mend, and that is no small matter. However, in places where home prices did not experience an enormous fall in value, prices are also rising. Headlines in Canada and Australia, to name a few locales, are quite reminiscent of those from the U.S. in 2007. So are household debt levels.
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 expense of Class A shares is 1.33%. Thornburg Investment Management and/ or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2014, so that net expense ratios, for Class A shares, do not exceed 1.27%. For more detailed information on fund expenses and waivers/reimbursements, please see the fund’s prospectus.
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
This is not to say that the world will experience the same horrendous contraction that it did in 2008. A few of the lessons learned are of considerable importance, namely the importance of liquidity and the innumerable global financial connections that regulators must consider. However, as global central banks are coming on nearly a half-decade of zero-cost money, we have not slain the business cycle. As for credit (quite related), there is a huge differential in its transmission and the appropriateness of zero-percent rates. Financial markets are much quicker to adapt than “Main Street,” and as such, some of the products and bad behaviors that we observed last decade are once again in evidence. No surprise: money’s been cheap for a long time. Meanwhile, for some parts of the world and certainly some parts of the real economy, the zero percent rates in evidence are just beginning to make a difference (e.g. U.S. housing). Central banks need a scalpel, and all they have is a sledgehammer.
With regard to market movements, we are pleased to have participated in a good portion of the “risk on” market rally of the past several years. We feel as though our individual asset selection has also been a significant benefit to shareholders. Going forward, the environment for total returns is not as favorable, yet we believe that the Fund’s wide purview in asset selection and portfolio positioning will continue to allow us to provide our shareholders with what we view as a strong and sustainable income stream. We continue to be pleased with our shorter duration positioning as the self-liquidating nature of those investments affords us flexibility in reinvestment. We are unlikely to be the highest yielding portfolio, but our broad mandate certainly comes in handy in finding the best risk-reward in the marketplace. This has always been the investment style of Thornburg Investment Management, and this Fund is a great beneficiary of that legacy.
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.
Sincerely, |
![]() |
Jason H. Brady, 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.
Certified Semi-Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Summary of Industry Exposure
As of 3/31/13
Energy | 10.0 | % | Food & Staples Retailing | 1.3 | % | |||||
Diversified Financials | 8.9 | % | Technology Hardware & Equipment | 1.0 | % | |||||
Banks | 7.5 | % | Commercial & Professional Services | 0.9 | % | |||||
Utilities | 5.4 | % | Retailing | 0.5 | % | |||||
Telecommunication Services | 4.3 | % | Semiconductors & Semiconductor Equipment | 0.5 | % | |||||
Capital Goods | 4.2 | % | Media | 0.5 | % | |||||
Transportation | 3.5 | % | Other Non-Classified Securities: | |||||||
Insurance | 3.4 | % | Asset Backed Securities | 11.6 | % | |||||
Materials | 3.0 | % | Other Securities | 4.4 | % | |||||
Real Estate | 2.9 | % | Municipal Bonds | 1.8 | % | |||||
Miscellaneous | 2.3 | % | Other Government | 0.5 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 2.3 | % | U.S. Treasury Securities | 0.3 | % | |||||
Food, Beverage & Tobacco | 1.9 | % | U.S. Government Agencies | 0.2 | % | |||||
Software & Services | 1.7 | % | Mortgage Backed | 0.2 | % | |||||
Health Care Equipment & Services | 1.7 | % | Other Assets & Liabilities | 11.8 | % | |||||
Consumer Services | 1.5 | % |
Summary of Country Exposure
As of 3/31/13
United States | 62.2 | % | Norway | 0.5 | % | |||||
Australia | 3.5 | % | Saudi Arabia | 0.4 | % | |||||
Mexico | 2.5 | % | Luxembourg | 0.4 | % | |||||
United Kingdom | 2.4 | % | Singapore | 0.4 | % | |||||
Canada | 2.2 | % | United Arab Emirates | 0.3 | % | |||||
Bermuda | 1.7 | % | Ireland | 0.3 | % | |||||
Spain | 1.6 | % | South Korea | 0.3 | % | |||||
Brazil | 1.6 | % | France | 0.2 | % | |||||
Cayman Islands | 1.5 | % | Turkey | 0.2 | % | |||||
Netherlands | 1.5 | % | Czech Republic | 0.2 | % | |||||
Russia | 1.1 | % | Italy | 0.2 | % | |||||
Germany | 1.0 | % | Trinidad and Tobago | 0.2 | % | |||||
Japan | 0.7 | % | Switzerland | 0.1 | % | |||||
Iceland | 0.5 | % | Other Assets & Liabilities | 11.8 | % | |||||
Argentina | 0.5 | % |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 4.97% | ||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.48% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 0.48% | ||||||||
Republic Services, Inc. | 100,000 | $ | 3,300,000 | |||||
|
| |||||||
3,300,000 | ||||||||
|
| �� | ||||||
DIVERSIFIED FINANCIALS — 0.33% | ||||||||
CAPITAL MARKETS — 0.21% | ||||||||
Apollo Investment Corp. | 168,060 | 1,404,982 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.12% | ||||||||
KKR Financial Holdings, LLC | 73,000 | 808,110 | ||||||
|
| |||||||
2,213,092 | ||||||||
|
| |||||||
ENERGY — 1.89% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.24% | ||||||||
Seadrill Ltd. | 46,100 | 1,670,911 | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.65% | ||||||||
Eni S.p.A. | 58,500 | 1,314,544 | ||||||
Kinder Morgan, Inc. | 87,000 | 3,365,160 | ||||||
Linn Co., LLC | 167,800 | 6,552,590 | ||||||
|
| |||||||
12,903,205 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.75% | ||||||||
FOOD & STAPLES RETAILING — 0.75% | ||||||||
Wal-Mart Stores, Inc. | 68,300 | 5,110,889 | ||||||
|
| |||||||
5,110,889 | ||||||||
|
| |||||||
INSURANCE — 0.05% | ||||||||
INSURANCE — 0.05% | ||||||||
Swiss Re | 4,400 | 357,821 | ||||||
|
| |||||||
357,821 | ||||||||
|
| |||||||
REAL ESTATE — 1.47% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 1.47% | ||||||||
Annaly Capital Management, Inc. | 212,700 | 3,379,803 | ||||||
Capstead Mtg Corp. | 259,027 | 3,320,726 | ||||||
Chimera Investment Corp. | 1,040,000 | 3,317,600 | ||||||
|
| |||||||
10,018,129 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $31,353,195) | 33,903,136 | |||||||
|
| |||||||
PREFERRED STOCK — 4.80% | ||||||||
BANKS — 3.13% | ||||||||
COMMERCIAL BANKS — 2.67% | ||||||||
Cobank ACB Pfd, 6.25% | 50,000 | 5,349,000 | ||||||
First Niagara Financial Group Pfd, 8.625% | 17,732 | 519,725 | ||||||
GMAC Capital Trust I Pfd, 8.125% | 140,000 | 3,808,000 | ||||||
a United Community Bank Pfd, 5.00% | 5,000 | 4,842,350 | ||||||
Wintrust Financial Corp. Pfd, 5.00% | 3,500 | 3,659,915 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.46% | ||||||||
Falcons Funding Trust I Pfd, 8.875% | 3,000 | 3,131,250 | ||||||
|
| |||||||
21,310,240 | ||||||||
|
|
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 0.43% | ||||||||
CONSUMER FINANCE — 0.43% | ||||||||
Ally Financial, Inc. Pfd, 8.50% | 110,165 | $ | 2,950,219 | |||||
|
| |||||||
2,950,219 | ||||||||
|
| |||||||
ENERGY — 0.78% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 0.78% | ||||||||
b Sanchez Energy Corp. Pfd, 4.875% | 100,000 | 5,289,020 | ||||||
|
| |||||||
5,289,020 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.07% | ||||||||
FOOD PRODUCTS — 0.07% | ||||||||
H.J. Heinz Finance Co. Pfd, 8.00% | 5 | 511,562 | ||||||
|
| |||||||
511,562 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.19% | ||||||||
U.S. GOVERNMENT AGENCIES — 0.19% | ||||||||
Farm Credit Bank of Texas Pfd, 10.00% | 1,000 | 1,269,375 | ||||||
|
| |||||||
1,269,375 | ||||||||
|
| |||||||
REAL ESTATE — 0.20% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.20% | ||||||||
Alexandria Real Estate Pfd, 7.00% | 50,000 | 1,375,000 | ||||||
|
| |||||||
1,375,000 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $30,688,107) | 32,705,416 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 11.63% | ||||||||
COMMERCIAL MTG TRUST — 2.02% | ||||||||
Capital Automotive REIT, Series 2012-1A Class A, 4.70%, 7/15/2042 | $ | 2,972,043 | 3,056,983 | |||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.914%, 3/25/2034 | 156,714 | 121,204 | ||||||
Commercial Mtg Pass-Through Certificates, Series 2011-FL1 Class B, 3.639%, 7/17/2028 | 1,163,825 | 1,181,769 | ||||||
b CVS Pass-Through Trust, 9.35%, 1/10/2023 | 4,605,000 | 5,248,222 | ||||||
Motel 6 Trust, Series 2012-MTL6 Class C, 3.139%, 10/5/2025 | 3,000,000 | 3,019,734 | ||||||
b ORES NPL, LLC, Series 2012-LV1 Class A, 4.00%, 9/25/2044 | 1,146,377 | 1,150,660 | ||||||
|
| |||||||
13,778,572 | ||||||||
|
| |||||||
OTHER ASSET BACKED — 4.48% | ||||||||
a Aircraft Certificate Owner Trust, Series 2003-1A Class E, 7.001%, 9/20/2022 | 5,980,000 | 6,159,400 | ||||||
a,b Concord Funding Co., LLC, 3.92%, 2/15/2015 | 5,675,000 | 5,675,000 | ||||||
a,b Concord Funding Co., LLC, Series 2012-2 Class B, 4.145%, 1/15/2017 | 4,000,000 | 4,001,250 | ||||||
Fairway Outdoor Funding, LLC, Series 2012-1 Class B, 8.835%, 10/15/2042 | 3,000,000 | 3,038,521 | ||||||
a,b JPR Royalty, LLC, 14.00%, 9/1/2020 | 2,000,000 | 1,760,000 | ||||||
MIRAMAX, LLC, Series 2011-1A Class A, 6.25%, 10/20/2021 | 1,224,286 | 1,288,458 | ||||||
MIRAMAX, LLC, Series 2011-1A Class B, 10.00%, 10/20/2021 | 1,916,667 | 1,961,122 | ||||||
a Northwind Holdings, LLC Floating Rate Note, 1.067%, 12/1/2037 | 1,212,500 | 1,103,375 | ||||||
b Richland Towers, 7.87%, 3/15/2041 | 2,000,000 | 2,163,872 | ||||||
c Trafigura Securitisation Finance plc, Series 2012-1A Class B, 4.203%, 10/15/2015 | 2,000,000 | 2,041,528 | ||||||
Westgate Resorts, Series 2012-1 Class C, 11.00%, 9/20/2025 | 1,273,305 | 1,320,258 | ||||||
|
| |||||||
30,512,784 | ||||||||
|
| |||||||
RESIDENTIAL MTG TRUST — 4.67% | ||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.594%, 12/20/2036 | 886,303 | 132,480 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.172%, 2/25/2035 | $ | 811,552 | $ | 65,615 | ||||
Bayview Financial Acquisition Trust, Series 2005-B Class M3, 0.884%, 4/28/2039 | 4,000,000 | 2,854,677 | ||||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.492%, 8/25/2033 | 397,549 | 327,682 | ||||||
CIT Mtg Loan Trust, Series 2007-1 Class 2A2, 1.454%, 10/25/2037 | 4,959,079 | 4,921,864 | ||||||
Countrywide, Series 2005-11 Class AF3, 4.778%, 2/25/2036 | 749,681 | 713,538 | ||||||
Countrywide, Series 2006-15 Class A6, 5.627%, 10/25/2046 | 369,677 | 333,046 | ||||||
CS First Boston Mtg Securities Co., Series 2005-CF1 Class M1, 0.904%, 3/25/2045 | 2,750,000 | 2,519,038 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.924%, 9/25/2035 | 3,000,000 | 2,639,949 | ||||||
FREMF Mtg Trust, Series 2012-K709 Class C, 3.741%, 4/25/2045 | 3,046,000 | 3,042,176 | ||||||
FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.80%, 10/25/2044 | 2,000,000 | 2,041,529 | ||||||
JPMorgan Mtg Acquisition Corp., Series 2006-CH1 Class A4, 0.342%, 7/25/2036 | 1,645,000 | 1,592,131 | ||||||
JPMorgan, Series 2007-CH5 Class A2, 0.254%, 5/25/2037 | 16,837 | 16,829 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.575%, 8/25/2034 | 317,844 | 203,555 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.524%, 11/25/2035 | 1,391,004 | 1,338,172 | ||||||
New Century Home Equity Loan Trust, 0.634%, 6/25/2035 | 2,000,000 | 1,889,101 | ||||||
Park Place Securities, Inc., Series 2004- MHQ1 Class M2, 1.329%, 12/25/2034 | 2,250,000 | 2,133,218 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.354%, 6/25/2036 | 1,387,976 | 1,366,606 | ||||||
Structured Asset Investment Loan Trust, 1.164%, 8/25/2033 | 1,828,512 | 1,800,879 | ||||||
Structured Asset Securities Corp., Series 2004-20 Class 7A1, 5.25%, 11/25/2034 | 1,790,246 | 1,883,760 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616%, 2/25/2035 | 322,722 | 30,894 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.674%, 3/25/2035 | 278,383 | 17,684 | ||||||
|
| |||||||
31,864,423 | ||||||||
|
| |||||||
STUDENT LOAN — 0.46% | ||||||||
Access Group, Inc., Series 2005-A Class A3, 0.701%, 7/25/2034 | 4,000,000 | 3,158,716 | ||||||
|
| |||||||
3,158,716 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $77,372,913) | 79,314,495 | |||||||
|
| |||||||
CORPORATE BONDS — 44.85% | ||||||||
BANKS — 3.01% | ||||||||
COMMERCIAL BANKS — 2.50% | ||||||||
b,c Akbank TAS, 3.875%, 10/24/2017 | 1,500,000 | 1,528,125 | ||||||
b,c Banco Pine SA, 8.75%, 1/6/2017 | 2,000,000 | 2,095,000 | ||||||
b,c Credit Agricole London, 1.752%, 1/21/2014 | 1,688,000 | 1,701,524 | ||||||
b Emigrant Bancorp, 6.25%, 6/15/2014 | 5,000,000 | 4,808,255 | ||||||
b,c,d,e Islandsbanki, 4.41%, 10/15/2008 | 60,000 | 17,475 | ||||||
b,c,d,e Landsbanki Islands HF, 5.73%, 8/25/2009 | 175,000 | 12,688 | ||||||
National City Bank Floating Rate Note, 0.651%, 6/7/2017 | 1,000,000 | 988,565 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 | 1,500,000 | 1,544,215 | ||||||
c Royal Bank of Scotland Group plc, 6.125%, 12/15/2022 | 2,000,000 | 2,068,596 | ||||||
c Royal Bank of Scotland Group plc, 9.50%, 3/16/2022 | 2,000,000 | 2,305,000 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.51% | ||||||||
b,c Northern Rock Asset Management plc, 5.625%, 6/22/2017 | 3,000,000 | 3,476,625 | ||||||
|
| |||||||
20,546,068 | ||||||||
|
| |||||||
CAPITAL GOODS — 4.19% | ||||||||
CONSTRUCTION & ENGINEERING — 0.90% | ||||||||
b,c Ausdrill Finance Pty Ltd., 6.875%, 11/1/2019 | 6,000,000 | 6,135,000 | ||||||
INDUSTRIAL CONGLOMERATES — 1.20% | ||||||||
b,c Hutchison Whampoa International (10) Ltd., 6.00%, 12/31/2049 | 2,000,000 | 2,135,000 | ||||||
b Nesco, LLC/Holdings Corp., 11.75%, 4/15/2017 | 1,250,000 | 1,375,000 | ||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 4,000,000 | 4,680,000 |
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MACHINERY — 0.15% | ||||||||
Case New Holland, Inc., 7.75%, 9/1/2013 | $ | 1,000,000 | $ | 1,024,000 | ||||
TRADING COMPANIES & DISTRIBUTORS — 1.94% | ||||||||
Air Lease Corp., 7.375%, 1/30/2019 | 2,786,129 | 3,009,019 | ||||||
b Aviation Capital Group, 6.75%, 4/6/2021 | 2,500,000 | 2,780,133 | ||||||
b Aviation Capital Group, 7.125%, 10/15/2020 | 1,881,000 | 2,136,039 | ||||||
b International Lease Finance Corp., 6.50%, 9/1/2014 | 2,000,000 | 2,130,000 | ||||||
International Lease Finance Corp., 4.875%, 4/1/2015 | 3,000,000 | 3,146,250 | ||||||
|
| |||||||
28,550,441 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.46% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 0.46% | ||||||||
RR Donnelley & Sons Co., 7.875%, 3/15/2021 | 3,000,000 | 3,127,500 | ||||||
|
| |||||||
3,127,500 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.99% | ||||||||
DIVERSIFIED CONSUMER SERVICES — 0.99% | ||||||||
b Coinstar, Inc., 6.00%, 3/15/2019 | 5,000,000 | 5,112,500 | ||||||
b Laureate Education, Inc., 9.25%, 9/1/2019 | 1,500,000 | 1,666,875 | ||||||
|
| |||||||
6,779,375 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 4.10% | ||||||||
CAPITAL MARKETS — 2.15% | ||||||||
b,c Macquarie Bank Ltd., 5.00%, 2/22/2017 | 2,000,000 | 2,207,140 | ||||||
b,c Macquarie Group Ltd., 7.30%, 8/1/2014 | 1,000,000 | 1,071,400 | ||||||
c Man Group plc Floating Rate Note, 1.934%, 9/22/2015 | 5,000,000 | 4,525,985 | ||||||
Merrill Lynch & Co., 0.848%, 5/2/2017 | 2,500,000 | 2,383,135 | ||||||
b Nationstar Mtg, LLC/Nationstar Capital Corp., 9.625%, 5/1/2019 | 3,000,000 | 3,435,000 | ||||||
Oppenheimer Holdings, Inc., 8.75%, 4/15/2018 | 1,000,000 | 1,075,000 | ||||||
CONSUMER FINANCE — 0.97% | ||||||||
b,c DFS Funding Corp. Floating Rate Note, 1.105%, 6/15/2015 | 900,000 | 862,668 | ||||||
SLM Corp., 6.25%, 1/25/2016 | 1,000,000 | 1,092,478 | ||||||
SLM Corp., 6.00%, 1/25/2017 | 2,000,000 | 2,175,000 | ||||||
TMX Finance, LLC, 13.25%, 7/15/2015 | 1,250,000 | 1,368,750 | ||||||
TMX Finance, LLC/TitleMax Finance Corp., 13.25%, 7/15/2015 | 1,000,000 | 1,095,000 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.98% | ||||||||
b,c CFG Holdings Ltd. /CFG Finance, LLC, 11.50%, 11/15/2019 | 3,000,000 | 3,045,000 | ||||||
b Citicorp, 8.04%, 12/15/2019 | 250,000 | 318,360 | ||||||
Citigroup, Inc., 5.00%, 9/15/2014 | 750,000 | 787,522 | ||||||
a Counts, Series 1998 II-A, 6.67%, 2/15/2018 | 497,525 | 517,426 | ||||||
SquareTwo Financial Corp., 11.625%, 4/1/2017 | 2,000,000 | 2,035,000 | ||||||
|
| |||||||
27,994,864 | ||||||||
|
| |||||||
ENERGY — 7.32% | ||||||||
ENERGY EQUIPMENT & SERVICES — 1.66% | ||||||||
c Floatel International Ltd., 8.00%, 10/11/2017 | 4,500,000 | 4,713,750 | ||||||
b,c,f RDS Ultra-Deepwater Ltd., 11.875%, 3/15/2017 | 2,250,000 | 2,503,125 | ||||||
b,c Schahin II Finance Co. SPV, 5.875%, 9/25/2023 | 3,925,333 | 4,062,720 | ||||||
OIL, GAS & CONSUMABLE FUELS — 5.66% | ||||||||
b Atlas Energy Holdings Operating Co., LLC, 7.75%, 1/15/2021 | 3,000,000 | 2,880,000 | ||||||
b Aurora USA Oil & Gas, Inc., 7.50%, 4/1/2020 | 3,000,000 | 3,030,000 | ||||||
b Aurora USA Oil & Gas, Inc., 9.875%, 2/15/2017 | 3,000,000 | 3,292,500 | ||||||
Black Elk Energy Offshore Operations, LLC, 13.75%, 12/1/2015 | 1,381,000 | 1,374,095 |
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
b DCP Midstream, LLC, 9.75%, 3/15/2019 | $ | 500,000 | $ | 658,488 | ||||
Endeavour International, 12.00%, 3/1/2018 | 900,000 | 866,250 | ||||||
Energy Transfer Partners LP, 8.50%, 4/15/2014 | 500,000 | 538,202 | ||||||
Energy Transfer Partners LP, 9.70%, 3/15/2019 | 1,500,000 | 2,021,971 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 1,400,000 | 1,624,000 | ||||||
EP Energy, LLC/ Everest Acquisition Finance, Inc., 6.875%, 5/1/2019 | 500,000 | 547,500 | ||||||
b,c Gaz Capital SA, 7.51%, 7/31/2013 | 1,000,000 | 1,020,600 | ||||||
b Green Field Energy Services, 13.25%, 11/15/2016 | 2,000,000 | 2,060,000 | ||||||
b Green Field Energy Services, 13.25%, 11/15/2016 | 48,000 | 49,440 | ||||||
b Linc Energy U.S.A. /Linc Energy Finance, 12.50%, 10/31/2017 | 3,000,000 | 3,285,000 | ||||||
b Maritimes & Northeast Pipeline, LLC, 7.50%, 5/31/2014 | 858,000 | 894,568 | ||||||
b,c Petro Co. Trinidad Tobago Ltd., 9.75%, 8/14/2019 | 1,000,000 | 1,307,500 | ||||||
c Petrobras International Finance Co., 2.875%, 2/6/2015 | 1,000,000 | 1,020,763 | ||||||
Plains All American Pipeline LP, 8.75%, 5/1/2019 | 1,000,000 | 1,354,727 | ||||||
b,c QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 7/30/2019 | 1,646,000 | 1,699,495 | ||||||
RAAM Global Energy Co., 12.50%, 10/1/2015 | 2,000,000 | 2,100,000 | ||||||
b Rockies Express Pipeline, LLC, 6.85%, 7/15/2018 | 2,000,000 | 2,045,000 | ||||||
b Rockies Express Pipeline, LLC, 3.90%, 4/15/2015 | 2,000,000 | 2,015,000 | ||||||
Southern Union Co., 3.316%, 11/1/2066 | 2,000,000 | 1,755,000 | ||||||
Tennessee Gas Pipeline Co., 8.00%, 2/1/2016 | 1,000,000 | 1,182,208 | ||||||
|
| |||||||
49,901,902 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.30% | ||||||||
FOOD & STAPLES RETAILING — 0.30% | ||||||||
b Aramark Corp., 5.75%, 3/15/2020 | 2,000,000 | 2,045,000 | ||||||
|
| |||||||
2,045,000 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 1.48% | ||||||||
BEVERAGES — 0.49% | ||||||||
b Innovation Ventures/Fina, 9.50%, 8/15/2019 | 4,000,000 | 3,370,000 | ||||||
FOOD PRODUCTS — 0.34% | ||||||||
Bunge Ltd. Finance Co., 5.10%, 7/15/2015 | 321,000 | 348,076 | ||||||
b Harmony Foods Corp., 10.00%, 5/1/2016 | 1,801,000 | 1,940,578 | ||||||
TOBACCO — 0.65% | ||||||||
Lorillard Tobacco Co., 8.125%, 6/23/2019 | 1,000,000 | 1,272,232 | ||||||
b Vector Group Ltd., 7.75%, 2/15/2021 | 3,000,000 | 3,157,500 | ||||||
|
| |||||||
10,088,386 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.21% | ||||||||
HEALTH CARE PROVIDERS & SERVICES — 0.66% | ||||||||
Aurora Diagnostics Holdings, LLC, 10.75%, 1/15/2018 | 1,000,000 | 780,000 | ||||||
b Prospect Medical Holdings, Inc., 8.375%, 5/1/2019 | 3,500,000 | 3,727,500 | ||||||
HEALTH CARE TECHNOLOGY — 0.55% | ||||||||
Merge Healthcare, Inc., 11.75%, 5/1/2015 | 3,500,000 | 3,736,250 | ||||||
|
| |||||||
8,243,750 | ||||||||
|
| |||||||
INSURANCE — 3.07% | ||||||||
INSURANCE — 3.07% | ||||||||
b Forethought Financial Group, Inc., 8.625%, 4/15/2021 | 1,330,000 | 1,600,864 | ||||||
b,c Lancashire Holdings Ltd., 5.70%, 10/1/2022 | 4,000,000 | 3,968,102 | ||||||
b National Life Insurance of Vermont, 10.50%, 9/15/2039 | 1,000,000 | 1,422,076 | ||||||
b,c Oil Casualty Insurance, 8.00%, 9/15/2034 | 1,934,000 | 2,220,387 | ||||||
b Oil Insurance Ltd., 3.293%, 12/31/2049 | 1,000,000 | 917,877 |
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
b Prudential Holdings, LLC, 8.695%, 12/18/2023 | $ | 585,000 | $ | 750,989 | ||||
b,c QBE Insurance Group Ltd., 9.75%, 3/14/2014 | 780,000 | 833,282 | ||||||
b,c QBE Insurance Group Ltd., 5.647%, 7/1/2023 | 3,500,000 | 3,487,956 | ||||||
b,c White Mountains Re Group Ltd., 7.506%, 12/31/2049 | 2,500,000 | 2,646,025 | ||||||
Willis North America, Inc., 7.00%, 9/29/2019 | 1,286,000 | 1,533,315 | ||||||
b ZFS Finance USA Trust II, 6.45%, 12/15/2065 | 1,460,000 | 1,573,150 | ||||||
|
| |||||||
20,954,023 | ||||||||
|
| |||||||
MATERIALS — 2.63% | ||||||||
CHEMICALS — 0.16% | ||||||||
b,c Mexichem S.A.B. de C.V., 4.875%, 9/19/2022 | 1,000,000 | 1,060,000 | ||||||
CONSTRUCTION MATERIALS — 0.16% | ||||||||
b Associated Asphalt Partners, LLC, 8.50%, 2/15/2018 | 1,100,000 | 1,122,000 | ||||||
CONTAINERS & PACKAGING — 0.30% | ||||||||
g Graphic Packaging International, 4.75%, 4/15/2021 | 2,000,000 | 2,025,000 | ||||||
METALS & MINING — 2.01% | ||||||||
c ArcelorMittal, 10.35%, 6/1/2019 | 1,000,000 | 1,262,797 | ||||||
b Coeur D’Alene Mines Corp., 7.875%, 2/1/2021 | 3,000,000 | 3,168,750 | ||||||
b,c FMG Resources Ltd., 8.25%, 11/1/2019 | 2,000,000 | 2,157,500 | ||||||
b,c OJSC Novolipetsk Steel, 4.45%, 2/19/2018 | 6,000,000 | 5,985,000 | ||||||
b,c Posco, 8.75%, 3/26/2014 | 500,000 | 537,221 | ||||||
c Rio Tinto Alcan, Inc., 5.00%, 6/1/2015 | 50,000 | 54,101 | ||||||
c Thompson Creek Metals Co., 9.75%, 12/1/2017 | 500,000 | 542,500 | ||||||
|
| |||||||
17,914,869 | ||||||||
|
| |||||||
MEDIA — 0.25% | ||||||||
MEDIA — 0.25% | ||||||||
b,c Mood Media Corp., 9.25%, 10/15/2020 | 1,000,000 | 1,092,500 | ||||||
The Washington Post Co., 7.25%, 2/1/2019 | 500,000 | 594,530 | ||||||
|
| |||||||
1,687,030 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.29% | ||||||||
BIOTECHNOLOGY — 0.44% | ||||||||
a,b Ironwood Pharmaceuticals, 11.00%, 6/15/2024 | 3,000,000 | 3,000,000 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 0.40% | ||||||||
b BPA Laboratories, Inc., 12.25%, 4/1/2017 | 3,000,000 | 2,752,500 | ||||||
PHARMACEUTICALS — 0.45% | ||||||||
a,b Alvogen Pharma U.S., Inc., 10.50%, 3/15/2019 | 3,000,000 | 3,030,000 | ||||||
|
| |||||||
8,782,500 | ||||||||
|
| |||||||
REAL ESTATE — 0.50% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.50% | ||||||||
b,c Goodman Funding Property Ltd., 6.00%, 3/22/2022 | 3,000,000 | 3,421,974 | ||||||
|
| |||||||
3,421,974 | ||||||||
|
| |||||||
RETAILING — 0.47% | ||||||||
MULTILINE RETAIL — 0.16% | ||||||||
b,c Grupo Famsa S.A.B. de C.V., 11.00%, 7/20/2015 | 1,000,000 | 1,070,000 | ||||||
SPECIALTY RETAIL — 0.31% | ||||||||
b Radio Systems Corp., 8.375%, 11/1/2019 | 2,000,000 | 2,115,000 | ||||||
|
| |||||||
3,185,000 | ||||||||
|
|
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.18% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.18% | ||||||||
KLA Tencor Corp., 6.90%, 5/1/2018 | $ | 1,000,000 | $ | 1,198,806 | ||||
|
| |||||||
1,198,806 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 1.30% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 0.42% | ||||||||
b Neustar, Inc., 4.50%, 1/15/2023 | 3,000,000 | 2,865,000 | ||||||
INTERNET SOFTWARE & SERVICES — 0.43% | ||||||||
b,c EAccess Ltd., 8.25%, 4/1/2018 | 1,755,000 | 1,943,663 | ||||||
Equinix, Inc., 4.875%, 4/1/2020 | 1,000,000 | 1,007,500 | ||||||
SOFTWARE — 0.45% | ||||||||
BMC Software, Inc., 4.50%, 12/1/2022 | 3,000,000 | 3,058,080 | ||||||
|
| |||||||
8,874,243 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.00% | ||||||||
COMPUTERS & PERIPHERALS — 0.84% | ||||||||
b,c Global A&T Electronics Ltd., 10.00%, 2/1/2019 | 2,500,000 | 2,675,000 | ||||||
Lexmark International, Inc., 5.125%, 3/15/2020 | 3,000,000 | 3,073,068 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.16% | ||||||||
Avnet, Inc., 5.875%, 6/15/2020 | 1,000,000 | 1,095,984 | ||||||
|
| |||||||
6,844,052 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 3.65% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.96% | ||||||||
Centurylink, Inc., 5.625%, 4/1/2020 | 250,000 | 255,625 | ||||||
Centurylink, Inc., 6.45%, 6/15/2021 | 2,000,000 | 2,120,000 | ||||||
b Level 3 Communications, Inc., 8.875%, 6/1/2019 | 1,000,000 | 1,092,500 | ||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 | 1,000,000 | 1,172,500 | ||||||
Level 3 Financing, Inc., 4.215%, 2/15/2015 | 1,000,000 | 1,000,000 | ||||||
Qwest Corp., 6.75%, 12/1/2021 | 2,000,000 | 2,302,788 | ||||||
c Telefonica Emisiones SAU, 6.421%, 6/20/2016 | 1,000,000 | 1,109,069 | ||||||
c Telefonica Emisiones SAU, 6.221%, 7/3/2017 | 2,000,000 | 2,237,768 | ||||||
c Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 1,000,000 | 1,052,883 | ||||||
c Telefonica Emisiones SAU, 3.992%, 2/16/2016 | 1,000,000 | 1,042,340 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.69% | ||||||||
b,c,g Bharti Airtel International, 5.125%, 3/11/2023 | 6,000,000 | 6,024,000 | ||||||
b,c VimpelCom (UBS SA), 8.25%, 5/23/2016 | 500,000 | 559,500 | ||||||
b,c VimpelCom Holdings BV, 7.504%, 3/1/2022 | 2,000,000 | 2,225,600 | ||||||
b WCP Wireless Site Fund, 6.829%, 11/15/2040 | 2,500,000 | 2,689,397 | ||||||
|
| |||||||
24,883,970 | ||||||||
|
| |||||||
TRANSPORTATION — 2.46% | ||||||||
AIR FREIGHT & LOGISTICS — 0.03% | ||||||||
b SPL Logistics Escrow, LLC, 8.875%, 8/1/2020 | 200,000 | 212,500 | ||||||
AIRLINES — 2.04% | ||||||||
b,c Air Canada, 9.25%, 8/1/2015 | 2,000,000 | 2,130,000 | ||||||
Continental Airlines, 6.90%, 7/2/2018 | 707,134 | 730,752 | ||||||
Continental Airlines, 7.02%, 11/1/2013 | 838,866 | 838,866 | ||||||
b JetBlue Pass-Through Trust, 3.183%, 1/2/2014 | 5,000,000 | 4,975,000 | ||||||
US Airways, 7.076%, 9/20/2022 | 961,654 | 1,038,586 | ||||||
US Airways, 5.90%, 4/1/2026 | 2,000,000 | 2,235,000 | ||||||
US Airways, 6.25%, 10/22/2024 | 1,806,327 | 2,005,022 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MARINE — 0.08% | ||||||||
b Windsor Petroleum Transport Corp., 7.84%, 1/15/2021 | $ | 851,527 | $ | 556,546 | ||||
ROAD & RAIL — 0.31% | ||||||||
b J.B. Poindexter & Co., Inc., 9.00%, 4/1/2022 | 2,000,000 | 2,090,000 | ||||||
|
| |||||||
16,812,272 | ||||||||
|
| |||||||
UTILITIES — 4.99% | ||||||||
ELECTRIC UTILITIES — 2.42% | ||||||||
Alabama Power Capital Trust V, 3.408%, 10/1/2042 | 700,000 | 697,403 | ||||||
b,c Dubai Electricity & Water, 6.375%, 10/21/2016 | 1,000,000 | 1,121,000 | ||||||
b Duquesne Light Holdings, 6.40%, 9/15/2020 | 2,000,000 | 2,431,704 | ||||||
b,c Enel Finance International S.A., 6.25%, 9/15/2017 | 1,500,000 | 1,674,105 | ||||||
Metropolitan Edison Co., 7.70%, 1/15/2019 | 250,000 | 321,060 | ||||||
PNM Resources, Inc., 9.25%, 5/15/2015 | 3,070,000 | 3,503,637 | ||||||
Public Service Co. of New Mexico, 7.95%, 5/15/2018 | 1,325,000 | 1,647,769 | ||||||
Puget Energy, Inc., 6.50%, 12/15/2020 | 2,000,000 | 2,324,232 | ||||||
Puget Energy, Inc., 5.625%, 7/15/2022 | 2,500,000 | 2,753,812 | ||||||
GAS UTILITIES — 0.52% | ||||||||
b Source Gas LLC., 5.90%, 4/1/2017 | 1,250,000 | 1,361,135 | ||||||
b Southern Star Central Gas Pipeline, Inc., 6.00%, 6/1/2016 | 2,000,000 | 2,214,420 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 1.02% | ||||||||
b,c Inkia Energy Ltd., 8.375%, 4/4/2021 | 2,000,000 | 2,259,000 | ||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/2018 | 2,500,000 | 2,700,000 | ||||||
b Midland Cogen Venture, 6.00%, 3/15/2025 | 1,913,964 | 1,995,517 | ||||||
MULTI-UTILITIES — 1.03% | ||||||||
Black Hills Corp., 9.00%, 5/15/2014 | 500,000 | 541,381 | ||||||
CMS Energy Corp., 8.75%, 6/15/2019 | 2,000,000 | 2,699,306 | ||||||
b Enogex, LLC, 6.875%, 7/15/2014 | 1,000,000 | 1,052,962 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 | 1,130,000 | 1,357,000 | ||||||
Sempra Energy, 9.80%, 2/15/2019 | 250,000 | 351,416 | ||||||
b,c Taqa Abu Dhabi National Energy Co., 6.60%, 8/1/2013 | 1,000,000 | 1,017,500 | ||||||
|
| |||||||
34,024,359 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $283,219,503) | 305,860,384 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 4.37% | ||||||||
DIVERSIFIED FINANCIALS — 1.50% | ||||||||
CAPITAL MARKETS — 1.50% | ||||||||
Apollo Investment Corp., 5.75%, 1/15/2016 | 725,000 | 770,312 | ||||||
Hercules Technology Growth Capital, Inc., 6.00%, 4/15/2016 | 988,000 | 1,073,215 | ||||||
b Prospect Capital Corp., 5.75%, 3/15/2018 | 3,202,000 | 3,320,074 | ||||||
b Technology Investment CA, 7.50%, 11/1/2017 | 5,000,000 | 5,059,375 | ||||||
|
| |||||||
10,222,976 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.07% | ||||||||
BEVERAGES — 0.07% | ||||||||
d,e Central European Distribution Corp., 3.00%, 3/15/2013 | 2,500,000 | 500,000 | ||||||
|
| |||||||
500,000 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.44% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.44% | ||||||||
Hologic, Inc., 2.00%, 12/15/2037 | 3,000,000 | 3,011,250 | ||||||
|
| |||||||
3,011,250 | ||||||||
|
|
18 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MATERIALS — 0.11% | ||||||||
METALS & MINING — 0.11% | ||||||||
b,c Jaguar Mining, Inc., 4.50%, 11/1/2014 | $ | 2,000,000 | $ | 720,000 | ||||
|
| |||||||
720,000 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.02% | ||||||||
PHARMACEUTICALS — 1.02% | ||||||||
b,f Pacira Pharmaceuticals, 3.25%, 2/1/2019 | 5,100,000 | 6,948,750 | ||||||
|
| |||||||
6,948,750 | ||||||||
|
| |||||||
REAL ESTATE — 0.73% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.73% | ||||||||
b IAS Operating Partnership LP, 5.00%, 3/15/2018 | 5,000,000 | 5,009,375 | ||||||
|
| |||||||
5,009,375 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.29% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.29% | ||||||||
c Trina Solar Ltd., 4.00%, 7/15/2013 | 2,000,000 | 1,960,000 | ||||||
|
| |||||||
1,960,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.21% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.21% | ||||||||
b Alaska Communication Systems Group, Inc., 6.25%, 5/1/2018 | 2,000,000 | 1,428,750 | ||||||
|
| |||||||
1,428,750 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $30,874,140) | 29,801,101 | |||||||
|
| |||||||
WARRANTS — 0.02% | ||||||||
e Green Field Energy Services | 2,000 | 110,000 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $78,418) | 110,000 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.79% | ||||||||
California Health Facilities Financing Authority (Developmental Disabilities), 7.875%, 2/1/2026 | 1,940,000 | 2,252,883 | ||||||
Los Angeles California Municipal Improvement Corp., 6.165%, 11/1/2020 | 1,885,000 | 2,187,317 | ||||||
b Midwest Family Housing, 5.168%, 7/1/2016 | 560,000 | 581,181 | ||||||
Oakland California Redevelopment Agency, 8.00%, 9/1/2016 | 1,000,000 | 1,092,750 | ||||||
Ohio State Solid Waste (Republic Services Project)(AMT), 4.25%, 4/1/2033 | 900,000 | 922,644 | ||||||
Oklahoma Development Finance Authority, 8.00%, 5/1/2020 | 1,500,000 | 1,495,515 | ||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 | 2,000,000 | 2,213,040 | ||||||
San Marcos California Redevelopment Agency, 6.125%, 10/1/2018 | 1,000,000 | 1,086,360 | ||||||
Wisconsin State Health & Educational Facilities (Richland Hospital), 7.08%, 6/1/2016 | 370,000 | 366,607 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $10,906,969) | 12,198,297 | |||||||
|
| |||||||
U.S. TREASURY SECURITIES — 0.30% | ||||||||
U.S. Treasury, 2.25%, 1/31/2015 | 2,000,000 | 2,073,691 | ||||||
|
| |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $1,996,794) | 2,073,691 | |||||||
|
|
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCIES — 0.20% | ||||||||
b Agribank FCB, 9.125%, 7/15/2019 | $ | 1,000,000 | $ | 1,347,964 | ||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $1,036,473) | 1,347,964 | |||||||
|
| |||||||
OTHER GOVERNMENT — 0.54% | ||||||||
b,c Republic of Iceland, 4.875%, 6/16/2016 | 3,000,000 | 3,198,750 | ||||||
b,c Republic of Iceland, 5.875%, 5/11/2022 | 400,000 | 458,604 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $3,520,610) | 3,657,354 | |||||||
|
| |||||||
MORTGAGE BACKED — 0.17% | ||||||||
Federal National Mtg Assoc., CMO Series 1994-37 Class L, 6.50%, 3/25/2024 | 6,545 | 7,311 | ||||||
a Reilly 1997 A Mtg, 6.896%, 7/1/2020 | 1,094,798 | 1,130,935 | ||||||
|
| |||||||
TOTAL MORTGAGE BACKED (Cost $1,135,464) | 1,138,246 | |||||||
|
| |||||||
FOREIGN BONDS — 10.20% | ||||||||
BANKS — 1.36% | ||||||||
COMMERCIAL BANKS — 1.36% | ||||||||
b Banco Santander Brasil S.A. (BRL), 8.00%, 3/18/2016 | 10,000,000 | 4,993,196 | ||||||
LBG Capital No.2 plc (GBP), 16.125%, 12/10/2024 | 1,050,000 | 2,361,225 | ||||||
NRW Bank (NOK), 3.50%, 5/21/2013 | 5,000,000 | 857,253 | ||||||
Royal Bank of Scotland Group plc (CAD), 5.875%, 5/12/2016 | 1,000,000 | 1,062,302 | ||||||
|
| |||||||
9,273,976 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.53% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 0.53% | ||||||||
b Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 | 7,000,000 | 3,583,571 | ||||||
|
| |||||||
3,583,571 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 2.49% | ||||||||
CAPITAL MARKETS — 0.16% | ||||||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 | 2,000,000 | 1,059,013 | ||||||
CONSUMER FINANCE — 0.69% | ||||||||
b Cash Store Financial (CAD), 11.50%, 1/31/2017 | 1,750,000 | 1,291,677 | ||||||
b Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 | 2,000,000 | 3,394,450 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 1.64% | ||||||||
General Electric Capital Corp. (MXN), 8.50%, 4/6/2018 | 60,000,000 | 5,377,021 | ||||||
KFW (BRL), 5.375%, 9/14/2015 | 12,000,000 | 5,834,467 | ||||||
|
| |||||||
16,956,628 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.20% | ||||||||
FOOD & STAPLES RETAILING — 0.20% | ||||||||
Wesfarmers Ltd. (AUD), 5.683%, 9/11/2014 | 1,300,000 | 1,386,965 | ||||||
|
| |||||||
1,386,965 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.32% | ||||||||
BEVERAGES — 0.32% | ||||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 | 2,000,000 | 1,101,571 |
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 | $ | 2,000,000 | $ | 1,070,395 | ||||
|
| |||||||
2,171,966 | ||||||||
|
| |||||||
INSURANCE — 0.29% | ||||||||
INSURANCE — 0.29% | ||||||||
ELM BV (AUD), 7.635%, 12/31/2049 | 1,000,000 | 1,049,969 | ||||||
ELM BV (AUD), 4.455%, 12/31/2049 | 1,000,000 | 920,403 | ||||||
|
| |||||||
1,970,372 | ||||||||
|
| |||||||
MATERIALS — 0.31% | ||||||||
CONSTRUCTION MATERIALS — 0.31% | ||||||||
CEMEX Finance, LLC (EUR), 9.625%, 12/14/2017 | 1,500,000 | 2,092,942 | ||||||
|
| |||||||
2,092,942 | ||||||||
|
| |||||||
MEDIA — 0.20% | ||||||||
MEDIA — 0.20% | ||||||||
CET 21 SPOL S.R.O. (EUR), 9.00%, 11/1/2017 | 1,000,000 | 1,390,808 | ||||||
|
| |||||||
1,390,808 | ||||||||
|
| |||||||
MISCELLANEOUS — 2.12% | ||||||||
MISCELLANEOUS — 2.12% | ||||||||
BK Nederlandse Gemeenten N.V. (NOK), 4.00%, 5/15/2015 | 5,000,000 | 888,585 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 | 6,120,000 | 3,501,794 | ||||||
International Bank for Reconstruction and Development (BRL), 9.00%, 4/28/2014 | 1,000,000 | 511,543 | ||||||
International Finance Corp. (KRW), 1.75%, 8/23/2013 | 1,450,000,000 | 1,305,130 | ||||||
Kommunalbanken AS (NOK), 4.00%, 1/26/2015 | 5,000,000 | 887,437 | ||||||
Mexican Bonos (MXN), 5.00%, 6/15/2017 | 90,000,000 | 7,393,488 | ||||||
|
| |||||||
14,487,977 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.44% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.44% | ||||||||
EAccess Ltd. (EUR), 8.375%, 4/1/2018 | 2,100,000 | 3,004,146 | ||||||
|
| |||||||
3,004,146 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.43% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.43% | ||||||||
America Movil Sab de CV (MXN), 6.45%, 12/5/2022 | 34,500,000 | 2,936,457 | ||||||
|
| |||||||
2,936,457 | ||||||||
|
| |||||||
TRANSPORTATION — 1.06% | ||||||||
AIR FREIGHT & LOGISTICS — 0.22% | ||||||||
Livingston International (CAD), 10.125%, 11/9/2015 | 1,500,000 | 1,509,125 | ||||||
AIRLINES — 0.84% | ||||||||
a Iberbond 2004 plc (EUR), 4.235%, 12/24/2017 | 4,749,686 | 5,753,527 | ||||||
|
| |||||||
7,262,652 | ||||||||
|
| |||||||
UTILITIES — 0.45% | ||||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.45% | ||||||||
a,b Algonquin Power Co. (CAD), 4.82%, 2/15/2021 | 3,000,000 | 3,059,477 | ||||||
|
| |||||||
3,059,477 | ||||||||
|
| |||||||
TOTAL FOREIGN BONDS (Cost $68,067,221) | 69,577,937 | |||||||
|
|
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
OTHER SECURITIES — 4.40% | ||||||||
LOAN PARTICIPATIONS — 4.40% | ||||||||
Alcatel Lucent U.S.A., Inc., 6.25%, 8/1/2016 | $ | 2,000,000 | $ | 2,026,420 | ||||
Baker & Taylor Acquisitions, 12.00%, 9/19/2016 | 5,000,000 | 4,750,000 | ||||||
Insight Global, Inc., 6.00%, 10/26/2019 | 5,985,000 | 5,999,963 | ||||||
Laureate Education, Inc., 5.25%, 6/18/2018 | 500,000 | 504,690 | ||||||
Lonestar Intermediate Super Holdings, LLC, 11.00%, 8/7/2019 | 2,000,000 | 2,141,260 | ||||||
Mood Media Corp., 7.00%, 5/6/2018 | 4,987,310 | 4,990,452 | ||||||
North American Breweries, 7.50%, 11/20/2018 | 4,000,000 | 4,090,000 | ||||||
a,b Private Restaurants Properties, Inc., 9.00%, 3/1/2017 | 2,972,595 | 2,972,595 | ||||||
Sorenson Communications, Inc., 9.50%, 9/13/2014 | 2,500,000 | 2,531,775 | ||||||
|
| |||||||
TOTAL OTHER SECURITIES (Cost $29,569,500) | 30,007,155 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 5.38% | ||||||||
Avery Dennison Corp., 0.30%, 4/1/2013 | 17,700,000 | 17,700,000 | ||||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 03/28/2013 due 4/1/2013, repurchase price $19,000,760 collateralized by 9 corporate debt securities and 9 U.S. Government debt securities having an average coupon of 1.5708%, a minimum credit rating of BBB-, maturity dates from 9/11/2015 to 06/1/2041, and having an aggregate market value of $20,256,444 at 3/28/2013. | 19,000,000 | 19,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $36,700,000) | 36,700,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 93.79% (Cost $606,519,307) | $ | 638,395,176 | ||||||
OTHER ASSETS LESS LIABILITIES — 6.21% | 42,295,091 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 680,690,267 | ||||||
|
|
Other current investments not included in the Schedule of Investments with any associated market value consist of an open line of credit commitment with a current depreciation for mark-to-market of $186,644 at March 31, 2013 and is recognized in the Statements of Assets & Liabilities as an Unfunded line of credit commitment (Note 2).
Footnote Legend
a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
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, 2013, the aggregate value of these securities in the Fund’s portfolio was $260,848,836, representing 38.32% of the Fund’s net assets. |
c | Yankee Bond - Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
d | Bond in default. |
e | Non-income producing. |
f | Segregated as collateral for a when-issued security. |
g | When-issued security. |
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ARM | Adjustable Rate Mortgage | |
AMT | Alternative Minimum Tax | |
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 | |
GBP | Great Britain Pound | |
KRW | Denominated in Korean Won | |
Mtg | Mortgage | |
MXN | Denominated in Mexican Pesos | |
NOK | Denominated in Norwegian Krone | |
Pfd | Preferred Stock | |
REIT | Real Estate Investment Trust |
See notes to financial statements.
Certified Semi-Annual Report 23
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $606,519,307) (Note 2) | $ | 638,395,176 | ||
Cash | 40,631,263 | |||
Cash denominated in foreign currency (cost $64,461) | 64,461 | |||
Receivable for investments sold | 1,283,225 | |||
Receivable for fund shares sold | 4,456,847 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 670,431 | |||
Dividends receivable | 630,077 | |||
Interest receivable | 8,153,473 | |||
Prepaid expenses and other assets | 76,696 | |||
|
| |||
Total Assets | 694,361,649 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 9,547,015 | |||
Payable for fund shares redeemed | 1,643,991 | |||
Payable to investment advisor and other affiliates (Note 3) | 661,101 | |||
Unfunded line of credit commitment (proceeds $1,063,356) (Note 2) | 1,200,000 | |||
Accounts payable and accrued expenses | 72,487 | |||
Dividends payable | 546,788 | |||
|
| |||
Total Liabilities | 13,671,382 | |||
|
| |||
NET ASSETS | $ | 680,690,267 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 11,690 | ||
Net unrealized appreciation on investments | 32,351,160 | |||
Accumulated net realized gain (loss) | 5,105,081 | |||
Net capital paid in on shares of beneficial interest | 643,222,336 | |||
|
| |||
$ | 680,690,267 | |||
|
|
24 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 231,982,468 applicable to 18,656,450 shares of beneficial interest outstanding - Note 4) | $ | 12.43 | ||
Maximum sales charge, 4.50% of offering price | 0.59 | |||
|
| |||
Maximum offering price per share | $ | 13.02 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 217,571,577 applicable to 17,522,688 shares of beneficial interest outstanding - Note 4) | $ | 12.42 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 231,086,220 applicable to 18,623,178 shares of beneficial interest outstanding - Note 4) | $ | 12.41 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 38,759 applicable to 3,117 shares of beneficial interest outstanding - Note 4) | $ | 12.43 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 11,243 applicable to 906 shares of beneficial interest outstanding - Note 4) | $ | 12.40 | ||
|
|
* | 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 25
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Income Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME:
Dividend income | $ | 2,331,755 | ||
Interest income (net of premium amortized of $ 450,819 and foreign taxes withheld of $6,875) | 18,186,685 | |||
|
| |||
Total Income | 20,518,440 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 2,294,809 | |||
Administration fees (Note 3) | ||||
Class A Shares | 132,645 | |||
Class C Shares | 127,323 | |||
Class I Shares | 52,137 | |||
Class R3 Shares | 21 | |||
Class R5 Shares | 3 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 264,092 | |||
Class C Shares | 1,029,890 | |||
Class R3 Shares | 85 | |||
Transfer agent fees | ||||
Class A Shares | 75,760 | |||
Class C Shares | 69,565 | |||
Class I Shares | 56,620 | |||
Class R3 Shares | 1,295 | |||
Class R5 Shares | 1,295 | |||
Registration and filing fees | ||||
Class A Shares | 16,462 | |||
Class C Shares | 13,053 | |||
Class I Shares | 17,985 | |||
Class R3 Shares | 10,440 | |||
Class R5 Shares | 10,440 | |||
Custodian fees (Note 3) | 76,696 | |||
Professional fees | 35,057 | |||
Accounting fees | 8,555 | |||
Trustee fees | 10,828 | |||
Other expenses | 45,799 | |||
|
| |||
Total Expenses | 4,350,855 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (242,624 | ) | ||
|
| |||
Net Expenses | 4,108,231 | |||
|
| |||
Net Investment Income | $ | 16,410,209 | ||
|
|
26 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Strategic Income Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 6,651,476 | ||
Forward currency contracts (Note 7) | (495,721 | ) | ||
Foreign currency transactions | 2,767 | |||
|
| |||
6,158,522 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of unfunded line of credit commitment depreciation of $186,644) | 7,729,470 | |||
Forward currency contracts (Note 7) | 843,372 | |||
Foreign currency translations | (20,656 | ) | ||
|
| |||
8,552,186 | ||||
|
| |||
Net Realized and Unrealized Gain | 14,710,708 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 31,120,917 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 27
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Strategic Income Fund |
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 16,410,209 | $ | 26,083,142 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | 6,158,522 | 5,521,695 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations, net of unfunded line of credit commitment depreciation | 8,552,186 | 21,988,516 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 31,120,917 | 53,593,353 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (5,534,991 | ) | (9,390,218 | ) | ||||
Class C Shares | (4,752,081 | ) | (8,025,509 | ) | ||||
Class I Shares | (5,782,286 | ) | (9,337,938 | ) | ||||
Class R3 Shares | (886 | ) | (255 | ) | ||||
Class R5 Shares | (299 | ) | (267 | ) | ||||
From realized gains | ||||||||
Class A Shares | (2,285,280 | ) | (2,920,791 | ) | ||||
Class C Shares | (2,208,844 | ) | (2,624,522 | ) | ||||
Class I Shares | (2,229,497 | ) | (2,482,957 | ) | ||||
Class R3 Shares | (396 | ) | — | |||||
Class R5 Shares | (120 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 29,367,321 | 77,622,309 | ||||||
Class C Shares | 26,079,575 | 75,908,284 | ||||||
Class I Shares | 37,225,494 | 85,319,439 | ||||||
Class R3 Shares | 27,715 | 10,455 | ||||||
Class R5 Shares | 418 | 10,467 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 101,026,760 | 257,681,850 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 579,663,507 | 321,981,657 | ||||||
|
|
|
| |||||
End of Period | $ | 680,690,267 | $ | 579,663,507 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 11,690 | $ | — |
* | Unaudited |
See notes to financial statements.
28 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Income Fund | March 31, 2013 (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 five classes of shares of beneficial interest outstanding: Class A, Class C, Institutional Class (“Class I”) and Retirement Classes (“Class R3” 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 R5 shares are sold at net asset value without a sales charge at the time of purchase, and (vi) 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
Certified Semi-Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
30 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 33,903,136 | $ | 33,903,136 | $ | — | $ | — | ||||||||
Preferred Stock(a) | 32,705,416 | 12,312,859 | 15,550,207 | 4,842,350 | ||||||||||||
Asset Backed Securities | 79,314,495 | — | 60,615,470 | 18,699,025 | ||||||||||||
Corporate Bonds | 305,860,384 | — | 299,312,958 | 6,547,426 | ||||||||||||
Convertible Bonds | 29,801,101 | — | 29,801,101 | — | ||||||||||||
Warrants | 110,000 | 110,000 | — | — | ||||||||||||
Municipal Bonds | 12,198,297 | — | 12,198,297 | — | ||||||||||||
U.S. Treasury Securities | 2,073,691 | 2,073,691 | — | — | ||||||||||||
U.S. Government Agencies | 1,347,964 | — | 1,347,964 | — | ||||||||||||
Other Government | 3,657,354 | — | 3,657,354 | — | ||||||||||||
Mortgage Backed | 1,138,246 | — | 7,311 | 1,130,935 | ||||||||||||
Foreign Bonds | 69,577,937 | — | 60,764,933 | 8,813,004 | ||||||||||||
Other Securities | 30,007,155 | — | 27,034,560 | 2,972,595 | ||||||||||||
Short Term Investments | 36,700,000 | — | 36,700,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 638,395,176 | $ | 48,399,686 | $ | 546,990,155 | $ | 43,005,335 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 670,431 | $ | — | $ | 670,431 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Spot Currency | $ | (106 | ) | $ | (106 | ) | $ | — | $ | — |
(a) | At March 31, 2013, industry classifications for Preferred Stock in Level 2 and Level 3 consist of $13,322,600 in Banks, $5,289,020 in Energy, $511,562 in Food Beverage & Tobacco, and $1,269,375 in Miscellaneous. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at March 31, 2013. |
Certified Semi-Annual Report 31
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (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. |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2013 is as follows:
Asset Backed Securities | Corporate Bonds | Foreign Bonds | Mortgage Backed Securities | Other Securities | Preferred Stock | Total | ||||||||||||||||||||||
Beginning Balance 9/30/2012 | $ | 6,036,184 | $ | 7,619,835 | $ | 3,546,314 | $ | — | $ | 3,648,138 | $ | — | $ | 20,850,471 | ||||||||||||||
Accrued Discounts(Premiums) | 5,076 | 2,343 | 29,164 | (114 | ) | — | — | 36,469 | ||||||||||||||||||||
Net Realized Gain (Loss)(a) | 14,221 | (1,686,109 | ) | — | — | — | — | (1,671,888 | ) | |||||||||||||||||||
Gross Purchases | 15,672,925 | 3,376,728 | 6,523,353 | 1,129,011 | — | 4,842,350 | 31,544,367 | |||||||||||||||||||||
Gross Sales | (92,111 | ) | (386,743 | ) | — | — | (16,091 | ) | — | (494,945 | ) | |||||||||||||||||
Change in Unrealized | ||||||||||||||||||||||||||||
Appreciation (Depreciation)(b) | 55,225 | 1,730,372 | 14,369 | 2,038 | — | — | 1,802,004 | |||||||||||||||||||||
Transfers into Level 3(c) | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers out of Level 3(c) | (2,992,495 | ) | (4,109,000 | ) | (1,300,196 | ) | — | (659,452 | ) | — | (9,061,143 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Ending Balance 3/31/2013(d) | $ | 18,699,025 | $ | 6,547,426 | $ | 8,813,004 | $ | 1,130,935 | $ | 2,972,595 | $ | 4,842,350 | $ | 43,005,335 |
(a) | Total amount of net realized gain (loss) from investments recognized in the net increase in assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(b) | Total amount of net change in unrealized appreciation (depreciation) on investments recognized in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(c) | 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, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(d) | Level 3 Securities represent 6.32% of total Net Assets at the six months ended March 31, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment transactions and the difference between
32 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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.
Unfunded Line of Credit Commitments: The Fund has entered into a revolving line of credit commitment in the amount of $10,000,000 that the borrower can draw on at any time during the commitment, which ends on April 9, 2015. The Fund received $1,225,000 by taking on the commitment. At March 31, 2013, the $10,000,000 line of credit was not drawn upon by the borrower.
General: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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
Certified Semi-Annual Report 33
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $6,494 for Class A shares, $212,640 for Class C shares, $11,762 for Class R3 shares, and $11,728 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $72,490 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $17,212 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, 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.
34 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,558,425 | $ | 56,115,621 | 9,664,667 | $ | 115,185,244 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 554,368 | 6,790,896 | 857,823 | 10,157,758 | ||||||||||||
Shares repurchased | (2,724,468 | ) | (33,539,196 | ) | (4,013,545 | ) | (47,720,693 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,388,325 | $ | 29,367,321 | 6,508,945 | $ | 77,622,309 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,371,920 | $ | 41,411,476 | 7,704,463 | $ | 91,665,165 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 472,046 | 5,772,996 | 665,888 | 7,877,901 | ||||||||||||
Shares repurchased | (1,716,822 | ) | (21,104,897 | ) | (1,984,533 | ) | (23,634,782 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,127,144 | $ | 26,079,575 | 6,385,818 | $ | 75,908,284 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,058,217 | $ | 62,254,470 | 9,577,774 | $ | 113,908,972 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 484,974 | 5,929,675 | 717,845 | 8,490,090 | ||||||||||||
Shares repurchased | (2,513,396 | ) | (30,958,651 | ) | (3,120,429 | ) | (37,079,623 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,029,795 | $ | 37,225,494 | 7,175,190 | $ | 85,319,439 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares* | ||||||||||||||||
Shares sold | 2,144 | $ | 26,439 | 848 | $ | 10,200 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 104 | 1,276 | 21 | 255 | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,248 | $ | 27,715 | 869 | $ | 10,455 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares* | ||||||||||||||||
Shares sold | — | $ | — | 850 | $ | 10,200 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 34 | 418 | 22 | 267 | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 34 | $ | 418 | 872 | $ | 10,467 | ||||||||||
|
|
|
|
|
|
|
|
* | Effective date for these Classes of shares was May 1, 2012. |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $286,498,152 and $205,433,362, respectively.
Certified Semi-Annual Report 35
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 606,519,307 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 40,718,987 | ||
Gross unrealized depreciation on a tax basis | (8,843,118 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 31,875,869 | ||
|
|
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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $9,085,936. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | �� | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
Euro | Sell | 11,165,300 | 08/13/2013 | 14,326,912 | $ | 670,431 | $ | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 670,431 | $ | — | ||||||||||||||||||||
|
|
|
|
36 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 670,431 |
The net realized gains (losses) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (495,721 | ) | $ | (495,721 | ) |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 843,372 | $ | 843,372 |
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, below investment grade debt obligations, 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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 37
Thornburg Strategic Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Fiscal | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 12.28 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.14 | ) | (0.46 | ) | $ | 12.43 | 5.33 | (d) | 1.25 | (d) | 1.25 | (d) | 1.25 | (d) | 5.05 | 36.07 | $ | 231,982 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 11.86 | 0.71 | 0.73 | 1.44 | (0.74 | ) | (0.28 | ) | (1.02 | ) | $ | 12.28 | 5.97 | 1.25 | 1.25 | 1.31 | 12.73 | 34.54 | $ | 199,770 | |||||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 12.26 | 0.29 | 0.30 | 0.59 | (0.29 | ) | (0.14 | ) | (0.43 | ) | $ | 12.42 | 4.77 | (d) | 1.80 | (d) | 1.80 | (d) | 2.01 | (d) | 4.85 | 36.07 | $ | 217,572 | |||||||||||||||||||||||||||||||||||
2012 | $ | 11.84 | 0.64 | 0.73 | 1.37 | (0.67 | ) | (0.28 | ) | (0.95 | ) | $ | 12.26 | 5.42 | 1.79 | 1.79 | 2.05 | 12.15 | 34.54 | $ | 188,782 | |||||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 12.25 | 0.35 | 0.29 | 0.64 | (0.34 | ) | (0.14 | ) | (0.48 | ) | $ | 12.41 | 5.66 | (d) | 0.91 | (d) | 0.91 | (d) | 0.91 | (d) | 5.31 | 36.07 | $ | 231,086 | |||||||||||||||||||||||||||||||||||
2012 | $ | 11.83 | 0.74 | 0.73 | 1.47 | (0.77 | ) | (0.28 | ) | (1.05 | ) | $ | 12.25 | 6.27 | 0.96 | 0.96 | 0.97 | 13.06 | 34.54 | $ | 191,090 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 12.28 | 0.33 | 0.28 | 0.61 | (0.32 | ) | (0.14 | ) | (0.46 | ) | $ | 12.43 | 5.35 | (d) | 1.25 | (d) | 1.25 | (d) | 70.68 | (d)(f) | 5.05 | 36.07 | $ | 39 | |||||||||||||||||||||||||||||||||||
2012(g) | $ | 12.03 | 0.30 | 0.25 | 0.55 | (0.30 | ) | — | (0.30 | ) | $ | 12.28 | 5.93 | (d) | 1.22 | (d) | 1.22 | (d) | 373.07 | (d)(f) | 4.63 | 34.54 | $ | 11 | ||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 12.25 | 0.34 | 0.29 | 0.63 | (0.34 | ) | (0.14 | ) | (0.48 | ) | $ | 12.40 | 5.57 | (d) | 0.99 | (d) | 0.99 | (d) | 216.47 | (d)(f) | 5.20 | 36.07 | $ | 11 | |||||||||||||||||||||||||||||||||||
2012(g) | $ | 12.00 | 0.31 | 0.25 | 0.56 | (0.31 | ) | — | (0.31 | ) | $ | 12.25 | 6.22 | (d) | 0.97 | (d) | 0.97 | (d) | 372.35 | (d)(f) | 4.75 | 34.54 | $ | 11 |
(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. |
(f) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(g) | Effective date of this Class of shares was May 1, 2012. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
38 Certified Semi-Annual Report | Certified Semi-Annual Report 39 |
EXPENSE EXAMPLE | ||
Thornburg Strategic Income Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
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 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.50 | $ | 6.37 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.72 | $ | 6.27 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,048.50 | $ | 9.19 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.96 | $ | 9.05 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,053.10 | $ | 4.67 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.38 | $ | 4.60 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,050.50 | $ | 6.40 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.69 | $ | 6.30 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.00 | $ | 5.05 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.01 | $ | 4.97 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.80%; I: 0.91% R3: 1.25% R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above 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.
40 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg Strategic Income Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Strategic Income Fund versus Barclays U.S. Universal Index & Blended Index
(December 19, 2007 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 yrs | Since Inception | |||||||||||||
A Shares (Incep: 12/19/07) | 5.72 | % | 7.91 | % | 7.91 | % | 7.84 | % | ||||||||
C Shares (Incep: 12/19/07) | 9.25 | % | 9.00 | % | 8.30 | % | 8.18 | % | ||||||||
I Shares (Incep: 12/19/07) | 11.18 | % | 9.93 | % | 9.21 | % | 9.11 | % | ||||||||
R3 Shares (Incep: 5/1/12)* | — | — | — | 9.91 | % | |||||||||||
R5 Shares (Incep: 5/1/12)* | — | — | — | 10.20 | % | |||||||||||
Barclays U.S. Universal Index (Since 12/19/07) | 4.72 | % | 6.01 | % | 5.86 | % | 5.94 | % | ||||||||
Blended Index (Since 12/19/07) | 5.50 | % | 6.37 | % | 5.17 | % | 5.02 | % |
* | Not annualized for periods less than one year. |
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. 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, and R5 shares.
Certified Semi-Annual Report 41
OTHER INFORMATION | ||
Thornburg Strategic Income Fund | March 31, 2013 (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.
42 Certified Semi-Annual Report
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This page is not part of the Semi-Annual Report. 43
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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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 | You invest in the future, without spending a dime. | |||||
TH1663 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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.
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 1.32%, 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 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-
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 10/2/95) | ||||||||||||||||||||
Without sales charge | 5.76 | % | 3.44 | % | 2.18 | % | 7.45 | % | 8.93 | % | ||||||||||
With sales charge | 1.01 | % | 1.87 | % | 1.25 | % | 6.96 | % | 8.65 | % | ||||||||||
S&P 500 Index | ||||||||||||||||||||
(Since 10/2/95) | 13.96 | % | 12.67 | % | 5.81 | % | 8.53 | % | 7.81 | % |
4 This page is not part of the Semi-Annual Report.
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 35–55 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 March 31, 2013
Top Contributors | Top Detractors | |
Gilead Sciences, Inc. | Apple, Inc. | |
Community Health Systems, Inc. | Newcrest Mining Ltd. | |
Thermo Fisher Scientific, Inc. | Inpex Corp. | |
ADT Corp. | St. Jude Medical, Inc. | |
Delphi Automotive plc | Liquidity Services, Inc. | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-months* | 15.8x | |||
Portfolio Price to Cash Flow* | 8.7x | |||
Portfolio Price to Book Value* | 1.8x | |||
Median Market Cap* | $ | 16.2 B | ||
7-Year Beta (A Shares vs. S&P 500)* | 1.14 | |||
Number of Companies | 50 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Basket Structure
As of March 31, 2013
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Thornburg Value Fund –
March 31, 2013
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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 15, 2013
Dear Fellow Shareholder:
Following a disappointing fiscal year ended September 30, 2012, we are happy to report good results for the first six months of our 2013 fiscal year, with the Thornburg Value Fund up 14.19% in comparison to the S&P 500 Index, which was up 10.19%. We are especially proud of these results, as we were able to outperform in a strong U.S. equity market even as we have worked to bolster the consistent earning aspects of the portfolio, as we discussed in our most recent annual letter to shareholders.
The global economic environment remains uncertain. Many economic indicators have improved slowly but steadily in the U.S., especially home prices and unemployment. Central banks all over the world continue to run the printing presses, with Bank of Japan Governor Kuroda recently having joined the party in a big way. Yet, some economic indices seem to have turned more negative recently in the U.S. and abroad. Many market participants are beginning to expect another growth slowdown this year. We think it’s important to keep in mind that the market rarely does what is expected. We believe that our current mix of basic value companies, consistent earners, and emerging franchises should allow the Value Fund the opportunity to outperform in any market environment going forward, if we execute well on our fundamental, bottom-up stock research process.
Stock selection was the more significant driver of the return of the portfolio so far this year, though our overweight position in health care and our underweight industrials benefitted performance. Two of our positions in Japan (Softbank and Tokyo Steel), especially when viewed with the accompanying currency hedge, also contributed to the relative outperformance of the portfolio during the period.
A trifecta of long-time health care holdings led the way during the period, with Gilead Sciences, Community Health Systems, and Thermo Fisher Scientific all contributing more than a point each to performance. Gilead continues to move its pipeline Hepatitis C compound towards approval, having filed the drug with the FDA recently. This exciting new treatment should be on the market around year end 2013, and could become one of the biggest selling pharmaceutical products of all time. Community Health has continued to execute on its rural hospital acquisition strategy, delivering consistent results in what can be an inconsistent industry (they operate for-profit hospitals in the U.S.). The expected increase in insurance coverage associated with the Affordable Care Act has raised earnings estimates for 2014 and beyond. Thermo Fisher has executed admirably against its long-term growth plan, growing revenues both organically and through acquisition, leveraging that revenue growth for higher operating income growth as margins improve, and returning cash to shareholders through buybacks and dividends. This consistent, relatively boring approach has created a big winner for the Fund since our initial purchase in March 2009. ADT Corporation and Delphi Automotive round out the top individual stocks for the period.
Our five worst performers included Newcrest Mining, Liquidity Services, Bankers Petroleum, Level 3 Communications, and St. Jude Medical. Newcrest is a gold-mining company based in Australia. Newcrest
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
announced delays in production growth and modestly higher unit costs. Newcrest shares fell significantly in response to the negative news, which happened to occur in an environment of declining gold prices. We believe the growth prospects at Newcrest are exciting and that the value of this mining company relative to the underlying commodity is exceptional. Growth at Liquidity Services has slowed recently as new customers have delayed the transition onto the company’s online liquidation marketplace. We believe that the online platform is superior to the traditional offline liquidation model, which should allow Liquidity Services to take market share over time. Bankers Petroleum continues to make fundamental progress which should ultimately be recognized by the market. Level Three Communications remains a volatile emerging franchise position for the Fund and has been weak recently, but we continue to believe in the long-term opportunity. St. Jude is a medical device company that has grown consistently over the years by gaining share in the markets for implantable defibrillators and pacemakers. St. Jude was a somewhat recent purchase, and was sold early in the period due to deteriorating results across a number of their divisions.
While we have a long way to go making up for lost ground, we are encouraged by recent Value Fund performance. We are working hard to ensure that the investments in our portfolio today offer compelling risk/reward on a company by company basis. We are excited about the opportunities we are finding in each of our risk baskets and believe that our diversification and positioning will control risk and provide the potential for attractive returns. Thank you for your continued trust.
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.
8 Certified Semi-Annual Report
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Certified Semi-Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
Gilead Sciences, Inc. | 4.4 | % | Inpex Corp. | 2.8 | % | |||||
Apple, Inc. | 4.2 | % | Hartford Financial Services Group, Inc. | 2.5 | % | |||||
Thermo Fisher Scientific, Inc. | 3.8 | % | Delphi Automotive plc | 2.5 | % | |||||
Google, Inc. | 3.5 | % | Roche Holding AG | 2.4 | % | |||||
Nielsen Holdings NV | 2.9 | % | SoftBank Corp. | 2.4 | % |
Summary of Industry Exposure
As of 3/31/13
Pharmaceuticals, Biotechnology & Life Sciences | 14.8 | % | Materials | 4.2 | % | |||||
Software & Services | 11.6 | % | Technology Hardware & Equipment | 4.2 | % | |||||
Energy | 9.0 | % | Automobiles & Components | 3.8 | % | |||||
Telecommunication Services | 8.4 | % | Retailing | 2.8 | % | |||||
Insurance | 8.1 | % | Health Care Equipment & Services | 2.0 | % | |||||
Commercial & Professional Services | 6.8 | % | Food, Beverage & Tobacco | 2.0 | % | |||||
Diversified Financials | 5.9 | % | Consumer Durables & Apparel | 2.0 | % | |||||
Consumer Services | 5.1 | % | Banks | 1.1 | % | |||||
Food & Staples Retailing | 4.4 | % | Other Assets & Liabilities | 3.8 | % |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 94.71% | ||||||||
AUTOMOBILES & COMPONENTS — 3.81% | ||||||||
AUTO COMPONENTS — 2.48% | ||||||||
Delphi Automotive plc | 579,850 | $ | 25,745,340 | |||||
AUTOMOBILES — 1.33% | ||||||||
a Tesla Motors, Inc. | 362,200 | 13,723,758 | ||||||
|
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39,469,098 | ||||||||
|
| |||||||
BANKS — 1.06% | ||||||||
COMMERCIAL BANKS — 1.06% | ||||||||
Sterling Financial Corp. | 506,929 | 10,995,290 | ||||||
|
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10,995,290 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 6.82% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 3.89% | ||||||||
ADT Corp. | 448,800 | 21,964,272 | ||||||
Republic Services, Inc. | 555,705 | 18,338,265 | ||||||
PROFESSIONAL SERVICES — 2.93% | ||||||||
Nielsen Holdings NV | 849,333 | 30,423,108 | ||||||
|
| |||||||
70,725,645 | ||||||||
|
|
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
CONSUMER DURABLES & APPAREL — 1.96% | ||||||||
HOUSEHOLD DURABLES — 1.96% | ||||||||
Tupperware Brands Corp. | 248,326 | $ | 20,298,167 | |||||
|
| |||||||
20,298,167 | ||||||||
|
| |||||||
CONSUMER SERVICES — 5.10% | ||||||||
DIVERSIFIED CONSUMER SERVICES — 0.79% | ||||||||
a Bright Horizons Family Solutions, Inc. | 241,600 | 8,163,664 | ||||||
HOTELS, RESTAURANTS & LEISURE — 4.31% | ||||||||
a Life Time Fitness, Inc. | 463,841 | 19,843,118 | ||||||
Starbucks Corp. | 437,500 | 24,920,000 | ||||||
|
| |||||||
52,926,782 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 5.91% | ||||||||
CAPITAL MARKETS — 1.74% | ||||||||
The Blackstone Group LP | 915,200 | 18,102,656 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 4.17% | ||||||||
Citigroup, Inc. | 452,700 | 20,027,448 | ||||||
JPMorgan Chase & Co. | 488,440 | 23,181,363 | ||||||
|
| |||||||
61,311,467 | ||||||||
|
| |||||||
ENERGY — 9.03% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 9.03% | ||||||||
Anadarko Petroleum Corp. | 136,200 | 11,910,690 | ||||||
a Bankers Petroleum Ltd. | 4,922,420 | 12,937,797 | ||||||
Exxon Mobil Corp. | 234,400 | 21,121,784 | ||||||
Inpex Corp. | 5,477 | 29,323,929 | ||||||
Total SA | 383,200 | 18,348,971 | ||||||
|
| |||||||
93,643,171 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 4.44% | ||||||||
FOOD & STAPLES RETAILING — 4.44% | ||||||||
Koninklijke Ahold NV | 1,466,200 | 22,468,820 | ||||||
Walgreen Co. | 494,300 | 23,568,224 | ||||||
|
| |||||||
46,037,044 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 1.99% | ||||||||
FOOD PRODUCTS — 1.99% | ||||||||
Mondelez International, Inc. | 673,200 | 20,606,652 | ||||||
|
| |||||||
20,606,652 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 2.04% | ||||||||
HEALTH CARE PROVIDERS & SERVICES — 2.04% | ||||||||
Community Health Systems, Inc. | 445,780 | 21,125,514 | ||||||
|
| |||||||
21,125,514 | ||||||||
|
| |||||||
INSURANCE — 8.14% | ||||||||
INSURANCE — 8.14% | ||||||||
ACE Ltd. | 214,100 | 19,048,477 | ||||||
Hartford Financial Services Group, Inc. | 1,007,040 | 25,981,632 | ||||||
MetLife, Inc. | 442,340 | 16,817,767 | ||||||
a,b NMI Holdings, Inc. | 1,689,500 | 22,597,062 | ||||||
|
| |||||||
84,444,938 | ||||||||
|
|
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MATERIALS — 4.18% | ||||||||
CHEMICALS — 1.08% | ||||||||
LyondellBasell Industries NV | 178,000 | $ | 11,265,620 | |||||
METALS & MINING — 3.10% | ||||||||
Newcrest Mining Ltd. | 899,800 | 18,783,384 | ||||||
Tokyo Steel Mfg. | 3,161,062 | 13,331,297 | ||||||
|
| |||||||
43,380,301 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 14.84% | ||||||||
BIOTECHNOLOGY — 5.75% | ||||||||
a Gilead Sciences, Inc. | 936,810 | 45,838,113 | ||||||
a Seattle Genetics, Inc. | 389,260 | 13,822,623 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 3.82% | ||||||||
Thermo Fisher Scientific, Inc. | 517,400 | 39,575,926 | ||||||
PHARMACEUTICALS — 5.27% | ||||||||
Roche Holding AG | 109,100 | 25,398,820 | ||||||
a Valeant Pharmaceuticals International, Inc. | 301,117 | 22,589,798 | ||||||
a Zoetis, Inc. | 199,850 | 6,674,990 | ||||||
|
| |||||||
153,900,270 | ||||||||
|
| |||||||
RETAILING — 2.82% | ||||||||
INTERNET & CATALOG RETAIL — 1.53% | ||||||||
a Amazon.com, Inc. | 59,400 | 15,829,506 | ||||||
SPECIALTY RETAIL — 1.29% | ||||||||
a AutoZone, Inc. | 25,049 | 9,938,692 | ||||||
OfficeMax, Inc. | 295,778 | 3,433,982 | ||||||
|
| |||||||
29,202,180 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 11.59% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 2.48% | ||||||||
Accenture plc | 224,700 | 17,070,459 | ||||||
Amdocs Ltd. | 237,648 | 8,614,740 | ||||||
INTERNET SOFTWARE & SERVICES — 8.12% | ||||||||
a Google, Inc. | 45,274 | 35,948,914 | ||||||
a Liquidity Services, Inc. | 340,922 | 10,162,885 | ||||||
a Opentable, Inc. | 230,900 | 14,542,082 | ||||||
a VeriSign, Inc. | 498,600 | 23,573,808 | ||||||
SOFTWARE — 0.99% | ||||||||
Activision Blizzard, Inc. | 704,000 | 10,257,280 | ||||||
|
| |||||||
120,170,168 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 4.16% | ||||||||
COMPUTERS & PERIPHERALS — 4.16% | ||||||||
Apple, Inc. | 97,500 | 43,156,425 | ||||||
|
| |||||||
43,156,425 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 6.82% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.31% | ||||||||
a Level 3 Communications, Inc. | 668,379 | 13,561,410 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 5.51% | ||||||||
KDDI Corp. | 437,400 | 18,237,585 | ||||||
SoftBank Corp. | 549,309 | 25,208,635 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
a Sprint Nextel Corp. | 2,211,700 | $ | 13,734,657 | |||||
|
| |||||||
70,742,287 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $771,136,726) | 982,135,399 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 1.54% | ||||||||
TELECOMMUNICATION SERVICES — 1.54% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.54% | ||||||||
Level 3 Communications, Inc., 6.50%, 10/1/2016 | $ | 12,049,000 | 15,957,394 | |||||
|
| |||||||
15,957,394 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $12,049,000) | 15,957,394 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 3.00% | ||||||||
Avery Dennison Corp., 0.32%, 4/1/2013 | 5,300,000 | 5,300,000 | ||||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 3/28/2013 due 4/1/2013, repurchase price $15,000,600 collateralized by 1 U.S. Government debt security and 10 corporate debt securities, having an average coupon of 4.33%, a minimum credit rating of BBB, maturity dates from 9/11/2015 to 12/15/2042 and having an aggregate market value of $15,932,738 at 3/28/2013 | 15,000,000 | 15,000,000 | ||||||
PPL Electric Utilities Corp., 0.30%, 4/1/2013 | 10,845,000 | 10,845,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $31,145,000) | 31,145,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.25% (Cost $814,330,726) | $ | 1,029,237,793 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.75% | 7,786,215 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 1,037,024,008 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
See notes to financial statements.
Certified Semi-Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $814,330,726) (Note 2) | $ | 1,029,237,793 | ||
Cash | 6,701,593 | |||
Receivable for investments sold | 12,248,018 | |||
Receivable for fund shares sold | 5,457,978 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 1,017,010 | |||
Dividends receivable | 1,457,217 | |||
Dividend and interest reclaim receivable | 883,031 | |||
Interest receivable | 392,193 | |||
Prepaid expenses and other assets | 86,503 | |||
|
| |||
Total Assets | 1,057,481,336 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 13,520,095 | |||
Payable for fund shares redeemed | 3,133,594 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 1,761,702 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,041,303 | |||
Accounts payable and accrued expenses | 1,000,634 | |||
|
| |||
Total Liabilities | 20,457,328 | |||
|
| |||
NET ASSETS | $ | 1,037,024,008 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment loss | $ | (1,846,330 | ) | |
Net unrealized appreciation on investments | 214,142,873 | |||
Accumulated net realized gain (loss) | (855,340,272 | ) | ||
Net capital paid in on shares of beneficial interest | 1,680,067,737 | |||
|
| |||
$ | 1,037,024,008 | |||
|
|
14 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($399,889,798 applicable to 11,113,745 shares of beneficial interest outstanding - Note 4) | $ | 35.98 | ||
Maximum sales charge, 4.50% of offering price | 1.70 | |||
|
| |||
Maximum offering price per share | $ | 37.68 | ||
|
| |||
Class B Shares: | ||||
Net asset value per share* ($8,076,176 applicable to 242,880 shares of beneficial interest outstanding - Note 4) | $ | 33.25 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($161,608,776 applicable to 4,775,111 shares of beneficial interest outstanding - Note 4) | $ | 33.84 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($282,059,021 applicable to 7,643,546 shares of beneficial interest outstanding - Note 4) | $ | 36.90 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($89,460,028 applicable to 2,503,540 shares of beneficial interest outstanding - Note 4) | $ | 35.73 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($28,059,105 applicable to 779,397 shares of beneficial interest outstanding - Note 4) | $ | 36.00 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($67,871,104 applicable to 1,842,370 shares of beneficial interest outstanding - Note 4) | $ | 36.84 | ||
|
|
* | 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, 2013 (Unaudited) |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $404,168) | $ | 12,124,141 | ||
Interest income | 486,063 | |||
|
| |||
Total Income | 12,610,204 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 6,276,782 | |||
Administration fees (Note 3) | ||||
Class A Shares | 258,699 | |||
Class B Shares | 5,299 | |||
Class C Shares | 103,776 | |||
Class I Shares | 178,595 | |||
Class R3 Shares | 65,949 | |||
Class R4 Shares | 20,623 | |||
Class R5 Shares | 23,498 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 509,056 | |||
Class B Shares | 42,360 | |||
Class C Shares | 829,019 | |||
Class R3 Shares | 262,802 | |||
Class R4 Shares | 41,112 | |||
Transfer agent fees | ||||
Class A Shares | 371,539 | |||
Class B Shares | 10,709 | |||
Class C Shares | 141,864 | |||
Class I Shares | 329,835 | |||
Class R3 Shares | 133,751 | |||
Class R4 Shares | 55,505 | |||
Class R5 Shares | 214,933 | |||
Registration and filing fees | ||||
Class A Shares | 12,327 | |||
Class B Shares | 9,305 | |||
Class C Shares | 10,372 | |||
Class I Shares | 17,481 | |||
Class R3 Shares | 9,752 | |||
Class R4 Shares | 11,061 | |||
Class R5 Shares | 10,490 | |||
Custodian fees (Note 3) | 119,410 | |||
Professional fees | 46,869 | |||
Accounting fees | 37,450 | |||
Trustee fees | 30,955 | |||
Other expenses | 206,782 | |||
|
| |||
Total Expenses | 10,397,960 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (608,576 | ) | ||
|
| |||
Net Expenses | 9,789,384 | |||
|
| |||
Net Investment Income | $ | 2,820,820 | ||
|
|
16 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 207,834,524 | ||
Forward currency contracts (Note 7) | 21,570,796 | |||
Foreign currency transactions | (80,125 | ) | ||
|
| |||
229,325,195 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (51,764,888 | ) | ||
Forward currency contracts (Note 7) | 1,990,969 | |||
Foreign currency translations | (6,676 | ) | ||
|
| |||
(49,780,595 | ) | |||
|
| |||
Net Realized and Unrealized Gain | 179,544,600 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 182,365,420 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Value Fund
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,820,820 | $ | (4,429,832 | ) | |||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | 229,325,195 | (631,067,391 | ) | |||||
Net unrealized appreciation (depreciation) on investments forward currency contracts and foreign currency translations | (49,780,595 | ) | 1,039,100,153 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 182,365,420 | 403,602,930 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class I Shares | — | (1,551,142 | ) | |||||
Class R5 Shares | — | (70,867 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (123,514,292 | ) | (441,395,617 | ) | ||||
Class B Shares | (2,326,368 | ) | (5,887,171 | ) | ||||
Class C Shares | (44,477,090 | ) | (96,800,348 | ) | ||||
Class I Shares | (901,687,211 | ) | (1,093,676,019 | ) | ||||
Class R3 Shares | (54,440,398 | ) | (59,407,562 | ) | ||||
Class R4 Shares | (21,746,750 | ) | (12,929,895 | ) | ||||
Class R5 Shares | (73,058,860 | ) | (113,034,533 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets | (1,038,885,549 | ) | (1,421,150,224 | ) | ||||
NET ASSETS | ||||||||
Beginning of Period | 2,075,909,557 | 3,497,059,781 | ||||||
|
|
|
| |||||
End of Period | $ | 1,037,024,008 | $ | 2,075,909,557 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Value Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 982,135,399 | $ | 959,538,337 | $ | — | $ | 22,597,062 | ||||||||
Convertible Bonds | 15,957,394 | — | 15,957,394 | — | ||||||||||||
Short Term Investments | 31,145,000 | — | 31,145,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,029,237,793 | $ | 959,538,337 | $ | 47,102,394 | $ | 22,597,062 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 1,017,010 | $ | — | $ | 1,017,010 | $ | — | ||||||||
Spot Currency | $ | 2,058 | $ | 2,058 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (1,761,702 | ) | $ | — | $ | (1,761,702 | ) | $ | — |
* | 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. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, it is the policy of the Fund to recognize 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 transfers between Levels 1 and 2 for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2013 is as follows:
Common Stock | Total | |||||||
Beginning Balance 9/30/2012 | $ | 28,708,875 | $ | 28,708,875 | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Net Realized Gain (Loss)(a) | 1,097,200 | 1,097,200 | ||||||
Gross Purchases | — | — | ||||||
Gross Sales | (13,647,200 | ) | (13,647,200 | ) | ||||
Change in Unrealized Appreciation | ||||||||
(Depreciation)(b) | 6,438,187 | 6,438,187 | ||||||
Transfers into Level 3(c) | — | — | ||||||
Transfers out of Level 3(c) | — | — | ||||||
|
|
|
| |||||
Ending Balance 3/31/2013(d) | $ | 22,597,062 | $ | 22,597,062 |
(a) | Total amount of net realized gain (loss) from investments recognized in the net increase in assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(b) | Total amount of net change in unrealized appreciation (depreciation) on investments recognized in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(c) | 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, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(d) | Level 3 investments represent 2.18% of total Net Assets at the period ended March 31, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 could be expected to increase or decrease the fair value of these portfolio investments. |
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, 2013, 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 investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $4,179 for Class B shares, $118,070 for Class I shares, $224,004 for Class R3 shares, $67,151 for Class R4 Shares, and $195,172 for Class R5 shares.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
The Trust has an underwriting agreement with Thornburg Securities Corporation (the “Distributor,” an affiliate of the Advisor), which acts as the distributor of the Fund’s shares. For the six months ended March 31, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $7,659 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,213 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, 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, 2013, 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, 2013 (Unaudited) | September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 482,785 | $ | 15,953,560 | 2,352,990 | $ | 73,998,364 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (4,289,383 | ) | (139,467,852 | ) | (17,233,010 | ) | (515,396,078 | ) | ||||||||
Redemption fees received* | — | — | — | 2,097 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,806,598 | ) | $ | (123,514,292 | ) | (14,880,020 | ) | $ | (441,395,617 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 6,023 | $ | 182,865 | 17,884 | $ | 502,215 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (82,543 | ) | (2,509,233 | ) | (222,434 | ) | (6,389,424 | ) | ||||||||
Redemption fees received* | — | — | — | 38 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (76,520 | ) | $ | (2,326,368 | ) | (204,550 | ) | $ | (5,887,171 | ) | ||||||
|
|
|
|
|
|
|
|
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Six Months Ended | Year Ended | |||||||||||||||
March 31, 2013 (Unaudited) | September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 57,162 | $ | 1,773,202 | 275,887 | $ | 8,009,804 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,510,644 | ) | (46,250,292 | ) | (3,647,279 | ) | (104,810,897 | ) | ||||||||
Redemption fees received* | — | — | — | 745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,453,482 | ) | $ | (44,477,090 | ) | (3,371,392 | ) | $ | (96,800,348 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,309,941 | $ | 43,947,179 | 8,910,782 | $ | 276,595,590 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 41,518 | 1,245,554 | ||||||||||||
Shares repurchased | (27,915,276 | ) | (945,634,390 | ) | (44,342,531 | ) | (1,371,522,659 | ) | ||||||||
Redemption fees received* | — | — | — | 5,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (26,605,335 | ) | $ | (901,687,211 | ) | (35,390,231 | ) | $ | (1,093,676,019 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 220,539 | $ | 7,146,193 | 1,002,888 | $ | 30,300,227 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,905,720 | ) | (61,586,591 | ) | (2,965,638 | ) | (89,708,297 | ) | ||||||||
Redemption fees received* | — | — | — | 508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,685,181 | ) | $ | (54,440,398 | ) | (1,962,750 | ) | $ | (59,407,562 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 130,268 | $ | 4,289,119 | 513,200 | $ | 15,392,038 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (811,057 | ) | (26,035,869 | ) | (928,348 | ) | (28,322,089 | ) | ||||||||
Redemption fees received* | — | — | — | 156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (680,789 | ) | $ | (21,746,750 | ) | (415,148 | ) | $ | (12,929,895 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 181,831 | $ | 6,089,688 | 1,670,971 | $ | 51,972,167 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 2,345 | 70,250 | ||||||||||||
Shares repurchased | (2,378,111 | ) | (79,148,548 | ) | (5,266,749 | ) | (165,077,614 | ) | ||||||||
Redemption fees received* | — | — | — | 664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,196,280 | ) | $ | (73,058,860 | ) | (3,593,433 | ) | $ | (113,034,533 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $522,975,003 and $1,663,535,210, respectively.
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 814,330,726 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 248,618,901 | ||
Gross unrealized depreciation on a tax basis | (33,711,834 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 214,907,067 | ||
|
|
At March 31, 2013, the Fund had deferred late-year tax basis ordinary investment losses and capital losses occurring subsequent to October 31, 2011 of $4,647,639 and $527,666,296 respectively. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $109,968,347, 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 do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occurred in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At March 31, 2013, the Fund had cumulative 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 | |||
|
|
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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, as measured by the difference between the forward
26 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
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. The quarterly values of open sell currency contracts for the six months ended March 31, 2013 was $273,053,683. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Australian Dollar | Buy | 4,002,100 | 05/23/2013 | 4,151,184 | $ | 44,069 | $ | — | ||||||||||||||||
Australian Dollar | Buy | 4,480,500 | 05/23/2013 | 4,647,405 | 13,403 | — | ||||||||||||||||||
Australian Dollar | Buy | 3,670,900 | 05/23/2013 | 3,807,646 | 3,272 | — | ||||||||||||||||||
Australian Dollar | Sell | 5,121,800 | 05/23/2013 | 5,312,594 | — | (43,184 | ) | |||||||||||||||||
Australian Dollar | Sell | 11,854,800 | 05/23/2013 | 12,296,408 | — | (49,807 | ) | |||||||||||||||||
Australian Dollar | Sell | 16,331,200 | 05/23/2013 | 16,939,560 | — | (269,487 | ) | |||||||||||||||||
Euro | Sell | 53,260,000 | 05/29/2013 | 68,298,088 | 806,762 | — | ||||||||||||||||||
Euro | Buy | 5,803,500 | 05/29/2013 | 7,442,132 | — | (418,070 | ) | |||||||||||||||||
Euro | Buy | 14,646,800 | 05/29/2013 | 18,782,359 | — | (981,154 | ) | |||||||||||||||||
Japanese Yen | Sell | 8,012,616,700 | 08/27/2013 | 85,218,242 | 149,504 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 1,017,010 | $ | (1,761,702 | ) | |||||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 1,017,010 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (1,761,702 | ) |
The net realized gain (loss) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 21,570,796 | $ | 21,570,796 | ||||
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 1,990,969 | $ | 1,990,969 |
Certified Semi-Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | March 31, 2013 (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, 2013 and the date of issuance of the financial statements that 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 Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Fiscal | 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 |
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2013(b)(c) | $ | 31.51 | 0.04 | 4.43 | 4.47 | — | — | — | $ | 35.98 | 0.26 | (d) | 1.44 | (d) | 1.44 | (d) | 1.44 | (d) | 14.19 | 35.55 | $ | 399,890 | ||||||||||||||||||||||||||||||||||||||
2012(c) | $ | 27.71 | (0.10 | ) | 3.90 | 3.80 | — | — | — | $ | 31.51 | (0.32 | ) | 1.32 | 1.32 | 1.32 | 13.71 | 54.16 | $ | 470,120 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class B Shares |
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2013(b) | $ | 29.25 | (0.10 | ) | 4.10 | 4.00 | — | — | — | $ | 33.25 | (0.68 | )(d) | 2.38 | (d) | 2.38 | (d) | 2.48 | (d) | 13.68 | 35.55 | $ | 8,076 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 25.99 | (0.38 | ) | 3.64 | 3.26 | — | — | — | $ | 29.25 | (1.33 | ) | 2.34 | 2.34 | 2.36 | 12.53 | 54.16 | $ | 9,344 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class C Shares |
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2013(b) | $ | 29.75 | (0.08 | ) | 4.17 | 4.09 | — | — | — | $ | 33.84 | (0.49 | )(d) | 2.19 | (d) | 2.19 | (d) | 2.19 | (d) | 13.75 | 35.55 | $ | 161,609 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 26.36 | (0.32 | ) | 3.71 | 3.39 | — | — | — | $ | 29.75 | (1.09 | ) | 2.09 | 2.09 | 2.09 | 12.86 | 54.16 | $ | 185,286 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class I Shares |
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2013(b) | $ | 32.24 | 0.10 | 4.56 | 4.66 | — | — | — | $ | 36.90 | 0.60 | (d) | 0.98 | (d) | 0.98 | (d) | 1.02 | (d) | 14.45 | 35.55 | $ | 282,059 | ||||||||||||||||||||||||||||||||||||||
2012 | $ | 28.26 | 0.02 | 3.99 | 4.01 | (0.03 | ) | — | (0.03 | ) | $ | 32.24 | 0.07 | 0.93 | 0.93 | 0.93 | 14.18 | 54.16 | $ | 1,104,163 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
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2013(b) | $ | 31.28 | 0.06 | 4.39 | 4.45 | — | — | — | $ | 35.73 | 0.35 | (d) | 1.35 | (d) | 1.35 | (d) | 1.77 | (d) | 14.23 | 35.55 | $ | 89,460 | ||||||||||||||||||||||||||||||||||||||
2012 | $ | 27.51 | (0.10 | ) | 3.87 | 3.77 | — | — | — | $ | 31.28 | (0.34 | ) | 1.35 | 1.35 | 1.66 | 13.70 | 54.16 | $ | 131,013 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R4 Shares |
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2013(b) | $ | 31.50 | 0.07 | 4.43 | 4.50 | — | — | — | $ | 36.00 | 0.46 | (d) | 1.25 | (d) | 1.25 | (d) | 1.66 | (d) | 14.29 | 35.55 | $ | 28,059 | ||||||||||||||||||||||||||||||||||||||
2012 | $ | 27.68 | (0.07 | ) | 3.89 | 3.82 | — | — | — | $ | 31.50 | (0.24 | ) | 1.25 | 1.25 | 1.50 | 13.80 | 54.16 | $ | 45,989 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R5 Shares |
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2013(b) | $ | 32.19 | 0.11 | 4.54 | 4.65 | — | — | — | $ | 36.84 | 0.68 | (d) | 0.99 | (d) | 0.99 | (d) | 1.41 | (d) | 14.45 | 35.55 | $ | 67,871 | ||||||||||||||||||||||||||||||||||||||
2012 | $ | 28.22 | — | (f) | 3.98 | 3.98 | (0.01 | ) | — | (0.01 | ) | $ | 32.19 | — | (g) | 0.99 | 0.99 | 1.17 | 14.10 | 54.16 | $ | 129,995 | ||||||||||||||||||||||||||||||||||||||
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 |
(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) | Net investment loss was less than (0.01)%. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Semi-Annual Report | Certified Semi-Annual Report 31 |
EXPENSE EXAMPLE | ||
Thornburg Value Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,141.90 | $ | 7.68 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.76 | $ | 7.24 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.80 | $ | 12.68 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.06 | $ | 11.94 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,137.50 | $ | 11.67 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.02 | $ | 10.99 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,144.50 | $ | 5.25 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.03 | $ | 4.95 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,142.30 | $ | 7.21 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.20 | $ | 6.79 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,142.90 | $ | 6.68 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.70 | $ | 6.29 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,144.50 | $ | 5.29 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.44%; B: 2.38%; C: 2.19%; I: 0.98%; R3: 1.35%; R4: 1.25%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 above 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.
32 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg Value Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Value Fund versus S&P 500 Index (October 2, 1995 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 10/2/95) | 1.01 | % | 1.25 | % | 6.96 | % | 8.65 | % | ||||||||
B Shares (Incep: 4/3/00) | -0.25 | % | 0.88 | % | 6.74 | % | 1.85 | % | ||||||||
C Shares (Incep: 10/2/95) | 3.96 | % | 1.41 | % | 6.63 | % | 8.10 | % | ||||||||
I Shares (Incep: 11/2/98) | 6.22 | % | 2.58 | % | 7.86 | % | 5.84 | % | ||||||||
R3 Shares (Incep: 7/1/03) | 5.80 | % | 2.15 | % | — | 5.47 | % | |||||||||
R4 Shares (Incep: 2/1/07) | 5.91 | % | 2.26 | % | — | 0.08 | % | |||||||||
R5 Shares (Incep: 2/1/05) | 6.20 | % | 2.53 | % | — | 4.77 | % | |||||||||
S&P 500 Index (Since 10/2/95) | 13.96 | % | 5.81 | % | 8.53 | % | 7.81 | % |
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 Value Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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, R5 and R6 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 | ||
Class R6 | TGIRX | 885-216-804 |
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.
London Interbank Offered Rate (LIBOR) – An interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market.
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
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 1.29%, 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: 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.
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 5/28/98) | ||||||||||||||||||||
Without sales charge | 6.36 | % | 4.60 | % | -0.06 | % | 11.83 | % | 8.23 | % | ||||||||||
With sales charge | 1.56 | % | 3.01 | % | -0.98 | % | 11.31 | % | 7.90 | % | ||||||||||
MSCI EAFE Index | ||||||||||||||||||||
(Since 5/28/98) | 11.25 | % | 5.00 | % | -0.89 | % | 9.69 | % | 3.76 | % |
4 This page is not part of the Semi-Annual Report.
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, 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 March 31, 2013
Top Contributors | Top Detractors | |
Toyota Motor Corp. | Baidu, Inc. ADS | |
Reckitt Benckiser Group plc | BG Group plc | |
Mitsubishi UFJ Financial Group, Inc. | Hyundai Motor Co. Ltd. | |
adidas AG | Fresenius Medical Care AG & Co. | |
ARM Holdings plc | Deutsche Bank AG | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-months* | 15.1x | |||
Portfolio Price to Cash Flow* | 6.9x | |||
Portfolio Price to Book Value* | 2.1x | |||
Median Market Cap* | $ | 33.9 B | ||
7-Year Beta (A Shares vs. MSCI EAFE)* | 0.9 | |||
Number of Companies | 73 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Basket Structure
As of March 31, 2013
This page is not part of the Semi-Annual Report. 5
Thornburg International Value Fund –
March 31, 2013
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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 17, 2013
Dear Fellow Shareholder:
As we enter the spring season, equity markets have continued the ascension that began last summer. Despite sequestration, the Cyprus bailout, threats of nuclear war from North Korea, and ongoing conflicts in the Middle East, optimism in the securities markets has prevailed. Global stock markets were somewhat mixed over the past six months, with Japan and the U.S. leading on the upside; the U.S. market reached an all-time high at the end of March 2013. The Japanese market rallied dramatically as Prime Minister Shinzo Abe’s government promoted an inflationary monetary policy to reverse the long deflationary trend. In contrast, the emerging markets largely disappointed, especially the larger BRIC nations (Brazil, Russia, India and China), a few of which posted negative returns during the period.
Investment results for the Thornburg International Value Fund during the first half of the fiscal year beginning in October 2012 were positive. The total return of the Fund’s Class A shares at net asset value (NAV) was 7.82%, below the 12.04% of the MSCI EAFE Index and the 9.35% of the MSCI AC World ex-US Index. One of the best-performing stocks in the portfolio was U.K.-based ARM Holdings, a designer of semiconductor electronic chips for products including mobile phones and other consumer devices. The stock continues to benefit from growing market penetration of smart phones and from royalties received from use of their products. Japanese holdings Toyota, Komatsu, and Mitsubishi UFJ (Japan’s largest bank) were also excellent performers, participating in the Japanese rally that ensued with Prime Minister Abe’s reform proposals toward the end of 2012. Other strong performers were a diversified group and included watch and jewelry producer Swatch, sports footwear and equipment manufacturer adidas, aircraft company Embraer, aircraft engine maker Rolls-Royce, and household and personal products company Reckitt Benckiser.
We also held some stocks that reported disappointing fundamental developments. Along with a material underweight in Japan, this resulted in sub-par relative performance. BG Group, Carnival Cruise Lines, and Teva Pharmaceutical were among those that disappointed. Our emerging-market holdings did not keep pace with developed-market counterparts, in part reflecting concerns of slowing growth in Asia – particularly in China. Although Chinese GDP growth is still forecast to be above 7%, confidence in the continuation of this growth rate seems to be waning. As a result, Chinese holdings Baidu (a leading search engine provider) and CNOOC (an offshore oil and gas producer) did not perform well. Coal India and Brazilian firm Natura Cosmeticos also declined during the period. Other names that detracted from returns included Teck Resources, Pearson, and Check Point Software.
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Portfolio transactions over the period were numerous. Concurrent with developments in Japan, we initiated positions in leading global tire production franchise Bridgestone Corp, industrial and farm equipment manufacturer Kubota, telecom service provider Softbank (which has stakes in leading Chinese internet companies and a pending acquisition of U.S.-based Sprint), and Japan Exchange Group, which represents the recently combined stock, derivative, and clearing entities of the Tokyo and Osaka exchanges. Other additions were more diverse in geography and sector. These included U.K.-based luxury goods company Burberry, Canadian athletic apparel retailer Lululemon, and U.K.-based global advertising agency WPP Group. Further additions included Netherlands-based ASML, Latin American MercadoLibre, and Spanish Amadeus in the technology sector, U.K.-based Tullow and Italian Saipem in the energy sector, and Swiss Roche Holdings in the health care sector. Apart from WPP Group, whose advertising business is similar to that of current holding Publicis, each of the additions occupies a unique and leading position within its industry or branded business. ASML dominates the assembly of wafer steppers critical to the manufacture of semiconductors. MercadoLibre operates Latin America’s premier e-commerce site, and Amadeus is the leading independent provider of reservation software and other IT services for travel agents and airlines. Tullow is an oil and gas exploration company with potentially meaningful discoveries in frontier geographies in Africa. Saipem’s engineering and construction experience positions it among the industry’s leaders in providing deep-water offshore production capabilities. Pharmaceutical firm Roche continues to extend the life of its well-established and growing oncology franchise as well as its leading diagnostics business.
On the sale side, we eliminated a similarly diverse array of holdings such as Tesco, China Life, Dai-ichi Life, Svenska Handelsbanken, BG Group, BM&F Bovespa, and Hyundai Motors. Handelsbanken and Hyundai reached target prices. Bovespa was sold opportunistically as it approached what we deemed fair value and as we became increasingly concerned about both the competitive landscape and macroeconomic developments. Tesco and BG were sold because of changes in business fundamentals. The Asian life insurance companies were eliminated in favor of alternative investments.
As always, we manage the portfolio with both risk and return in mind. There was plenty to worry about during the period, not the least of which was another bailout in the Euro zone (Cyprus). With concerns of sovereign debt and the related health status of the European banks, we have tried to position the portfolio away from this risk, as exemplified by investments in two Hong-Kong-traded Chinese banks and two Asian-oriented U.K. banks. Unfortunately, worries about a slowdown in China and other emerging markets pressured performance in the Chinese banks, and regulatory fines related to money laundering and LIBOR rate manipulation pressured performance in the Asian-centric U.K.-based banks.
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
While stock markets around the world – most notably in the U.S. – have moved higher, few prognosticators have an elevated level of confidence that the global economy will continue to expand at the recently experienced pace. Nonetheless, with current yields on fixed income investments at very low levels, stocks with above-average dividend yields are increasingly attracting investors who seek income. These issues have performed well since the market bottom in 2009. The changes taking place in Japan seem profound, impacting both investors and business attitudes. The weak yen will enhance the global competitive environment for many of Japan’s exporters. The recent sharp rise in the Japanese market begs the question: Do stocks already reflect the impact of these changes? As we head into the spring and summer seasons, we are hopeful that markets will not repeat the downturn experienced over the last several summers. The sovereign debt and banking issues in Europe appear less threatening than in the recent past. With the U.S. and China extending growth, and Japan under new management, we retain faith that our optimism is not misplaced.
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, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
Mitsubishi UFJ Financial Group, Inc. | 2.8 | % | adidas AG | 2.2 | % | |||||
Toyota Motor Corp. | 2.5 | % | Schlumberger Ltd. | 2.1 | % | |||||
Reckitt Benckiser plc | 2.5 | % | Novartis AG | 2.1 | % | |||||
LVMH Moet Hennessy Louis Vuitton SA | 2.4 | % | Standard Chartered plc | 2.1 | % | |||||
Novo Nordisk A/S | 2.4 | % | Roche Holding AG | 2.0 | % |
Summary of Industry Exposure
As of 3/31/13
Banks | 11.5 | % | Health Care Equipment & Services | 3.8 | % | |||||
Software & Services | 7.7 | % | Semiconductors & Semiconductor Equipment | 3.6 | % | |||||
Consumer Durables & Apparel | 7.5 | % | Household & Personal Products | 3.4 | % | |||||
Capital Goods | 7.1 | % | Retailing | 3.3 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.9 | % | Consumer Services | 3.1 | % | |||||
Energy | 6.9 | % | Insurance | 3.0 | % | |||||
Automobiles & Components | 6.3 | % | Telecommunication Services | 2.2 | % | |||||
Materials | 5.8 | % | Food & Staples Retailing | 1.5 | % | |||||
Diversified Financials | 4.5 | % | Transportation | 1.1 | % | |||||
Food, Beverage & Tobacco | 4.1 | % | Other Assets & Liabilities | 2.8 | % | |||||
Media | 3.9 | % |
Summary of Country Exposure
As of 3/31/13 (percent of equity holdings)
United Kingdom | 20.6 | % | Ireland | 2.5 | % | |||||
Germany | 12.4 | % | United States | 1.9 | % | |||||
Japan | 11.5 | % | Sweden | 1.7 | % | |||||
Switzerland | 8.3 | % | Mexico | 1.6 | % | |||||
France | 7.7 | % | South Korea | 1.5 | % | |||||
China | 7.1 | % | Israel | 1.1 | % | |||||
Canada | 6.0 | % | Italy | 1.0 | % | |||||
Hong Kong | 3.7 | % | Russia | 0.7 | % | |||||
Netherlands | 3.5 | % | Argentina | 0.6 | % | |||||
Brazil | 3.4 | % | India | 0.4 | % | |||||
Denmark | 2.5 | % | Spain | 0.3 | % |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 95.64% | ||||||||
AUTOMOBILES & COMPONENTS — 4.82% | ||||||||
AUTO COMPONENTS — 2.30% | ||||||||
Bridgestone Corp. | 9,094,633 | $ | 304,329,888 | |||||
Cie Generale des Establissements Michelin | 4,265,411 | 356,762,234 | ||||||
AUTOMOBILES — 2.52% | ||||||||
Toyota Motor Corp. | 14,164,526 | 726,019,418 | ||||||
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1,387,111,540 | ||||||||
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BANKS — 11.46% | ||||||||
COMMERCIAL BANKS — 11.46% | ||||||||
China Merchants Bank Co. Ltd. | 54,161,935 | 114,707,436 | ||||||
HSBC Holdings plc | 54,309,547 | 573,701,020 | ||||||
Industrial & Commercial Bank of China Ltd. | 798,834,688 | 559,823,860 | ||||||
Itau Unibanco Holding SA ADR | 24,501,806 | 436,132,147 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 136,417,458 | 817,330,922 | ||||||
a Royal Bank of Scotland Group plc | 45,277,400 | 189,534,998 | ||||||
Standard Chartered plc | 23,401,106 | 605,710,154 | ||||||
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3,296,940,537 | ||||||||
|
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CAPITAL GOODS — 7.14% | ||||||||
AEROSPACE & DEFENSE — 2.22% | ||||||||
Embraer S.A. | 6,481,245 | 231,186,009 | ||||||
Rolls Royce Holdings plc | 23,775,882 | 408,226,706 | ||||||
INDUSTRIAL CONGLOMERATES — 1.85% | ||||||||
Siemens AG | 4,943,788 | 532,514,794 | ||||||
MACHINERY — 3.07% | ||||||||
Fanuc Ltd. | 1,917,353 | 293,097,250 | ||||||
Komatsu Ltd. | 19,274,050 | 457,204,586 | ||||||
Kubota Corp. | 9,183,552 | 132,482,749 | ||||||
|
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2,054,712,094 | ||||||||
|
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CONSUMER DURABLES & APPAREL — 7.46% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 7.46% | ||||||||
adidas AG | 6,003,461 | 622,877,106 | ||||||
Burberry Group plc | 13,832,928 | 279,335,048 | ||||||
a,b Lululemon Athletica, Inc. | 6,333,152 | 394,872,027 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 4,085,056 | 701,158,278 | ||||||
Swatch Group AG | 255,065 | 148,315,475 | ||||||
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2,146,557,934 | ||||||||
|
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CONSUMER SERVICES — 3.07% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 3.07% | ||||||||
b Carnival plc | 10,379,403 | 363,363,401 | ||||||
Yum! Brands, Inc. | 7,231,960 | 520,267,202 | ||||||
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883,630,603 | ||||||||
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DIVERSIFIED FINANCIALS — 4.46% | ||||||||
CAPITAL MARKETS — 2.39% | ||||||||
Deutsche Bank AG | 10,429,705 | 406,628,037 | ||||||
Julius Baer Group Ltd. | 7,220,696 | 280,749,910 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
DIVERSIFIED FINANCIAL SERVICES — 2.07% | ||||||||
Hong Kong Exchanges & Clearing Ltd. | 30,228,994 | $ | 515,203,884 | |||||
Japan Exchange Group, Inc. | 882,953 | 81,790,515 | ||||||
|
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1,284,372,346 | ||||||||
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ENERGY — 6.90% | ||||||||
ENERGY EQUIPMENT & SERVICES — 3.15% | ||||||||
Saipem S.p.A. | 9,394,840 | 288,906,365 | ||||||
Schlumberger Ltd. | 8,256,726 | 618,346,210 | ||||||
OIL, GAS & CONSUMABLE FUELS — 3.75% | ||||||||
Cenovus Energy, Inc. | 7,442,913 | 230,500,608 | ||||||
CNOOC Ltd. | 265,808,980 | 510,212,985 | ||||||
Coal India Ltd. | 20,192,027 | 115,059,260 | ||||||
Tullow Oil plc | 11,910,810 | 222,784,864 | ||||||
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1,985,810,292 | ||||||||
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FOOD & STAPLES RETAILING — 1.55% | ||||||||
FOOD & STAPLES RETAILING — 1.55% | ||||||||
Wal-Mart de Mexico SAB de C.V. | 137,062,200 | 447,203,094 | ||||||
|
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447,203,094 | ||||||||
|
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FOOD, BEVERAGE & TOBACCO — 4.10% | ||||||||
BEVERAGES — 1.44% | ||||||||
SABMiller plc | 7,872,492 | 414,358,682 | ||||||
FOOD PRODUCTS — 1.08% | ||||||||
Nestle SA | 4,295,763 | 310,654,303 | ||||||
TOBACCO — 1.58% | ||||||||
British American Tobacco plc | 8,474,927 | 454,179,741 | ||||||
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1,179,192,726 | ||||||||
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HEALTH CARE EQUIPMENT & SERVICES — 3.79% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.93% | ||||||||
Covidien plc | 3,957,398 | 268,469,880 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 2.86% | ||||||||
Fresenius Medical Care AG & Co. | 8,353,859 | 563,797,299 | ||||||
Sinopharm Group Co. H | 79,856,278 | 257,184,424 | ||||||
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1,089,451,603 | ||||||||
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HOUSEHOLD & PERSONAL PRODUCTS — 3.41% | ||||||||
HOUSEHOLD PRODUCTS — 2.49% | ||||||||
Reckitt Benckiser plc | 9,983,809 | 715,715,681 | ||||||
PERSONAL PRODUCTS — 0.92% | ||||||||
Natura Cosmeticos SA | 10,840,700 | 264,908,458 | ||||||
|
| |||||||
980,624,139 | ||||||||
|
| |||||||
INSURANCE — 3.02% | ||||||||
INSURANCE — 3.02% | ||||||||
AIA Group Ltd. | 120,843,705 | 527,739,158 | ||||||
Allianz SE | 2,511,439 | 341,083,782 | ||||||
|
| |||||||
868,822,940 | ||||||||
|
|
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MATERIALS — 5.82% | ||||||||
CHEMICALS — 4.67% | ||||||||
Air Liquide SA | 4,574,174 | $ | 555,733,862 | |||||
Potash Corp. of Saskatchewan, Inc. | 10,109,500 | 396,797,875 | ||||||
Syngenta AG | 932,280 | 388,900,116 | ||||||
METALS & MINING — 1.15% | ||||||||
Teck Resources Ltd. | 11,774,100 | 331,485,219 | ||||||
|
| |||||||
1,672,917,072 | ||||||||
|
| |||||||
MEDIA — 3.86% | ||||||||
MEDIA — 3.86% | ||||||||
Pearson plc | 16,108,031 | 289,788,063 | ||||||
Publicis Groupe | 7,975,402 | 534,779,533 | ||||||
WPP plc | 17,976,694 | 286,531,020 | ||||||
|
| |||||||
1,111,098,616 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 6.95% | ||||||||
PHARMACEUTICALS — 6.95% | ||||||||
Novartis AG | 8,627,696 | 613,018,114 | ||||||
Novo Nordisk A/S | 4,294,949 | 697,807,373 | ||||||
Roche Holding AG | 2,524,074 | 587,612,297 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 2,511,268 | 99,647,114 | ||||||
|
| |||||||
1,998,084,898 | ||||||||
|
| |||||||
RETAILING — 3.26% | ||||||||
SPECIALTY RETAIL — 3.26% | ||||||||
Hennes & Mauritz AB | 13,523,874 | 483,547,681 | ||||||
Kingfisher plc | 104,001,992 | 454,798,245 | ||||||
|
| |||||||
938,345,926 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.63% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.63% | ||||||||
ARM Holdings plc | 18,949,517 | 265,182,040 | ||||||
ASML Holding N.V. | 5,398,872 | 363,121,171 | ||||||
Samsung Electronics Co. Ltd. | 306,407 | 415,849,874 | ||||||
|
| |||||||
1,044,153,085 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 7.65% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 1.80% | ||||||||
Accenture plc | 5,642,949 | 428,694,836 | ||||||
Amadeus IT Holding SA | 3,268,172 | 88,289,684 | ||||||
INTERNET SOFTWARE & SERVICES — 3.16% | ||||||||
a Baidu, Inc. ADR | 4,186,044 | 367,116,059 | ||||||
MercadoLibre, Inc. | 1,640,671 | 158,423,192 | ||||||
Tencent Holdings Ltd. | 5,647,797 | 179,564,228 | ||||||
a Yandex NV | 8,863,652 | 204,927,634 | ||||||
SOFTWARE — 2.69% | ||||||||
a Check Point Software Technologies Ltd. | 4,396,767 | 206,604,081 | ||||||
SAP AG | 7,081,368 | 567,328,572 | ||||||
|
| |||||||
2,200,948,286 | ||||||||
|
|
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
TELECOMMUNICATION SERVICES — 2.21% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 2.21% | ||||||||
KDDI Corp. | 6,327,380 | $ | 263,822,877 | |||||
SoftBank Corp. | 3,124,407 | 143,383,845 | ||||||
Vodafone Group plc | 80,547,386 | 228,375,453 | ||||||
|
| |||||||
635,582,175 | ||||||||
|
| |||||||
TRANSPORTATION — 1.08% | ||||||||
ROAD & RAIL — 1.08% | ||||||||
Canadian National Railway Co. | 3,090,000 | 310,566,521 | ||||||
|
| |||||||
310,566,521 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $21,772,132,100) | 27,516,126,427 | |||||||
|
| |||||||
PREFERRED STOCK — 1.51% | ||||||||
AUTOMOBILES & COMPONENTS — 1.51% | ||||||||
AUTOMOBILES — 1.51% | ||||||||
Volkswagen AG Pfd | 2,184,701 | 434,071,408 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $189,536,492) | 434,071,408 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 2.42% | ||||||||
AT&T, Inc., 0.51%, 7/22/2013 | $ | 50,000,000 | 49,920,667 | |||||
Atlantic City Electric, 0.29%, 4/3/2013 | 20,000,000 | 19,999,678 | ||||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 3/28/2013 due 4/1/2013, repurchase price $136,005,440 collateralized by 5 corporate debt securities and 34 U.S. Government debt securities, having an average coupon of 2.8936%, a minimum credit rating of BBB-, maturity dates from 11/15/2018 to 4/1/2043, and having an aggregate market value of $140,431,218 at 3/28/2013 | 136,000,000 | 136,000,000 | ||||||
Consolidated Edison Co. of New York, Inc., 0.26%, 4/1/2013 | 45,000,000 | 45,000,000 | ||||||
ENI Coordination Center, 0.35%, 4/2/2013 | 68,700,000 | 68,699,332 | ||||||
Hitachi America, 0.35%, 4/3/2013 | 100,000,000 | 99,998,056 | ||||||
Johnson Controls, 0.30%, 4/3/2013 | 75,000,000 | 74,998,750 | ||||||
Kinder Morgan Energy, 0.31%, 4/1/2013 | 5,000,000 | 5,000,000 | ||||||
Kinder Morgan Energy, 0.31%, 4/2/2013 | 47,700,000 | 47,699,589 | ||||||
Northeast Utilities, 0.30%, 4/3/2013 | 16,963,000 | 16,962,717 | ||||||
Northeast Utilities, 0.30%, 4/4/2013 | 60,000,000 | 59,998,500 | ||||||
Oglethorpe Power Corp., 0.30%, 4/1/2013 | 16,238,000 | 16,238,000 | ||||||
Oglethorpe Power Corp., 0.30%, 4/3/2013 | 22,471,000 | 22,470,625 | ||||||
PPL Energy Supply LLC, 0.30%, 4/2/2013 | 5,800,000 | 5,799,952 | ||||||
Spectra Energy Capital, 0.30%, 4/2/2013 | 17,000,000 | 16,999,858 | ||||||
Tyco Electronics Group SA, 0.31%, 4/1/2013 | 9,802,000 | 9,802,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $695,587,724) | 695,587,724 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.57% (Cost $22,657,256,316) | $ | 28,645,785,559 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.43% | 124,144,971 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 28,769,930,530 | ||||||
|
|
14 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
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, 2012 | Gross Additions | Gross Reductions | Shares/Principal March 31, 2013 | Market Value March 31, 2013 | Investment Income | ||||||||||||||||||
Carnival plc | 10,740,103 | 1,433,500 | 1,794,200 | 10,379,403 | $ | 363,363,401 | $ | 11,803,415 | ||||||||||||||||
Lululemon Athletica, Inc. | — | 6,333,152 | — | 6,333,152 | 394,872,027 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total non-controlled affiliated issuers – 2.64% of net assets |
| $ | 758,235,428 | $ | 11,803,415 | |||||||||||||||||||
|
|
|
|
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 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (Note 2) | ||||
Non-affiliated issuers (cost $21,811,996,921) | $ | 27,887,550,131 | ||
Non-controlled affiliated issuers (cost $ 845,259,395) | 758,235,428 | |||
Cash | 13,721,252 | |||
Receivable for investments sold | 230,037,696 | |||
Receivable for fund shares sold | 69,722,697 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 86,937,820 | |||
Dividends receivable | 83,721,885 | |||
Dividend and interest reclaim receivable | 36,942,174 | |||
Interest receivable | 5,440 | |||
Prepaid expenses and other assets | 511,705 | |||
|
| |||
Total Assets | 29,167,386,228 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 270,867,945 | |||
Payable for fund shares redeemed | 66,530,845 | |||
Payable to custodian | 4,613,041 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 23,288,855 | |||
Payable to investment advisor and other affiliates (Note 3) | 21,591,215 | |||
Accounts payable and accrued expenses | 10,563,797 | |||
|
| |||
Total Liabilities | 397,455,698 | |||
|
| |||
NET ASSETS | $ | 28,769,930,530 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 36,584,351 | ||
Net unrealized appreciation on investments | 6,050,352,114 | |||
Accumulated net realized gain (loss) | (4,297,396,104 | ) | ||
Net capital paid in on shares of beneficial interest | 26,980,390,169 | |||
|
| |||
$ | 28,769,930,530 | |||
|
|
16 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 5,363,118,280 applicable to 190,876,540 shares of beneficial interest outstanding - Note 4) | $ | 28.10 | ||
Maximum sales charge, 4.50% of offering price | 1.32 | |||
|
| |||
Maximum offering price per share | $ | 29.42 | ||
|
| |||
Class B Shares: | ||||
Net asset value per share* ($ 37,946,011 applicable to 1,450,456 shares of beneficial interest outstanding - Note 4) | $ | 26.16 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 1,205,736,286 applicable to 45,846,365 shares of beneficial interest outstanding - Note 4) | $ | 26.30 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 13,983,099,814 applicable to 487,338,164 shares of beneficial interest outstanding - Note 4) | $ | 28.69 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 1,247,477,411 applicable to 44,360,879 shares of beneficial interest outstanding - Note 4) | $ | 28.12 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($ 1,362,235,272 applicable to 48,705,165 shares of beneficial interest outstanding - Note 4) | $ | 27.97 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 4,538,340,637 applicable to 158,382,532 shares of beneficial interest outstanding - Note 4) | $ | 28.65 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($ 1,031,976,819 applicable to 36,026,780 shares of beneficial interest outstanding - Note 4) | $ | 28.64 | ||
|
|
* | 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, 2013 (Unaudited) |
INVESTMENT INCOME
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $19,061,927) | $ | 227,449,583 | ||
Non-controlled affiliated issuers (net of foreign taxes withheld $ 0) | 11,803,415 | |||
Interest income | 1,660,176 | |||
|
| |||
Total Income | 240,913,174 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 95,590,638 | |||
Administration fees (Note 3) | ||||
Class A Shares | 3,383,510 | |||
Class B Shares | 25,805 | |||
Class C Shares | 772,852 | |||
Class I Shares | 3,298,148 | |||
Class R3 Shares | 811,718 | |||
Class R4 Shares | 883,824 | |||
Class R5 Shares | 1,161,386 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 6,699,782 | |||
Class B Shares | 206,260 | |||
Class C Shares | 6,188,606 | |||
Class R3 Shares | 3,249,411 | |||
Class R4 Shares | 1,805,481 | |||
Transfer agent fees | ||||
Class A Shares | 4,129,460 | |||
Class B Shares | 39,925 | |||
Class C Shares | 868,870 | |||
Class I Shares | 5,003,655 | |||
Class R3 Shares | 1,266,744 | |||
Class R4 Shares | 1,738,287 | |||
Class R5 Shares | 4,910,382 | |||
Class R6 Shares | 1,694 | |||
Registration and filing fees | ||||
Class A Shares | 24,478 | |||
Class B Shares | 9,246 | |||
Class C Shares | 18,890 | |||
Class I Shares | 99,831 | |||
Class R3 Shares | 12,046 | |||
Class R4 Shares | 18,241 | |||
Class R5 Shares | 24,778 | |||
Class R6 Shares | 35,377 | |||
Custodian fees (Note 3) | 3,613,321 | |||
Professional fees | 231,245 | |||
Accounting fees | 466,600 | |||
Trustee fees | 465,650 | |||
Other expenses | 1,593,059 | |||
|
| |||
Total Expenses | $ | 148,649,200 |
18 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Six Months Ended March 31, 2013 (Unaudited) |
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | $ | (2,166,099 | ) | |
Fees paid indirectly (Note 3) | (55,556 | ) | ||
|
| |||
Net Expenses | 146,427,545 | |||
|
| |||
Net Investment Income | 94,485,629 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | 702,233,046 | |||
Non-controlled affiliated issuers | (19,072,334 | ) | ||
Forward currency contracts (Note 7) | 57,149,278 | |||
Foreign currency transactions | (2,779,037 | ) | ||
|
| |||
737,530,953 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers | 1,268,348,455 | |||
Non-controlled affiliated issuers | (23,332,031 | ) | ||
Forward currency contracts (Note 7) | 39,245,999 | |||
Foreign currency translations | (369,276 | ) | ||
|
| |||
1,283,893,147 | ||||
|
| |||
Net Realized and Unrealized Gain | 2,021,424,100 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 2,115,909,729 | ||
|
|
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, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 94,485,629 | $ | 345,486,279 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | 737,530,953 | (749,948,440 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts and foreign currency translations | 1,283,893,147 | 3,832,908,986 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,115,909,729 | 3,428,446,825 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (3,827,858 | ) | (64,056,950 | ) | ||||
Class B Shares | — | (243,509 | ) | |||||
Class C Shares | — | (7,630,934 | ) | |||||
Class I Shares | (51,111,021 | ) | (182,520,040 | ) | ||||
Class R3 Shares | — | (13,188,781 | ) | |||||
Class R4 Shares | (890,455 | ) | (17,741,517 | ) | ||||
Class R5 Shares | (12,662,366 | ) | (64,779,792 | ) | ||||
Class R6 Shares | (4,720,719 | ) | (1,569,796 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (470,936,030 | ) | (1,202,692,533 | ) | ||||
Class B Shares | (9,085,796 | ) | (18,438,983 | ) | ||||
Class C Shares | (138,086,469 | ) | (297,916,156 | ) | ||||
Class I Shares | 521,410,308 | 190,061,072 | ||||||
Class R3 Shares | (174,276,382 | ) | (105,812,185 | ) | ||||
Class R4 Shares | (237,157,459 | ) | 29,709,129 | |||||
Class R5 Shares | (318,763,975 | ) | 302,005,139 | |||||
Class R6 Shares | 510,573,515 | 471,270,252 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 1,726,375,022 | 2,444,901,241 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 27,043,555,508 | 24,598,654,267 | ||||||
|
|
|
| |||||
End of Period | $ | 28,769,930,530 | $ | 27,043,555,508 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 36,584,351 | $ | 15,311,141 |
* | Unaudited |
See notes to financial statements.
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | March 31, 2013 (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 eight classes of shares of beneficial interest outstanding: Class A, Class B, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” “Class R5,” and “Class R6”). 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 and Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and Class R5 shares may be subject to a servive fee, 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 27,516,126,427 | $ | 27,516,126,427 | $ | — | $ | — | ||||||||
Preferred Stock | 434,071,408 | 434,071,408 | — | — | ||||||||||||
Short Term Investments | 695,587,724 | — | 695,587,724 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 28,645,785,559 | $ | 27,950,197,835 | $ | 695,587,724 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 86,937,820 | $ | — | $ | 86,937,820 | $ | — | ||||||||
Spot Currency | $ | 176,666 | $ | 176,666 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (23,288,855 | ) | $ | — | $ | (23,288,855 | ) | $ | — | ||||||
Spot Currency | $ | (511,396 | ) | $ | (511,396 | ) | $ | — | $ | — |
* | 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. |
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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.
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $658,228 for Class R3 shares, $774,061 for Class R4 shares, and $733,810 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, 2013, the Distributor has advised the Fund that it earned net commissions aggregating $51,527 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $24,816 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, 2013, 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
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $55,556.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 19,588,770 | $ | 539,783,736 | 44,154,940 | $ | 1,108,784,333 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 123,205 | 3,457,127 | 2,252,162 | 56,255,306 | ||||||||||||
Shares repurchased | (37,028,976 | ) | (1,014,176,893 | ) | (94,550,543 | ) | (2,367,750,664 | ) | ||||||||
Redemption fees received* | — | — | — | 18,492 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,317,001 | ) | $ | (470,936,030 | ) | (48,143,441 | ) | $ | (1,202,692,533 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 8,609 | $ | 219,950 | 18,153 | $ | 426,733 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 7,356 | 167,235 | ||||||||||||
Shares repurchased | (364,384 | ) | (9,305,746 | ) | (803,916 | ) | (19,033,123 | ) | ||||||||
Redemption fees received* | — | — | — | 172 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (355,775 | ) | $ | (9,085,796 | ) | (778,407 | ) | $ | (18,438,983 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,610,738 | $ | 41,671,177 | 3,972,384 | $ | 94,317,067 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | (4 | ) | (93 | ) | 229,919 | 5,280,728 | ||||||||||
Shares repurchased | (7,014,724 | ) | (179,757,553 | ) | (16,849,073 | ) | (397,518,284 | ) | ||||||||
Redemption fees received* | — | — | — | 4,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,403,990 | ) | $ | (138,086,469 | ) | (12,646,770 | ) | $ | (297,916,156 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 93,248,928 | $ | 2,632,243,772 | 157,722,651 | $ | 4,069,279,456 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,426,886 | 40,880,294 | 5,106,228 | 130,962,371 | ||||||||||||
Shares repurchased | (76,474,377 | ) | (2,151,713,758 | ) | (156,331,425 | ) | (4,010,215,905 | ) | ||||||||
Redemption fees received* | — | — | — | 35,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 18,201,437 | $ | 521,410,308 | 6,497,454 | $ | 190,061,072 | ||||||||||
|
|
|
|
|
|
|
|
26 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 4,576,811 | $ | 126,023,858 | 13,612,452 | $ | 342,095,280 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 491,853 | 12,264,608 | ||||||||||||
Shares repurchased | (10,921,973 | ) | (300,300,240 | ) | (18,208,400 | ) | (460,176,195 | ) | ||||||||
Redemption fees received* | — | — | — | 4,122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,345,162 | ) | $ | (174,276,382 | ) | (4,104,095 | ) | $ | (105,812,185 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 7,209,507 | $ | 198,062,354 | 20,184,388 | $ | 506,211,370 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 25,772 | 719,799 | 566,489 | 14,081,752 | ||||||||||||
Shares repurchased | (16,162,793 | ) | (435,939,612 | ) | (19,386,082 | ) | (490,588,320 | ) | ||||||||
Redemption fees received* | — | — | — | 4,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,927,514 | ) | $ | (237,157,459 | ) | 1,364,795 | $ | 29,709,129 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 23,234,317 | $ | 646,954,490 | 58,044,149 | $ | 1,487,608,837 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 419,922 | 12,018,157 | 2,402,448 | 61,341,403 | ||||||||||||
Shares repurchased | (34,830,640 | ) | (977,736,622 | ) | (48,008,440 | ) | (1,246,957,709 | ) | ||||||||
Redemption fees received* | — | — | — | 12,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (11,176,401 | ) | $ | (318,763,975 | ) | 12,438,157 | $ | 302,005,139 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 Shares** | ||||||||||||||||
Shares sold | 19,743,366 | $ | 557,941,126 | 17,994,013 | $ | 472,237,611 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 163,721 | 4,684,068 | 60,384 | 1,569,796 | ||||||||||||
Shares repurchased | (1,838,537 | ) | (52,051,679 | ) | (96,167 | ) | (2,537,155 | ) | ||||||||
Redemption fees received | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 18,068,550 | $ | 510,573,515 | 17,958,230 | $ | 471,270,252 | ||||||||||
|
|
|
|
|
|
|
|
* | 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. |
** | Effective date for this Class of shares was May 1, 2012. |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $5,843,953,481 and $6,012,552,732, respectively.
Certified Semi-Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 22,657,256,316 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 6,541,270,367 | ||
Gross unrealized depreciation on a tax basis | (552,741,124 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 5,988,529,243 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $721,639,747. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $672,354,468, 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 do not expire but are required to be utilized to offset future gains prior to the utilization of losses that occured in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At March 31, 2013, the Fund had cumulative 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 | $ | 1,052,728,465 | ||
2018 | 1,792,171,182 | |||
2019 | 753,530,754 | |||
|
| |||
$ | 3,598,430,401 | |||
|
|
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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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.
28 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
These contracts are accounted for by the Fund under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $2,250,445,514. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract amount | Contract Value Date | Value USD | Unrealized appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 1,416,106,700 | 04/30/2013 | 1,815,556,106 | $ | 2,540,803 | $ | — | ||||||||||||||||
Euro | Sell | 436,284,100 | 05/08/2013 | 559,381,294 | 275,224 | — | ||||||||||||||||||
Euro | Buy | 436,284,100 | 05/08/2013 | 559,381,294 | — | (16,568,793 | ) | |||||||||||||||||
Japanese Yen | Sell | 95,175,782,900 | 07/08/2013 | 1,011,762,002 | 74,518,959 | — | ||||||||||||||||||
Japanese Yen | Sell | 58,266,406,400 | 04/05/2013 | 618,978,512 | 9,602,834 | — | ||||||||||||||||||
Japanese Yen | Sell | 32,490,299,000 | 07/08/2013 | 345,386,704 | — | (6,720,062 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 86,937,820 | $ | (23,288,855 | ) | |||||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 86,937,820 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (23,288,855 | ) |
The net realized gain (loss) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 57,149,278 | $ | 57,149,278 |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 39,245,999 | $ | 39,245,999 |
Certified Semi-Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | March 31, 2013 (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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
30 Certified Semi-Annual Report
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Certified Semi-Annual Report 31
Thornburg International Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Fiscal | 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 |
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2013(b)(c) | $ | 26.08 | 0.06 | 1.98 | 2.04 | (0.02 | ) | — | (0.02 | ) | $ | 28.10 | 0.45 | (d) | 1.26 | (d) | 1.26 | (d) | 1.26 | (d) | 7.82 | 21.70 | $ | 5,363,118 | ||||||||||||||||||||||||||||||||||||
2012(c) | $ | 23.14 | 0.28 | 2.95 | 3.23 | (0.29 | ) | — | (0.29 | ) | $ | 26.08 | 1.09 | 1.29 | 1.29 | 1.29 | 14.02 | 17.86 | $ | 5,429,316 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class B Shares |
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2013(b) | $ | 24.37 | (0.05 | ) | 1.84 | 1.79 | — | — | — | $ | 26.16 | (0.43 | )(d) | 2.09 | (d) | 2.09 | (d) | 2.09 | (d) | 7.35 | 21.70 | $ | 37,946 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 21.67 | 0.06 | 2.77 | 2.83 | (0.13 | ) | — | (0.13 | ) | $ | 24.37 | 0.26 | 2.09 | 2.09 | 2.09 | 13.07 | 17.86 | $ | 44,009 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
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2013(b) | $ | 24.48 | (0.04 | ) | 1.86 | 1.82 | — | — | — | $ | 26.30 | (0.30 | )(d) | 2.00 | (d) | 2.00 | (d) | 2.00 | (d) | 7.43 | 21.70 | $ | 1,205,736 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 21.77 | 0.08 | 2.77 | 2.85 | (0.14 | ) | — | (0.14 | ) | $ | 24.48 | 0.35 | 2.03 | 2.03 | 2.03 | 13.14 | 17.86 | $ | 1,254,732 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class I Shares |
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2013(b) | $ | 26.66 | 0.12 | 2.02 | 2.14 | (0.11 | ) | — | (0.11 | ) | $ | 28.69 | 0.88 | (d) | 0.86 | (d) | 0.86 | (d) | 0.86 | (d) | 8.01 | 21.70 | $ | 13,983,100 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 23.65 | 0.40 | 3.00 | 3.40 | (0.39 | ) | — | (0.39 | ) | $ | 26.66 | 1.53 | 0.88 | 0.88 | 0.88 | 14.47 | 17.86 | $ | 12,505,553 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
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2013(b) | $ | 26.11 | 0.03 | 1.98 | 2.01 | — | — | — | $ | 28.12 | 0.24 | (d) | 1.45 | (d) | 1.45 | (d) | 1.55 | (d) | 7.70 | 21.70 | $ | 1,247,478 | ||||||||||||||||||||||||||||||||||||||
2012 | $ | 23.17 | 0.24 | 2.95 | 3.19 | (0.25 | ) | — | (0.25 | ) | $ | 26.11 | 0.95 | 1.45 | 1.45 | 1.60 | 13.82 | 17.86 | $ | 1,323,766 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R4 Shares |
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2013(b) | $ | 25.96 | 0.06 | 1.97 | 2.03 | (0.02 | ) | — | (0.02 | ) | $ | 27.97 | 0.44 | (d) | 1.25 | (d) | 1.25 | (d) | 1.36 | (d) | 7.81 | 21.70 | $ | 1,362,235 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 23.04 | 0.29 | 2.93 | 3.22 | (0.30 | ) | — | (0.30 | ) | $ | 25.96 | 1.16 | 1.25 | 1.25 | 1.45 | 14.05 | 17.86 | $ | 1,495,958 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R5 Shares |
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2013(b) | $ | 26.61 | 0.10 | 2.02 | 2.12 | (0.08 | ) | — | (0.08 | ) | $ | 28.65 | 0.74 | (d) | 0.96 | (d) | 0.96 | (d) | 0.99 | (d) | 7.97 | 21.70 | $ | 4,538,341 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 23.61 | 0.37 | 3.00 | 3.37 | (0.37 | ) | — | (0.37 | ) | $ | 26.61 | 1.44 | 0.99 | 0.99 | 1.06 | 14.33 | 17.86 | $ | 4,512,144 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R6 Shares |
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2013(b) | $ | 26.62 | 0.17 | 1.98 | 2.15 | (0.13 | ) | — | (0.13 | ) | $ | 28.64 | 1.20 | (d) | 0.74 | (d) | 0.74 | (d) | 0.74 | (d) | 8.09 | 21.70 | $ | 1,031,977 | ||||||||||||||||||||||||||||||||||||
2012(e) | $ | 27.14 | 0.15 | (0.38 | ) | (0.23 | ) | (0.29 | ) | — | (0.29 | ) | $ | 26.62 | 1.35 | (d) | 0.76 | (d) | 0.76 | (d) | 0.76 | (d) | (0.77 | ) | 17.86 | $ | 478,078 |
(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 May 1, 2012. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
32 Certified Semi-Annual Report | Certified Semi-Annual Report 33 |
EXPENSE EXAMPLE | ||
Thornburg International Value Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
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 10/1/12 | Ending Account Value 3/31/13 | Expenses paid During period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.20 | $ | 6.50 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.67 | $ | 6.32 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.50 | $ | 10.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.50 | $ | 10.50 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,074.30 | $ | 10.34 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.97 | $ | 10.04 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,080.10 | $ | 4.44 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.66 | $ | 4.31 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.00 | $ | 7.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.70 | $ | 7.29 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.10 | $ | 6.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.71 | $ | 6.28 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.70 | $ | 4.98 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.14 | $ | 4.83 | ||||||
Class R6 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,080.90 | $ | 3.84 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.24 | $ | 3.73 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.26%; B: 2.09%; C: 2.00%; I: 0.86%; R3: 1.45%; R4: 1.25%; R5: 0.96%; R6: 0.74%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above 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.
34 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg International Value Fund | March 31, 2013 (Unaudited) |
Growth of a hypothetical $10,000 Investment
Thornburg International Value Fund versus MSCI EAFE Index (May 28, 1998 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 5/28/98) | 1.56 | % | -0.98 | % | 11.31 | % | 7.90 | % | ||||||||
B Shares (Incep: 4/3/00) | 0.47 | % | -1.25 | % | 11.11 | % | 5.40 | % | ||||||||
C Shares (Incep: 5/28/98) | 4.58 | % | -0.79 | % | 11.00 | % | 7.38 | % | ||||||||
I Shares (Incep: 3/30/01) | 6.79 | % | 0.34 | % | 12.29 | % | 7.92 | % | ||||||||
R3 Shares (Incep: 7/1/03) | 6.15 | % | -0.21 | % | — | 9.93 | % | |||||||||
R4 Shares (Incep: 2/1/07) | 6.37 | % | -0.01 | % | — | 1.94 | % | |||||||||
R5 Shares (Incep: 2/1/05) | 6.65 | % | 0.24 | % | — | 7.16 | % | |||||||||
R6 Shares (Incep: 5/1/12)* | — | — | — | 7.95 | % | |||||||||||
MSCI EAFE Index (Since 5/28/98) | 11.25 | % | -0.89 | % | 9.69 | % | 3.76 | % |
* | Not annualized for periods less than one year. |
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, R5, and R6 shares.
Certified Semi-Annual Report 35
OTHER INFORMATION | ||
Thornburg International Value Fund | March 31, 2013 (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.
36 Certified Semi-Annual Report
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This page is not part of the Semi-Annual Report. 37
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
38 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 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 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. 39
THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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TH176 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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 | 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.
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 1.49%, 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 Thorn-burg 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 March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 12/27/00) | ||||||||||||||||||||
Without sales charge | 13.85 | % | 13.92 | % | 5.51 | % | 11.55 | % | 4.98 | % | ||||||||||
With sales charge | 8.73 | % | 12.18 | % | 4.54 | % | 11.04 | % | 4.59 | % | ||||||||||
Russell 3000G Index | ||||||||||||||||||||
(Since: 12/27/00) | 10.42 | % | 13.19 | % | 7.44 | % | 8.84 | % | 2.24 | % |
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, we 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.
We are not go-along-with-the-crowd types and are not tied to mainstream thinking. While we have access to the best of Wall Street’s analysis, we 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 March 31, 2013
Top Contributors | Top Detractors | |
WisdomTree Investments, Inc. | Apple, Inc. | |
Gilead Sciences, Inc. | Allot Communications Ltd. | |
LinkedIn Corp. | Fusion-io, Inc. | |
Workday, Inc. | BroadSoft, Inc. | |
United Rentals, Inc. | HMS Holdings Corp. | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-months* | 26.3x | |||
Portfolio Price to Cash Flow* | 17.4x | |||
Portfolio Price to Book Value* | 3.9x | |||
Median Market Cap* | $ | 8.0 B | ||
7-Year Beta (A Shares vs. Russell 3000G)* | 1.16 | |||
Number of Companies | 48 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Basket Structure
As of March 31, 2013
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Thornburg Core Growth Fund –
March 31, 2013
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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
LETTER TO SHAREHOLDERS |
April 15, 2013
Dear Fellow Shareholder,
For the six-month period ended March 31, 2013 the Thornburg Core Growth Fund returned 11.41% for the Class A shares at net asset value (NAV), outperforming its benchmark, the Russell 3000 Growth Index, which returned 8.52%. On March 31, 2013, the NAV of the Class A shares was $21.29.
After a short, shallow correction at the beginning of the period driven by fiscal-cliff concerns, domestic equity markets continued to move to new post-financial crisis highs, and are now close to all-time highs last seen during the 2007 and 2000 U.S. market peaks. This time around, earnings are higher and valuations are lower. Using the S&P 500 as a market proxy, today the 12-month forward price/ earnings multiple is just above 14x. In 2007, it peaked just above 16x, and in 2000, it peaked above 26x. Today, earnings growth expectations are much lower than they were then, at about 5% for the next year, versus a mid-teens growth expectation in the prior periods. We all know what happened in the past: growth slowed (a lot), multiples contracted (a lot), and the market went down (a lot). Is this time different? Clearly it is different, but that doesn’t mean it won’t rhyme, as the saying goes. We take some comfort from the lower price/earnings and lower growth expectations, and some discomfort from the high level of profitability that has driven earnings. GDP growth is positive but low job growth exists but is also low, and monetary policy continues to be very accommodative. Common sense would dictate that future returns will be harder to come by, but we also don’t seem to be experiencing the type of irrational exuberance for equities that marked prior peaks.
For now, we remain cautiously optimistic and, as always, we focus our efforts on discovering and owning great businesses that are growing fast and are reasonably valued. We are typically overweight technology stocks, a broad sector in which we generally find attractive growth stocks through our bottom-up process. During the trailing twelve-month period, technology was the worst-performing sector for the index by a wide margin, declining 3.5%. On top of that, industrials – a cyclical, typically lower-growth sector in which we tend to be underweight – was the best performer, up 20%. These two market dynamics presented strong headwinds for our portfolio, so we were pleased to outperform in an environment that did not favor us. Stock selection drove results. While our overweight to technology hurt us, the Fund’s technology stocks performed much better than those of the index, up 5.4% versus a decline of 3.5%, respectively. And although we were underweight industrials, the stocks we owned in that sector were up 30% versus 20% for those in the index. As always, the Fund’s sector weightings are primarily dictated by our bottom-up stock selection process.
On an absolute basis, top contributors to performance were WisdomTree Investments, LinkedIn Corp., Gilead Sciences, Workday, Inc., and United Rental, Inc.
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
WisdomTree is an asset management firm that sponsors exchange-traded funds. Fund flows have been very strong, driven by rising appetite for equity exposure and WisdomTree’s strong position in Japan-related ETFs. LinkedIn operates the leading professional networking site in the world with 200 million members. In addition to monetizing their growing website traffic with advertising, LinkedIn is dis-intermediating the traditional recruiting/hiring/staffing industries by selling hiring tools that leverage their 200-million-member network. Gilead Science’s core HIV franchise continues to perform well. In addition, recent data have validated the safety and efficacy of the company’s new treatments for Hepatitis C. Early data indicate that Gilead could dominate this large market. Workday is the leading software as a service (SAAS) human resources (HR) platform vendor. They are the first SAAS company to deliver a product that is the system of record. It is the HR platform, not just a point solution layered on top of existing on-premise software infrastructure. Given the benefits (mostly from lower operating costs and a much faster update cycle) of delivering their product from the cloud, Workday is in a strong position to compete with the large legacy vendors such as Oracle and SAP. United Rental is the leading construction equipment rental company in the United States. As the economy has gradually improved, they’ve benefited from growing volumes and better pricing. There also appears to be a secular shift toward renting equipment versus owning.
Top detractors to performance for the period were Apple, Allot Communications, Fusion-io, Broadsoft, and Tilly’s. Apple was a very interesting case during this period. It was a top detractor on an absolute basis but a leading contributor on a relative basis because we own Apple in a much smaller weight than its position in the index. From a fundamental basis, Apple reported weaker-than-expected fourth-quarter results and changed methodology around reporting guidance to analysts (which has historically been very conservative). This combination seemed to add strength to the “bear” argument that Apple may be going the way of Motorola, HTC, or Blackberry. The stock now appears very out of favor and inexpensive by a number of valuation metrics, with very low forward expectations. We believe a combination of further steps toward cash return and slightly better-than-expected growth over the next couple of years in existing and new categories could generate upside in Apple shares.
Allot Communications manufactures deep-packet inspection equipment that allows telecom carriers and cable companies to monitor and control traffic on their networks. The stock has been weak as concerns about telecom carrier spending weaknesses have surfaced, causing Allot to lower guidance. Fusion-io provides a storage memory platform for data decentralization. Although its technology is disruptive, it has high customer concentration, which is a risk that has caused us to keep a small position size. Unfortunately, our apprehensions were realized this period as the company’s largest customers delayed orders and revenue and earnings expectations suffered as a consequence. We sold our position due to lack of earnings and revenue visibility, and due to increasing competition. Broadsoft creates software which converts traditional phone calls into internet protocol (IP)-enabled phone calls, which allows more “features” to be applied to the call and, more importantly, saving on the total cost for each call. The company reported a good fourth quarter, but unveiled poor guidance
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
for 2013, including increased R&D expenditures to move into mobile long-term evolution (LTE), a new area for the company. Mobile LTE is much more competitive than Broadsoft’s current business and is much less certain; we therefore sold the stock in the quarter. Tilly’s is a small specialty retailer. Disappointing results did not track with our investment thesis and we sold the position.
Looking forward, uncertainties and concerns remain, but so does the opportunity to recover from what continues to be a low-growth environment. As always, we will continue to seek promising growth companies with sound business fundamentals trading at attractive valuations. Thank you for your investment in 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.
Certified Semi-Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
Visa, Inc. | 3.5 | % | VeriSign, Inc. | 2.6 | % | |||||
Valeant Pharmaceuticals International, Inc. | 3.2 | % | Capital One Financial Corp. | 2.6 | % | |||||
Gilead Sciences, Inc. | 3.0 | % | Dollar Tree, Inc. | 2.5 | % | |||||
Amazon.com, Inc. | 3.0 | % | Google, Inc. | 2.4 | % | |||||
Qualcomm, Inc. | 2.9 | % | WisdomTree Investments, Inc. | 2.3 | % |
Summary of Industry Exposure
As of 3/31/13
Software & Services | 29.9 | % | Energy | 2.4 | % | |||||
Diversified Financials | 11.0 | % | Semiconductors & Semiconductor Equipment | 2.1 | % | |||||
Technology Hardware & Equipment | 10.5 | % | Banks | 2.1 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | % | Automobiles & Components | 2.0 | % | |||||
Retailing | 9.5 | % | Materials | 1.9 | % | |||||
Commercial & Professional Services | 5.1 | % | Consumer Services | 1.6 | % | |||||
Food, Beverage & Tobacco | 4.1 | % | Other Assets & Liabilities | 4.9 | % | |||||
Health Care Equipment & Services | 2.7 | % |
Summary of Country Exposure
As of 3/31/13 (percent of equity holdings)
United States | 91.6 | % | Israel | 2.9 | % | |||||
Canada | 3.3 | % | United Kingdom | 2.2 | % |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 95.07% | ||||||||
AUTOMOBILES & COMPONENTS — 2.04% | ||||||||
AUTO COMPONENTS — 2.04% | ||||||||
Delphi Automotive plc | 328,500 | $ | 14,585,400 | |||||
|
| |||||||
14,585,400 | ||||||||
|
| |||||||
BANKS — 2.10% | ||||||||
COMMERCIAL BANKS — 2.10% | ||||||||
a SVB Financial Group | 211,330 | 14,991,750 | ||||||
|
| |||||||
14,991,750 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 5.12% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 2.05% | ||||||||
a Stericycle, Inc. | 137,761 | 14,627,463 | ||||||
PROFESSIONAL SERVICES — 3.07% | ||||||||
a Acacia Research Corp. | 251,643 | 7,592,069 | ||||||
Nielsen Holdings N.V. | 398,481 | 14,273,590 | ||||||
|
| |||||||
36,493,122 | ||||||||
|
| |||||||
CONSUMER SERVICES — 1.61% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 1.61% | ||||||||
a BJ’s Restaurants, Inc. | 345,000 | 11,481,600 | ||||||
|
| |||||||
11,481,600 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 10.94% | ||||||||
CAPITAL MARKETS — 6.90% | ||||||||
a Affiliated Managers Group, Inc. | 105,387 | 16,184,281 | ||||||
Charles Schwab Corp. | 920,835 | 16,289,571 | ||||||
a WisdomTree Investments, Inc. | 1,610,319 | 16,747,318 | ||||||
CONSUMER FINANCE — 4.04% | ||||||||
Capital One Financial Corp. | 332,700 | 18,281,865 | ||||||
a Portfolio Recovery Associates, Inc. | 82,991 | 10,533,218 | ||||||
|
| |||||||
78,036,253 | ||||||||
|
| |||||||
ENERGY — 2.39% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 2.39% | ||||||||
a Continental Resources, Inc. | 115,700 | 10,057,801 | ||||||
a Sanchez Energy Corp. | 350,600 | �� | 6,983,952 | |||||
|
| |||||||
17,041,753 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 4.14% | ||||||||
BEVERAGES — 2.34% | ||||||||
a Monster Beverage Corp. | 350,600 | 16,737,644 | ||||||
FOOD PRODUCTS — 1.80% | ||||||||
Mead Johnson Nutrition Co. | 165,500 | 12,817,975 | ||||||
|
| |||||||
29,555,619 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 2.72% | ||||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.35% | 594,756 | 9,605,309 | ||||||
a Endologix, Inc. |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
HEALTH CARE PROVIDERS & SERVICES — 1.37% | ||||||||
a HMS Holdings Corp. | 361,500 | $ | 9,814,725 | |||||
|
| |||||||
19,420,034 | ||||||||
|
| |||||||
MATERIALS — 1.90% | ||||||||
METALS & MINING — 1.90% | ||||||||
Allegheny Technologies, Inc. | 428,073 | 13,574,195 | ||||||
|
| |||||||
13,574,195 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 10.16% | ||||||||
BIOTECHNOLOGY — 5.31% | ||||||||
a Alexion Pharmaceuticals, Inc. | 177,400 | 16,345,636 | ||||||
a Gilead Sciences, Inc. | 439,958 | 21,527,145 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.68% | ||||||||
a Illumina, Inc. | 222,500 | 12,015,000 | ||||||
PHARMACEUTICALS — 3.17% | ||||||||
a Valeant Pharmaceuticals International, Inc. | 301,700 | 22,633,534 | ||||||
|
| |||||||
72,521,315 | ||||||||
|
| |||||||
RETAILING — 9.52% | ||||||||
DISTRIBUTORS — 1.87% | ||||||||
a LKQ Corp. | 612,705 | 13,332,461 | ||||||
INTERNET & CATALOG RETAIL — 5.17% | ||||||||
a Amazon.com, Inc. | 80,700 | 21,505,743 | ||||||
a priceline.com, Inc. | 22,332 | 15,362,853 | ||||||
MULTILINE RETAIL — 2.48% | ||||||||
a Dollar Tree, Inc. | 366,200 | 17,735,066 | ||||||
|
| |||||||
67,936,123 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.12% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.12% | ||||||||
a ON Semiconductor Corp. | 1,828,522 | 15,140,162 | ||||||
|
| |||||||
15,140,162 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 29.89% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 3.51% | ||||||||
Visa, Inc. | 147,306 | 25,018,451 | ||||||
INTERNET SOFTWARE & SERVICES — 11.03% | ||||||||
a CoStar Group, Inc. | 90,030 | 9,854,684 | ||||||
a eBay, Inc. | 302,200 | 16,385,284 | ||||||
a Google, Inc. | 21,802 | 17,311,442 | ||||||
a LinkedIn Corp. | 93,000 | 16,373,580 | ||||||
a VeriSign, Inc. | 397,327 | 18,785,620 | ||||||
SOFTWARE — 15.35% | ||||||||
a Allot Communications Ltd. | 724,387 | 8,649,181 | ||||||
a Ellie Mae, Inc. | 336,311 | 8,088,280 | ||||||
a Guidewire Software, Inc. | 330,202 | 12,692,965 | ||||||
a Imperva, Inc. | 234,862 | 9,042,187 | ||||||
Intuit, Inc. | 249,800 | 16,399,370 | ||||||
a SolarWinds, Inc. | 176,400 | 10,425,240 | ||||||
Solera Holdings, Inc. | 207,277 | 12,090,467 | ||||||
a Splunk, Inc. | 230,000 | 9,206,900 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
a VMware, Inc. | 128,800 | $ | 10,159,744 | |||||
a Workday, Inc. | 206,800 | 12,745,084 | ||||||
|
| |||||||
213,228,479 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 10.42% | ||||||||
COMMUNICATIONS EQUIPMENT — 4.73% | ||||||||
a F5 Networks, Inc. | 144,800 | 12,898,784 | ||||||
Qualcomm, Inc. | 311,144 | 20,831,091 | ||||||
COMPUTERS & PERIPHERALS — 5.69% | ||||||||
Apple, Inc. | 36,261 | 16,050,206 | ||||||
a EMC Corp. | 555,244 | 13,264,779 | ||||||
a Stratasys Ltd. | 151,900 | 11,274,018 | ||||||
|
| |||||||
74,318,878 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $508,349,896) | 678,324,683 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 5.05% | ||||||||
Bank of New York Tri-Party Repurchase Agreement 0.36%, dated 3/28/2013, due 4/1/2013,repurchase price $9,000,360 collateralized by 7 corporate debt securities, having an aver-age coupon of 2.846%, a minimum credit rating of BBB-, maturity dates from 6/15/2015 to 3/15/2023, and having an aggregate market value of $9,645,163 at 3/28/2013 | $ | 9,000,000 | 9,000,000 | |||||
Tyco Electronics Group SA, 0.31%, 4/1/2013 | 27,000,000 | 27,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $36,000,000) | 36,000,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.12% (Cost $544,349,896) | $ | 714,324,683 | ||||||
LIABILITIES NET OF OTHER ASSETS — (0.12)% | (856,143 | ) | ||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 713,468,540 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
See notes to financial statements.
Certified Semi-Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $544,349,896) (Note 2) | $ | 714,324,683 | ||
Cash | 317,372 | |||
Receivable for investments sold | 2,609,326 | |||
Receivable for fund shares sold | 6,014,321 | |||
Dividends receivable | 74,278 | |||
Interest receivable | 360 | |||
Prepaid expenses and other assets | 62,117 | |||
|
| |||
Total assets | 723,402,457 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,062,207 | |||
Payable for fund shares redeemed | 1,671,366 | |||
Payable to investment advisor and other affiliates (Note 3) | 778,982 | |||
Accounts payable and accrued expenses | 421,362 | |||
|
| |||
Total Liabilities | 9,933,917 | |||
|
| |||
NET ASSETS | $ | 713,468,540 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (8,828,882 | ) | |
Net unrealized appreciation on investments | 169,974,787 | |||
Accumulated net realized gain (loss) | (517,310,699 | ) | ||
Net capital paid in on shares of beneficial interest | 1,069,633,334 | |||
|
| |||
$ | 713,468,540 | |||
|
|
14 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 234,034,706 applicable to 10,990,226 shares of beneficial interest outstanding - Note 4) | $ | 21.29 | ||
Maximum sales charge, 4.50% of offering price | 1.00 | |||
|
| |||
Maximum offering price per share | $ | 22.29 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 160,531,780 applicable to 8,320,694 shares of beneficial interest outstanding - Note 4) | $ | 19.29 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 158,414,893 applicable to 7,095,482 shares of beneficial interest outstanding - Note 4) | $ | 22.33 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 95,516,576 applicable to 4,488,029 shares of beneficial interest outstanding - Note 4) | $ | 21.28 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($ 7,992,144 applicable to 373,903 shares of beneficial interest outstanding - Note 4) | $ | 21.37 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 56,978,441 applicable to 2,554,783 shares of beneficial interest outstanding - Note 4) | $ | 22.30 | ||
|
|
* | 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 Core Growth Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME
Dividend income (net of foreign taxes withheld of $7,742) | $ | 1,578,329 | ||
Interest income | 50,276 | |||
|
| |||
Total Income | 1,628,605 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 2,885,833 | |||
Administration fees (Note 3) | ||||
Class A Shares | 138,305 | |||
Class C Shares | 95,357 | |||
Class I Shares | 33,372 | |||
Class R3 Shares | 60,630 | |||
Class R4 Shares | 5,312 | |||
Class R5 Shares | 14,130 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 277,424 | |||
Class C Shares | 762,834 | |||
Class R3 Shares | 242,300 | |||
Class R4 Shares | 10,547 | |||
Transfer agent fees | ||||
Class A Shares | 181,659 | |||
Class C Shares | 127,185 | |||
Class I Shares | 53,371 | |||
Class R3 Shares | 120,371 | |||
Class R4 Shares | 11,909 | |||
Class R5 Shares | 61,714 | |||
Registration and filing fees | ||||
Class A Shares | 9,994 | |||
Class C Shares | 9,594 | |||
Class I Shares | 9,612 | |||
Class R3 Shares | 9,504 | |||
Class R4 Shares | 10,291 | |||
Class R5 Shares | 9,928 | |||
Custodian fees (Note 3) | 48,296 | |||
Professional fees | 33,782 | |||
Accounting fees | 3,600 | |||
Trustee fees | 10,949 | |||
Other expenses | 58,910 | |||
|
| |||
Total Expenses | 5,296,713 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (267,872 | ) | ||
Fees paid indirectly (Note 3) | (572 | ) | ||
|
| |||
Net Expenses | 5,028,269 | |||
|
| |||
Net Investment Loss | $ | (3,399,664 | ) | |
|
|
16 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | $ | 45,414,487 | ||
Net change in unrealized appreciation (depreciation) of investments | 30,844,891 | |||
|
| |||
Net Realized and Unrealized Gain | 76,259,378 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 72,859,714 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS |
Thornburg Core Growth Fund |
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (3,399,664 | ) | $ | (7,376,218 | ) | ||
Net realized gain (loss) on investments | 45,414,487 | 122,825,953 | ||||||
Net unrealized appreciation (depreciation) on investments | 30,844,891 | 132,918,941 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 72,859,714 | 248,368,676 | ||||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (16,006,345 | ) | (63,234,219 | ) | ||||
Class C Shares | (12,155,963 | ) | (35,054,311 | ) | ||||
Class I Shares | 26,175,229 | (43,751,698 | ) | |||||
Class R3 Shares | (20,936,150 | ) | (43,593,620 | ) | ||||
Class R4 Shares | (2,244,128 | ) | (4,685,753 | ) | ||||
Class R5 Shares | (10,441,225 | ) | (28,895,377 | ) | ||||
|
|
|
| |||||
Net Increase in Net Assets | 37,251,132 | 29,153,698 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 676,217,408 | 647,063,710 | ||||||
|
|
|
| |||||
End of Period | $ | 713,468,540 | $ | 676,217,408 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Core Growth Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 678,324,683 | $ | 678,324,683 | $ | — | $ | — | ||||||||
Short Term Investments | 36,000,000 | — | 36,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 714,324,683 | $ | 678,324,683 | $ | 36,000,000 | $ | — |
* | 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). |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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.
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Net change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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.
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Use of Estimates: The preparation of financial statements, in conformity with United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $41,999 for Class I shares, $145,921 for Class R3 shares, $17,202 for Class R4 shares, and $62,750 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $15,941 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,263 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $572.
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.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 752,241 | $ | 14,772,822 | 1,659,809 | $ | 28,820,612 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,583,823 | ) | (30,779,167 | ) | (5,449,613 | ) | (92,055,088 | ) | ||||||||
Redemption fees received* | — | — | — | 257 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (831,582 | ) | $ | (16,006,345 | ) | (3,789,804 | ) | $ | (63,234,219 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 317,740 | $ | 5,690,323 | 607,243 | $ | 9,426,297 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,007,403 | ) | (17,846,286 | ) | (2,877,094 | ) | (44,480,784 | ) | ||||||||
Redemption fees received* | — | — | — | 176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (689,663 | ) | $ | (12,155,963 | ) | (2,269,851 | ) | $ | (35,054,311 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,101,867 | $ | 43,388,727 | 2,116,293 | $ | 37,348,099 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (837,225 | ) | (17,213,498 | ) | (4,549,708 | ) | (81,099,955 | ) | ||||||||
Redemption fees received* | — | — | — | 158 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,264,642 | $ | 26,175,229 | (2,433,415 | ) | $ | (43,751,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 500,778 | $ | 9,804,352 | 1,184,634 | $ | 20,242,338 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,579,425 | ) | (30,740,502 | ) | (3,805,079 | ) | (63,836,088 | ) | ||||||||
Redemption fees received* | — | — | — | 130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,078,647 | ) | $ | (20,936,150 | ) | (2,620,445 | ) | $ | (43,593,620 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 96,401 | $ | 1,876,802 | 285,912 | $ | 4,904,776 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (209,675 | ) | (4,120,930 | ) | (578,486 | ) | (9,590,540 | ) | ||||||||
Redemption fees received* | — | — | — | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (113,274 | ) | $ | (2,244,128 | ) | (292,574 | ) | $ | (4,685,753 | ) | ||||||
|
|
|
|
|
|
|
|
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 382,605 | $ | 7,832,628 | 944,144 | $ | 16,893,382 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (902,922 | ) | (18,273,853 | ) | (2,695,752 | ) | (45,788,832 | ) | ||||||||
Redemption fees received* | — | — | — | 73 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (520,317 | ) | $ | (10,441,225 | ) | (1,751,608 | ) | $ | (28,895,377 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $369,146,685 and $388,160,210, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 544,349,896 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 175,662,347 | ||
Gross unrealized depreciation on a tax basis | (5,687,560 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 169,974,787 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis late-year ordinary investment losses of $5,429,218. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative 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 | $ | 306,917,260 | ||
2018 | 253,358,410 | |||
|
| |||
$ | 560,275,670 | |||
|
|
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.
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
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, 2013, 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, 2013 and the date of issuance of the financial statements that 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 Core 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 19.11 | (0.09 | ) | 2.27 | 2.18 | — | — | — | $21.29 | (0.97 | )(d) | 1.46 | (d) | 1.46 | (d) | 1.46 | (d) | 11.41 | 57.62 | $ | 234,035 | ||||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.33 | (0.17 | ) | 5.95 | 5.78 | — | — | — | $19.11 | (1.02 | ) | 1.48 | 1.49 | 1.48 | 43.36 | 122.93 | $ | 225,945 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 17.38 | (0.15 | ) | 2.06 | 1.91 | — | — | — | $19.29 | (1.73 | )(d) | 2.21 | (d) | 2.21 | (d) | 2.21 | (d) | 10.99 | 57.62 | $ | 160,532 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 12.22 | (0.28 | ) | 5.44 | 5.16 | — | — | — | $17.38 | (1.79 | ) | 2.25 | 2.25 | 2.25 | 42.23 | 122.93 | $ | 156,597 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 19.99 | (0.05 | ) | 2.39 | 2.34 | — | — | — | $22.33 | (0.50 | )(d) | 0.99 | (d) | 0.99 | (d) | 1.05 | (d) | 11.71 | 57.62 | $ | 158,415 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.88 | (0.09 | ) | 6.20 | 6.11 | — | — | — | $19.99 | (0.52 | ) | 0.99 | 0.99 | 1.08 | 44.02 | 122.93 | $ | 116,567 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 19.11 | (0.10 | ) | 2.27 | 2.17 | — | — | — | $21.28 | (1.01 | )(d) | 1.50 | (d) | 1.50 | (d) | 1.80 | (d) | 11.36 | 57.62 | $ | 95,517 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.33 | (0.18 | ) | 5.96 | 5.78 | — | — | — | $19.11 | (1.04 | ) | 1.50 | 1.50 | 1.80 | 43.36 | 122.93 | $ | 106,353 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 19.18 | (0.09 | ) | 2.28 | 2.19 | — | — | — | $21.37 | (0.92 | )(d) | 1.40 | (d) | 1.40 | (d) | 1.80 | (d) | 11.42 | 57.62 | $ | 7,992 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.37 | (0.16 | ) | 5.97 | 5.81 | — | — | — | $19.18 | (0.93 | ) | 1.40 | 1.40 | 1.78 | 43.46 | 122.93 | $ | 9,344 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 19.97 | (0.05 | ) | 2.38 | 2.33 | — | — | — | $22.30 | (0.50 | )(d) | 0.99 | (d) | 0.99 | (d) | 1.21 | (d) | 11.67 | 57.62 | $ | 56,978 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.86 | (0.09 | ) | 6.20 | 6.11 | — | — | — | $19.97 | (0.52 | ) | 0.98 | 0.99 | 1.32 | 44.08 | 122.93 | $ | 61,411 | |||||||||||||||||||||||||||||||||||||||
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 |
(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, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
EXPENSE EXAMPLE | ||
Thornburg Core Growth Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses paid During period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,114.10 | $ | 7.68 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.66 | $ | 7.33 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.90 | $ | 11.64 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.90 | $ | 11.11 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,117.10 | $ | 5.23 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,113.60 | $ | 7.90 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.45 | $ | 7.54 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,114.20 | $ | 7.38 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.95 | $ | 7.04 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,116.70 | $ | 5.22 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.46%; C: 2.21%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 above 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.
30 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Core Growth Fund versus Russell 3000 Growth Index (December 27, 2000 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 5 Yrs | 10 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 12/27/00) | 8.73 | % | 4.54 | % | 11.04 | % | 4.59 | % | ||||||||
C Shares (Incep: 12/27/00) | 12.01 | % | 4.72 | % | 10.69 | % | 4.14 | % | ||||||||
I Shares (Incep: 11/3/03) | 14.45 | % | 6.03 | % | — | 8.15 | % | |||||||||
R3 Shares (Incep: 7/1/03) | 13.80 | % | 5.49 | % | — | 8.71 | % | |||||||||
R4 Shares (Incep: 2/1/07) | 13.91 | % | 5.59 | % | — | 2.02 | % | |||||||||
R5 Shares (Incep: 10/3/05) | 14.42 | % | 6.02 | % | — | 6.22 | % | |||||||||
Russell 3000G Index (Since: 12/27/00) | 10.42 | % | 7.44 | % | 8.84 | % | 2.24 | % |
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.
Certified Semi-Annual Report 31
OTHER INFORMATION | ||
Thornburg Core Growth Fund | March 31, 2013 (Unaudited) |
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to Thornburg Investment Management, Inc. (the “Advisor”) voting decisions respecting proxies for the Fund’s voting securities. The Advisor makes voting decisions in accordance with its Proxy Voting Policy and Procedures. A description of the Policy and Procedures is available (i) without charge, upon request, by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
Information regarding how proxies were voted is available on or before August 31 of each year for the twelve months ending the preceding June 30. This information is available (i) without charge, upon request by calling the Advisor toll-free at 1-800-847-0200, (ii) on the Thornburg website at www.thornburg.com, and (iii) on the Securities and Exchange Commission’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE
The Fund files with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund also makes this information available on its website at www.thornburg.com/download or upon request by calling 1-800-847-0200.
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TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
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 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 Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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, 2013. 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, volatility, and political and economic risks. 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, R5 and R6 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 | ||
Class R6 | THGIX | 885-216-820 |
Best International Multi-Cap Growth 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 11/30/12. The fund did not win the award for other time periods.
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.
Nikkei 255 Stock Average – The leading index of Japanese stocks. It is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
Median Market Capitalization – Market capitalization (market cap) is the total value of a company’s stock, calculated by multiplying the number of outstanding common shares by the current share price. The company whose market cap is in the middle of the portfolio is the median market cap. Half the companies in the portfolio have values greater than the median, and half have values that are less.
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.
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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 1.51% 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 employs a comprehensive, “go-every-where” 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 35–55 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 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.
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 2/1/07) | ||||||||||||||||
Without sales charge | 16.34 | % | 16.18 | % | 6.67 | % | 7.82 | % | ||||||||
With sales charge | 11.12 | % | 14.43 | % | 5.69 | % | 7.02 | % | ||||||||
MSCI AC World ex-U.S. Growth Index | ||||||||||||||||
(Since 2/1/07) | 9.10 | % | 5.48 | % | -0.21 | % | 1.15 | % |
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Much of the research process is focused on identifying how the overall market came to price a security. Many of the ideas are sourced through a quantitative screening process of the universe of international companies. Only those with the most appealing growth and valuation characteristics pass on to the step of having a complex financial model built. Thornburg’s growth investment team scours regulatory filings, visits company management, and interviews suppliers and customers. By doing this work, they develop their own view of the intrinsic value of the company. Only if their view is materially higher than the market do they make an investment.
Others may question how 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 returns over the long term.
Stocks Contributing and Detracting
For the Six Months Ended March 31, 2013
Top Contributors | Top Detractors | |
Japan Exchange Group, Inc. | Allot Communications Ltd. | |
Yoox S.p.A. | Baidu Inc. ADS | |
Valeant Pharmaceuticals International, Inc. | MakeMyTrip Ltd. | |
Sands China Ltd. | Hyundai Glovis Co. Ltd. | |
Jin Co. Ltd. | Cetip SA - Mercados Organizados | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-months* | 24.8x | |||
Portfolio Price to Cash Flow* | 15.3x | |||
Portfolio Price to Book Value* | 3.8x | |||
Median Market Cap* | $ | 4.2 B | ||
5-Year Beta (A Shares vs. Benchmark)* | 0.92 | |||
Number of Companies | 51 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Basket Structure
As of March 31, 2013
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Thornburg International Growth Fund –
March 31, 2013
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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 15, 2013
Dear Fellow Shareholder:
For the semi-annual period ended March 31, 2013 the Thornburg International Growth Fund returned 14.58% for the Class A shares at net asset value (NAV), outperforming the benchmark, the MSCI All Country World ex-U.S. Growth Index, which returned 10.02%. On March 31, 2013, the NAV of the Class A shares was $18.08. We are pleased with the Fund’s performance, and are happy to announce that the International Growth Fund was the recipient of two 2013 Lipper Fund Awards. The Fund’s Class I shares were recognized as Lipper’s Best International Multi-Cap Growth Fund over three and five year periods (from among 264 and 205 funds, respectively), based on risk-adjusted returns, as of November 30, 2012.
An old Wall Street adage states that bull markets climb a wall of worry. Over the past six months, stocks certainly seem to have done just that. One would hardly guess – looking at market returns alone – that we faced a number of significant uncertainties and concerns during the period: the U.S. presidential election, the transition of leadership in China, the U.S. fiscal cliff and budget sequestration, the Cyprus banking crisis, a massive stimulus package in Japan, France’s so-called super tax, North Korea’s saber rattling, even a return of avian flu. Despite all that, most markets across the world posted strong gains over the past six months.
Let’s turn to the Thornburg International Growth Fund itself and the key drivers of performance during the period. Materials, consumer discretionary, and energy sectors contributed the most to outperformance. Information technology, industrials, and utilities all detracted.
On a stock-by-stock basis, the Fund’s top contributors included Japan Exchange Group, YOOX, Valeant Pharmaceuticals, Jin Co., and Sands China.
Japan Exchange Group, an entity formed by the merger of the two largest investment exchanges in Japan – the OSE and the TSE Group – is now the third largest stock exchange in the world with a total of 8% of the world’s market capitalization. The stock performed well on the back of an extremely strong Japanese market: over the last six months, the Nikkei Index has been the strongest of the major world indices when measured in local currency.
YOOX is an online retailer of luxury clothing. It operates its own websites (under the YOOX brand) and manages websites for third-party brands such as Pucci. YOOX has reported strong results and announced a number of high-profile new-customer acquisitions. YOOX also announced the launch of its first Chinese website and a new mobile app.
Valeant Pharmaceuticals is a Canadian company that develops, manufactures, and markets a broad range of pharmaceutical products. Valeant has a unique operating philosophy for a pharmaceutical firm, focusing more on management and operations than research and development; acquiring already-approved drugs and undermanaged businesses, then driving operational efficiencies through cost-cutting and
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
revenue optimization. Valeant recently reported a solid quarter, beating earnings expectations and raising guidance. Management also disclosed that the recent acquisition of Medicis late last year is expected to yield greater synergies than initially anticipated.
Jin is a Japanese firm that operates about 160 stores in Japan, selling prescription and non-prescription eyewear under the brand J!NS. J!NS has succeeded in the Japanese eyewear market by offering high-quality, fashionable glasses at low prices. J!NS is able to offer lower prices than the competition by selling only private label eyewear and passing along the savings to the consumer. The company reported very high same-store sales results and is rapidly growing its store base. The stock has performed well as the broader market begins to appreciate the long-term growth potential and earnings power of this company.
Sands China operates casinos in Macau, which is seen as the gambling Mecca of Asia. Macau regulators have awarded six licenses to operate casinos, one of which went to Sands. While VIP (or high-roller) gaming has slowed along with the Chinese economy and the government transition, it continues to grow at a reasonable rate – stronger than expectations – with room for positive growth surprises as the government transition ends. Mass gaming (serving smaller players) continues to grow nicely, and Sands China has material exposure to this market.
Top detractors from performance during the period included Allot Communications, Baidu, MakeMyTrip Ltd., Hyundai Glovis, and Cetip SA.
Allot Communications manufactures deep-packet inspection equipment that allows telecom carriers and cable companies to monitor and control traffic on their networks. For example, Allot can give priority to video streaming customers to ensure that they experience no buffering as they view content, while delaying an email that is not time sensitive. Efficiency of existing network assets is improved. The stock has been weak as concerns of carrier spending weakness has surfaced causing Allot to lower guidance.
Baidu is the Google of China and is the dominant search engine provider, with 80% market share. Slow pricing growth, coupled with increasing margin pressure from marketing expenditures related to a new competitor’s recent market entrance, have caused the stock price to decline. We see Baidu as the long-term winner in the space and believe the stock will rebound when margins stabilize.
MakeMyTrip is the leading online travel website in India. The company recently reported disappointing results and guidance. Their reliance on air travel bookings (at lower prices and lower margins) has been a headwind and overall growth has not come through as expected. We sold the position during the period.
Hyundai Glovis is a logistics business in South Korea, whose primary customer is Hyundai Motor. Glovis has suffered from a strengthening Korean Won (which has hurt exports) and slowing growth at Hyundai Auto.
Cetip is a central securities depository and derivatives registrar in Brazil. Its technology and infrastructure solutions provide liquidity, security, and transparency for financial operations. Cetip has
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LETTER TO SHAREHOLDERS, | ||
CONTINUED |
underperformed over the past six months as BM&F Bovespa, the Brazilian stock exchange operator, has announced its intention to compete more directly with Cetip in the company’s core business. In addition, the Brazilian economy has experienced continued weakness with subdued credit expansion. We sold the position during the period.
A number of uncertainties and concerns remain. While the economic data continue to look choppy and the broader recovery looks lackluster, we do see some positive signs: the U.S. housing market continues to recover (which had not been the case over the last few years), China seems to have bottomed (only time will tell if this is the case), although Europe is still messy, its markets seem to be reacting less to headlines, and Japanese leaders appear steadfast in their resolve to boost their economy. We continue to look for promising growth companies with sound business fundamentals trading at reasonable valuations — no matter what the market environment.
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, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
Valeant Pharmaceuticals International, Inc. | 3.3 | % | Ziggo N.V. | 2.5 | % | |||||
MasterCard, Inc. | 3.2 | % | Telecity Group plc | 2.4 | % | |||||
Sands China Ltd. | 3.2 | % | Gemalto NV | 2.3 | % | |||||
Wirecard AG | 2.6 | % | Magnit OJCS GDR | 2.2 | % | |||||
Japan Exchange Group, Inc. | 2.5 | % | Constellation Software, Inc. | 2.2 | % |
Summary of Industry Exposure
As of 3/31/13
Software & Services | 17.9 | % | Materials | 3.8 | % | |||||
Retailing | 9.8 | % | Banks | 3.4 | % | |||||
Food & Staples Retailing | 7.2 | % | Transportation | 3.3 | % | |||||
Diversified Financials | 6.6 | % | Commercial & Professional Services | 2.2 | % | |||||
Consumer Services | 6.3 | % | Household & Personal Products | 2.1 | % | |||||
Semiconductors & Semiconductor Equipment | 5.3 | % | Consumer Durables & Apparel | 2.1 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 4.7 | % | Energy | 1.6 | % | |||||
Telecommunication Services | 4.6 | % | Health Care Equipment & Services | 1.3 | % | |||||
Automobiles & Components | 4.3 | % | Food, Beverage & Tobacco | 1.2 | % | |||||
Media | 4.2 | % | Other Assets & Liabilities | 4.1 | % | |||||
Technology Hardware & Equipment | 4.0 | % |
Summary of Country Exposure
As of 3/31/13 (percent of equity holdings)
United Kingdom | 15.8 | % | India | 2.5 | % | |||||
Canada | 9.5 | % | Russia | 2.3 | % | |||||
United States | 9.3 | % | Finland | 2.2 | % | |||||
Germany | 7.0 | % | Peru | 2.0 | % | |||||
Netherlands | 5.5 | % | Philippines | 1.9 | % | |||||
Indonesia | 4.5 | % | Poland | 1.9 | % | |||||
Denmark | 4.0 | % | Taiwan | 1.9 | % | |||||
South Korea | 4.0 | % | Argentina | 1.6 | % | |||||
France | 3.8 | % | Colombia | 1.5 | % | |||||
China | 3.7 | % | Costa Rica | 1.5 | % | |||||
Japan | 3.7 | % | Italy | 1.5 | % | |||||
Hong Kong | 3.3 | % | Australia | 1.2 | % | |||||
Israel | 2.9 | % | Brazil | 1.0 | % |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 95.84% | ||||||||
AUTOMOBILES & COMPONENTS — 4.26% | ||||||||
AUTO COMPONENTS — 4.26% | ||||||||
Delphi Automotive plc | 464,000 | $ | 20,601,600 | |||||
Nokian Renkaat OYJ | 440,000 | 19,571,298 | ||||||
|
| |||||||
40,172,898 | ||||||||
|
| |||||||
BANKS — 3.37% | ||||||||
COMMERCIAL BANKS — 3.37% | ||||||||
Bancolombia S.A. ADR | 210,500 | 13,314,125 | ||||||
Credicorp Ltd. | 110,800 | 18,398,340 | ||||||
|
| |||||||
31,712,465 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 2.19% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 2.19% | ||||||||
Mineral Resources Ltd. | 1,020,423 | 11,250,963 | ||||||
Multiplus SA | 635,000 | 9,364,345 | ||||||
|
| |||||||
20,615,308 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 2.09% | ||||||||
TEXTILES, APPAREL & LUXURY GOODS — 2.09% | ||||||||
Gildan Activewear, Inc. | 493,042 | 19,677,306 | ||||||
|
| |||||||
19,677,306 | ||||||||
|
| |||||||
CONSUMER SERVICES — 6.26% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 6.26% | ||||||||
a Jubilant FoodWorks Ltd. | 491,803 | 11,193,382 | ||||||
a Norwegian Cruise Line Holdings Ltd. | 603,996 | 17,908,481 | ||||||
Sands China Ltd. | 5,770,000 | 29,918,326 | ||||||
|
| |||||||
59,020,189 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 6.62% | ||||||||
CAPITAL MARKETS — 2.04% | ||||||||
Hargreaves Lansdown plc | 1,454,700 | 19,185,782 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 4.58% | ||||||||
IG Group Holdings plc | 2,363,047 | 19,173,436 | ||||||
Japan Exchange Group, Inc. | 259,300 | 24,019,716 | ||||||
|
| |||||||
62,378,934 | ||||||||
|
| |||||||
ENERGY — 1.63% | ||||||||
ENERGY EQUIPMENT & SERVICES — 1.63% | ||||||||
Anton Oilfield Services Group | 22,066,000 | 15,321,736 | ||||||
|
| |||||||
15,321,736 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 7.21% | ||||||||
FOOD & STAPLES RETAILING — 7.21% | ||||||||
Jeronimo Martins SGPS SA | 864,900 | 16,846,282 | ||||||
Magnit OJCS GDR | 468,700 | 21,161,805 | ||||||
PriceSmart, Inc. | 168,276 | 13,096,921 | ||||||
Puregold Price Club, Inc. | 17,098,800 | 16,780,371 | ||||||
|
| |||||||
67,885,379 | ||||||||
|
|
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
FOOD, BEVERAGE & TOBACCO — 1.25% | ||||||||
TOBACCO — 1.25% | ||||||||
ITC Ltd. | 2,066,900 | $ | 11,785,323 | |||||
|
| |||||||
11,785,323 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.32% | ||||||||
HEALTH CARE PROVIDERS & SERVICES — 1.32% | ||||||||
Orpea | 297,637 | 12,393,879 | ||||||
|
| |||||||
12,393,879 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 2.09% | ||||||||
PERSONAL PRODUCTS — 2.09% | ||||||||
ABLE C&C Co. Ltd. | 252,496 | 19,698,591 | ||||||
|
| |||||||
19,698,591 | ||||||||
|
| |||||||
MATERIALS — 3.82% | ||||||||
CHEMICALS — 3.82% | ||||||||
Christian Hansen Holding AS | 548,800 | 20,361,571 | ||||||
Novozymes AS | 460,400 | 15,609,463 | ||||||
|
| |||||||
35,971,034 | ||||||||
|
| |||||||
MEDIA — 4.20% | ||||||||
MEDIA — 4.20% | ||||||||
Kabel Deutschland Holding AG | 221,700 | 20,455,731 | ||||||
Rightmove plc | 706,200 | 19,110,761 | ||||||
|
| |||||||
39,566,492 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 4.67% | ||||||||
BIOTECHNOLOGY — 1.41% | ||||||||
Abcam plc | 1,963,100 | 13,348,172 | ||||||
PHARMACEUTICALS — 3.26% | ||||||||
a Valeant Pharmaceuticals International, Inc. | 409,160 | 30,695,183 | ||||||
|
| |||||||
44,043,355 | ||||||||
|
| |||||||
RETAILING — 9.76% | ||||||||
INTERNET & CATALOG RETAIL — 5.00% | ||||||||
a ASOS plc | 273,300 | 13,898,940 | ||||||
a priceline.com, Inc. | 28,358 | 19,508,319 | ||||||
a YOOX S.p.A | 730,441 | 13,688,945 | ||||||
MULTILINE RETAIL — 3.78% | ||||||||
Dollarama, Inc. | 231,500 | 14,865,133 | ||||||
PT Mitra Adiperkasa | 22,181,215 | 20,771,706 | ||||||
SPECIALTY RETAIL — 0.98% | ||||||||
Jin Co. Ltd. | 167,500 | 9,252,669 | ||||||
|
| |||||||
91,985,712 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 5.28% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 5.28% | ||||||||
ARM Holdings plc | 1,079,800 | 15,110,864 | ||||||
Hermes Microvision, Inc. | 697,906 | 16,921,055 | ||||||
Infineon Technologies AG | 2,237,100 | 17,664,591 | ||||||
|
| |||||||
49,696,510 | ||||||||
|
|
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
SOFTWARE & SERVICES — 17.96% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 7.09% | ||||||||
a InterXion Holding NV | 490,590 | $ | 11,882,090 | |||||
MasterCard, Inc. | 55,550 | 30,059,771 | ||||||
Wirecard AG | 899,105 | 24,836,773 | ||||||
INTERNET SOFTWARE & SERVICES — 5.79% | ||||||||
a Baidu, Inc. ADR | 207,220 | 18,173,194 | ||||||
MercadoLibre, Inc. | 144,791 | 13,981,019 | ||||||
Telecity Group plc | 1,632,980 | 22,417,922 | ||||||
SOFTWARE — 5.08% | ||||||||
a Allot Communications Ltd. | 867,676 | 10,360,051 | ||||||
Constellation Software, Inc. | 169,200 | 20,838,325 | ||||||
Solera Holdings, Inc. | 285,100 | 16,629,883 | ||||||
|
| |||||||
169,179,028 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.99% | ||||||||
COMPUTERS & PERIPHERALS — 3.99% | ||||||||
Gemalto NV | 251,341 | 21,924,462 | ||||||
a Stratasys Ltd. | 211,300 | 15,682,686 | ||||||
|
| |||||||
37,607,148 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 4.59% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.46% | ||||||||
Ziggo N.V. | 657,800 | 23,133,232 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 2.13% | ||||||||
a Tower Bersama Infrastructure | 32,294,400 | 20,106,109 | ||||||
|
| |||||||
43,239,341 | ||||||||
|
| |||||||
TRANSPORTATION — 3.28% | ||||||||
AIR FREIGHT & LOGISTICS — 3.28% | ||||||||
Hyundai Glovis Co. Ltd. | 95,600 | 16,497,573 | ||||||
TNT Express N.V. | 1,968,000 | 14,424,698 | ||||||
|
| |||||||
30,922,271 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $757,296,893) | 902,872,899 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 2.48% | ||||||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 3/28/2013 due 4/1/2013, repurchase price $8,000,320 collateralized by 4 U.S. Government Agency debt securities and 11 corporate debt securities, having an average coupon of 3.84%, a minimum credit rating of BBB, maturity dates from 3/18/2016 to 4/15/2042, and having an aggregate market value of $8,453,889 at 3/28/2013 | $ | 8,000,000 | 8,000,000 | |||||
Centerpoint Energy, 0.30%, 4/1/2013 | 15,400,000 | 15,400,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $23,400,000) | 23,400,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.32% (Cost $780,696,893) | $ | 926,272,899 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.68% | 15,803,400 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 942,076,299 | ||||||
|
|
Certified Semi-Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
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
14 Certified Semi-Annual Report
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Certified Semi-Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $780,696,893) (Note 2) | $ | 926,272,899 | ||
Cash | 33,747,349 | |||
Cash denominated in foreign currency (cost $952,689) | 952,067 | |||
Receivable for investments sold | 10,175,822 | |||
Receivable for fund shares sold | 18,737,980 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 3,218,936 | |||
Dividends receivable | 1,469,308 | |||
Dividend and interest reclaim receivable | 82,676 | |||
Interest receivable | 320 | |||
Prepaid expenses and other assets | 160,566 | |||
|
| |||
Total Assets | 994,817,923 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 49,744,534 | |||
Payable for fund shares redeemed | 1,850,372 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 155,639 | |||
Payable to investment advisor and other affiliates (Note 3) | 829,954 | |||
Deferred taxes payable | 78,302 | |||
Accounts payable and accrued expenses | 82,823 | |||
|
| |||
Total Liabilities | 52,741,624 | |||
|
| |||
NET ASSETS | $ | 942,076,299 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Net investment loss | $ | (2,277,751 | ) | |
Net unrealized appreciation on investments | 148,540,143 | |||
Accumulated net realized gain (loss) | (3,908,488 | ) | ||
Net capital paid in on shares of beneficial interest | 799,722,395 | |||
|
| |||
$ | 942,076,299 | |||
|
|
16 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 385,263,475 applicable to 21,303,795 shares of beneficial interest outstanding - Note 4) | $ | 18.08 | ||
Maximum sales charge, 4.50% of offering price | 0.85 | |||
|
| |||
Maximum offering price per share | $ | 18.93 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 80,658,649 applicable to 4,561,383 shares of beneficial interest outstanding - Note 4) | $ | 17.68 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 411,460,253 applicable to 22,343,043 shares of beneficial interest outstanding - Note 4) | $ | 18.42 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 9,513,341 applicable to 527,820 shares of beneficial interest outstanding - Note 4) | $ | 18.02 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($ 21,607,783 applicable to 1,200,549 shares of beneficial interest outstanding - Note 4) | $ | 18.00 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 33,556,779 applicable to 1,818,036 shares of beneficial interest outstanding - Note 4) | $ | 18.46 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($ 16,019 applicable to 867 shares of beneficial interest outstanding - Note 4) | $ | 18.49 | ||
|
|
* | 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 Growth Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME
Dividend income (net of foreign taxes withheld of $231,036) | $ | 4,027,038 | ||
Interest income | 61,584 | |||
|
| |||
Total Income | 4,088,622 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 3,047,845 | |||
Administration fees (Note 3) | ||||
Class A Shares | 191,897 | |||
Class C Shares | 41,033 | |||
Class I Shares | 71,850 | |||
Class R3 Shares | 4,609 | |||
Class R4 Shares | 9,674 | |||
Class R5 Shares | 6,427 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 378,104 | |||
Class C Shares | 330,185 | |||
Class R3 Shares | 18,538 | |||
Class R4 Shares | 19,071 | |||
Transfer agent fees | ||||
Class A Shares | 149,046 | |||
Class C Shares | 30,859 | |||
Class I Shares | 66,070 | |||
Class R3 Shares | 6,136 | |||
Class R4 Shares | 11,947 | |||
Class R5 Shares | 8,055 | |||
Class R6 Shares | 590 | |||
Registration and filing fees | ||||
Class A Shares | 28,502 | |||
Class C Shares | 610 | |||
Class I Shares | 16,918 | |||
Class R3 Shares | 9,341 | |||
Class R4 Shares | 9,282 | |||
Class R5 Shares | 9,251 | |||
Class R6 Shares | 6,623 | |||
Custodian fees (Note 3) | 126,841 | |||
Professional fees | 30,269 | |||
Accounting fees | 7,315 | |||
Trustee fees | 10,065 | |||
Other expenses | 59,413 | |||
|
| |||
Total Expenses | 4,706,366 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (111,171 | ) | ||
Investment advisory fees waived by investment advisor (Note 3) | (28,068 | ) | ||
Fees paid indirectly (Note 3) | (486 | ) | ||
|
| |||
Net Expenses | 4,566,641 | |||
|
| |||
Net Investment Loss | $ | (478,019 | ) | |
|
|
18 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Growth Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments (net of foreign capital gain taxes withheld of $137,136) | $ | 22,013,303 | ||
Forward currency contracts (Note 7) | 1,291,448 | |||
Foreign currency transactions | 53,315 | |||
|
| |||
23,358,066 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $509,336) | 78,012,507 | |||
Forward currency contracts (Note 7) | 2,413,452 | |||
Foreign currency translations | (17,736 | ) | ||
|
| |||
80,408,223 | ||||
|
| |||
Net Realized and Unrealized Gain | 103,766,289 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 103,288,270 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 19
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg International Growth Fund
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (478,019 | ) | $ | (1,126,019 | ) | ||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions, net of foreign capital gain taxes | 23,358,066 | (15,172,510 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | 80,408,223 | 79,279,293 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 103,288,270 | 62,980,764 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | — | (11,302 | ) | |||||
Class I Shares | — | (245,656 | ) | |||||
Class R3 Shares | — | (929 | ) | |||||
Class R4 Shares | — | (4,505 | ) | |||||
Class R5 Shares | — | (19,885 | ) | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 85,532,467 | 122,496,950 | ||||||
Class C Shares | 15,896,263 | 12,620,154 | ||||||
Class I Shares | 169,470,833 | 99,601,452 | ||||||
Class R3 Shares | 2,735,175 | 3,119,582 | ||||||
Class R4 Shares | 10,009,262 | 8,359,179 | ||||||
Class R5 Shares | 10,523,476 | 17,083,118 | ||||||
Class R6 Shares | 15,200 | — | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 397,470,946 | 325,978,922 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 544,605,353 | 218,626,431 | ||||||
|
|
|
| |||||
End of Period | $ | 942,076,299 | $ | 544,605,353 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Growth Fund | March 31, 2013 (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 seven classes of shares of beneficial interest outstanding: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” “Class R5,” and “Class R6”). 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 and Class R6 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 902,872,899 | $ | 902,872,899 | $ | — | $ | — | ||||||||
Short Term Investments | 23,400,000 | — | 23,400,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 926,272,899 | $ | 902,872,899 | $ | 23,400,000 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 3,218, 936 | $ | — | $ | 3,218,936 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (155,639 | ) | $ | — | $ | (155,639 | ) | $ | — | ||||||
Spot Currency | $ | (53,111 | ) | $ | (53,111 | ) | $ | — | $ | — |
* | 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. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments are recorded on an identified cost basis. Net investment
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. For the six months ended March 31, 2013, the Advisor voluntarily waived investment advisory fees of $28,068. 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $58,544 for Class I shares, $17,262 for Class R3 shares, $13,122 for Class R4 shares, $15,030 for Class R5 shares, and $7,213 for Class R6 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $25,339 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $8,100 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $486.
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
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, 2013, 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, 2013 (Unaudited) | September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 8,653,814 | $ | 144,678,760 | 12,941,145 | $ | 187,401,388 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 614 | 9,581 | ||||||||||||
Shares repurchased | (3,555,892 | ) | (59,146,293 | ) | (4,580,563 | ) | (64,921,668 | ) | ||||||||
Redemption fees received** | — | — | — | 7,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,097,922 | $ | 85,532,467 | 8,361,196 | $ | 122,496,950 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,273,366 | $ | 20,877,716 | 1,496,024 | $ | 21,154,431 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (305,724 | ) | (4,981,453 | ) | (602,003 | ) | (8,536,476 | ) | ||||||||
Redemption fees received** | — | — | — | 2,199 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 967,642 | $ | 15,896,263 | 894,021 | $ | 12,620,154 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 12,070,968 | $ | 205,886,658 | 10,700,499 | $ | 156,001,081 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 12,048 | 190,595 | ||||||||||||
Shares repurchased | (2,134,198 | ) | (36,415,825 | ) | (3,883,054 | ) | (56,595,538 | ) | ||||||||
Redemption fees received** | — | — | — | 5,314 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,936,770 | $ | 169,470,833 | 6,829,493 | $ | 99,601,452 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 258,205 | $ | 4,250,681 | 353,632 | $ | 5,122,691 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 44 | 683 | ||||||||||||
Shares repurchased | (93,252 | ) | (1,515,506 | ) | (135,178 | ) | (2,003,942 | ) | ||||||||
Redemption fees received** | — | — | — | 150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 164,953 | $ | 2,735,175 | 218,498 | $ | 3,119,582 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 788,757 | $ | 13,049,252 | 666,008 | $ | 9,582,033 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 209 | 3,239 | ||||||||||||
Shares repurchased | (182,096 | ) | (3,039,990 | ) | (83,272 | ) | (1,226,176 | ) | ||||||||
Redemption fees received** | — | — | — | 83 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 606,661 | $ | 10,009,262 | 582,945 | $ | 8,359,179 | ||||||||||
|
|
|
|
|
|
|
|
26 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
Six Months Ended | Year Ended | |||||||||||||||
March 31, 2013 (Unaudited) | September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,463,838 | $ | 24,623,671 | 1,282,201 | $ | 18,775,403 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 1,254 | 19,885 | ||||||||||||
Shares repurchased | (843,457 | ) | (14,100,195 | ) | (114,778 | ) | (1,712,501 | ) | ||||||||
Redemption fees received** | — | — | — | 331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 620,381 | $ | 10,523,476 | 1,168,677 | $ | 17,083,118 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 Shares* | ||||||||||||||||
Shares sold | 867 | $ | 15,200 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
Redemption fees received | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 867 | $ | 15,200 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
* | Effective date for this Class of shares was February 1, 2013. |
** | 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 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $692,114,819 and $389,123,750, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 780,696,893 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 157,988,467 | ||
Gross unrealized depreciation on a tax basis | (12,412,461 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 145,576,006 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis late-year ordinary investment losses of $1,799,732 and capital losses of $13,574,084 occuring subsequent to October 31, 2011. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $11,872,802, 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. These capital loss carryforwards expire on September 30, 2018.
Certified Semi-Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $85,750,064. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts to
Buy or Sell at March 31, 2013
Contract | Contract | Value | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | Amount | Value Date | USD | Appreciation | Depreciation | ||||||||||||||||||
Australian Dollar | Sell | 5,750,100 | 09/05/2013 | 5,917,589 | $ | — | $ | (127,583 | ) | |||||||||||||||
Euro | Sell | 62,534,300 | 09/20/2013 | 80,268,635 | 650,124 | — | ||||||||||||||||||
Euro | Sell | 12,506,800 | 09/20/2013 | 16,053,650 | 132,526 | — | ||||||||||||||||||
Japanese Yen | Sell | 938,309,100 | 05/28/2013 | 9,971,504 | 1,435,958 | — | ||||||||||||||||||
Japanese Yen | Sell | 567,410,000 | 05/28/2013 | 6,029,922 | 939,090 | — | ||||||||||||||||||
Japanese Yen | Sell | 1,021,096,500 | 05/28/2013 | 10,851,293 | 61,238 | — | ||||||||||||||||||
Japanese Yen | Sell | 226,637,400 | 05/28/2013 | 2,408,498 | — | (28,056 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 3,218,936 | $ | (155,639 | ) | |||||||||||||||||||
|
|
|
|
28 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | March 31, 2013 (Unaudited) |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 3,218,936 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (155,639 | ) |
The net realized gains (losses) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 1,291,448 | $ | 1,291,448 |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 2,413,452 | $ | 2,413,452 |
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 29
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 |
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2013(b)(c) | $ | 15.78 | (0.02 | ) | 2.32 | 2.30 | — | — | — | $18.08 | (0.26 | )(d) | 1.41 | (d) | 1.41 | (d) | 1.41 | (d) | 14.58 | 57.72 | $ | 385,263 | ||||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.37 | (0.06 | ) | 2.47 | 2.41 | — | (e) | — | — | $15.78 | (0.41 | ) | 1.51 | 1.51 | 1.52 | 18.03 | 95.17 | $ | 255,725 | ||||||||||||||||||||||||||||||||||||||
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 | — | (f) | 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 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
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2013(b) | $ | 15.49 | (0.08 | ) | 2.27 | 2.19 | — | — | — | $17.68 | (1.01 | )(d) | 2.15 | (d) | 2.15 | (d) | 2.15 | (d) | 14.14 | 57.72 | $ | 80,659 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.23 | (0.17 | ) | 2.43 | 2.26 | — | — | — | $15.49 | (1.19 | ) | 2.27 | 2.27 | 2.28 | 17.08 | 95.17 | $ | 55,656 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class I Shares |
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2013(b) | $ | 16.04 | 0.02 | 2.36 | 2.38 | — | — | — | $18.42 | 0.18 | (d) | 0.98 | (d) | 0.98 | (d) | 1.03 | (d) | 14.84 | 57.72 | $ | 411,460 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 13.55 | 0.02 | 2.50 | 2.52 | (0.03 | ) | — | (0.03 | ) | $16.04 | 0.10 | 0.99 | 0.99 | 1.14 | 18.60 | 95.17 | $ | 198,938 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
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2013(b) | $ | 15.73 | (0.03 | ) | 2.32 | 2.29 | — | — | — | $18.02 | (0.34 | )(d) | 1.50 | (d) | 1.50 | (d) | 1.97 | (d) | 14.56 | 57.72 | $ | 9,513 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.34 | (0.06 | ) | 2.45 | 2.39 | — | (e) | — | — | $15.73 | (0.40 | ) | 1.50 | 1.50 | 2.49 | 17.94 | 95.17 | $ | 5,709 | ||||||||||||||||||||||||||||||||||||||
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 |
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2013(b) | $ | 15.70 | (0.02 | ) | 2.32 | 2.30 | — | — | — | $18.00 | (0.22 | )(d) | 1.39 | (d) | 1.39 | (d) | 1.57 | (d) | 14.65 | 57.72 | $ | 21,608 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.31 | (0.04 | ) | 2.46 | 2.42 | (0.03 | ) | — | (0.03 | ) | $15.70 | (0.29 | ) | 1.40 | 1.40 | 2.23 | 18.17 | 95.17 | $ | 9,326 | |||||||||||||||||||||||||||||||||||||
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) | 86l.94 | (d)(g) | (25.68 | ) | 54.31 | $ | 2 | ||||||||||||||||||||||||||||||||||
Class R5 Shares |
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2013(b) | $ | 16.07 | 0.02 | 2.37 | 2.39 | — | — | — | $18.46 | 0.18 | (d) | 0.98 | (d) | 0.98 | (d) | 1.11 | (d) | 14.87 | 57.72 | $ | 33,557 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 13.58 | 0.02 | 2.50 | 2.52 | (0.03 | ) | — | (0.03 | ) | $16.07 | 0.13 | 0.99 | 0.99 | 1.29 | 18.56 | 95.17 | $ | 19,251 | |||||||||||||||||||||||||||||||||||||||
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) | 85l.43 | (d)(g) | (25.45 | ) | 54.31 | $ | 2 | ||||||||||||||||||||||||||||||||||
Class R6 Shares |
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2013(b)(i) | $ | 17.54 | 0.03 | 0.92 | 0.95 | — | — | — | $18.49 | 0.88 | (d) | 0.89 | (d) | 0.89 | (d) | 304.10 | (d)(g) | 5.42 | 57.72 | $ | 16 |
(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) | 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) | Effective date of this Class of shares was February 1, 2013. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
30 Certified Semi-Annual Report | Certified Semi-Annual Report 31 |
EXPENSE EXAMPLE | ||
Thornburg International Growth Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
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 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,145.80 | $ | 7.52 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.92 | $ | 7.08 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,141.40 | $ | 11.45 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.23 | $ | 10.77 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,148.40 | $ | 5.27 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.03 | $ | 4.95 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,145.60 | $ | 8.00 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.47 | $ | 7.53 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,146.50 | $ | 7.46 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.98 | $ | 7.01 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,148.70 | $ | 5.27 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.02 | $ | 4.96 | ||||||
Class R6 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.20 | $ | 4.56 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.49 | $ | 4.48 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.41%; C: 2.15%; I: 0.98%; R3: 1.50%; R4: 1.39%; R5: 0.98%; R6: 0.89%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
For each class of shares, the second line of the table above 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.
32 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg International Growth Fund | March 31, 2013 (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, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 2/1/07) | 11.12 | % | 14.43 | % | 5.69 | % | 7.02 | % | ||||||||
C Shares (Incep: 2/1/07) | 14.48 | % | 15.28 | % | 5.97 | % | 7.11 | % | ||||||||
I Shares (Incep: 2/1/07) | 16.95 | % | 16.81 | % | 7.28 | % | 8.45 | % | ||||||||
R3 Shares (Incep: 2/1/08) | 16.33 | % | 16.19 | % | 6.73 | % | 5.76 | % | ||||||||
R4 Shares (Incep: 2/1/08) | 16.50 | % | 16.33 | % | 6.84 | % | 5.87 | % | ||||||||
R5 Shares (Incep: 2/1/08) | 16.91 | % | 16.79 | % | 7.28 | % | 6.29 | % | ||||||||
R6 Shares (Incep: 2/1/13)* | — | — | — | 5.42 | % | |||||||||||
MSCI AC World ex-U.S. Growth Index (Since 2/1/07) | 9.10 | % | 5.48 | % | -0.21 | % | 1.15 | % |
* | Not annualized for periods less than one year. |
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, R5 and R6 shares.
Certified Semi-Annual Report 33
Thornburg International Growth Fund | March 31, 2013 (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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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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IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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
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.
FlNRA-Bloomberg Active Investment Grade U.S. Corporate Bond Index – This index is comprised of the “active” (most frequently traded) fixed-coupon, investment-grade bonds represented by FINRA TRACE, FINRA’s transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds.
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.
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 EM (Emerging Markets) Latin America Index – A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets in Latin America. The index consists of the following 5 emerging market country indices: Brazil, Chile, Colombia, Mexico, and Peru.
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 four 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.
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IMPORTANT INFORMATION, CONTINUED
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.
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.
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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 10% 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 1,000 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 appears to be emerging since 2008.
Percentage of Companies Paying Dividends in Russell 1000 Index
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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 | 34 | % | 71 | % | ||||
Utilities | 23 | % | 1 | % | ||||
Consumer Discretionary | 9 | % | 7 | % | ||||
Information Technology | 7 | % | 3 | % | ||||
Energy | 6 | % | 4 | % | ||||
Industrials | 5 | % | 7 | % | ||||
Materials | 5 | % | 1 | % | ||||
Telecommunication Services | 5 | % | 3 | % | ||||
Consumer Staples | 4 | % | 2 | % | ||||
Health Care | 2 | % | 1 | % |
Source: FactSet as of March 31, 2013.
In the (large cap) Russell 1000 Index, 57% of the top 100 dividend payers are in the financials and utilities sectors. In the (small cap) Russell 2000 Index, 71% 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.
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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
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PORTFOLIO OVERVIEW
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.
Portfolio Managers
Jason Brady, CFA, Brian McMahon and Ben Kirby, 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 1.43%, as disclosed in the most recent Prospectus.
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 | ¢ | 26.0 | ¢ | 28.5 | ¢ | 36.0 | ¢ | 112.0 | ¢ | ||||||||||
2013 | 21.5 | ¢ | ||||||||||||||||||
30-day SEC Yield as of 3/31/13 (A Shares): 4.12% |
Key Portfolio Attributes
As of March 31, 2013
Equity Statistics | ||||
Portfolio P/E (12-mo. trailing) | 13.9x | |||
Median Market Cap | $12.6 B | |||
Equity & Pref. Equity Holdings | 106 | |||
Fixed Income Statistics | ||||
Weighted Avg. Coupon | 8.2% | |||
Average Maturity | 10.55 yrs | |||
Effective Duration | 3.84 yrs | |||
Bond Holdings | 170 |
Portfolio Composition
As of March 31, 2013
Average Annual Total Returns
For periods ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 12/24/02) | ||||||||||||||||||||
Without sales charge | 14.29 | % | 9.58 | % | 6.00 | % | 11.76 | % | 11.34 | % | ||||||||||
With sales charge | 9.14 | % | 7.90 | % | 5.02 | % | 11.25 | % | 10.85 | % | ||||||||||
Blended Index | ||||||||||||||||||||
(Since 12/24/02) | 9.96 | % | 8.03 | % | 3.44 | % | 8.18 | % | 7.55 | % | ||||||||||
S&P 500 Index | ||||||||||||||||||||
(Since 12/24/02) | 13.96 | % | 12.67 | % | 5.81 | % | 8.53 | % | 7.82 | % |
Blended Index: 25% Barclays Aggregate Bond Index and 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/ 31/13
| Top Ten Industries As of 12/31/12
| |||||||||
Telecommunication Services | 18.1 | % | Telecommunication Services | 19.8 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.6 | % | Energy | 11.2 | % | |||||
Diversified Financials | 9.2 | % | Diversified Financials | 9.7 | % | |||||
Energy | 9.2 | % | Utilities | 9.0 | % | |||||
Real Estate | 7.1 | % | Pharmaceuticals, Biotechnology & Life Sciences | 8.2 | % | |||||
Utilities | 7.1 | % | Real Estate | 7.0 | % | |||||
Insurance | 5.2 | % | Materials | 4.6 | % | |||||
Food, Beverage & Tobacco | 4.0 | % | Food, Beverage & Tobacco | 3.9 | % | |||||
Banks | 3.8 | % | Consumer Services | 3.2 | % | |||||
Materials | 3.6 | % | Banks | 3.2 | % |
Top Ten Industries As of 9/30/12
|
| Top Ten Industries As of 6/30/12
|
| |||||||
Telecommunication Services | 19.9 | % | Telecommunication Services | 23.8 | % | |||||
Energy | 10.9 | % | Utilities | 11.3 | % | |||||
Utilities | 10.2 | % | Energy | 10.2 | % | |||||
Diversified Financials | 8.6 | % | Real Estate | 8.3 | % | |||||
Real Estate | 7.5 | % | Diversified Financials | 7.8 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 6.2 | % | Pharmaceuticals, Biotechnology & Life Sciences | 7.6 | % | |||||
Banks | 4.4 | % | Banks | 6.0 | % | |||||
Materials | 4.1 | % | Semiconductors & Semiconductor Equipment | 4.5 | % | |||||
Food, Beverage & Tobacco | 3.8 | % | Food, Beverage & Tobacco | 4.3 | % | |||||
Insurance | 3.4 | % | Software & Services | 3.3 | % |
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Thornburg Investment Income Builder Fund –
March 31, 2013
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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 semiannual shareholder reports fully and fairly represents their financial position.
10 Certified Semi-Annual Report
April 22, 2013
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, 2013 and comment on the overall investment landscape, which continues to evolve in important ways.
Thornburg Investment Income Builder Fund paid ordinary quarterly dividends of 57.5¢ per Class A share in the six-month period ended March 31, 2013, down 2.5% from 59¢ in the comparable six-month period of the prior fiscal year. The dividend per share was higher for Class I and R5 shares and lower for Class C, R3 and R4 shares, to account for varying class-specific expenses.
Your Fund’s net asset value (NAV) increased by $1.18 per Class A share during the period under review to $20.08, bringing the six-month total return to 9.42%.
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 1.43%, as disclosed in the most recent Prospectus.
Your Fund outperformed its blended benchmark (75% MSCI World Index; 25% Barclays Aggregate U.S. Bond Index) by 1.64% over the six-month period. The Fund underperformed the S&P 500 Index by 0.77% over the same period. Performance comparisons of Investment Income Builder 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. It is not unusual for Investment Income Builder to trail these benchmarks over shorter measurement periods where annualized benchmark returns are greater than 10%.
The quarter ended March 31, 2013 was the 41st full calendar quarter since the inception of Thornburg Investment Income Builder in December 2002. In 31 of these quarters, including the first quarter of 2013, the Fund delivered a positive total return. The Fund has delivered positive total returns in nine of its 10 calendar years of existence. We are also proud of the fact that Thornburg Investment Income Builder has delivered tax-efficient average annual total returns in excess of 11% since its inception (A shares at NAV).
We do not expect to pay any capital gain dividends for 2013. At March 31, 2013, the Fund had realized capital losses of over $1 billion, which may be carried forward to offset future capital gains to the extent permitted by regulations.
In assessing the performance of Thornburg Investment Income Builder Fund during the semi-annual period under review, 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, 2013. The MSCI World Index comprises 75%, and the entire equity portion, of your Fund’s global performance benchmark:
1. | All 10 index sectors showed positive total returns for the period, ranging from approximately 1.34% (for information technology) to more than 16% (for consumer discretionary). Stocks of firms in the health care, consumer staples, consumer discretionary, and industrials sectors delivered index-beating returns, while stocks of firms in the information technology, energy, telecommunications, and utilities sectors joined those in the materials sector in underperforming the Index. Generally speaking, Thornburg Investment Income Builder maintains higher allocations to firms in these index-trailing sectors (excepting information technology), due to their above-average cash flow and dividend paying characteristics. In the period under review, this did not hurt the Fund’s performance relative to the Index for reasons noted as follows. |
Certified Semi-Annual Report 11
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
2. | Income Builder Fund investments in firms in the financials (24% Fund weighting), telecommunications (20%), health care (11%), consumer staples (10%), energy (9%) and utilities (7%) sectors comprised the largest sector weightings in the Fund portfolio. The Fund’s performance relative to the MSCI World Index was hurt by comparatively small portfolio allocations to firms in the strongly performing industrials and consumer discretionary sectors, and by underperformance from our equity investments in the energy sector. Strong performance from the Fund’s investments in firms in the telecommunications and materials sectors, combined with a relatively small portfolio allocation to information technology investments more than compensated. |
3. | In the Income Builder portfolio, 56 equity and one bond investment contributed positive returns of at least 0.05% to the portfolio during the six-month period. Eight of our equity investments and one bond contributed returns of negative 0.05% or worse. None of the negative-performing equities cut their dividend payments during the quarter, and we have retained six of these in the Income Builder portfolio. We sold the Fund’s investment in Annaly Capital Management. |
Investment Income Builder’s bond holdings delivered modest positive returns during the period, but were a drag on overall portfolio returns relative to the MSCI World Index for the period.
Strong absolute and relative returns from your Fund’s holdings in the telecommunications sector were the primary factor driving the Fund’s outperformance vis-à-vis the MSCI World Index in the semi-annual period. Telefonica Brazil, Australia’s Telstra, Russia’s Megafon, Saudi Arabia’s Etihad Etisalat Co., and Switzerland’s Swisscom each contributed significantly to performance for the period, and most portfolio holdings in the telecommunications sector made positive contributions to performance.
Your Fund’s average return from its investments in the financial sector did not quite match the performance of the equities in the finance sector of the MSCI World Index in the period. Fund investments in J.P. Morgan, Chimera Investment Corp., MFA Financial, Senior Housing Properties Trust, and Gjensidige Forsikring were among the strongest performers in the portfolio. A growing expectation that interest rates will remain “lower for longer” in the United States and Europe caused near-term earnings estimates for several of our financial holdings to be reduced in recent months. The ongoing environment of low bond yields is making it impossible for many so-called non-bank financials to maintain dividends at prior-year levels. Nevertheless, financial asset prices are well supported by low interest rates, and investors appreciate the interesting-if-lower dividends paid by many of these firms in light of low and declining bond yields.
Investment Income Builder’s holdings in the health care sector continued the positive price appreciation seen in the last two years, led by Roche, Novartis, and Pfizer. The Fund’s weighting in firms from the health care sector was slightly below that of the MSCI World Index, but our holdings delivered returns above sector averages.
Nine out of ten of the Fund investments in the consumer staples sector added share price appreciation during the period. Eight of those ten holdings also added rising dividends to generate positive contributions to portfolio performance. Over the last year, investors have bid up prices of most dividend paying firms in this sector.
Income Builder’s energy investments lagged the overall performance of the sector. Oil prices remained firm throughout the period, though they slipped in April. Much of the gas produced by the European multinationals held in the Fund’s portfolio was sold at formula rates tied to oil prices.
Your Fund’s holdings in the utilities sector lagged the already below-market returns from this sector, weighted down by negative contributions from U.S. electric utility Entergy, multinational electric power generator GDF Suez, and French giant Electricite de France.
12 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
Among other portfolio holdings, notable contributors included chemicals producer LyondellBasell Industries, casino operators Wynn Resorts and Sands China, Hong Kong conglomerate Hopewell Holdings Ltd., and satellite operator Eutelsat Communications. The former benefitted from low gas input prices in its North American processing operations. Negative contributors included gold miner Gold Fields Ltd., Microsoft, and a bond issued by Central European Distribution Corp.
The British pound and certain Asian currencies depreciated modestly vis-à-vis the U.S. dollar during the period, while the euro and Swiss franc were essentially unchanged. We hedged a majority of the currency exposure to the British pound, the euro and other European currencies tied to it, since we are more focused on risk control than on reaping possible currency gains from exposure to assets denominated in these currencies. This was a modest positive for performance relative to the unhedged MSCI World Index during the semi-annual period ended March 31, 2013.
Within its bond portfolio, Investment Income Builder owned significantly fewer U.S. government and agency bonds than the Barclays U.S. Aggregate Bond Index. This fact was helpful again in the six-month period under review, since yield spreads of corporate credits over comparable maturity U.S. government yield levels fell. Corporate bond prices have increased as their yields have declined, leading us to allocate most incoming cash flows to equities in recent quarters. You can expect us to increase the portfolio’s allocation to bonds if rising yields lead to lower bond prices. Readers of this commentary who are longtime shareholders of the Fund will recall that the interest-bearing debt portion of the Fund’s portfolio has varied over time, ranging from less than 12% in mid-2005 to 45% at June 30, 2009.
Interest Bearing Investments as a Percentage of Total Portfolio
as of March 31, 2013
As of March 31, 2013 the Fund portfolio included more than 172 bonds and hybrid securities.
Investors have experienced well above-average financial market volatility over the last four years. Investment bank Credit Suisse points out that the average number of quarters with a return of greater than positive 10% or less than negative 10% in each of the last six decades is just below eight quarters per decade. There are 40 quarters per decade, so these “highly volatile” quarterly results have occurred just 20% of the time over the six-decade span. In 11 of the last eighteen calendar quarters, the returns to the S&P 500 Index have been either less than or equal to negative 10%, or greater than or equal to positive 10%. Equity mutual fund investors
Certified Semi-Annual Report 13
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
clearly do not welcome the more volatile equity returns seen since 2008, as indicated by outflows of investor dollars from both equity mutual funds and individual equities. Returns to shareholders of Thornburg Investment Income Builder have been considerably less volatile than returns to broad equity market indices.
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 during the global financial crisis due to more than 20% aggregate declines in dividends paid in 2009 in most developed country equity markets. Dividend increases since 2010 have brought aggregate dividends paid by U.S. listed firms back above pre-financial-crisis levels. For the U.S. equity market as a whole, the dividend payout ratio is around 33% of corporate earnings. For the Income Builder equity portfolio as a whole, the dividend payout ratio is slightly above 60%, reflecting our preference for owning firms with both the ability and willingness to pay attractive dividends. Outside the United States, dividend yields and payout ratios tend to be higher, but dividend growth has been lower since 2010. Readers should be aware that the reduced yields now available from bond investments pose a formidable near-term challenge to delivering year-over-year dividend increases on Investment Income Builder Fund shares.
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. The political debate around tax rates for dividends to higher income taxpayers 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. On January 2, 2013 legislators raised the prior 50% combined rate for the government’s share of distributed corporate profits (35% corporate tax rate + 15% tax rate on dividends received) to 55% by increasing the maximum dividend tax rate to 20%. This acts as a disincentive for corporations to favor dividends over other uses for accumulated earnings and profits.
Investors seek additional clarity on how European governments (and financial institutions) will manage through a debt contraction and at least one state default. Interestingly, a strong surge by European indices in the second half of 2012 led most of these to outperform the U.S. equity market for 2012. The European Central Bank and the Bank of Japan have joined the Federal Reserve and the Bank of England in creating sufficient liquidity to avoid deflationary outcomes. Investors also have questions about whether China can transition from an investment led economy to a consumer led economy, and whether the United States government can implement a reasonable framework of pro-growth policies, while also reining in public sector borrowing.
We do not expect to know clear answers to these questions during the coming months. There will be news from day to day that will feed hopes or fan despair, thereby moving the prices of financial assets by significant percentages. The “fiscal cliff” debate contributed to a negative return for the S&P 500 Index in the fourth quarter of 2012, and the decision to take no further legislative action and allow the previously negotiated “sequester” to take effect was viewed positively by investors in the March 2013 quarter. The actual impact of the sequester will be felt over the summer. Any ongoing failure to resolve the budget debate will likely be negative for equity market sentiment, while any reasonable compromise should be positive.
Earnings expectations for the MSCI World Index portfolio have been reduced for 2013 and 2014 in recent quarters, as global economic growth has been below prior expectations. Most major central banks around the world have significantly eased monetary conditions, and give no indications of changing course. Equity price movements in the first fiscal half of 2013 appear to incorporate expectations that lower interest rates and plentiful liquidity will create a foundation for better economic growth in the future. Bond yields have dropped significantly over the last six quarters, as indicated by a 1.52% average yield decline in the FlNRA-Bloomberg Active Investment Grade U.S. Corporate Bond Index, from 4.80% on September 30, 2011 to 3.28% on March 31, 2013.
14 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
While lower interest rates are good news for borrowers, they have negative consequences for conservative savers. Interest income as a percentage of overall personal income in the United States has fallen from more than 11% in 2008 to around 7% today. The interest contribution to personal income is set to continue dropping in 2013 as previously issued bonds and CDs mature.
Investors must consider other options. Yields on taxable and tax-exempt money funds remain below 1/5 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 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 website, www. thornburg.com/funds. Best wishes for a wonderful summer.
Sincerely,
![]() | ![]() | ![]() | ||
Brian McMahon | Jason Brady, CFA | Ben Kirby, CFA | ||
Portfolio Manager | Portfolio Manager | Portfolio Manager | ||
CEO & Chief Investment Officer | Managing Director | Managing Director |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager, and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
Certified Semi-Annual Report 15
SCHEDULE OF INVESTMENTS | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Summary of Industry Exposure
As of 3/31/13
Telecommunication Services | 18.1 | % | Household & Personal Products | 1.7 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.6 | % | Transportation | 1.6 | % | |||||
Diversified Financials | 9.2 | % | Capital Goods | 1.4 | % | |||||
Energy | 9.2 | % | Retailing | 0.8 | % | |||||
Real Estate | 7.1 | % | Miscellaneous | 0.5 | % | |||||
Utilities | 7.1 | % | Health Care Equipment & Services | 0.4 | % | |||||
Insurance | 5.2 | % | Technology Hardware & Equipment | 0.1 | % | |||||
Food, Beverage & Tobacco | 4.0 | % | Other Non-Classified Securities: | |||||||
Banks | 3.8 | % | Asset Backed Securities | 0.6 | % | |||||
Materials | 3.6 | % | Other Securities | 0.4 | % | |||||
Food & Staples Retailing | 3.1 | % | U.S. Government Agencies | 0.1 | % | |||||
Consumer Services | 3.0 | % | Municipal Bonds* | 0.0 | % | |||||
Semiconductors & Semiconductor Equipment | 2.6 | % | Other Government* | 0.0 | % | |||||
Software & Services | 2.5 | % | Other Assets & Liabilities | 2.3 | % | |||||
Media | 2.0 | % | ||||||||
* Percentage was less than 0.1%. |
Top Ten Equity Holdings
As of 3/31/13
Telefonica Brasil ADR | 2.7 | % | Telstra Corp. Ltd. | 2.2 | % | |||||
Total SA | 2.6 | % | Pfizer, Inc. | 2.2 | % | |||||
Microsoft Corp. | 2.3 | % | Walgreen Co. | 2.1 | % | |||||
JPMorgan Chase & Co. | 2.2 | % | TDC A/S | 1.9 | % | |||||
Roche Holding AG | 2.2 | % | Intel Corp. | 1.8 | % |
16 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Summary of Country Exposure
As of 3/31/13
United States | 45.7 | % | Luxembourg | 0.9 | % | |||||
Switzerland | 9.2 | % | Mexico | 0.8 | % | |||||
France | 8.1 | % | South Africa | 0.7 | % | |||||
Netherlands | 4.7 | % | Taiwan | 0.6 | % | |||||
Brazil | 4.6 | % | Bermuda | 0.5 | % | |||||
United Kingdom | 3.6 | % | Saudi Arabia | 0.5 | % | |||||
Australia | 3.1 | % | Philippines | 0.5 | % | |||||
Denmark | 1.9 | % | Israel | 0.4 | % | |||||
Italy | 1.6 | % | Cayman Islands | 0.4 | % | |||||
Norway | 1.6 | % | Germany | 0.2 | % | |||||
Canada | 1.5 | % | Japan | 0.2 | % | |||||
Hong Kong | 1.4 | % | Argentina | 0.2 | % | |||||
Spain | 1.3 | % | South Korea | 0.1 | % | |||||
China | 1.2 | % | Trinidad and Tobago | 0.1 | % | |||||
Russia | 1.2 | % | Other Assets & Liabilities | 2.3 | % | |||||
Singapore | 0.9 | % |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 82.82% | ||||||||
BANKS — 1.89% | ||||||||
COMMERCIAL BANKS — 1.89% | ||||||||
Banco Santander Brasil SA | 16,160,000 | $ | 117,321,600 | |||||
Banque Cantonale Vaudoise | 44,400 | 24,788,792 | ||||||
Liechtensteinische Landesbank AG | 1,150,000 | 44,095,649 | ||||||
St. Galler Kantonalbank | 78,741 | 33,178,553 | ||||||
Standard Chartered plc | 1,201,600 | 31,102,005 | ||||||
|
| |||||||
250,486,599 | ||||||||
|
| |||||||
CAPITAL GOODS — 1.21% | ||||||||
INDUSTRIAL CONGLOMERATES — 1.21% | ||||||||
Hopewell Holdings Ltd. | 24,950,340 | 101,247,104 | ||||||
NWS Holdings Ltd. | 32,931,000 | 58,967,852 | ||||||
|
| |||||||
160,214,956 | ||||||||
|
| |||||||
CONSUMER SERVICES — 2.76% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 2.76% | ||||||||
McDonald’s Corp. | 1,460,000 | 145,547,400 | ||||||
Sands China Ltd. | 17,000,000 | 88,147,580 | ||||||
Wynn Resorts Ltd. | 1,058,800 | 132,519,408 | ||||||
|
| |||||||
366,214,388 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 7.49% | ||||||||
CAPITAL MARKETS — 4.13% | ||||||||
AllianceBernstein Holdings LP | 1,200,000 | 26,280,000 |
Certified Semi-Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Apollo Global Management, LLC | 1,751,900 | $ | 37,911,116 | |||||
a Apollo Investment Corp. | 13,316,000 | 111,321,760 | ||||||
Ares Capital Corp. | 6,894,000 | 124,781,400 | ||||||
GAM Holding AG | 1,998,682 | 33,792,106 | ||||||
Och-Ziff Capital Management Group, LLC | 7,313,010 | 68,376,644 | ||||||
a Solar Capital Ltd. | 3,775,000 | 88,674,750 | ||||||
a Solar Capital Ltd. | 150,000 | 3,523,500 | ||||||
The Blackstone Group LP | 2,698,000 | 53,366,440 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 3.36% | ||||||||
JPMorgan Chase & Co. | 6,228,000 | 295,580,880 | ||||||
a KKR Financial Holdings, LLC | 13,587,346 | 150,411,920 | ||||||
|
| |||||||
994,020,516 | ||||||||
|
| |||||||
ENERGY — 7.22% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 7.22% | ||||||||
Canadian Oil Sands Ltd. | 3,282,400 | 67,661,029 | ||||||
Eni S.p.A. | 7,253,000 | 162,981,034 | ||||||
Husky Energy, Inc. | 3,198,500 | 91,813,023 | ||||||
Linn Co., LLC | 1,576,900 | 61,577,945 | ||||||
Royal Dutch Shell plc ADR | 3,577,800 | 233,129,448 | ||||||
Total SA | 7,113,900 | 340,638,688 | ||||||
|
| |||||||
957,801,167 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.04% | ||||||||
FOOD & STAPLES RETAILING — 3.04% | ||||||||
Koninklijke Ahold NV | 7,874,200 | 120,668,384 | ||||||
Walgreen Co. | 5,935,000 | 282,980,800 | ||||||
|
| |||||||
403,649,184 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 3.71% | ||||||||
BEVERAGES — 1.43% | ||||||||
Coca Cola Co. | 4,475,000 | 180,969,000 | ||||||
Companhia de Bebidas das Americas ADR | 200,000 | 8,466,000 | ||||||
FOOD PRODUCTS — 0.66% | ||||||||
Nestle SA | 1,217,700 | 88,059,733 | ||||||
TOBACCO — 1.62% | ||||||||
British American Tobacco plc | 607,200 | 32,540,450 | ||||||
Lorillard, Inc. | 1,273,000 | 51,365,550 | ||||||
Philip Morris International, Inc. | 1,413,000 | 130,999,230 | ||||||
|
| |||||||
492,399,963 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.71% | ||||||||
HOUSEHOLD PRODUCTS — 1.71% | ||||||||
Kimberly-Clark Corp. | 840,000 | 82,303,200 | ||||||
Reckitt Benckiser plc | 2,013,500 | 144,343,058 | ||||||
|
| |||||||
226,646,258 | ||||||||
|
|
18 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
INSURANCE — 3.45% | ||||||||
INSURANCE — 3.45% | ||||||||
Gjensidige Forsikring ASA | 7,320,059 | $ | 120,752,932 | |||||
Scor SE | 2,912,300 | 83,622,203 | ||||||
Swiss Re Ltd. | 1,116,200 | 90,772,822 | ||||||
Zurich Financial Services AG | 582,100 | 162,004,445 | ||||||
|
| |||||||
457,152,402 | ||||||||
|
| |||||||
MATERIALS — 3.03% | ||||||||
CHEMICALS — 0.93% | ||||||||
Israel Chemicals Ltd. | 4,416,000 | 57,059,753 | ||||||
LyondellBasell Industries NV | 1,057,000 | 66,897,530 | ||||||
METALS & MINING — 2.10% | ||||||||
Gold Fields Ltd. ADR | 12,217,700 | 94,687,175 | ||||||
Nucor Corp. | 1,685,000 | 77,762,750 | ||||||
Southern Copper Corp. | 2,824,700 | 106,123,979 | ||||||
|
| |||||||
402,531,187 | ||||||||
|
| |||||||
MEDIA — 1.65% | ||||||||
MEDIA — 1.65% | ||||||||
Eutelsat Communications | 4,150,000 | 146,317,819 | ||||||
SES SA | 2,318,000 | 72,649,022 | ||||||
|
| |||||||
218,966,841 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 9.31% | ||||||||
PHARMACEUTICALS — 9.31% | ||||||||
Merck & Co. | 4,700,000 | 207,881,000 | ||||||
Novartis AG | 3,309,500 | 235,147,767 | ||||||
Pfizer, Inc. | 9,904,000 | 285,829,440 | ||||||
Roche Holding AG | 1,255,800 | 292,354,156 | ||||||
Sanofi-Aventis | 2,097,200 | 213,101,340 | ||||||
|
| |||||||
1,234,313,703 | ||||||||
|
| |||||||
REAL ESTATE — 7.04% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 7.04% | ||||||||
Capstead Mortgage Corp. | 3,500,000 | 44,870,000 | ||||||
Chimera Investment Corp. | 47,300,000 | 150,887,000 | ||||||
Digital Realty Trust, Inc. | 1,045,000 | 69,920,950 | ||||||
a Dynex Capital, Inc. | 4,562,000 | 48,722,160 | ||||||
a Invesco Mortgage Capital, Inc. | 7,000,000 | 149,730,000 | ||||||
a MFA Financial, Inc. | 19,800,000 | 184,536,000 | ||||||
Senior Housing Properties Trust | 4,415,000 | 118,454,450 | ||||||
Silver Bay Realty Trust Corp. | 132,300 | 2,738,610 | ||||||
Two Harbors Investment Corp. | 2,700,000 | 34,047,000 | ||||||
a Washington REIT | 4,640,000 | 129,177,600 | ||||||
|
| |||||||
933,083,770 | ||||||||
|
| |||||||
RETAILING — 0.80% | ||||||||
SPECIALTY RETAIL — 0.80% | ||||||||
Staples, Inc. | 7,872,900 | 105,733,047 | ||||||
|
| |||||||
105,733,047 | ||||||||
|
|
Certified Semi-Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.47% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.47% | ||||||||
Intel Corp. | 11,075,000 | $ | 241,988,750 | |||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 25,400,000 | 84,942,731 | ||||||
|
| |||||||
326,931,481 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 2.31% | ||||||||
SOFTWARE — 2.31% | ||||||||
Microsoft Corp. | 10,700,000 | 306,127,000 | ||||||
|
| |||||||
306,127,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 16.49% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 12.65% | ||||||||
AT&T, Inc. | 6,150,000 | 225,643,500 | ||||||
Singapore Telecommunications Ltd. | 39,500,000 | 114,008,143 | ||||||
Swisscom AG | 476,400 | 220,409,649 | ||||||
TDC A/S | 33,170,000 | 254,859,931 | ||||||
Telefonica Brasil ADR | 13,200,000 | 352,176,000 | ||||||
Telenor ASA | 3,982,700 | 87,076,281 | ||||||
Telstra Corp. Ltd. | 62,000,000 | 291,126,483 | ||||||
Ziggo N.V. | 3,780,000 | 132,933,439 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 3.84% | ||||||||
Etihad Etisalat Co. | 3,030,000 | 65,848,487 | ||||||
b MegaFon OAO | 2,600,000 | 80,600,000 | ||||||
Philippine Long Distance Telephone Co. | 867,300 | 63,501,406 | ||||||
VimpelCom Ltd. ADR | 5,600,000 | 66,584,000 | ||||||
Vodafone Group plc | 81,928,700 | 232,291,884 | ||||||
|
| |||||||
2,187,059,203 | ||||||||
|
| |||||||
TRANSPORTATION — 1.31% | ||||||||
TRANSPORTATION INFRASTRUCTURE — 1.31% | ||||||||
China Merchants Holdings International Co. Ltd. | 20,720,430 | 68,066,675 | ||||||
Jiangsu Express Co., Ltd. | 36,530,000 | 36,706,237 | ||||||
Sydney Airport | 20,385,909 | 69,617,337 | ||||||
|
| |||||||
174,390,249 | ||||||||
|
| |||||||
UTILITIES — 5.93% | ||||||||
ELECTRIC UTILITIES — 2.29% | ||||||||
Duke Energy Corp. | 1,436,000 | 104,239,240 | ||||||
EDP - Energias do Brasil SA | 5,200,000 | 32,475,071 | ||||||
Electricite de France SA | 3,709,100 | 71,127,511 | ||||||
Entergy Corp. | 1,514,000 | 95,745,360 | ||||||
GAS UTILITIES — 0.87% | ||||||||
Enagas SA | 2,879,100 | 67,039,324 | ||||||
Snam S.p.A. | 10,440,000 | 47,588,249 | ||||||
MULTI-UTILITIES — 2.77% | ||||||||
Dominion Resources, Inc. | 1,267,000 | 73,714,060 | ||||||
GDF Suez | 10,500,000 | 202,160,688 | ||||||
Sempra Energy | 1,150,000 | 91,931,000 | ||||||
|
| |||||||
786,020,503 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $9,523,797,169) | 10,983,742,417 | |||||||
|
|
20 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
PREFERRED STOCK — 2.24% | ||||||||
BANKS — 1.37% | ||||||||
COMMERCIAL BANKS — 1.37% | ||||||||
Barclays Bank plc Pfd, 7.10% | 200,000 | $ | 5,098,000 | |||||
Fifth Third Bancorp Pfd, 8.50% | 714,700 | 102,452,245 | ||||||
First Niagara Financial Group Pfd, 8.625% | 143,295 | 4,199,976 | ||||||
First Tennessee Bank Pfd, 3.75% | 12,000 | 8,898,750 | ||||||
GMAC Capital Trust I Pfd, 8.125% | 628,126 | 17,085,027 | ||||||
c United Community Bank Pfd, 5.00% | 35,000 | 33,896,450 | ||||||
Wintrust Financial Corp. Pfd, 5.00% | 10,000 | 10,456,900 | ||||||
|
| |||||||
182,087,348 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.21% | ||||||||
CAPITAL MARKETS — 0.02% | ||||||||
Morgan Stanley Pfd, 4.00% | 120,000 | 2,760,000 | ||||||
CONSUMER FINANCE — 0.19% | ||||||||
Ally Financial, Inc. Pfd, 8.50% | 930,495 | 24,918,656 | ||||||
|
| |||||||
27,678,656 | ||||||||
|
| |||||||
ENERGY — 0.16% | ||||||||
OIL, GAS & CONSUMABLE FUELS — 0.16% | ||||||||
Sanchez Energy Corp. Pfd, 6.50% | 400,000 | 21,132,000 | ||||||
|
| |||||||
21,132,000 | ||||||||
|
| |||||||
INSURANCE — 0.18% | ||||||||
INSURANCE — 0.18% | ||||||||
Principal Financial Group Pfd, 5.563% | 234,400 | 23,491,287 | ||||||
|
| |||||||
23,491,287 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.09% | ||||||||
U.S. GOVERNMENT AGENCIES — 0.09% | ||||||||
Farm Credit Bank of Texas Pfd, 10.00% | 9,000 | 11,424,375 | ||||||
|
| |||||||
11,424,375 | ||||||||
|
| |||||||
REAL ESTATE — 0.09% | ||||||||
REAL ESTATE INVESTMENT TRUSTS — 0.09% | ||||||||
Alexandria Real Estate Pfd, 7.00% | 463,500 | 12,746,250 | ||||||
|
| |||||||
12,746,250 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.14% | ||||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.14% | ||||||||
Centaur Funding Corp. Pfd, 9.08% | 15,000 | 18,750,000 | ||||||
|
| |||||||
18,750,000 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $254,883,958) | 297,309,916 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 0.63% | ||||||||
COMMERCIAL MTG TRUST — 0.14% | ||||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.914%, 3/25/2034 | $ | 1,253,712 | 969,631 | |||||
d CVS Pass-Through Trust, 9.35%, 1/10/2023 | 15,000,000 | 17,095,185 | ||||||
|
| |||||||
18,064,816 | ||||||||
|
|
Certified Semi-Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
OTHER ASSET BACKED — 0.21% | ||||||||
Fairway Outdoor Funding, LLC, 8.835%, 10/15/2042 | $ | 7,000,000 | $ | 7,089,884 | ||||
c,d JPR Royalty, LLC, 14.00%, 9/1/2020 | 5,000,000 | 4,400,000 | ||||||
MIRAMAX LLC, 10.00%, 10/20/2021 | 12,458,333 | 12,747,292 | ||||||
c Northwind Holdings, LLC Floating Rate Note, 1.067%, 12/1/2037 | 4,243,750 | 3,861,813 | ||||||
|
| |||||||
28,098,989 | ||||||||
|
| |||||||
RESIDENTIAL MTG TRUST — 0.28% | ||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.594%, 12/20/2036 | 3,086,371 | 461,336 | ||||||
Banc of America Mtg Securities, Inc., Series 2005-A Class B1 Floating Rate Note, 3.172%, 2/25/2035 | 4,530,897 | �� | 366,329 | |||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.492%, 8/25/2033 | 397,549 | 327,682 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.924%, 9/25/2035 | 20,100,000 | 17,687,656 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.575%, 8/25/2034 | 5,848,330 | 3,745,409 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.524%, 11/25/2035 | 7,406,841 | 7,125,523 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.354%, 6/25/2036 | 5,624,476 | 5,537,876 | ||||||
Structured Asset Security Corp., Series 2002-27A Class B1, 2.62%, 1/25/2033 | 1,890,532 | 1,059,942 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.616%, 2/25/2035 | 8,560,206 | 819,458 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR2 Class B1, 2.674%, 3/25/2035 | 6,959,577 | 442,096 | ||||||
|
| |||||||
37,573,307 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $99,477,920) | 83,737,112 | |||||||
|
| |||||||
CORPORATE BONDS — 9.44% | ||||||||
BANKS — 0.42% | ||||||||
COMMERCIAL BANKS — 0.42% | ||||||||
d,e Banco Pine SA, 8.75%, 1/6/2017 | 7,274,000 | 7,619,515 | ||||||
d Emigrant Bancorp, 6.25%, 6/15/2014 | 16,958,000 | 16,307,678 | ||||||
Fifth Third Bancorp, 6.25%, 5/1/2013 | 2,750,000 | 2,762,457 | ||||||
d,e Groupe BPCE, 12.50%, 12/31/2049 | 10,211,000 | 12,588,162 | ||||||
PNC Financial Services Group, Inc., 8.25%, 12/31/2049 | 10,000,000 | 10,060,970 | ||||||
Provident Bank of Maryland, 9.50%, 5/1/2018 | 5,600,000 | 5,765,071 | ||||||
|
| |||||||
55,103,853 | ||||||||
|
| |||||||
CAPITAL GOODS — 0.20% | ||||||||
INDUSTRIAL CONGLOMERATES — 0.18% | ||||||||
d Nesco LLC/Holdings Corp., 11.75%, 4/15/2017 | 4,000,000 | 4,400,000 | ||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 17,000,000 | 19,890,000 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 0.02% | ||||||||
International Lease Finance Corp., 4.875%, 4/1/2015 | 2,000,000 | 2,097,500 | ||||||
|
| |||||||
26,387,500 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.04% | ||||||||
DIVERSIFIED CONSUMER SERVICES — 0.03% | ||||||||
d Laureate Education, Inc., 9.25%, 9/1/2019 | 4,500,000 | 5,000,625 | ||||||
HOTELS, RESTAURANTS & LEISURE — 0.01% | ||||||||
d Seneca Nation Indians Capital Improvements Authority, 6.75%, 12/1/2013 | 770,000 | 769,669 | ||||||
|
| |||||||
5,770,294 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.85% | ||||||||
CAPITAL MARKETS — 0.07% | ||||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | 8,000,000 | 8,956,704 | ||||||
CONSUMER FINANCE — 0.27% | ||||||||
American Express Credit Co., 5.875%, 5/2/2013 | 5,000,000 | 5,021,770 |
22 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Capital One Financial Corp., 6.15%, 9/1/2016 | $ | 25,000,000 | $ | 28,739,500 | ||||
TMX Finance, LLC/TitleMax Finance Corp., 13.25%, 7/15/2015 | 2,500,000 | 2,737,500 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.51% | ||||||||
d,e CFG Holdings Ltd./CFG Finance, LLC, 11.50%, 11/15/2019 | 17,000,000 | 17,255,000 | ||||||
Citigroup, Inc., 5.00%, 9/15/2014 | 16,250,000 | 17,062,987 | ||||||
JPMorgan Chase & Co., 7.90%, 12/31/2049 | 15,000,000 | 17,232,435 | ||||||
National Rural Utilities CFC, 10.375%, 11/1/2018 | 5,000,000 | 7,297,085 | ||||||
SquareTwo Financial Corp., 11.625%, 4/1/2017 | 8,850,000 | 9,004,875 | ||||||
|
| |||||||
113,307,856 | ||||||||
|
| |||||||
ENERGY — 1.78% | ||||||||
ENERGY EQUIPMENT & SERVICES — 0.31% | ||||||||
e Floatel International Ltd., 8.00%, 10/11/2017 | 15,500,000 | 16,236,250 | ||||||
Nabors Industries, Inc., 9.25%, 1/15/2019 | 10,500,000 | 13,504,911 | ||||||
d,e RDS Ultra-Deepwater Ltd., 11.875%, 3/15/2017 | 10,400,000 | 11,570,000 | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.47% | ||||||||
Black Elk Energy Offshore Operations, LLC, 13.75%, 12/1/2015 | 11,269,000 | 11,212,655 | ||||||
d DCP Midstream, LLC, 9.75%, 3/15/2019 | 5,000,000 | 6,584,875 | ||||||
Enbridge Energy Partners LP, 9.875%, 3/1/2019 | 9,750,000 | 13,301,779 | ||||||
Endeavour International, 12.00%, 3/1/2018 | 5,100,000 | 4,908,750 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 14,480,000 | 16,796,800 | ||||||
EP Energy, LLC Everest Acquisition Finance, Inc., 6.875%, 5/1/2019 | 1,000,000 | 1,095,000 | ||||||
d,e Gaz Capital SA, 8.146%, 4/11/2018 | 2,000,000 | 2,417,500 | ||||||
d Green Field Energy Services, 13.25%, 11/15/2016 | 16,000,000 | 16,480,000 | ||||||
d Green Field Energy Services, 13.25%, 11/15/2016 | 379,000 | 390,370 | ||||||
d GS Caltex Corp., 7.25%, 7/2/2013 | 7,000,000 | 7,099,981 | ||||||
Kinder Morgan Energy Partners LP, 9.00%, 2/1/2019 | 8,000,000 | 10,702,992 | ||||||
d Linc Energy U.S.A./Linc Energy Finance, 12.50%, 10/31/2017 | 8,000,000 | 8,760,000 | ||||||
d Maritimes & Northeast Pipeline, LLC, 7.50%, 5/31/2014 | 6,435,000 | 6,709,259 | ||||||
NuStar Logistics, 8.15%, 4/15/2018 | 18,000,000 | 20,594,088 | ||||||
Oneok Partners LP, 8.625%, 3/1/2019 | 8,000,000 | 10,596,544 | ||||||
d,e Petro Co. Trinidad Tobago Ltd., 9.75%, 8/14/2019 | 4,000,000 | 5,230,000 | ||||||
RAAM Global Energy Co., 12.50%, 10/1/2015 | 15,000,000 | 15,750,000 | ||||||
Southern Union Co., 3.316%, 11/1/2066 | 23,020,000 | 20,200,050 | ||||||
Teppco Partners LP, 7.00%, 6/1/2067 | 7,000,000 | 7,420,000 | ||||||
d Woodside Financial Ltd., 8.125%, 3/1/2014 | 8,000,000 | 8,512,072 | ||||||
|
| |||||||
236,073,876 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.19% | ||||||||
FOOD PRODUCTS — 0.07% | ||||||||
d Harmony Foods Corp., 10.00%, 5/1/2016 | 8,913,000 | 9,603,757 | ||||||
TOBACCO — 0.12% | ||||||||
Altria Group, Inc., 8.50%, 11/10/2013 | 4,000,000 | 4,190,840 | ||||||
Altria Group, Inc., 9.70%, 11/10/2018 | 3,632,000 | 5,054,542 | ||||||
d,e B.A.T. International Finance plc, 9.50%, 11/15/2018 | 5,000,000 | 6,932,765 | ||||||
|
| |||||||
25,781,904 | ||||||||
|
|
Certified Semi-Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.44% | ||||||||
HEALTH CARE PROVIDERS & SERVICES — 0.25% | ||||||||
Aurora Diagnostics Holdings, LLC, 10.75%, 1/15/2018 | $ | 11,000,000 | $ | 8,580,000 | ||||
d Prospect Medical Holdings, Inc., 8.375%, 5/1/2019 | 23,500,000 | 25,027,500 | ||||||
HEALTH CARE TECHNOLOGY — 0.19% | ||||||||
Merge Healthcare, Inc., 11.75%, 5/1/2015 | 23,250,000 | 24,819,375 | ||||||
|
| |||||||
58,426,875 | ||||||||
|
| |||||||
INSURANCE — 1.41% | ||||||||
INSURANCE — 1.41% | ||||||||
d,e Dai Ichi Mutual Life Insurance Co. Ltd., 7.25%, 12/31/2049 | 9,000,000 | 10,162,350 | ||||||
Hartford Financial Services Group, 8.125%, 6/15/2068 | 9,650,000 | 11,447,313 | ||||||
d Liberty Mutual Group, Inc., 5.75%, 3/15/2014 | 1,000,000 | 1,037,608 | ||||||
d MetLife Capital Trust X, 9.25%, 4/8/2068 | 12,000,000 | 16,740,000 | ||||||
MetLife, Inc., 6.817%, 8/15/2018 | 4,000,000 | 4,986,128 | ||||||
d National Life Insurance of Vermont, 10.50%, 9/15/2039 | 2,000,000 | 2,844,152 | ||||||
d,e Oil Insurance Ltd., 3.293%, 12/31/2049 | 4,000,000 | 3,671,508 | ||||||
d Prudential Holdings, LLC, 8.695%, 12/18/2023 | 4,500,000 | 5,776,839 | ||||||
d,e QBE Capital Funding III Ltd., 7.25%, 5/24/2041 | 40,000,000 | 42,000,000 | ||||||
d,e QBE Insurance Group Ltd., 5.647%, 7/1/2023 | 12,863,000 | 12,818,738 | ||||||
Transatlantic Holdings, Inc., 5.75%, 12/14/2015 | 14,647,000 | 16,226,108 | ||||||
d White Mountains Re Group Ltd., 7.506%, 12/31/2049 | 28,590,000 | 30,259,942 | ||||||
d ZFS Finance USA Trust II, 6.45%, 12/15/2065 | 25,748,000 | 27,743,470 | ||||||
d ZFS Finance USA Trust V, 6.50%, 5/9/2067 | 1,260,000 | 1,348,200 | ||||||
|
| |||||||
187,062,356 | ||||||||
|
| |||||||
MATERIALS — 0.48% | ||||||||
CONSTRUCTION MATERIALS — 0.21% | ||||||||
d,e CEMEX Espana Luxembourg, 9.875%, 4/30/2019 | 1,460,000 | 1,680,752 | ||||||
d CEMEX Finance, LLC, 9.50%, 12/14/2016 | 10,000,000 | 10,825,000 | ||||||
CRH America, Inc., 8.125%, 7/15/2018 | 12,000,000 | 14,913,648 | ||||||
CONTAINERS & PACKAGING — 0.02% | ||||||||
d Plastipak Holdings, Inc., 10.625%, 8/15/2019 | 2,250,000 | 2,576,250 | ||||||
METALS & MINING — 0.25% | ||||||||
d,e Anglo American Capital plc, 9.375%, 4/8/2014 | 3,500,000 | 3,778,527 | ||||||
d Coeur d’Alene Mines Corp., 7.875%, 2/1/2021 | 9,000,000 | 9,506,250 | ||||||
d,e FMG Resources Ltd., 8.25%, 11/1/2019 | 8,500,000 | 9,169,375 | ||||||
d GTL Trade Finance, Inc., 7.25%, 10/20/2017 | 7,000,000 | 7,994,000 | ||||||
e Thompson Creek Metals Co., 9.75%, 12/1/2017 | 2,500,000 | 2,712,500 | ||||||
|
| |||||||
63,156,302 | ||||||||
|
| |||||||
MEDIA — 0.35% | ||||||||
MEDIA — 0.35% | ||||||||
Comcast Cable Communications, LLC, 8.875%, 5/1/2017 | 5,000,000 | 6,449,780 | ||||||
d,e Mood Media Corp., 9.25%, 10/15/2020 | 9,000,000 | 9,832,500 | ||||||
Time Warner Cable, Inc., 8.75%, 2/14/2019 | 14,000,000 | 18,515,168 | ||||||
Time Warner Cable, Inc., 8.25%, 2/14/2014 | 4,000,000 | 4,255,036 | ||||||
WMG Holdings Corp., 13.75%, 10/1/2019 | 6,000,000 | 7,065,000 | ||||||
|
| |||||||
46,117,484 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.25% | ||||||||
BIOTECHNOLOGY — 0.05% | ||||||||
c,d Ironwood Pharmaceuticals, Inc., 11.00%, 6/15/2024 | 7,000,000 | 7,000,000 |
24 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
LIFE SCIENCES TOOLS & SERVICES — 0.08% | ||||||||
d BPA Laboratories, Inc., 12.25%, 4/1/2017 | $ | 12,000,000 | $ | 11,010,000 | ||||
PHARMACEUTICALS — 0.12% | ||||||||
c,d Alvogen Pharma U.S., Inc., 10.50%, 3/15/2019 | 12,000,000 | 12,120,000 | ||||||
Tiers Inflation Linked Trust, Series Wyeth 2004-21 Trust Certificate CPI Floating Rate Note, 3.591%, 2/1/2014 | 3,000,000 | 3,067,800 | ||||||
|
| |||||||
33,197,800 | ||||||||
|
| |||||||
RETAILING — 0.04% | ||||||||
MULTILINE RETAIL — 0.01% | ||||||||
d,e Grupo Famsa S.A.B. de C.V., 11.00%, 7/20/2015 | 1,500,000 | 1,605,000 | ||||||
SPECIALTY RETAIL — 0.03% | ||||||||
Best Buy Co., Inc., 7.25%, 7/15/2013 | 4,000,000 | 4,060,000 | ||||||
|
| |||||||
5,665,000 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.09% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.09% | ||||||||
KLA Tencor Corp., 6.90%, 5/1/2018 | 10,000,000 | 11,988,060 | ||||||
|
| |||||||
11,988,060 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.11% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.11% | ||||||||
d,e EAccess Ltd., 8.25%, 4/1/2018 | 5,600,000 | 6,202,000 | ||||||
c Yahoo!, Inc., 6.65%, 8/10/2026 | 7,848,299 | 8,554,646 | ||||||
|
| |||||||
14,756,646 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 0.08% | ||||||||
COMPUTERS & PERIPHERALS — 0.08% | ||||||||
d,e Global A&T Electronics Ltd., 10.00%, 2/1/2019 | 10,000,000 | 10,700,000 | ||||||
|
| |||||||
10,700,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 1.42% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.31% | ||||||||
e Deutsche Telekom International Finance B.V., 8.75%, 6/15/2030 | 26,150,000 | 37,028,949 | ||||||
Level 3 Communications, Inc., 11.875%, 2/1/2019 | 6,000,000 | 7,035,000 | ||||||
d Level 3 Communications, Inc., 8.875%, 6/1/2019 | 9,000,000 | 9,832,500 | ||||||
Qwest Corp., 6.75%, 12/1/2021 | 9,000,000 | 10,362,546 | ||||||
e Telecom Italia Capital SA, 5.25%, 10/1/2015 | 4,190,000 | 4,420,530 | ||||||
e Telefonica Emisiones SAU, 6.221%, 7/3/2017 | 2,770,000 | 3,099,309 | ||||||
e Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 85,390,000 | 91,666,080 | ||||||
d,e Telemar Norte Leste SA, 5.50%, 10/23/2020 | 9,065,000 | 9,450,262 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.11% | ||||||||
d,e VimpelCom (UBS SA), 8.25%, 5/23/2016 | 4,500,000 | 5,035,500 | ||||||
d,e VimpelCom Holdings BV, 7.504%, 3/1/2022 | 8,735,000 | 9,720,308 | ||||||
|
| |||||||
187,650,984 | ||||||||
|
| |||||||
TRANSPORTATION — 0.20% | ||||||||
AIR FREIGHT & LOGISTICS — 0.01% | ||||||||
d SPL Logistics Escrow, LLC, 8.875%, 8/1/2020 | 800,000 | 850,000 | ||||||
AIRLINES — 0.16% | ||||||||
d,e Air Canada, 9.25%, 8/1/2015 | 17,000,000 | 18,105,000 | ||||||
US Airways, 6.25%, 10/22/2024 | 2,709,490 | 3,007,534 |
Certified Semi-Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
MARINE — 0.03% | ||||||||
d Windsor Petroleum Transport Corp., 7.84%, 1/15/2021 | $ | 7,615,202 | $ | 4,977,189 | ||||
|
| |||||||
26,939,723 | ||||||||
|
| |||||||
UTILITIES — 1.09% | ||||||||
ELECTRIC UTILITIES — 0.53% | ||||||||
Alabama Power Capital Trust V, 3.408%, 10/1/2042 | 4,000,000 | 3,985,160 | ||||||
Arizona Public Service Co., 8.75%, 3/1/2019 | 6,500,000 | 8,781,013 | ||||||
d,e Enel Finance International S.A., 6.25%, 9/15/2017 | 40,000,000 | 44,642,800 | ||||||
Entergy Gulf States Louisiana, LLC, 6.00%, 5/1/2018 | 8,000,000 | 9,442,296 | ||||||
d Great River Energy, 5.829%, 7/1/2017 | 1,300,796 | 1,411,894 | ||||||
d Monongahela Power Co., 7.95%, 12/15/2013 | 2,000,000 | 2,096,962 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.15% | ||||||||
d,e Inkia Energy Ltd., 8.375%, 4/4/2021 | 18,000,000 | 20,331,000 | ||||||
MULTI-UTILITIES — 0.41% | ||||||||
Ameren Illinois Co., 9.75%, 11/15/2018 | 5,000,000 | 6,886,730 | ||||||
Black Hills Corp., 9.00%, 5/15/2014 | 4,500,000 | 4,872,429 | ||||||
d Enogex, LLC, 6.875%, 7/15/2014 | 2,000,000 | 2,105,924 | ||||||
d Enogex, LLC, 6.25%, 3/15/2020 | 2,500,000 | 2,828,752 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 | 20,000,000 | 24,017,700 | ||||||
Sempra Energy, 9.80%, 2/15/2019 | 7,750,000 | 10,893,904 | ||||||
Sempra Energy, 8.90%, 11/15/2013 | 2,000,000 | 2,099,784 | ||||||
|
| |||||||
144,396,348 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $1,064,206,766) | 1,252,482,861 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.42% | ||||||||
DIVERSIFIED FINANCIALS — 0.20% | ||||||||
CAPITAL MARKETS — 0.20% | ||||||||
Hercules Technology Growth Capital, Inc., 6.00%, 4/15/2016 | 9,762,000 | 10,603,972 | ||||||
d Technology Investment CA, 7.50%, 11/1/2017 | 15,000,000 | 15,178,125 | ||||||
|
| |||||||
25,782,097 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.03% | ||||||||
BEVERAGES — 0.03% | ||||||||
b,f Central European Distribution Corp., 3.00%, 3/15/2013 | 18,239,000 | 3,647,800 | ||||||
|
| |||||||
3,647,800 | ||||||||
|
| |||||||
MATERIALS — 0.03% | ||||||||
METALS & MINING — 0.03% | ||||||||
d,e Jaguar Mining, Inc., 4.50%, 11/1/2014 | 11,000,000 | 3,960,000 | ||||||
|
| |||||||
3,960,000 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.06% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.06% | ||||||||
e Trina Solar Ltd., 4.00%, 7/15/2013 | 8,500,000 | 8,330,000 | ||||||
|
| |||||||
8,330,000 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.10% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.10% | ||||||||
d Alaska Communication Systems Group, Inc., 6.25%, 5/1/2018 | 15,600,000 | 11,144,250 |
26 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Level 3 Communications, Inc., 7.00%, 3/15/2015 | $ | 2,000,000 | $ | 2,331,250 | ||||
|
| |||||||
13,475,500 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $75,843,035) | 55,195,397 | |||||||
|
| |||||||
WARRANTS — 0.01% | ||||||||
b Green Field Energy Services | 16,000 | 880,000 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $627,343) | 880,000 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.03% | ||||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 | 2,555,000 | 2,827,159 | ||||||
Victor, New York, 9.20%, 5/1/2014 | 410,000 | 418,614 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $2,917,801) | 3,245,773 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 0.07% | ||||||||
d Agribank FCB, 9.125%, 7/15/2019 | 6,750,000 | 9,098,757 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $6,750,000) | 9,098,757 | |||||||
|
| |||||||
OTHER GOVERNMENT — 0.02% | ||||||||
e Export-Import Bank of Korea, 8.125%, 1/21/2014 | 2,750,000 | 2,904,388 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $2,748,045) | 2,904,388 | |||||||
|
| |||||||
FOREIGN BONDS — 1.66% | ||||||||
BANKS — 0.15% | ||||||||
COMMERCIAL BANKS — 0.15% | ||||||||
d Banco Santander (BRL), 8.00%, 3/18/2016 | 40,000,000 | 19,972,783 | ||||||
|
| |||||||
19,972,783 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.16% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 0.16% | ||||||||
d Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 | 43,000,000 | 22,013,362 | ||||||
|
| |||||||
22,013,362 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.47% | ||||||||
CAPITAL MARKETS — 0.02% | ||||||||
Morgan Stanley (BRL), 10.09%, 5/3/2017 | 4,560,000 | 2,414,549 | ||||||
CONSUMER FINANCE — 0.21% | ||||||||
d Cash Store Financial (CAD), 11.50%, 1/31/2017 | 10,250,000 | 7,565,536 | ||||||
d Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 | 12,000,000 | 20,366,704 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.24% | ||||||||
Bank of America Corp. (BRL), 10.00%, 11/19/2014 | 6,500,000 | 3,321,168 | ||||||
c Bank of America Corp. (BRL), 10.75%, 8/20/2018 | 5,000,000 | 2,697,018 | ||||||
KFW (BRL), 5.375%, 9/14/2015 | 53,000,000 | 25,768,898 | ||||||
|
| |||||||
62,133,873 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.02% | ||||||||
FOOD & STAPLES RETAILING — 0.02% | ||||||||
Wesfarmers Ltd. (AUD), 5.683%, 9/11/2014 | 2,000,000 | 2,133,792 | ||||||
|
| |||||||
2,133,792 | ||||||||
|
|
Certified Semi-Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
FOOD, BEVERAGE & TOBACCO — 0.07% | ||||||||
BEVERAGES — 0.07% | ||||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 | $ | 7,669,000 | $ | 4,223,975 | ||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 | 10,000,000 | 5,351,973 | ||||||
|
| |||||||
9,575,948 | ||||||||
|
| |||||||
INSURANCE — 0.14% | ||||||||
INSURANCE — 0.14% | ||||||||
ELM BV (AUD), 7.635%, 12/31/2049 | 10,500,000 | 11,024,674 | ||||||
ELM BV (AUD), 4.455%, 12/31/2049 | 8,000,000 | 7,363,224 | ||||||
|
| |||||||
18,387,898 | ||||||||
|
| |||||||
MATERIALS — 0.07% | ||||||||
CONSTRUCTION MATERIALS — 0.07% | ||||||||
CEMEX Finance, LLC (EUR), 9.625%, 12/14/2017 | 6,500,000 | 9,069,415 | ||||||
|
| |||||||
9,069,415 | ||||||||
|
| |||||||
MEDIA — 0.03% | ||||||||
MEDIA — 0.03% | ||||||||
News America Holdings (AUD), 8.625%, 2/7/2014 | 4,000,000 | 4,272,061 | ||||||
|
| |||||||
4,272,061 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.38% | ||||||||
MISCELLANEOUS — 0.38% | ||||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2022 | 20,000,000 | 13,311,889 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 | 65,401,000 | 37,421,703 | ||||||
|
| |||||||
50,733,592 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.05% | ||||||||
INTERNET SOFTWARE & SERVICES — 0.05% | ||||||||
EAccess Ltd. (EUR), 8.375%, 4/1/2018 | 4,600,000 | 6,580,509 | ||||||
|
| |||||||
6,580,509 | ||||||||
|
| |||||||
TRANSPORTATION — 0.07% | ||||||||
AIRLINES — 0.07% | ||||||||
c Iberbond 2004 plc (EUR), 4.235%, 12/24/2017 | 7,599,497 | 9,205,643 | ||||||
|
| |||||||
9,205,643 | ||||||||
|
| |||||||
UTILITIES — 0.05% | ||||||||
ELECTRIC UTILITIES — 0.05% | ||||||||
Cia de Eletricidade do Estado da Bahia (BRL), 11.75%, 4/27/2016 | 12,000,000 | 6,244,216 | ||||||
|
| |||||||
6,244,216 | ||||||||
|
| |||||||
TOTAL FOREIGN BONDS (Cost $215,541,538) | 220,323,092 | |||||||
|
| |||||||
OTHER SECURITIES — 0.37% | ||||||||
LOAN PARTICIPATIONS — 0.37% | ||||||||
Baker & Taylor Acquisitions, 12.00%, 9/19/2016 | 13,000,000 | 12,350,000 | ||||||
d,e CEMEX Espana SA, 4.78%, 2/14/2014 | 3,373,420 | 3,280,651 | ||||||
Lonestar Intermediate Super Holdings, LLC, 11.00%, 8/7/2019 | 3,000,000 | 3,211,890 | ||||||
c Private Restaurants Properties, Inc., 9.00%, 3/1/2017 | 15,457,496 | 15,457,496 | ||||||
Texas Competitive Electric Holdings, LLC, 3.792%, 10/10/2014 | 6,997,216 | 5,127,420 |
28 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
Texas Competitive Electric Holdings, LLC, 3.702%, 10/10/2014 | $ | 13,672,644 | $ | 10,019,040 | ||||
|
| |||||||
TOTAL OTHER SECURITIES (Cost $52,949,404) | 49,446,497 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 0.21% | ||||||||
Spectra Energy Capital, 0.30%, 4/1/2013 | 15,000,000 | 15,000,000 | ||||||
Tyco Electronics Group SA, 0.31%, 4/1/2013 | 13,000,000 | 13,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $28,000,000) | 28,000,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 97.92% (Cost $11,327,742,979) | $ | 12,986,366,210 | ||||||
OTHER ASSETS LESS LIABILITIES — 2.08% | 276,005,092 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 13,262,371,302 | ||||||
|
|
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, 2012 | Gross Additions | Gross Reductions | Shares/Principal March 31, 2013 | Market Value March 31, 2013 | Investment Income | ||||||||||||||||||
Apollo Investment Corp. | 14,179,200 | 734,757 | 1,597,957 | 13,316,000 | $ | 111,321,760 | $ | 5,499,040 | ||||||||||||||||
Dynex Capital, Inc. | 4,562,000 | — | — | 4,562,000 | 48,722,160 | 3,968,940 | ||||||||||||||||||
Invesco Mortgage Capital, Inc. | 7,000,000 | — | — | 7,000,000 | 149,730,000 | 9,100,000 | ||||||||||||||||||
KKR Financial Holdings, LLC | 12,400,000 | 1,925,990 | 738,644 | 13,587,346 | 150,411,920 | 6,328,757 | ||||||||||||||||||
KKR Financial Holdings, LLC, 7.5% 1.15.2017 | 22,750,000 | — | 22,750,000 | — | — | 301,912 | ||||||||||||||||||
MFA Financial, Inc. | 20,555,000 | 795.000 | 1,550,000 | 19,800,000 | 184,536,000 | 18,653,500 | ||||||||||||||||||
Solar Capital Ltd. | 3,750,000 | 175,000 | — | 3,925,000 | 92,198,250 | 4,605,000 | ||||||||||||||||||
Washington REIT | 3,975,000 | 665,000 | — | 4,640,000 | 129,177,600 | 2,718,000 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total non-controlled affiliated issuers – 6.53% of net assets |
| $ | 866,097,690 | $ | 51,175,149 | |||||||||||||||||||
|
|
|
|
b | Non-income producing. |
c | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees. |
d | 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, 2013, the aggregate value of these securities in the Fund’s portfolio was $703,124,634, representing 5.3% of the Fund’s net assets. |
e | Yankee Bond - Denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
f | Bond in default. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depository Receipt | EUR | Denominated in Euros | |||
ARM | Adjustable Rate Mortgage | FCB | Farm Credit Bank | |||
AUD | Denominated in Australian Dollars | GBP | Denominated in Great Britain Pounds | |||
BRL | Denominated in Brazilian Real | Mtg | Mortgage | |||
CAD | Denominated in Canadian Dollars | Pfd | Preferred Stock | |||
CMO | Collateralized Mortgage Obligation | REIT | Real Estate Investment Trust | |||
CPI | Consumer Price Index |
See notes to financial statements.
Certified Semi-Annual Report 29
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (Note 2) | ||||
Non-affiliated issuers (cost $10,567,988,369) | $ | 12,120,268,520 | ||
Non-controlled affiliated issuers (cost $759,754,610) | 866,097,690 | |||
Cash | 114,127,730 | |||
Cash denominated in foreign currency (cost $1,572,411) | 1,572,411 | |||
Receivable for investments sold | 7,319,426 | |||
Receivable for fund shares sold | 57,054,783 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 55,688,468 | |||
Dividends receivable | 50,415,320 | |||
Dividend and interest reclaim receivable | 17,489,629 | |||
Interest receivable | 35,797,717 | |||
Prepaid expenses and other assets | 288,980 | |||
|
| |||
Total Assets | 13,326,120,674 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 19,382,580 | |||
Payable for fund shares redeemed | 15,000,355 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 1,073,972 | |||
Payable to investment advisor and other affiliates (Note 3) | 13,261,134 | |||
Accounts payable and accrued expenses | 3,672,302 | |||
Dividends payable | 11,359,029 | |||
|
| |||
Total Liabilities | 63,749,372 | |||
|
| |||
NET ASSETS | $ | 13,262,371,302 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Undistributed net investment income | $ | 2,722,756 | ||
Net unrealized appreciation on investments | 1,712,415,550 | |||
Accumulated net realized gain (loss) | (1,067,378,887 | ) | ||
Net capital paid in on shares of beneficial interest | 12,614,611,883 | |||
|
| |||
$ | 13,262,371,302 | |||
|
|
30 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($3,848,557,997 applicable to 191,623,218 shares of beneficial interest outstanding - Note 4) | $ | 20.08 | ||
Maximum sales charge, 4.50% of offering price | 0.95 | |||
|
| |||
Maximum offering price per share | $ | 21.03 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($4,608,237,936 applicable to 229,492,531 shares of beneficial interest outstanding - Note 4) | $ | 20.08 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($4,703,665,938 applicable to 232,586,381 shares of beneficial interest outstanding - Note 4) | $ | 20.22 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($54,748,150 applicable to 2,726,583 shares of beneficial interest outstanding - Note 4) | $ | 20.08 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($20,682,565 applicable to 1,027,944 shares of beneficial interest outstanding - Note 4) | $ | 20.12 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($26,478,716 applicable to 1,310,059 shares of beneficial interest outstanding - Note 4) | $ | 20.21 | ||
|
|
* | 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
STATEMENT OF OPERATIONS | ||
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $16,885,096) | $ | 258,234,650 | ||
Non-controlled affiliated issuers (net of foreign taxes withheld $ 0) | 50,873,237 | |||
Interest income (net of premium amortized and withheld taxes of $1,465,540 and $3,965, respectively) | ||||
Non-affiliated issuers | 76,132,169 | |||
Non-controlled affiliated issuers | 301,912 | |||
|
| |||
Total Income | 385,541,968 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 41,542,946 | |||
Administration fees (Note 3) | ||||
Class A Shares | 2,192,898 | |||
Class C Shares | 2,621,039 | |||
Class I Shares | 1,037,371 | |||
Class R3 Shares | 31,628 | |||
Class R4 Shares | 12,719 | |||
Class R5 Shares | 4,232 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 4,377,733 | |||
Class C Shares | 21,078,602 | |||
Class R3 Shares | 126,692 | |||
Class R4 Shares | 25,372 | |||
Transfer agent fees | ||||
Class A Shares | 1,165,145 | |||
Class C Shares | 1,519,325 | |||
Class I Shares | 1,419,032 | |||
Class R3 Shares | 30,069 | |||
Class R4 Shares | 16,480 | |||
Class R5 Shares | 12,470 | |||
Registration and filing fees | ||||
Class A Shares | 34,423 | |||
Class C Shares | 26,994 | |||
Class I Shares | 43,605 | |||
Class R3 Shares | 9,234 | |||
Class R4 Shares | 9,162 | |||
Class R5 Shares | 11,114 | |||
Custodian fees (Note 3) | 1,236,392 | |||
Professional fees | 126,874 | |||
Accounting fees | 189,570 | |||
Trustee fees | 200,000 | |||
Other expenses | 558,847 | |||
|
| |||
Total Expenses | 79,659,968 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (818,101 | ) | ||
Fees paid indirectly (Note 3) | (5,613 | ) | ||
|
| |||
Net Expenses | 78,836,254 | |||
|
| |||
Net Investment Income | $ | 306,705,714 | ||
|
|
32 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Investment Income Builder Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | $ | 31,265,044 | ||
Non-controlled affiliated issuers | (19,704,815 | ) | ||
Forward currency contracts (Note 7) | (56,573,014 | ) | ||
Foreign currency transactions | (619,761 | ) | ||
|
| |||
(45,632,546 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers | 687,488,771 | |||
Non-controlled affiliated issuers | 62,175,408 | |||
Forward currency contracts (Note 7) | 88,778,211 | |||
Forward currency translations | (398,348 | ) | ||
|
| |||
838,044,042 | ||||
|
| |||
Net Realized and Unrealized Gain | 792,411,496 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,099,117,210 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 33
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Investment Income Builder Fund
Six Months Ended March 31, 2013* | Year Ended September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 306,705,714 | $ | 640,208,609 | ||||
Net realized gain (loss) from investments, forward currency contracts and foreign currency transactions | (45,632,546 | ) | (194,589,287 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | 838,044,042 | 1,062,096,277 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,099,117,210 | 1,507,715,599 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (104,823,181 | ) | (194,518,753 | ) | ||||
Class C Shares | (110,582,549 | ) | (202,332,862 | ) | ||||
Class I Shares | (130,038,769 | ) | (228,077,408 | ) | ||||
Class R3 Shares | (1,431,829 | ) | (2,423,659 | ) | ||||
Class R4 Shares | (589,157 | ) | (840,952 | ) | ||||
Class R5 Shares | (517,678 | ) | (588,324 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 208,724,955 | 417,639,282 | ||||||
Class C Shares | 293,772,586 | 570,383,451 | ||||||
Class I Shares | 458,335,077 | 811,511,415 | ||||||
Class R3 Shares | 4,488,444 | 8,691,494 | ||||||
Class R4 Shares | (35,865 | ) | 8,058,175 | |||||
Class R5 Shares | 10,469,843 | 9,693,298 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 1,726,890,087 | 2,704,910,756 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 11,535,482,215 | 8,830,571,459 | ||||||
|
|
|
| |||||
End of Period | $ | 13,262,371,302 | $ | 11,535,482,215 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 2,722,756 | $ | 44,000,205 |
* | Unaudited |
See notes to financial statements.
34 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
NOTE 1 – ORGANIZATION
Thornburg Investment Income Builder Fund (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
Certified Semi-Annual Report 35
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
36 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 10,983,742,417 | $ | 10,983,742,417 | $ | — | $ | — | ||||||||
Preferred Stock(a) | 297,309,916 | 200,849,054 | 62,564,412 | 33,896,450 | ||||||||||||
Asset Backed Securities | 83,737,112 | — | 75,475,299 | 8,261,813 | ||||||||||||
Corporate Bonds | 1,252,482,861 | — | 1,224,808,215 | 27,674,646 | ||||||||||||
Convertible Bonds | 55,195,397 | — | 55,195,397 | — | ||||||||||||
Warrants | 880,000 | 880,000 | — | — | ||||||||||||
Municipal Bonds | 3,245,773 | — | 3,245,773 | — | ||||||||||||
U.S. Government Agencies | 9,098,757 | — | 9,098,757 | — | ||||||||||||
Other Government | 2,904,388 | — | 2,904,388 | — | ||||||||||||
Foreign Bonds | 220,323,092 | — | 208,420,431 | 11,902,661 | ||||||||||||
Other Securities | 49,446,497 | — | 33,989,001 | 15,457,496 | ||||||||||||
Short Term Investments | 28,000,000 | — | 28,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 12,986,366,210 | $ | 11,185,471,471 | $ | 1,703,701,673 | $ | 97,193,066 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 55,688,468 | $ | — | $ | 55,688,468 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (1,073,972 | ) | $ | — | $ | (1,073,972 | ) | $ | — | ||||||
Spot Currency | $ | (9,797 | ) | $ | (9,797 | ) | $ | — | $ | — |
(a) | At March 31, 2013, industry classifications for Preferred Stock in Level 2 and Level 3 consist of $42,795,200 in Banks, $23,491,287 in Insurance, $11,424,375 in Miscellaneous, and $18,750,000 in Telecommunication Services. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, unadjusted broker quotes were applied to portfolio securities characterized as Level 3 investments at March 31, 2013. |
* | 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. |
Certified Semi-Annual Report 37
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2013 is as follows:
Preferred Stock | Asset Backed Securities | Corporate Bonds | Foreign Bonds | Other Securities | Total | |||||||||||||||||||
Beginning Balance 9/30/2012 | $ | — | $ | 8,652,910 | $ | 23,262,424 | $ | 11,648,180 | $ | 15,541,168 | $ | 59,104,682 | ||||||||||||
Accrued Discounts (Premiums) | — | 13,647 | 22,206 | 65,872 | — | 101,725 | ||||||||||||||||||
Net Realized Gain (Loss)(a) | — | 49,774 | (13,509,504 | ) | — | (13,459,730 | ) | |||||||||||||||||
Gross Purchases | 33,896,450 | — | 7,126,259 | — | — | 41,022,709 | ||||||||||||||||||
Gross Sales | — | (322,388 | ) | (2,861,490 | ) | — | (83,672 | ) | (3,267,550 | ) | ||||||||||||||
Change in Unrealized | ||||||||||||||||||||||||
Appreciation (Depreciation)(b) | — | (132,130 | ) | 13,634,751 | 188,609 | — | 13,691,230 | |||||||||||||||||
Transfers into Level 3(c) | — | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3(c) | — | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending Balance 3/31/2013 (d) | $ | 33,896,450 | $ | 8,261,813 | $ | 27,674,646 | $ | 11,902,661 | $ | 15,457,496 | $ | 97,193,066 |
(a) | Total amount of Net Realized Gain (Loss) recognized in the net increase in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(b) | Total amount of Change in Unrealized Appreciation (Depreciation) on investments recognized in the net increase in net assets resulting from operations is included in the Fund’s Statement of Operations for the six months ended March 31, 2013. |
(c) | Transfers into or out of Level 3, if any, would be from or to Level 2, and would be due to changes in other significant observable inputs available during the six months ended March 31, 2013. Transfers into or out of Level 3 are based on the beginning market value of the period In which they occurred. |
(d) | Level 3 investments represent 0.73% of total Net Assets at the period ended March 31, 2013. Significant fluctuations of the unobservable inputs applied to portfolio investments characterized as Level 3 investments could be expected to increase or decrease the fair value of the portfolio investments. |
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at fiscal period end, resulting from changes in exchange rates.
38 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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.
Repurchase Agreements: The Fund may invest excess cash in repurchase agreements whereby the Fund purchases investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the
Certified Semi-Annual Report 39
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $807,524 for Class C shares, $4,350 for Class R3 shares, $22 for Class R4 shares, and $6,205 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $935,004 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $174,942 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $5,613.
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.
40 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 24,530,970 | $ | 474,440,523 | 50,634,864 | $ | 922,597,532 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,722,665 | 90,977,183 | 8,419,107 | 154,418,707 | ||||||||||||
Shares repurchased | (18,675,189 | ) | (356,692,751 | ) | (36,229,209 | ) | (659,394,554 | ) | ||||||||
Redemption fees received* | — | — | — | 17,597 | �� | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,578,446 | $ | 208,724,955 | 22,824,762 | $ | 417,639,282 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 25,877,855 | $ | 500,115,564 | 52,069,804 | $ | 949,331,499 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,540,948 | 87,408,818 | 8,174,226 | 149,832,339 | ||||||||||||
Shares repurchased | (15,345,009 | ) | (293,751,796 | ) | (29,066,753 | ) | (528,800,858 | ) | ||||||||
Redemption fees received* | — | — | — | 20,471 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 15,073,794 | $ | 293,772,586 | 31,177,277 | $ | 570,383,451 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 43,137,901 | $ | 839,905,818 | 85,850,599 | $ | 1,573,345,423 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,548,523 | 107,703,426 | 9,691,099 | 179,014,305 | ||||||||||||
Shares repurchased | (25,399,866 | ) | (489,274,167 | ) | (51,652,773 | ) | (940,867,728 | ) | ||||||||
Redemption fees received* | — | — | — | 19,415 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,286,558 | $ | 458,335,077 | 43,888,925 | $ | 811,511,415 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 634,510 | $ | 12,102,259 | 916,684 | $ | 16,701,010 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 67,051 | 1,291,307 | 120,502 | 2,208,654 | ||||||||||||
Shares repurchased | (464,129 | ) | (8,905,122 | ) | (565,100 | ) | (10,218,392 | ) | ||||||||
Redemption fees received* | — | — | — | 222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 237,432 | $ | 4,488,444 | 472,086 | $ | 8,691,494 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 296,363 | $ | 5,731,008 | 621,863 | $ | 11,383,323 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 18,078 | 348,904 | 30,904 | 568,152 | ||||||||||||
Shares repurchased | (315,076 | ) | (6,115,777 | ) | (211,126 | ) | (3,893,368 | ) | ||||||||
Redemption fees received* | — | — | — | 68 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (635 | ) | $ | (35,865 | ) | 441,641 | $ | 8,058,175 | ||||||||
|
|
|
|
|
|
|
|
Certified Semi-Annual Report 41
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 631,271 | $ | 12,488,541 | 707,505 | $ | 12,944,687 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 24,006 | 466,234 | 27,217 | 505,222 | ||||||||||||
Shares repurchased | (129,571 | ) | (2,484,932 | ) | (204,695 | ) | (3,756,654 | ) | ||||||||
Redemption fees received* | — | — | — | 43 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 525,706 | $ | 10,469,843 | 530,027 | $ | 9,693,298 | ||||||||||
|
|
|
|
|
|
|
|
* | 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 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments and U. S. Government obligations) of $3,699,188,564 and $2,919,558,396, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 11,330,414,706 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 1,922,266,835 | ||
Gross unrealized depreciation on a tax basis | (263,643,604 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 1,658,623,231 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $235,058,740. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $67,053,424, 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 do not expire, but are required to be utilized to offset future gains prior to the utilization of losses that occurred in years prior to the fiscal year ending September 30, 2012, which may expire prior to utilization.
At March 31, 2013, the Fund had cumulative 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 | $ | 229,347,589 | ||
2018 | 493,662,779 | |||
|
| |||
$ | 723,010,368 | |||
|
|
42 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $2,058,968,969. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 1,115,819,800 | 08/30/2013 | 1,431,994,307 | $ | 28,613,812 | $ | — | ||||||||||||||||
Euro | Sell | 137,716,300 | 08/30/2013 | 176,739,073 | 2,009,798 | — | ||||||||||||||||||
Euro | Sell | 19,608,000 | 08/30/2013 | 25,164,049 | 407,528 | — | ||||||||||||||||||
Euro | Sell | 82,325,100 | 08/30/2013 | 105,652,431 | — | (394,851 | ) | |||||||||||||||||
Great Britain Pound | Sell | 169,547,800 | 04/10/2013 | 257,609,465 | 16,729,896 | — | ||||||||||||||||||
Swiss Franc | Sell | 80,161,900 | 04/09/2013 | 84,449,396 | 3,766,627 | — | ||||||||||||||||||
Swiss Franc | Sell | 115,045,200 | 04/09/2013 | 121,198,445 | 3,064,587 | — | ||||||||||||||||||
Swiss Franc | Sell | 29,646,700 | 04/09/2013 | 31,232,367 | 929,381 | — | ||||||||||||||||||
Swiss Franc | Sell | 63,566,900 | 04/09/2013 | 66,966,805 | 166,839 | — | ||||||||||||||||||
Swiss Franc | Sell | 115,235,200 | 04/09/2013 | 121,398,607 | — | (679,121 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 55,688,468 | $ | (1,073,972 | ) | |||||||||||||||||||
|
|
|
|
Certified Semi-Annual Report 43
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (Unaudited) |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 55,688,468 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (1,073,972 | ) |
The net realized gain (loss) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (56,573,014 | ) | $ | (56,573,014 | ) |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 88,778,211 | $ | 88,778,211 |
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, high yield 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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
44 Certified Semi-Annual Report
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Certified Semi-Annual Report 45
Thornburg Investment Income Builder 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 Year(Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Class A Shares |
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2013(b)(c) | $ | 18.90 | 0.50 | 1.25 | 1.75 | (0.57 | ) | — | (0.57 | ) | $20.08 | 5.28 | (d) | 1.18 | (d) | 1.18 | (d) | 1.18 | (d) | 9.42 | 24.51 | $ | 3,848,558 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 17.29 | 1.15 | 1.60 | 2.75 | (1.14 | ) | — | (1.14 | ) | $18.90 | 6.32 | 1.20 | 1.20 | 1.20 | 16.26 | 40.96 | $ | 3,420,877 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Class C Shares |
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2013(b) | $ | 18.89 | 0.44 | 1.26 | 1.70 | (0.51 | ) | — | (0.51 | ) | $20.08 | 4.56 | (d) | 1.90 | (d) | 1.90 | (d) | 1.94 | (d) | 9.11 | 24.51 | $ | 4,608,238 | |||||||||||||||||||||||||||||||||||
2012 | $ | 17.29 | 1.02 | 1.59 | 2.61 | (1.01 | ) | — | (1.01 | ) | $18.89 | 5.63 | 1.90 | 1.90 | 1.97 | 15.43 | 40.96 | $ | 4,051,242 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Class I Shares |
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2013(b) | $ | 19.03 | 0.54 | 1.26 | 1.80 | (0.61 | ) | — | (0.61 | ) | $20.22 | 5.61 | (d) | 0.86 | (d) | 0.86 | (d) | 0.86 | (d) | 9.66 | 24.51 | $ | 4,703,666 | |||||||||||||||||||||||||||||||||||
2012 | $ | 17.40 | 1.22 | 1.61 | 2.83 | (1.20 | ) | — | (1.20 | ) | $19.03 | 6.67 | 0.89 | 0.89 | 0.89 | 16.61 | 40.96 | $ | 3,981,955 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Class R3 Shares |
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2013(b) | $ | 18.89 | 0.47 | 1.26 | 1.73 | (0.54 | ) | — | (0.54 | ) | $20.08 | 4.96 | (d) | 1.50 | (d) | 1.50 | (d) | 1.52 | (d) | 9.32 | 24.51 | $ | 54,748 | |||||||||||||||||||||||||||||||||||
2012 | $ | 17.28 | 1.10 | 1.60 | 2.70 | (1.09 | ) | — | (1.09 | ) | $18.89 | 6.05 | 1.50 | 1.50 | 1.59 | 15.94 | 40.96 | $ | 47,023 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
Class R4 Shares |
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2013(b) | $ | 18.93 | 0.49 | 1.26 | 1.75 | (0.56 | ) | — | (0.56 | ) | $20.12 | 5.09 | (d) | 1.36 | (d) | 1.36 | (d) | 1.36 | (d) | 9.37 | 24.51 | $ | 20,682 | |||||||||||||||||||||||||||||||||||
2012 | $ | 17.31 | 1.12 | 1.61 | 2.73 | (1.11 | ) | — | (1.11 | ) | $18.93 | 6.14 | 1.39 | 1.39 | 1.53 | 16.10 | 40.96 | $ | 19,471 | |||||||||||||||||||||||||||||||||||||||
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 |
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2013(b) | $ | 19.01 | 0.53 | 1.26 | 1.79 | (0.59 | ) | — | (0.59 | ) | $20.21 | 5.48 | (d) | 0.99 | (d) | 0.99 | (d) | 1.06 | (d) | 9.59 | 24.51 | $ | 26,479 | |||||||||||||||||||||||||||||||||||
2012 | $ | 17.40 | 1.21 | 1.58 | 2.79 | (1.18 | ) | — | (1.18 | ) | $19.01 | 6.61 | 0.99 | 0.99 | 1.29 | 16.44 | 40.96 | $ | 14,914 | |||||||||||||||||||||||||||||||||||||||
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 |
(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. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
46 Certified Semi-Annual Report | Certified Semi-Annual Report 47 |
EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.20 | $ | 6.15 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.06 | $ | 5.93 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,091.10 | $ | 9.91 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.46 | $ | 9.55 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,096.60 | $ | 4.47 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.67 | $ | 4.31 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.20 | $ | 7.82 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.46 | $ | 7.54 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,093.70 | $ | 7.10 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.15 | $ | 6.85 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,095.90 | $ | 5.17 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.18%; C: 1.90%; I: 0.86%; R3: 1.50%; R4: 1.36%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 above 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, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Investment Income Builder Fund versus Blended Index and S&P 500 Index (December 24, 2002 to
March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | 10 Yrs | Since Inception | ||||||||||||||||
A Shares (Incep: 12/24/02) | 9.14 | % | 7.90 | % | 5.02 | % | 11.25 | % | 10.85 | % | ||||||||||
C Shares (Incep: 12/24/02) | 12.52 | % | 8.85 | % | 5.31 | % | 11.11 | % | 10.71 | % | ||||||||||
I Shares (Incep: 11/3/03) | 14.63 | % | 9.94 | % | 6.36 | % | — | 10.27 | % | |||||||||||
R3 Shares (Incep: 2/1/05) | 13.95 | % | 9.27 | % | 5.76 | % | — | 8.37 | % | |||||||||||
R4 Shares (Incep: 2/1/08) | 14.13 | % | 9.40 | % | 5.80 | % | — | 5.10 | % | |||||||||||
R5 Shares (Incep: 2/1/07) | 14.52 | % | 9.83 | % | 6.26 | % | — | 6.21 | % | |||||||||||
Blended Index (Since 12/24/02) | 9.96 | % | 8.03 | % | 3.44 | % | 8.18 | % | 7.55 | % | ||||||||||
S&P 500 Index (Since 12/24/02) | 13.96 | % | 12.67 | % | 5.81 | % | 8.53 | % | 7.82 | % |
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, 2013 (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.
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
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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. | |||||
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IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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, volatility, and political and economic risks. 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
EURO STOXX 50 Index – A Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
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.
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.
Nikkei 225 Stock Average – The leading index of Japanese stocks. It is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
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.
Basis Point (bp) – A unit equal to 1/100th of 1%. 1% = 100 basis points (bps).
Beta – A measure of market-related risk. Less than one means the portfolio is less volatile than the index, while greater than one indicates more volatility than the index.
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 1.60%, 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 elsewhere. 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.
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
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 7/28/06) | ||||||||||||||||
Without sales charge | 16.12 | % | 8.56 | % | 3.37 | % | 8.76 | % | ||||||||
With sales charge | 10.87 | % | 6.91 | % | 2.42 | % | 8.02 | % | ||||||||
MSCI AC World Index | ||||||||||||||||
(Since: 7/28/06) | 10.56 | % | 7.78 | % | 2.06 | % | 3.64 | % |
4 This page is not part of the Semi-Annual Report.
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 164 stocks (as of 3/31/13).
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 value investing 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 March 31, 2013
Top Contributors | Top Detractors | |
Valeant Pharmaceuticals International, Inc. | Apple, Inc. | |
Oshkosh Corp. | Level 3 Communications, Inc. | |
EchoStar Corp. | SPDR Gold Trust | |
Bank of America Corp. | Weight Watchers International, Inc. | |
Delphi Automotive plc | Bankers Petroleum Ltd. | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-Months* | 14.2x | |||
Portfolio Price to Cash Flow* | 7.1x | |||
Portfolio Price to Book Value* | 1.6x | |||
Median Market Cap* | $ | 11.1 B | ||
5-Year Beta (A Shares vs. MSCI ACWI)* | 1.13 | |||
Number of Companies | 35 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Asset Structure
As of March 31, 2013
This page is not part of the Semi-Annual Report. 5
Thornburg Global Opportunities Fund –
March 31, 2013
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32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
April 15, 2013
Dear Fellow Shareholder:
This letter will highlight the results of Thornburg Global Opportunities Fund’s investment activities for the six-month period ended March 31, 2013. In addition, we will comment on the overall investment landscape.
In the six months ended March 31, 2013, Thornburg Global Opportunities Fund’s net asset value (NAV) per Class A share increased 13.08% from $15.97 to $18.06. Your Fund also paid dividends of 8 cents per share to give a total return for the period of 13.65%. The dividends per share were higher for Class I and R5 shares, and lower on the Class C, R3, and R4 shares to account for varying class-specific expenses.
For the six-month period, Thornburg Global Opportunities Fund Class A shares outperformed the MSCI All Country World Index (ACWI) by approximately 4.07%. For the one, three, and five-year periods ended March 31, 2013 Thornburg Global Opportunities Fund Class A shares outperformed the MSCI ACWI. Since its inception on July 28, 2006, Thornburg Global Opportunities Fund has outperformed the same index by an average annualized margin of 5.12%. Performance data for various measurement periods is included on page 31 of this 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 1.60%, as disclosed in the most recent Prospectus.
We do not expect to pay any capital gain distribution for 2013. At March 31, 2013, the Fund had realized capital losses of approximately $160 million, which may be carried forward to offset future capital gains to the extent permitted by regulations. This tax loss carryforward is material relative to the Fund’s $429 million total assets as of March 31, 2013.
The six-month period ended March 31, 2013 has been a period of liquidity-driven positive returns in most global equity markets, though Europe and various emerging markets have lagged. For the fourth consecutive year, U.S. equity markets performed well in the six-month period ended March 31, 2013, though spring and summer scares have dented market sentiment in the prior three years. Again this year, European debt crisis issues remain largely unresolved.
Equity Returns in the Six-Month Period Ended March 31, 2013 | Return in USD | |||
S&P 500 Index (USA) | 10.19 | % | ||
MSCI All Country World Index | 9.58 | % | ||
Nikkei 225 (Japan) | 16.59 | % | ||
EURO STOXX 50 (European Blue Chip Stocks) | 7.22 | % | ||
MSCI Emerging Markets | 3.87 | % | ||
Thornburg Global Opportunities Fund | 13.65 | % |
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
During the six-month period under review, 31 stocks contributed at least five basis points (.05%) to overall Fund performance, while eight subtracted at least five basis points. Contribution to overall Fund performance takes into account both position size and return on the individual investment.
The greatest single contributors to the performance of the Thornburg Global Opportunities Fund were our investments in Canadian drug maker Valeant Pharmaceuticals International and U.S. industrial/military vehicle manufacturer Oshkosh Corporation. Rounding out the top five contributors were U.S. satellite operator EchoStar, auto parts manufacturer Delphi Automotive, and Bank of America.
Other significant contributors to positive portfolio performance included a diverse set of businesses: German cable TV operator Kabel Deutschland, Brazilian food manufacturer Brasil Foods, Brazilian telecommunications operator Telefonica Brasil, insurer Swiss Re, and Australian mining services company Mineral Resources Ltd.
Significant detractors from portfolio performance during the six-month period also included a diverse set of businesses: Apple, Inc., Weight Watchers International, Bankers Petroleum, Level 3 Communications, and SPDR Gold Trust.
Turnover during the six-month period was moderate; we sold U.S. medical device maker Illumina Inc., U.S. business development company Apollo Investment Corp. and Canadian drilling services firm Ensign Energy Services to make room for other opportunities. New purchases included Brazilian Homebuilder PDG Realty, Korean casino operator Paradise Company Ltd., animal health drug manufacturer Zoetis, Citigroup, and investment manager Artisan Partners.
Top industry weightings as of March 31, 2013 were: diversified financials (15.9%); software and services (11.9%); telecommunication services (9.7%); pharmaceutical, biotechnology, and life sciences (8.8%); technology hardware and equipment (6.5%); and consumer services (5.7%). Expected price-to-earnings multiples for 2013 on the portfolio companies owned in Thornburg Global Opportunities Fund stand at 13.6x, vs. 13.4x for the MSCI ACWI portfolio. We have relatively low direct exposure to Europe, and companies based in emerging markets currently constitute about 16% of the Fund. The table below illustrates the Fund’s largest geographic weightings, based on the country of domicile.
This year corporate earnings expectations for both 2013 and 2014 have declined relative to earlier expectations. Corporate management teams that we meet with from less cyclical businesses are reasonably upbeat about their businesses. Those in more cyclical industries and financials are more cautious, though there are exceptions to this cautious attitude among certain businesses exposed to a spending recovery from U.S. consumers. Many countries and specific businesses are currently posting interesting growth. We expect profit growth in 2013 from the majority of our holdings in Thornburg Global Opportunities Fund.
Fund Weighting | ||||
Country | (percent of equity holdings) | |||
USA | 46.3 | % | ||
Brazil | 11.1 | % | ||
Switzerland | 9.4 | % | ||
Canada | 8.6 | % |
Though a strong second-half 2012 surge by European indices led most of these to outperform the U.S. equity market for 2012, investors seek additional clarity on how European governments (and financial
8 Certified Semi-Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
institutions) will manage through a debt contraction and the potential for state defaults in addition to Greece. The Bank of Japan has joined the Federal Reserve and the Bank of England in creating sufficient liquidity so as to avoid deflationary outcomes, and the European Central Bank has added significant liquidity to Europe’s banking system in recent years. Investors also question whether China can transition from an investment-led economy to a consumer-led economy, and whether the United States government can implement a reasonable framework of pro-growth policies while also reining in public sector borrowing.
We do not expect clear answers to these questions during the coming months. There will be news from day to day that will feed hopes or fan despair, thereby moving the prices of financial assets by significant percentages. The “fiscal cliff” debate contributed to a negative quarterly return for the S&P 500 Index in the fourth quarter of 2012, while the decision to take no further legislative action and allow the previously negotiated sequester to take effect was viewed positively by investors in the March 2013 quarter. The debate continues, and we expect the political noise level to rise in the spring and summer of 2013.
We believe that competing macroeconomic forces of fiscal restraint and monetary stimulus from governments in major economies will affect business conditions and investor sentiment, so we expect periods of volatility in the financial markets. We continue to focus our research on asset prices and asset quality, reflecting our belief in value-oriented, bottom-up analysis.
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 at 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, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
Valeant Pharmaceuticals International, Inc. | 5.7 | % | Capital One Financial Corp. | 4.1 | % | |||||
InterXion Holding NV | 4.6 | % | Telefonica Brasil ADR | 3.6 | % | |||||
EchoStar Corp. | 4.5 | % | Citigroup, Inc. | 3.4 | % | |||||
Google, Inc. | 4.2 | % | Delphi Automotive plc | 3.2 | % | |||||
Level 3 Communications, Inc. | 4.1 | % | Microsoft Corp. | 3.2 | % | |||||
Summary of Industry Exposure As of 3/31/13
|
| |||||||||
Diversified Financials | 15.9 | % | Food & Staples Retailing | 3.2 | % | |||||
Software & Services | 11.9 | % | Exchange-Traded Funds | 3.0 | % | |||||
Telecommunication Services | 9.7 | % | Insurance | 2.8 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 8.8 | % | Media | 2.7 | % | |||||
Technology Hardware & Equipment | 6.5 | % | Food, Beverage & Tobacco | 2.1 | % | |||||
Consumer Services | 5.7 | % | Commercial & Professional Services | 1.7 | % | |||||
Energy | 4.7 | % | Transportation | 1.6 | % | |||||
Capital Goods | 4.7 | % | Banks | 0.3 | % | |||||
Consumer Durables & Apparel | 4.7 | % | Other Assets & Liabilities | 6.8 | % | |||||
Automobiles & Components | 3.2 | % | ||||||||
Summary of Country Exposure As of 3/31/13 (percent of equity holdings)
|
| |||||||||
United States | 46.3 | % | Hong Kong | 3.7 | % | |||||
Brazil | 11.1 | % | United Kingdom | 3.5 | % | |||||
Switzerland | 9.4 | % | South Korea | 3.1 | % | |||||
Canada | 8.6 | % | Germany | 2.2 | % | |||||
Netherlands | 4.9 | % | China | 1.7 | % | |||||
Australia | 3.8 | % | Ireland | 1.7 | % |
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
Shares/ | ||||||||
Principal Amount | Value | |||||||
COMMON STOCK — 90.31% | ||||||||
AUTOMOBILES & COMPONENTS — 3.22% | ||||||||
AUTO COMPONENTS — 3.22% | ||||||||
Delphi Automotive plc | 311,500 | $ | 13,830,600 | |||||
|
| |||||||
13,830,600 | ||||||||
|
| |||||||
BANKS — 0.32% | ||||||||
COMMERCIAL BANKS — 0.32% | ||||||||
Liechtensteinische Landesbank AG | 35,878 | 1,375,708 | ||||||
|
| |||||||
1,375,708 | ||||||||
|
| |||||||
CAPITAL GOODS — 4.68% | ||||||||
MACHINERY — 3.12% | ||||||||
a Oshkosh Corp. | 315,300 | 13,397,097 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.56% | ||||||||
Fly Leasing Ltd. ADR | 413,674 | 6,693,245 | ||||||
|
| |||||||
20,090,342 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 1.67% | ||||||||
COMMERCIAL SERVICES & SUPPLIES — 1.67% | ||||||||
Mineral Resources Ltd. | 651,263 | 7,180,685 | ||||||
|
| |||||||
7,180,685 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 4.67% | ||||||||
HOUSEHOLD DURABLES — 4.67% | ||||||||
Cyrela Brazil Realty S.A. | 1,058,400 | 9,076,863 | ||||||
PDG Realty SA | 7,128,000 | 10,970,224 | ||||||
|
| |||||||
20,047,087 | ||||||||
|
| |||||||
CONSUMER SERVICES — 5.68% | ||||||||
HOTELS, RESTAURANTS & LEISURE — 5.68% | ||||||||
a Galaxy Entertainment Group Ltd. | 2,831,881 | 11,819,949 | ||||||
Paradise Co. Ltd. | 660,088 | 12,577,625 | ||||||
|
| |||||||
24,397,574 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 15.88% | ||||||||
CAPITAL MARKETS — 2.83% | ||||||||
a Artisan Partners Asset Management, Inc. | 168,321 | 6,640,263 | ||||||
UBS AG | 359,646 | 5,512,324 | ||||||
CONSUMER FINANCE — 4.10% | ||||||||
Capital One Financial Corp. | 320,442 | 17,608,288 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 8.95% | ||||||||
Bank of America Corp. | 863,400 | 10,516,212 | ||||||
Citigroup, Inc. | 333,600 | 14,758,464 | ||||||
KKR Financial Holdings, LLC | 1,185,570 | 13,124,260 | ||||||
|
| |||||||
68,159,811 | ||||||||
|
| |||||||
ENERGY — 4.73% | ||||||||
ENERGY EQUIPMENT & SERVICES — 2.38% | ||||||||
a Transocean Ltd. | 196,600 | 10,215,336 |
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
Shares/ | ||||||||
Principal Amount | Value | |||||||
OIL, GAS & CONSUMABLE FUELS — 2.35% | ||||||||
a Bankers Petroleum Ltd. | 3,846,700 | $ | 10,110,439 | |||||
|
| |||||||
20,325,775 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.19% | ||||||||
FOOD & STAPLES RETAILING — 3.19% | ||||||||
Walgreen Co. | 287,650 | 13,715,152 | ||||||
|
| |||||||
13,715,152 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 2.07% | ||||||||
FOOD PRODUCTS — 2.07% | ||||||||
BRF SA | 402,100 | 8,874,754 | ||||||
|
| |||||||
8,874,754 | ||||||||
|
| |||||||
INSURANCE — 2.83% | ||||||||
INSURANCE — 2.83% | ||||||||
Swiss Re | 149,650 | 12,169,999 | ||||||
|
| |||||||
12,169,999 | ||||||||
|
| |||||||
MEDIA — 2.74% | ||||||||
MEDIA — 2.74% | ||||||||
Kabel Deutschland Holding AG | 96,500 | 8,903,825 | ||||||
Television Broadcasts Ltd. | 375,380 | 2,841,022 | ||||||
|
| |||||||
11,744,847 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.85% | ||||||||
PHARMACEUTICALS — 8.85% | ||||||||
Roche Holding AG | 35,300 | 8,217,950 | ||||||
a Valeant Pharmaceuticals International, Inc. | 325,717 | 24,435,289 | ||||||
a Zoetis, Inc. | 159,550 | 5,328,970 | ||||||
|
| |||||||
37,982,209 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 11.95% | ||||||||
INFORMATION TECHNOLOGY SERVICES — 4.58% | ||||||||
a InterXion Holding NV | 811,936 | 19,665,090 | ||||||
INTERNET SOFTWARE & SERVICES — 4.17% | ||||||||
a Google, Inc. | 22,545 | 17,901,406 | ||||||
SOFTWARE — 3.20% | ||||||||
Microsoft Corp. | 479,800 | 13,727,078 | ||||||
|
| |||||||
51,293,574 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 6.55% | ||||||||
COMMUNICATIONS EQUIPMENT — 4.50% | ||||||||
a EchoStar Corp. | 495,641 | 19,315,130 | ||||||
COMPUTERS & PERIPHERALS — 2.05% | ||||||||
Apple, Inc. | 19,890 | 8,803,911 | ||||||
|
| |||||||
28,119,041 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 9.65% | ||||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 9.65% | ||||||||
a Level 3 Communications, Inc. | 877,926 | 17,813,119 | ||||||
Telefonica Brasil SA ADR | 585,700 | 15,626,476 |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
Shares/ | ||||||||
Principal Amount | Value | |||||||
Telstra Corp. Ltd. | 1,706,363 | $ | 8,012,378 | |||||
|
| |||||||
41,451,973 | ||||||||
|
| |||||||
TRANSPORTATION — 1.63% | ||||||||
TRANSPORTATION INFRASTRUCTURE — 1.63% | ||||||||
China Merchants Holdings International Co. Ltd. | 2,124,346 | 6,978,483 | ||||||
|
| |||||||
6,978,483 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $311,018,594) | 387,737,614 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 3.00% | ||||||||
a SPDR Gold Trust | 83,310 | 12,867,230 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $13,451,564) | 12,867,230 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 6.75% | ||||||||
Avery Dennison Corp., 0.30%, 4/1/2013 | $ | 17,000,000 | 17,000,000 | |||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 3/28/2013 due 4/1/2013, repurchase price $12,000,480 collateralized by 8 corporate debt securities and 6 U. S. Government debt securities, having an average coupon of 3.71%, a minimum credit rating of BBB-, maturity dates from 3/17/2017 to 3/1/2043, and having an aggregate market value of $12,549,800 at 3/28/2013 | 12,000,000 | 12,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $29,000,000) | 29,000,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.06% (Cost $353,470,158) | $ | 429,604,844 | ||||||
LIABILITIES NET OF OTHER ASSETS — (0.06)% | (256,990 | ) | ||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 429,347,854 | ||||||
|
|
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 Global Opportunities Fund
| March 31, 2013 (Unaudited)
|
ASSETS | ||||
Investments at value (cost $353,470,158) (Note 2) | $ | 429,604,844 | ||
Cash | 402,950 | |||
Receivable for investments sold | 4,092,471 | |||
Receivable for fund shares sold | 1,375,635 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 1,384,391 | |||
Dividends receivable | 104,955 | |||
Dividend and interest reclaim receivable | 161,931 | |||
Interest receivable | 480 | |||
Prepaid expenses and other assets | 57,991 | |||
|
| |||
Total Assets | 437,185,648 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 6,893,270 | |||
Payable for fund shares redeemed | 422,098 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 391 | |||
Payable to investment advisor and other affiliates (Note 3) | 407,406 | |||
Accounts payable and accrued expenses | 114,629 | |||
|
| |||
Total Liabilities | 7,837,794 | |||
|
| |||
NET ASSETS | $ | 429,347,854 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (7,130,683 | ) | |
Net unrealized appreciation on investments | 77,500,903 | |||
Accumulated net realized gain (loss) | (168,495,679 | ) | ||
Net capital paid in on shares of beneficial interest | 527,473,313 | |||
|
| |||
$ | 429,347,854 | |||
|
|
14 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($91,236,585 applicable to 5,052,835 shares of beneficial interest outstanding - Note 4) | $ | 18.06 | ||
Maximum sales charge, 4.50% of offering price | 0.85 | |||
|
| |||
Maximum offering price per share | $ | 18.91 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 82,405,935 applicable to 4,640,522 shares of beneficial interest | $ | 17.76 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($205,305,402 applicable to 11,346,320 shares of beneficial interest outstanding - Note 4) | $ | 18.09 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($1,447,720 applicable to 80,838 shares of beneficial interest outstanding - Note 4) | $ | 17.91 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($1,897,570 applicable to 105,779 shares of beneficial interest outstanding - Note 4) | $ | 17.94 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($47,054,642 applicable to 2,598,765 shares of beneficial | $ | 18.11 | ||
|
|
* | 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, 2013 (Unaudited) |
INVESTMENT INCOME
Dividend income (net of foreign taxes withheld of $75,512) | $ | 3,091,087 | ||
Interest income | 37,779 | |||
|
| |||
Total Income | 3,128,866 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 1,715,151 | |||
Administration fees (Note 3) | ||||
Class A Shares | 51,526 | |||
Class C Shares | 48,894 | |||
Class I Shares | 45,305 | |||
Class R3 Shares | 691 | |||
Class R4 Shares | 961 | |||
Class R5 Shares | 11,875 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 102,951 | |||
Class C Shares | 391,317 | |||
Class R3 Shares | 3,154 | |||
Class R4 Shares | 1,914 | |||
Transfer agent fees | ||||
Class A Shares | 41,925 | |||
Class C Shares | 47,489 | |||
Class I Shares | 98,189 | |||
Class R3 Shares | 1,001 | |||
Class R4 Shares | 2,436 | |||
Class R5 Shares | 20,893 | |||
Registration and filing fees | ||||
Class A Shares | 11,504 | |||
Class C Shares | 9,991 | |||
Class I Shares | 10,285 | |||
Class R3 Shares | 8,883 | |||
Class R4 Shares | 9,006 | |||
Class R5 Shares | 8,790 | |||
Custodian fees (Note 3) | 68,022 | |||
Professional fees | 30,361 | |||
Accounting fees | 5,785 | |||
Trustee fees | 6,552 | |||
Other expenses | 31,698 | |||
|
| |||
Total Expenses | 2,786,549 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (168,411 | ) | ||
Fees paid indirectly (Note 3) | (42 | ) | ||
|
| |||
Net Expenses | 2,618,096 | |||
|
| |||
Net Investment Income | $ | 510,770 | ||
|
|
16 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Global Opportunities Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 12,699,817 | ||
Forward currency contracts (Note 7) | (1,907,411 | ) | ||
Foreign currency transactions | (13,620 | ) | ||
|
| |||
10,778,786 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 37,533,299 | |||
Forward currency contracts (Note 7) | 1,979,260 | |||
Foreign currency translations | (11,685 | ) | ||
|
| |||
39,500,874 | ||||
|
| |||
Net Realized and Unrealized Gain | 50,279,660 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 50,790,430 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Global Opportunities Fund
Six Months Ended | Year Ended | |||||||
March 31, 2013* | September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 510,770 | $ | 3,454,314 | ||||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions | 10,778,786 | 7,061,087 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts and foreign currency translations | 39,500,874 | 61,323,162 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 50,790,430 | 71,838,563 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (400,842 | ) | (1,101,887 | ) | ||||
Class C Shares | — | (818,921 | ) | |||||
Class I Shares | (1,931,569 | ) | (2,138,758 | ) | ||||
Class R3 Shares | (9,787 | ) | (1,619 | ) | ||||
Class R4 Shares | (10,412 | ) | (14,589 | ) | ||||
Class R5 Shares | (563,272 | ) | (604,925 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 3,908,202 | (11,261,925 | ) | |||||
Class C Shares | (4,081,158 | ) | (8,102,839 | ) | ||||
Class I Shares | 14,143,621 | 23,854,604 | ||||||
Class R3 Shares | 413,928 | 733,390 | ||||||
Class R4 Shares | 378,481 | 225,946 | ||||||
Class R5 Shares | (9,064,424 | ) | 9,951,359 | |||||
|
|
|
| |||||
Net Increase in Net Assets | 53,573,198 | 82,558,399 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 375,774,656 | 293,216,257 | ||||||
|
|
|
| |||||
End of Period | $ | 429,347,854 | $ | 375,774,656 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Global Opportunities Fund | March 31, 2013 (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 outstanding: 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process and make fair value decisions. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 387,737,614 | $ | 387,737,614 | $ | — | $ | — | ||||||||
Exchange-Traded Funds | 12,867,230 | 12,867,230 | — | — | ||||||||||||
Short Term Investments | 29,000,000 | — | 29,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 429,604,844 | $ | 400,604,844 | �� | $ | 29,000,000 | $ | — | |||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 1,384,391 | $ | — | $ | 1,384,391 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (391 | ) | $ | — | $ | (391 | ) | $ | — | ||||||
Spot Currency | $ | (35,521 | ) | $ | (35,521 | ) | $ | — | $ | — |
* | 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. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate
Certified Semi-Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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.
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
General: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $115,394 for Class I shares, $10,675 for Class R3 shares, $10,847 for Class R4 shares, and $31,495 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $8,199 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $2,115 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, are set forth in the Statement of Operations.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
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, 2013, fees paid indirectly were $42.
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, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 578,452 | $ | 9,811,535 | 853,746 | $ | 12,457,821 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 22,463 | 373,331 | 70,808 | 989,188 | ||||||||||||
Shares repurchased | (376,077 | ) | (6,276,664 | ) | (1,687,138 | ) | (24,708,934 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
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|
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|
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|
|
| |||||||||
Net increase (decrease) | 224,838 | $ | 3,908,202 | (762,584 | ) | $ | (11,261,925 | ) | ||||||||
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|
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|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 214,033 | $ | 3,581,447 | 538,895 | $ | 7,769,777 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 48,742 | 672,643 | ||||||||||||
Shares repurchased | (465,025 | ) | (7,662,605 | ) | (1,140,342 | ) | (16,545,259 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (250,992 | ) | $ | (4,081,158 | ) | (552,705 | ) | $ | (8,102,839 | ) | ||||||
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| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,039,748 | $ | 35,048,957 | 4,505,733 | $ | 64,312,088 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 111,784 | 1,858,969 | 138,782 | 1,942,947 | ||||||||||||
Shares repurchased | (1,350,193 | ) | (22,764,305 | ) | (2,873,125 | ) | (42,400,431 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 801,339 | $ | 14,143,621 | 1,771,390 | $ | 23,854,604 | ||||||||||
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| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 31,565 | $ | 529,542 | 52,219 | $ | 759,469 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 235 | 3,866 | 104 | 1,439 | ||||||||||||
Shares repurchased | (7,201 | ) | (119,480 | ) | (1,812 | ) | (27,518 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 24,599 | $ | 413,928 | 50,511 | $ | 733,390 | ||||||||||
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24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
Six Months Ended March 31, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 35,836 | $ | 610,713 | 38,859 | $ | 586,646 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 620 | 10,228 | 1,050 | 14,589 | ||||||||||||
Shares repurchased | (14,263 | ) | (242,460 | ) | (25,057 | ) | (375,289 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 22,193 | $ | 378,481 | 14,852 | $ | 225,946 | ||||||||||
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|
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|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 94,483 | $ | 1,593,921 | 746,703 | $ | 10,797,179 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 33,830 | 563,272 | 42,912 | 601,202 | ||||||||||||
Shares repurchased | (660,497 | ) | (11,221,617 | ) | (97,533 | ) | (1,447,022 | ) | ||||||||
Redemption fees received* | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (532,184 | ) | $ | (9,064,424 | ) | 692,082 | $ | 9,951,359 | ||||||||
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|
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|
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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 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $126,158,843 and $129,402,008, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 353,470,158 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 91,504,896 | ||
Gross unrealized depreciation on a tax basis | (15,370,210 | ) | ||
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| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 76,134,686 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011, of $3,879,619. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative 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 | $ | 30,924,998 | ||
2018 | 140,739,212 | |||
|
| |||
$ | 171,664,210 | |||
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|
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $30,826,386. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six months ended March 31, 2013.
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 18,877,700 | 08/08/2013 | 24,222,119 | $ | 1,319,031 | $ | — | ||||||||||||||||
Swiss Franc | Sell | 3,525,100 | 04/03/2013 | 3,713,368 | 65,279 | — | ||||||||||||||||||
Swiss Franc | Sell | 3,613,000 | 10/03/2013 | 3,816,737 | 81 | — | ||||||||||||||||||
Swiss Franc | Buy | 3,525,100 | 04/03/2013 | 3,713,368 | — | (391 | ) | |||||||||||||||||
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|
|
| |||||||||||||||||||||
Total | $ | 1,384,391 | $ | (391 | ) | |||||||||||||||||||
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|
|
|
26 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 1,384,391 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (391 | ) |
The net realized gain (loss) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (1,907,411 | ) | $ | (1,907,411 | ) |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 1,979,260 | $ | 1,979,260 |
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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 27
Thornburg Global Opportunities 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 15.97 | 0.01 | 2.16 | 2.17 | (0.08 | ) | — | (0.08 | ) | $ | 18.06 | 0.15 | (d) | 1.45 | (d) | 1.45 | (d) | 1.45 | (d) | 13.65 | 33.77 | $ | 91,237 | ||||||||||||||||||||||||||||||||||||
2012(c) | $ | 13.15 | 0.14 | 2.89 | 3.03 | (0.21 | ) | — | (0.21 | ) | $ | 15.97 | 0.94 | 1.49 | 1.49 | 1.49 | 23.22 | 66.07 | $ | 77,103 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.69 | (0.05 | ) | 2.12 | 2.07 | — | — | — | $ | 17.76 | (0.62 | )(d) | 2.22 | (d) | 2.22 | (d) | 2.22 | (d) | 13.19 | 33.77 | $ | 82,406 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 12.98 | 0.02 | 2.84 | 2.86 | (0.15 | ) | — | (0.15 | ) | $ | 15.69 | 0.17 | 2.27 | 2.27 | 2.27 | 22.21 | 66.07 | $ | 76,738 | ||||||||||||||||||||||||||||||||||||||||
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 | $ | 70,643 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 16.06 | 0.05 | 2.16 | 2.21 | (0.18 | ) | — | (0.18 | ) | $ | 18.09 | 0.61 | (d) | 0.99 | (d) | 0.99 | (d) | 1.12 | (d) | 13.88 | 33.77 | $ | 205,305 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.20 | 0.21 | 2.90 | 3.11 | (0.25 | ) | — | (0.25 | ) | $ | 16.06 | 1.44 | 0.99 | 0.99 | 1.21 | 23.82 | 66.07 | $ | 169,384 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.91 | 0.01 | 2.14 | 2.15 | (0.15 | ) | — | (0.15 | ) | $ | 17.91 | 0.09 | (d) | 1.50 | (d) | 1.50 | (d) | 3.43 | (d) | 13.56 | 33.77 | $ | 1,448 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.11 | 0.11 | 2.90 | 3.01 | (0.21 | ) | — | (0.21 | ) | $ | 15.91 | 0.75 | 1.50 | 1.50 | 9.01 | (e) | 23.22 | 66.07 | $ | 894 | |||||||||||||||||||||||||||||||||||||||
2011 | $ | 13.93 | 0.18 | (0.82 | ) | (0.64 | ) | (0.18 | ) | — | (0.18 | ) | $ | 13.11 | 1.12 | 1.49 | 1.49 | 14.23 | (e) | (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 | (e) | 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 | (e) | 3.61 | 103.02 | $ | 20 | |||||||||||||||||||||||||||||||||||||||
2008(f) | $ | 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)(e) | (24.78 | ) | 83.70 | $ | 35 | |||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.90 | 0.02 | 2.14 | 2.16 | (0.12 | ) | — | (0.12 | ) | $ | 17.94 | 0.19 | (d) | 1.40 | (d) | 1.40 | (d) | 2.81 | (d) | 13.64 | 33.77 | $ | 1,897 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.09 | 0.15 | 2.88 | 3.03 | (0.22 | ) | — | (0.22 | ) | $ | 15.90 | 1.05 | 1.40 | 1.40 | 3.72 | 23.36 | 66.07 | $ | 1,329 | ||||||||||||||||||||||||||||||||||||||||
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 | (e) | 3.73 | 103.02 | $ | 1,244 | ||||||||||||||||||||||||||||||||||||||
2008(f) | $ | 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)(e) | (24.74 | ) | 83.70 | $ | 3 | |||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 16.07 | 0.05 | 2.17 | 2.22 | (0.18 | ) | — | (0.18 | ) | $ | 18.11 | 0.58 | (d) | 0.99 | (d) | 0.99 | (d) | 1.12 | (d) | 13.94 | 33.77 | $ | 47,055 | ||||||||||||||||||||||||||||||||||||
2012 | $ | 13.21 | 0.21 | 2.90 | 3.11 | (0.25 | ) | — | (0.25 | ) | $ | 16.07 | 1.44 | 0.99 | 0.99 | 1.15 | 23.80 | 66.07 | $ | 50,327 | ||||||||||||||||||||||||||||||||||||||||
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 | (e) | 4.25 | 103.02 | $ | 86 | ||||||||||||||||||||||||||||||||||||||
2008(f) | $ | 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)(e) | (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) | 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. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
EXPENSE EXAMPLE | ||
Thornburg Global Opportunities Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.50 | $ | 7.73 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.69 | $ | 7.30 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,131.90 | $ | 11.80 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.86 | $ | 11.15 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,138.80 | $ | 5.28 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,135.60 | $ | 7.99 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.45 | $ | 7.54 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.40 | $ | 7.45 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.96 | $ | 7.04 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,139.40 | $ | 5.28 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.45%; C: 2.22%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
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 above 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.
30 Certified Semi-Annual Report
INDEX COMPARISON | ||
Thornburg Global Opportunities Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Global Opportunities Fund versus MSCI All Country (AC) World Index (July 28, 2006 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | 5 Yrs | Since Inception | |||||||||||||
A Shares (Incep: 7/28/06) | 10.87 | % | 6.91 | % | 2.42 | % | 8.02 | % | ||||||||
C Shares (Incep: 7/28/06) | 14.17 | % | 7.74 | % | 2.57 | % | 7.92 | % | ||||||||
I Shares (Incep: 7/28/06) | 16.64 | % | 9.09 | % | 3.89 | % | 9.30 | % | ||||||||
R3 Shares (Incep: 2/1/08) | 16.04 | % | 8.54 | % | 3.37 | % | 2.24 | % | ||||||||
R4 Shares (Incep: 2/1/08) | 16.20 | % | 8.65 | % | 3.46 | % | 2.33 | % | ||||||||
R5 Shares (Incep: 2/1/08) | 16.62 | % | 9.09 | % | 3.91 | % | 2.78 | % | ||||||||
MSCI AC World Index (Since: 7/28/06) | 10.56 | % | 7.78 | % | 2.06 | % | 3.64 | % |
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, 2013 (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.
32 Certified Semi-Annual Report
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TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
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 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 Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
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THORNBURG FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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 |
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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. | ||||
Distributor: | ||||||
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TH1411 |
IMPORTANT INFORMATION
The information presented on the following pages was current as of March 31, 2013. 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 emerging markets, including currency fluctuations, illiquidity, volatility, and political and economic risks. 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, R5, and R6 shares may not be available to all investors. Minimum investments for Class I shares are higher than those for other classes.
From time to time, the Fund may invest in shares of companies through initial public offerings (IPOs). IPOs have the potential to produce substantial gains for 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 | ||
Class R5 | THDRX | 885-216-846 | ||
Class R6 | TDWRX | 885-216-838 |
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 (Brazil, India, Indonesia, Philippines, and Russia) – 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.
BRIC Countries – A reference to the emerging market countries of Brazil, Russia, India and China.
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.
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
Portfolio Manager
Lewis Kaufman, 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 1.85%, 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, 2014, so that actual expenses for Class A shares do not exceed 1.83%.
Philosophy/Strategy
• | A flexible approach to developing markets targeting long-term capital appreciation, with an emphasis on risk-adjusted return. |
• | Focus on self-funding businesses predicated on sound business fundamentals rather than financial leverage. |
• | The ability to pursue the best risk-adjusted developing country opportunities, irrespective of domicile. |
• | The portfolio is diversified across basic value, consistent earner, and emerging franchise companies. |
A Case for Developing Markets
• | The Developing World Fund can complement the dollar diversification provided by other international strategies. Developing world currencies may benefit from manageable public debt/GDP ratios, current account and budget surpluses, and above-average GDP growth potential. |
• | Household debt levels in the developing world are generally lower than those in the developed world, thereby presenting the possibility of increasing credit penetration and stronger domestic consumption. |
• | Structural reforms surrounding health insurance, social security, education and currency should lead to stronger domestic consumption in many developing markets, while helping to smooth the transition away from export-driven growth models. |
• | Many developing world countries have funded recent stimulus initiatives through reserves built earlier in the decade, and remain on sound fiscal footing. |
Average Annual Total Returns
For Periods Ended March 31, 2013
1 Yr | 3 Yrs | Since Inception | ||||||||||
A Shares (Incep: 12/16/09) | ||||||||||||
Without sales charge | 15.34 | % | 12.36 | % | 13.17 | % | ||||||
With sales charge | 10.16 | % | 10.64 | % | 11.60 | % | ||||||
MSCI Emerging Markets Index (Since 12/16/09) | 1.96 | % | 3.27 | % | 4.26 | % |
4 This page is not part of the Semi-Annual Report.
Why Thornburg?
• | We have aligned interests. We are a privately held business, we invest side by side with our clients, and we are investment driven not market driven. |
• | Collaborative, team-oriented approach provides for input from multiple members of the Thornburg Investment Management team and provides an installed base of knowledge on existing holdings. |
• | We believe that stock selection is the best form of risk management. In-depth research allows the team to have a more intimate understanding of the companies in the portfolio. |
Basket Summary
• | Basic Value Companies – Companies which, in Thornburg’s opinion, are financially sound with well established businesses selling at low valuations relative to the companies’ net assets or potential earning power. |
• | Consistent Earners – Companies which normally exhibit steady earnings growth, cashflow characteristics, and/or dividend growth. These companies may have above average profitability measures and normally sell at above average valuations. |
• | Emerging Franchises – Companies which, in Thornburg’s opinion, are in the process of establishing a leading position in a product, service, or market with the potential to grow at an above average rate. |
Stocks Contributing and Detracting
For the Six Months Ended March 31, 2013
Top Contributors | Top Detractors | |
Biostime International Holdings Ltd. | Baidu, Inc. ADS | |
NagaCorp Ltd. | Shandong Weigao Group Medical Polymer Co. Ltd. | |
VGI Global Media plc | TTK Prestige Ltd. | |
Puregold Price Club, Inc. | PChome Online, Inc. | |
Credicorp Ltd. | Mahindra & Mahindra Financial Services Ltd. | |
Source: FactSet |
Key Portfolio Attributes
As of March 31, 2013
Portfolio P/E Trailing 12-months* | 23.2x | |||
Portfolio Price to Cash Flow* | 19.1x | |||
Portfolio Price to Book Value* | 4.4x | |||
Median Market Cap* | $ | 3.5 B | ||
Number of Companies | 52 |
* | Source: FactSet |
Market Capitalization Exposure
As of March 31, 2013
Basket Structure
As of March 31, 2013
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Thornburg Developing World Fund –
March 31, 2013
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32 |
This report is certified under the Sarbanes-Oxley Act of 2002, which requires that public companies, including mutual funds, affirm that the information provided in their annual and semiannual shareholder reports fully and fairly represents their financial position.
6 Certified Semi-Annual Report
April 16, 2013
Dear Fellow Shareholder:
We are pleased to present the fourth semi-annual report for the Thornburg Developing World Fund for the six-month period ended March 31, 2013. The Class A shares of the Fund produced a total return of 14.02% at net asset value (NAV) in the six-month period ended March 31, 2013, compared to 3.87% for the MSCI Emerging Markets Index. Since the Fund’s inception of December 16, 2009, the Class A shares produced a cumulative total return of 50.18% at NAV, compared to 14.83% for the MSCI Emerging Markets Index.
The six-month period ended March 31, 2013 was a tale of two distinct periods. From October 1, 2012 through December 31, 2012, emerging markets equities continued their inexorable march higher, reflecting unprecedented monetary accommodation in the U.S., record-low interest rates around the world, and optimism about the Chinese political transition in November. In the subsequent three-month period, major emerging markets including Brazil, Russia, India, and China all declined in absolute terms and underperformed in relative terms. Korea, which comprises approximately 15% of the MSCI Emerging Markets Index, declined 5.02% during the three months ended March 31, 2013 as tensions flared with North Korea and Korean exporters suffered from the sharp decline in the Japanese yen in the wake of “Abenomics.” European, North African, and South African markets also underperformed during this latter period in light of tensions in Cyprus and the renewed prospect of “tail risk” in the Eurozone. By contrast, Southeast Asian markets such as the Philippines, Thailand, and Indonesia increased at double-digit rates in U.S. dollar terms during the three months ended March 31, 2013, as global central bank accommodation and favorable relative growth rate differentials resulted in capital flows into these and other markets.
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 1.85%, 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, 2014, so that actual expenses for Class A shares do not exceed 1.83%.
As we have emphasized in previous letters, we remain focused on financially sound free cash flow generative businesses, denominated in currencies with favorable balance of payment dynamics – thereby reducing the probability of capital impairment during periods of market duress. While this framework has its roots in risk management, we view it as a critical component of long-term capital appreciation over time. For example, nearly every bank will experience a degree of economic cyclicality, but a highly leveraged bank is far more likely to raise equity and destroy value permanently during periods of market duress – an event from which the share price may never fully recover, as we learned during the global financial crisis of 2008. Similarly, currency volatility comes with the territory in emerging markets investing, but a devaluation scenario (i.e., Mexico during the 1994 Tequila Crisis) is a fundamentally different occurrence than currency volatility and carries with it the prospect of permanent
Certified Semi-Annual Report 7
LETTER TO SHAREHOLDERS, | ||
CONTINUED |
capital impairment. Ultimately, it becomes more difficult to compound portfolio returns over time when a significant portion of the value of an individual investment has been permanently impaired. This insight remains a key component of our investment framework.
Looking forward, it is hard to issue a cautious tone on equities against the backdrop of today’s abundant liquidity. At the same time, it is notable that emerging markets equities have in recent months underperformed their developed-market brethren at a time when “risk assets” should presumably be in favor, and that the Developing World Fund has experienced positive absolute returns during this same period. A key reason for this divergence is the composition of the MSCI Emerging Markets Index – which is significantly exposed to BRIC countries, the energy and materials sectors, western-facing markets such as Korea and Taiwan, and state-owned enterprises. While the Developing World Fund is exposed to these elements to varying (though lesser) degrees, we continue to maintain a focus on end-market demand rather than domicile, and on markets in Southeast Asia, the Andean region of Latin America, and other parts of the world that can complement our exposure to better-recognized emerging markets. Combined with our focus on companies and countries with limited degrees of external dependence, we believe that we have created a framework for participation in emerging markets equities with the potential to mitigate the volatility of shareholder returns through multiple layers of diversification.
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.
8 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Top Ten Equity Holdings
As of 3/31/13
NagaCorp Ltd. | 3.0 | % | Magnit OJCS GDR | 2.4 | % | |||||
Siam Commercial Bank plc | 2.8 | % | Yandex NV | 2.4 | % | |||||
Tencent Holdings Ltd. | 2.7 | % | Biostime International Holdings Ltd. | 2.4 | % | |||||
Qualcomm, Inc. | 2.5 | % | PT Mitra Adiperkasa | 2.4 | % | |||||
Prada S.p.A. | 2.5 | % | PriceSmart, Inc. | 2.3 | % |
Summary of Industry Exposure
As of 3/31/13
Consumer Services | 15.9 | % | Retailing | 2.9 | % | |||||
Food & Staples Retailing | 13.0 | % | Semiconductors & Semiconductor Equipment | 2.3 | % | |||||
Banks | 12.7 | % | Media | 1.5 | % | |||||
Software & Services | 9.5 | % | Diversified Financials | 1.5 | % | |||||
Food, Beverage & Tobacco | 5.4 | % | Health Care Equipment & Services | 1.4 | % | |||||
Consumer Durables & Apparel | 5.4 | % | Automobiles & Components | 1.2 | % | |||||
Energy | 5.2 | % | Household & Personal Products | 1.0 | % | |||||
Technology Hardware & Equipment | 4.8 | % | Transportation | 0.6 | % | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 4.4 | % | Other Assets & Liabilities | 8.3 | % | |||||
Materials | 3.0 | % |
Summary of Country Exposure
As of 3/31/13 (percent of equity holdings)
China | 13.6 | % | Italy | 2.7 | % | |||||
United States | 10.8 | % | Taiwan | 2.5 | % | |||||
Brazil | 10.0 | % | Peru | 2.4 | % | |||||
Indonesia | 8.7 | % | Poland | 2.1 | % | |||||
Philippines | 6.9 | % | United Kingdom | 1.8 | % | |||||
India | 6.3 | % | South Africa | 1.7 | % | |||||
Russia | 6.3 | % | Argentina | 1.3 | % | |||||
Hong Kong | 5.7 | % | Chile | 1.0 | % | |||||
Thailand | 4.7 | % | Saudi Arabia | 1.0 | % | |||||
Mexico | 4.6 | % | Turkey | 1.0 | % | |||||
Colombia | 4.0 | % | Malaysia | 0.9 | % |
Certified Semi-Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 91.66% | ||||||||
AUTOMOBILES & COMPONENTS — 1.25% | ||||||||
AUTOMOBILES — 1.25% | ||||||||
Great Wall Motor Co. Ltd. | 1,534,000 | $ | 5,207,168 | |||||
|
| |||||||
5,207,168 | ||||||||
|
| |||||||
BANKS — 12.75% | ||||||||
COMMERCIAL BANKS — 12.75% | ||||||||
Bancolombia S.A. ADR | 101,639 | 6,428,667 | ||||||
Credicorp Ltd. | 56,165 | 9,326,198 | ||||||
HDFC Bank Ltd. ADR | 204,905 | 7,667,545 | ||||||
PT Bank Mandiri | 7,493,500 | 7,711,346 | ||||||
Sberbank-CLS | 1,229,456 | 3,897,921 | ||||||
Security Bank Corp. | 1,475,300 | 6,579,382 | ||||||
Siam Commercial Bank plc | 1,901,034 | 11,522,402 | ||||||
|
| |||||||
53,133,461 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 5.38% | ||||||||
HOUSEHOLD DURABLES — 2.27% | ||||||||
TTK Prestige Ltd. | 158,552 | 9,437,709 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 3.11% | ||||||||
Forus SA | 363,600 | 2,559,466 | ||||||
Prada S.p.A. | 1,031,000 | 10,419,508 | ||||||
|
| |||||||
22,416,683 | ||||||||
|
| |||||||
CONSUMER SERVICES — 15.95% | ||||||||
DIVERSIFIED CONSUMER SERVICES — 2.32% | ||||||||
Kroton Educacional S.A. | 754,550 | 9,689,755 | ||||||
HOTELS, RESTAURANTS & LEISURE — 13.63% | ||||||||
a Bloomberry Resorts Corp. | 22,263,551 | 7,768,512 | ||||||
a Galaxy Entertainment Group Ltd. | 2,256,000 | 9,416,287 | ||||||
Herfy Food Services Co. | 122,869 | 3,767,782 | ||||||
International Meal Co. Holdings S.A. | 561,450 | 7,084,981 | ||||||
a Jubilant FoodWorks Ltd. | 306,170 | 6,968,395 | ||||||
NagaCorp Ltd. | 14,560,000 | 12,304,410 | ||||||
Yum! Brands, Inc. | 132,121 | 9,504,785 | ||||||
|
| |||||||
66,504,907 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 1.49% | ||||||||
CAPITAL MARKETS — 1.49% | ||||||||
CETIP SA | 521,800 | 6,197,303 | ||||||
|
| |||||||
6,197,303 | ||||||||
|
| |||||||
ENERGY — 5.19% | ||||||||
ENERGY EQUIPMENT & SERVICES — 1.45% | ||||||||
Anton Oilfield Services Group | 8,688,600 | 6,033,012 | ||||||
OIL, GAS & CONSUMABLE FUELS — 3.74% | ||||||||
a Gran Tierra Energy, Inc. | 1,487,903 | 8,685,598 | ||||||
Tullow Oil plc | 368,671 | 6,895,779 | ||||||
|
| |||||||
21,614,389 | ||||||||
|
|
10 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
FOOD & STAPLES RETAILING — 13.01% | ||||||||
FOOD & STAPLES RETAILING — 13.01% | ||||||||
Bim Birlesik Magazalar A.S. | 80,900 | $ | 3,945,960 | |||||
Clicks Group Ltd. | 1,014,134 | 6,395,618 | ||||||
CP All PCL | 4,072,200 | 6,361,726 | ||||||
Jeronimo Martins SGPS SA | 407,916 | 7,945,275 | ||||||
Magnit OJCS GDR | 223,346 | 10,084,072 | ||||||
PriceSmart, Inc. | 125,568 | 9,772,957 | ||||||
Puregold Price Club, Inc. | 9,931,500 | 9,746,547 | ||||||
|
| |||||||
54,252,155 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 5.38% | ||||||||
FOOD PRODUCTS — 5.38% | ||||||||
Biostime International Holdings Ltd. | 1,920,000 | 10,004,960 | ||||||
Mead Johnson Nutrition Co. | 114,519 | 8,869,496 | ||||||
Oldtown Berhad | 4,486,500 | 3,564,279 | ||||||
|
| |||||||
22,438,735 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.43% | ||||||||
HEALTH CARE PROVIDERS & SERVICES — 1.43% | ||||||||
a Qualicorp SA | 592,100 | 5,951,034 | ||||||
|
| |||||||
5,951,034 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.96% | ||||||||
PERSONAL PRODUCTS — 0.96% | ||||||||
Hengan International Group Co. Ltd. | 409,000 | 3,993,816 | ||||||
|
| |||||||
3,993,816 | ||||||||
|
| |||||||
MATERIALS — 2.96% | ||||||||
CHEMICALS — 0.95% | ||||||||
Sociedad Quimica Minera de Chile SA ADR | 71,539 | 3,966,838 | ||||||
METALS & MINING — 2.01% | ||||||||
Southern Copper Corp. | 223,135 | 8,383,182 | ||||||
|
| |||||||
12,350,020 | ||||||||
|
| |||||||
MEDIA — 1.55% | ||||||||
MEDIA — 1.55% | ||||||||
VGI Global Media PCL | 1,425,600 | 6,474,468 | ||||||
|
| |||||||
6,474,468 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 4.40% | ||||||||
PHARMACEUTICALS — 4.40% | ||||||||
China Medical System Holdings Ltd. | 9,063,000 | 9,200,126 | ||||||
a Genomma Lab Internacional SA | 3,761,170 | 9,156,689 | ||||||
|
| |||||||
18,356,815 | ||||||||
|
| |||||||
RETAILING — 2.88% | ||||||||
INTERNET & CATALOG RETAIL — 0.52% | ||||||||
a Vipshop Holdings Ltd. ADR | 71,094 | 2,159,125 | ||||||
MULTILINE RETAIL — 2.36% | ||||||||
PT Mitra Adiperkasa | 10,513,285 | 9,845,217 | ||||||
|
| |||||||
12,004,342 | ||||||||
|
|
Certified Semi-Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Shares/ Principal Amount | Value | |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.25% | ||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.25% | ||||||||
Hermes Microvision, Inc. | 387,094 | $ | 9,385,274 | |||||
|
| |||||||
9,385,274 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 9.51% | ||||||||
INTERNET SOFTWARE & SERVICES — 7.33% | ||||||||
MercadoLibre, Inc. | 53,019 | 5,119,514 | ||||||
NetEase.com, Inc. ADR | 34,097 | 1,867,493 | ||||||
a SINA Corp. | 43,769 | 2,126,736 | ||||||
Tencent Holdings Ltd. | 358,203 | 11,388,590 | ||||||
a Yandex NV | 435,204 | 10,061,916 | ||||||
SOFTWARE — 2.18% a Linx S.A. | 578,300 | 9,086,243 | ||||||
|
| |||||||
39,650,492 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 4.77% | ||||||||
COMMUNICATIONS EQUIPMENT — 2.53% | ||||||||
Qualcomm, Inc. | 157,388 | 10,537,126 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.24% a PT Erajaya Swasembada Tbk | 26,731,296 | 9,352,859 | ||||||
|
| |||||||
19,889,985 | ||||||||
|
| |||||||
TRANSPORTATION — 0.55% | ||||||||
TRANSPORTATION INFRASTRUCTURE — 0.55% | ||||||||
International Container Terminal Services, Inc. | 1,022,500 | 2,307,578 | ||||||
|
| |||||||
2,307,578 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $342,829,042) | 382,128,625 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 6.48% | ||||||||
Avery Dennison Corp, 0.30% , 4/1/2013 | $ | 17,000,000 | 17,000,000 | |||||
Bank of New York Tri-Party Repurchase Agreement 0.36% dated 03/28/2013 due 4/1/2013, repurchase price $10,000,400 collateralized by 9 corporate debt securities and 4 U.S. Government debt securities having an average coupon of 3.3712%, a minimum credit rating of BBB-, and maturity dates from 01/29/2016 to 08/02/2042, and having an aggregate market value of $10,550,489 at 3/28/2013 | 10,000,000 | 10,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $27,000,000) | 27,000,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.14% (Cost $369,829,042) | $ | 409,128,625 | ||||||
OTHER ASSETS LESS LIABILITIES — 1.86% | 7,772,940 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 416,901,565 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
12 Certified Semi-Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
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.
Certified Semi-Annual Report 13
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
ASSETS | ||||
Investments at value (cost $369,829,042) (Note 2) | $ | 409,128,625 | ||
Receivable for investments sold | 4,144 | |||
Receivable for fund shares sold | 30,073,900 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 195,536 | |||
Dividends receivable | 132,874 | |||
Dividend and interest reclaim receivable | 5,995 | |||
Interest receivable | 400 | |||
Prepaid expenses and other assets | 100,257 | |||
|
| |||
Total Assets | 439,641,731 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 21,719,134 | |||
Payable for fund shares redeemed | 277,718 | |||
Payable to custodian | 407,995 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 3,924 | |||
Payable to investment advisor and other affiliates (Note 3) | 331,395 | |||
|
| |||
Total Liabilities | 22,740,166 | |||
|
| |||
NET ASSETS | $ | 416,901,565 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Distribution in excess of net investment income | $ | (1,286,431 | ) | |
Net unrealized appreciation on investments | 39,494,036 | |||
Accumulated net realized gain (loss) | (4,002,883 | ) | ||
Net capital paid in on shares of beneficial interest | 382,696,843 | |||
|
| |||
$ | 416,901,565 | |||
|
|
14 Certified Semi-Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
NET ASSET VALUE: | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($116,135,966 applicable to 6,486,534 shares of beneficial interest outstanding - Note 4) | $ | 17.90 | ||
Maximum sales charge, 4.50% of offering price | 0.84 | |||
|
| |||
Maximum offering price per share | $ | 18.74 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($29,538,621 applicable to 1,683,711 shares of beneficial interest | $ | 17.54 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($271,195,424 applicable to 14,941,476 shares of beneficial interest outstanding - Note 4) | $ | 18.15 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($15,776 applicable to 869 shares of beneficial interest outstanding - Note 4) | $ | 18.15 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($15,778 applicable to 868 shares of beneficial interest outstanding - Note 4) | $ | 18.18 | ||
|
| |||
* 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
Thornburg Developing World Fund | Six Months Ended March 31, 2013 (Unaudited) |
INVESTMENT INCOME: | ||||
Dividend income (net of foreign taxes withheld of $49,323) | $ | 755,917 | ||
Interest income | 16,845 | |||
|
| |||
Total Income | 772,762 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3) | 911,772 | |||
Administration fees (Note 3) | ||||
Class A Shares | 37,264 | |||
Class C Shares | 8,848 | |||
Class I Shares | 28,310 | |||
Class R5 Shares | 1 | |||
Distribution and service fees (Note 3) | ||||
Class A Shares | 74,351 | |||
Class C Shares | 71,452 | |||
Transfer agent fees | ||||
Class A Shares | 23,892 | |||
Class C Shares | 9,582 | |||
Class I Shares | 20,637 | |||
Class R5 Shares | 708 | |||
Class R6 Shares | 590 | |||
Registration and filing fees | ||||
Class A Shares | 10,862 | |||
Class C Shares | 10,102 | |||
Class I Shares | 12,852 | |||
Class R5 Shares | 5,995 | |||
Class R6 Shares | 5,995 | |||
Custodian fees (Note 3) | 73,883 | |||
Professional fees | 27,107 | |||
Accounting fees | 2,474 | |||
Trustee fees | 2,188 | |||
Other expenses | 23,627 | |||
|
| |||
Total Expenses | 1,362,492 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (88,990 | ) | ||
Investment advisory fees waived by investment advisor (Note 3) | (19,594 | ) | ||
Fees paid indirectly (Note 3) | (237 | ) | ||
|
| |||
Net Expenses | 1,253,671 | |||
|
| |||
Net Investment Loss | $ | (480,909 | ) | |
|
|
16 Certified Semi-Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Developing World Fund | Six Months Ended March 31, 2013 (Unaudited) |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments (net of foreign capital gain taxes paid of $60,224) | $ | 1,294,232 | ||
Forward currency contracts (Note 7) | (139,068 | ) | ||
Foreign currency transactions | (122,072 | ) | ||
|
| |||
1,033,092 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $104,746) | 26,119,131 | |||
Forward currency contracts (Note 7) | 282,125 | |||
Foreign currency translations | 2,577 | |||
|
| |||
26,403,833 | ||||
|
| |||
Net Realized and Unrealized Gain | 27,436,925 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 26,956,016 | ||
|
|
See notes to financial statements.
Certified Semi-Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Developing World Fund
Six Months Ended | Year Ended | |||||||
March 31, 2013* | September 30, 2012 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (480,909 | ) | $ | 140,440 | |||
Net realized gain (loss) on investments, forward currency contracts and foreign currency transactions, net of foreign capital gains taxes | 1,033,092 | (2,778,899 | ) | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | 26,403,833 | 19,227,506 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,956,016 | 16,589,047 | ||||||
DIVIDENDS TO SHAREHOLDERS: | ||||||||
From net investment income | ||||||||
Class A Shares | (30,996 | ) | — | |||||
Class I Shares | (445,713 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||
Class A Shares | 68,311,328 | 7,947,002 | ||||||
Class C Shares | 17,607,707 | 923,614 | ||||||
Class I Shares | 201,973,634 | 17,833,797 | ||||||
Class R5 Shares | 15,201 | — | ||||||
Class R6 Shares | 15,200 | — | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 314,402,377 | 43,293,460 | ||||||
NET ASSETS: | ||||||||
Beginning of Period | 102,499,188 | 59,205,728 | ||||||
|
|
|
| |||||
End of Period | $ | 416,901,565 | $ | 102,499,188 | ||||
|
|
|
|
* | Unaudited |
See notes to financial statements.
18 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Developing World Fund | March 31, 2013 (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 five classes of shares of beneficial interest outstanding: Class A, Class C, Institutional Class (“Class I”) and Retirement Classes (“Class R5” and “Class R6”). 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 R5 and Class R6 shares are sold at net asset value without a sales charge at the time of purchase, and (v) 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 Policy and Procedures: The Fund’s Trustees of the Trust (the “Trustees”) have authorized employees of the Fund’s investment advisor, acting as the Valuation and Pricing Committee (the “Committee”), to make certain valuation determinations, subject to oversight and review by the Trustees and the Audit Committee of the Trustees. The Committee and other employees of the Fund’s investment advisor administer and implement the valuation process. The Committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services, considers circumstances in the markets which may require valuation determinations by the Committee and reviews previous valuation determinations. The Committee also reports on its activities, the performance of the pricing services and other matters to the Trustees and the Audit Committee of the Trustees.
In determining a fair value for a portfolio investment, the Committee seeks to determine the price that the Fund would reasonably expect to receive upon a sale of the investment in an orderly transaction between market participants at the measurement date. Typically, the fair value process employs standing instructions to use quoted prices in active markets or the use of independent pricing services. Less frequently, the Committee may make a fair value determination using other methods. However, because fair value prices are estimated prices, the 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 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 of Investments: Portfolio investments listed or traded on a national securities exchange are valued on the valuation date at the last reported trade price on the exchange that is the primary market for the investment. Portfolio investments traded on an exchange for which there has been no trade that day and other equity investments traded in the over-the-counter market are valued at the mean between the last reported bid and ask prices. Portfolio investments reported by NASDAQ are valued at the NASDAQ official closing price. Any foreign investment traded on exchanges outside the United States is valued at the price of the investment on the exchange that is normally the investment’s primary market, as of the close of that exchange preceding the time of the Fund’s valuation measurement date.
In any case where the market value of an equity investment held by the Fund is not readily available, a determination of a fair value for the investment is made by the Committee. The Committee’s determinations are made using procedures in accordance
Certified Semi-Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
with a policy approved by the Trustees, which may include the use of a price obtained from an independent pricing service. The pricing service ordinarily values equity investments in these instances using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data. An investment’s market value is deemed not readily available whenever the exchange or market on which the investment is primarily traded is closed for the entire scheduled day of trading. Additionally, an investment’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 investment’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 investment’s market value. On days when market volatility thresholds pre-determined by the Trustees are exceeded, foreign equity investments held by the Fund may be valued using synthetic pricing obtained from an independent pricing service approved by the Trustees, subject to the ability of the Committee to determine in any such instance to utilize market closing prices if the Committee considers closing prices to be more reliable.
Debt obligations held by the Fund have a primary over-the-counter market and are valued by an independent pricing service approved by the Trustees. 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.
In any case when a pricing service fails to provide a price for a debt obligation held by the Fund, the Committee determines a fair value for the debt obligation using procedures in accordance with a policy approved by the Trustees, which may include the use of a price obtained from a different independent pricing service. 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 Committee decides whether or not to use the pricing service’s valuation or to use an alternative method to determine a fair value for the debt obligation.
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.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established by guidance by the Financial Accounting Standards Board (the “FASB”). Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs and minimize the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market data. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within the hierarchy is based on the lowest level input that is deemed significant to the fair value measurement. The methodologies and relative inputs used to value investments are not necessarily indications of the risk or liquidity associated with investing in those investments.
Various inputs are used in determining the fair value measurement of the Fund’s investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit risk, etc.).
When market volatility thresholds are exceeded, foreign equity investments may be fair valued according to other significant observable inputs rather than quoted market prices. The affected investments will be characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
20 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Level 3: Significant unobservable inputs, (including the Committee’s own assumptions in determining the fair value of investments), are generally applicable to investments fair valued with single broker quotes and other investments.
Portfolio investments with minimal, if any, market activity are characterized as Level 3 and are valued using significant unobservable inputs, typically including single broker quotes, which may be adjusted or unadjusted, related or comparable investments, last available transactions, and other relevant information. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. An income based valuation approach would consider discounted anticipated future cash flows of the investment. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investment. The derived value of a Level 3 investment may not represent the value which is received upon disposition.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of March 31, 2013. In any instance where 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, 2013 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 382,128,625 | $ | 375,766,899 | $ | 6,361,726 | $ | — | ||||||||
Short Term Investments | 27,000,000 | — | 27,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 409,128,625 | $ | 375,766,899 | $ | 33,361,726 | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 195,536 | $ | — | $ | 195,536 | $ | — | ||||||||
Spot Currency | $ | 4,144 | �� | $ | 4,144 | $ | — | $ | — | |||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (3,924 | ) | $ | — | $ | (3,924 | ) | $ | — |
* | 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. |
In accordance with the guidance prescribed in Accounting Standards Update No. 2011-04, amending Topic 820 Fair Value Measurements and Disclosures, it is the policy of the Fund to recognize transfers between Levels 1, 2 and 3 and to disclose those transfers due to the underlying event which caused the movement. The Fund recognized no transfers between levels for the six months ended March 31, 2013, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Foreign Currency Translation: Portfolio investments 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 investments and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. When the Fund purchases or sells foreign investments, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transactions. The values of 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 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on investments held. Such changes are included in net unrealized appreciation or depreciation from investments.
Reported net realized gains or losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on investment 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 change in unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments 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 investments 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, 2013, 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 investments 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 an investment 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 investments to be purchased will be segregated on the Fund’s records on the trade date. Investments 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 investments, which serve as collateral, with an agreement to resell such collateral at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody 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: Investment 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 investments is recognized as soon as information is available to the Fund. Realized gains and losses from the sale of investments 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
22 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
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 (and under a separate agreement with the Trustees), 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 United States 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 amounts 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, 2013, 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, 2013, the Advisor voluntarily waived investment advisory fees of $19,594. 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, 2013, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $4,298 for Class A shares, $9,604 for Class C shares, $61,799 for Class I shares, $6,703 for Class R5 shares, and $6,586 for Class R6 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, 2013, the Distributor has advised the Fund that it earned commissions aggregating $41,731 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $979 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, 2013, 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 each class of shares of the Fund under their respective Service and Distribution Plans for the six months ended March 31, 2013, 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, 2013, fees paid indirectly were $237.
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.
Certified Semi-Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At March 31, 2013, 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, 2013 (Unaudited) | Year Ended September 30, 2012 (Audited) | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,412,863 | $ | 75,551,631 | 1,082,854 | $ | 15,910,582 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,868 | 29,766 | — | — | ||||||||||||
Shares repurchased | (436,046 | ) | (7,270,069 | ) | (570,116 | ) | (7,963,630 | ) | ||||||||
Redemption fees received** | — | — | — | 50 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,978,685 | $ | 68,311,328 | 512,738 | $ | 7,947,002 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,088,217 | $ | 18,466,477 | 244,119 | $ | 3,529,222 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (52,497 | ) | (858,770 | ) | (182,871 | ) | (2,605,622 | ) | ||||||||
Redemption fees received** | — | — | — | 14 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,035,720 | $ | 17,607,707 | 61,248 | $ | 923,614 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 11,941,139 | $ | 207,510,308 | 1,646,787 | $ | 24,383,131 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 21,646 | 349,371 | — | — | ||||||||||||
Shares repurchased | (347,788 | ) | (5,886,045 | ) | (460,724 | ) | (6,549,398 | ) | ||||||||
Redemption fees received** | — | — | — | 64 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,614,997 | $ | 201,973,634 | 1,186,063 | $ | 17,833,797 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares* | ||||||||||||||||
Shares sold | 869 | $ | 15,201 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
Redemption fees received | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 869 | $ | 15,201 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 Shares* | ||||||||||||||||
Shares sold | 868 | $ | 15,200 | — | $ | — | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
Redemption fees received | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 868 | $ | 15,200 | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
* | Effective date for these Classes of shares was February 1, 2013. |
** | 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. |
24 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
NOTE 5 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2013, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $327,563,930 and $68,466,328, respectively.
NOTE 6 – INCOME TAXES
At March 31, 2013, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 369,829,042 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 41,732,879 | ||
Gross unrealized depreciation on a tax basis | (2,433,296 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 39,299,583 | ||
|
|
At March 31, 2013, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2011 of $2,196,037. For tax purposes, such losses will be reflected in the year ending September 30, 2013.
At March 31, 2013, the Fund had cumulative tax basis capital losses of $2,583,287, 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 do not expire.
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, 2013, 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, 2013 in the normal course of pursuing its investment objectives, in anticipation 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 appreciation and depreciation on outstanding contracts are reported in the Fund’s Statement of Assets and Liabilities, 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. The quarterly average values of open sell currency contracts for the six months ended March 31, 2013 was $3,992,225. Open buy currency contracts are entered into for the purpose of closing open sell currency contracts and the values are dependent upon the values of open sell currency contracts within the six-months ended March 31, 2013.
Certified Semi-Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
The following table displays the outstanding forward currency contracts at March 31, 2013:
Outstanding Forward Currency Contracts
to Buy or Sell at March 31, 2013
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 2,592,800 | 07/10/2013 | 3,325,992 | $ | 72,651 | $ | — | ||||||||||||||||
Euro | Sell | 812,800 | 07/10/2013 | 1,042,643 | 58,400 | — | ||||||||||||||||||
Euro | Sell | 651,800 | 07/10/2013 | 836,116 | 41,578 | — | ||||||||||||||||||
Euro | Sell | 562,400 | 07/10/2013 | 721,435 | 15,590 | — | ||||||||||||||||||
Euro | Sell | 293,400 | 07/10/2013 | 376,368 | 7,317 | — | ||||||||||||||||||
Euro | Sell | 766,500 | 07/10/2013 | 983,251 | — | (3,924 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 195,536 | $ | (3,924 | ) | |||||||||||||||||||
|
|
|
|
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at March 31, 2013 is disclosed in the following table:
Fair Values of Derivative Financial Instruments
at March 31, 2013
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 195,536 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (3,924 | ) |
The net realized gain (loss) from forward currency contracts, and the net 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, 2013 are disclosed in the following tables:
Net Realized Gain (Loss)
on Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (139,068 | ) | $ | (139,068 | ) |
Net Change in Unrealized Appreciation (Depreciation)
of Derivative Financial Instruments Recognized in
Income for the Six Months Ended March 31, 2013
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 282,125 | $ | 282,125 |
26 Certified Semi-Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | March 31, 2013 (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 (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, 2013 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Certified Semi-Annual Report 27
Thornburg Developing World Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period)+ | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Periods Fiscal Years 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(c) | $ | 15.71 | (0.06 | ) | 2.26 | 2.20 | (0.01 | ) | — | (0.01 | ) | $ | 17.90 | (0.70 | )(d) | 1.57 | (d) | 1.57 | (d) | 1.61 | (d) | 14.02 | 36.91 | $ | 116,136 | |||||||||||||||||||||||||||||||||||
2012(c) | $ | 12.50 | (0.01 | ) | 3.22 | 3.21 | — | — | — | $ | 15.71 | (0.05 | ) | 1.69 | 1.69 | 1.85 | 25.68 | 129.49 | $ | 39,390 | ||||||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.44 | (0.12 | ) | 2.22 | 2.10 | — | — | — | $ | 17.54 | (1.48 | )(d) | 2.37 | (d) | 2.37 | (d) | 2.53 | (d) | 13.60 | 36.91 | $ | 29,539 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 12.37 | (0.11 | ) | 3.18 | 3.07 | — | — | — | $ | 15.44 | (0.76 | ) | 2.38 | 2.38 | 2.86 | 24.82 | 129.49 | $ | 10,006 | ||||||||||||||||||||||||||||||||||||||||
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 | $ | 7,258 | |||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.96 | (0.03 | ) | 2.31 | 2.28 | (0.09 | ) | — | (0.09 | ) | $ | 18.15 | (0.30 | )(d) | 1.09 | (d) | 1.09 | (d) | 1.22 | (d) | 14.37 | 36.91 | $ | 271,195 | |||||||||||||||||||||||||||||||||||
2012 | $ | 12.62 | 0.08 | 3.26 | 3.34 | — | — | — | $ | 15.96 | 0.57 | 1.09 | 1.09 | 1.45 | 26.47 | 129.49 | $ | 53,103 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(f) | $ | 17.49 | (0.02 | ) | 0.68 | 0.66 | — | — | — | $ | 18.15 | (0.73 | )(d) | 1.09 | (d) | 1.09 | (d) | 283.95 | (d)(g) | 3.77 | 36.91 | $ | 16 | |||||||||||||||||||||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013(b)(f) | $ | 17.51 | (0.02 | ) | 0.69 | 0.67 | — | — | — | $ | 18.18 | (0.61 | )(d) | 0.99 | (d) | 0.99 | (d) | 278.90 | (d)(g) | 3.83 | 36.91 | $ | 16 |
(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. |
(f) | Effective date of this Class of shares was February 1, 2013. |
(g) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding, except for Dividends from Net Investment Income and Net Realized Gains, which are actual amounts per share. |
See notes to financial statements.
28 Certified Semi-Annual Report | Certified Semi-Annual Report 29 |
EXPENSE EXAMPLE | ||
Thornburg Developing World Fund | March 31, 2013 (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, 2012, and held until March 31, 2013.
Beginning Account Value 10/1/12 | Ending Account Value 3/31/13 | Expenses Paid During Period† 10/1/12–3/31/13 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,140.20 | $ | 8.39 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.10 | $ | 7.90 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,136.00 | $ | 12.64 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.10 | $ | 11.91 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,143.70 | $ | 5.83 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.50 | $ | 5.49 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.70 | $ | 5.54 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.49 | $ | 5.49 | ||||||
Class R6 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.30 | $ | 5.03 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.00 | $ | 4.98 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.57%; C: 2.37%; I: 1.09%; R5: 1.09%; R6: 0.99%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the table above 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 above 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.
30 Certified Semi-Annual Report
Thornburg Developing World Fund | March 31, 2013 (Unaudited) |
Growth of a Hypothetical $10,000 Investment
Thornburg Developing World Fund versus MSCI Emerging Markets Index (December 16, 2009 to March 31, 2013)
Average Annual Total Returns
For Periods Ended March 31, 2013 (with sales charge)
1 Yr | 3 Yrs | Since Inception | ||||||||||
A Shares (Incep: 12/16/09) | 10.16 | % | 10.64 | % | 11.60 | % | ||||||
C Shares (Incep: 12/16/09) | 13.49 | % | 11.60 | % | 12.44 | % | ||||||
I Shares (Incep: 12/16/09) | 16.04 | % | 13.02 | % | 13.86 | % | ||||||
R5 Shares (Incep: 2/1/13)* | — | — | 3.77 | % | ||||||||
R6 Shares (Incep: 2/1/13)* | — | — | 3.83 | % | ||||||||
MSCI Emerging Markets Index (Since 12/16/09) | 1.96 | % | 3.27 | % | 4.26 | % |
* | Not annualized for periods less than one year. |
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, R5, and R6 shares.
Certified Semi-Annual Report 31
Thornburg Developing World Fund | March 31, 2013 (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.
32 Certified Semi-Annual Report
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TRUSTEES’ STATEMENT TO SHAREHOLDERS
Not part of the Certified Semi-Annual Report
Reissued September 10, 2012
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.
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 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 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 FUND FAMILY
Thornburg Equity Funds
Thornburg’s equity research uses a fundamentally driven, bottom-up, comprehensive analytical approach. Thornburg equity funds generally focus on a limited number of securities so that each holding can impact performance. The team searches for firms believed to have a promising future and seeks to buy shares of those companies at a discount to their intrinsic or long-term 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 avoid 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 |
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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: | ||||||
Thornburg Securities Corporation® 800.847.0200 | You invest in the future, without spending a dime. | |||||
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 22, 2013
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 22, 2013
By: | /s/ Jason H. Brady | |
Jason H. Brady | ||
Treasurer and principal financial officer |
Date: May 22, 2013