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, 2015
Date of reporting period: September 30, 2015
Item 1. | Reports to Stockholders |
The following annual reports are attached hereto, in order:
Thornburg Low Duration Municipal Fund
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 U.S. Government Fund
Thornburg Limited Term Income Fund
Thornburg Low Duration Income Fund
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
Thornburg Capital Management Fund
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
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Garrett Thornburg |
Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg Low Duration Municipal Fund
September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class A | TLMAX | 885-216-788 | ||
Class I | TLMIX | 885-216-770 |
Minimum investments for Class I shares may be higher than those for Class A shares. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Low Duration Municipal Fund. The net asset value (NAV) of the Class A shares increased by one cent to $12.35 per share during the fiscal year ended September 30, 2015. If you were with us for the entire period, you received dividends of 1.757 cents per share. If you reinvested your dividends, you received 1.758 cents per share. Dividends 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 0.22% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 0.85% total return for the BofA Merrill Lynch 1-3 Year U.S. Municipal Securities Index.
Our interest-rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve was lower than the benchmark’s – and drove price return relative to the benchmark. The market’s returns were a result of increasing short-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech that:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds (as of September 30, 2015)
policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (Dodd-Frank and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
Table I | Status of Select Municipal Bankruptcy Cases
ENTITY | BANKRUPTCY PROCEEDINGS | PENSION RECOVERY | BONDHOLDER RECOVERY | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best-provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
![]() | ![]() | ![]() | ||
Christopher Ryon, CFA | Josh Gonze | Nicholos Venditti | ||
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | Since Incep. | |||||||
A Shares (Incep: 12/30/13) | ||||||||
Without sales charge | 0.22 | % | 0.35 | % | ||||
With sales charge | -1.30 | % | -0.52 | % | ||||
I Shares (Incep: 12/30/13) | 0.40 | % | 0.55 | % |
30-Day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 0.27 | % | ||
SEC Yield | 0.26 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 3.14%; I shares, 1.77%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.70%; I shares, 0.50%. For more detailed information on fund expenses and waivers/reimbursements, please see the Fund’s prospectus.
Without fee waivers and expense reimbursements, the Annualized Distribution yield would have been negative 1.37%, and the SEC yield would have been negative 1.36%. Unsubsidized yields may be disproportionately negative due to the size of net assets and fixed expenses.
Glossary
BofA Merrill Lynch 1-3 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 3 years.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
FUND SUMMARY | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks current income exempt from federal income tax, consistent with preservation of capital (may be subject to Alternative Minimum Tax).
This Fund is a laddered portfolio of municipal bonds with a dollar-weighted average duration of normally no more than three years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk
Portfolio Ladder
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Key Portfolio Attributes
Number of Bonds | 106 | |||
Effective Duration | 1.5 Yrs | |||
Average Maturity | 1.6 Yrs |
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ARIZONA — 1.10% | ||||||||||
Arizona HFA, 3.00% due 12/1/2016 (Scottsdale Lincoln Hospitals) | NR/A2 | $ | 480,000 | $ | 493,219 | |||||
ARKANSAS — 0.72% | ||||||||||
Board of Trustees of the University of Arkansas, 4.00% due 11/1/2018 (Fayetteville Campus) | NR/Aa2 | 295,000 | 322,293 | |||||||
CALIFORNIA — 11.31% | ||||||||||
Bay Area Toll Authority, 1.00% due 4/1/2047 put 5/1/2017 (San Francisco Bay Area Toll Bridge) | AA/Aa3 | 250,000 | 250,807 | |||||||
California HFFA, 4.00% due 7/1/2016 (Children’s Hospital Los Angeles; Insured: AGM) | AA/A2 | 200,000 | 204,440 | |||||||
California Statewide Communities Development Authority, 5.25% due 7/1/2017 (St. Joseph Health System; Insured: AGM) | AA/A1 | 100,000 | 107,583 | |||||||
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.) | A+/Aa2 | 1,000,000 | 1,000,850 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 3.00% due 6/1/2016 (Bunker Hill Project) | A+/NR | 305,000 | 310,551 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 3.00% due 12/15/2016 (Covina Revitalization-Redevelopment Project) | A-/NR | 575,000 | 591,313 | |||||||
Jurupa Public Financing Authority, 4.00% due 9/1/2017 | BBB+/NR | 100,000 | 105,315 | |||||||
Murrieta Valley USD GO, 2.00% due 9/1/2016 (Riverside County Educational Facilities; Insured: BAM) | AA/NR | 200,000 | 203,168 | |||||||
Riverside County Public Financing Authority, 4.00% due 9/1/2017 (Hemet Project) | A+/NR | 485,000 | 513,469 | |||||||
Sacramento City Schools Joint Powers Financing Authority, 3.00% due 3/1/2016 (Rosemont and Luther Burbank High Schools) | A/NR | 665,000 | 671,324 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2016 (Centre City Redevelopment; Insured: AMBAC) | NR/A2 | 50,000 | 51,514 | |||||||
Successor Agency to the Redevelopment Agency of Carson, 4.00% due 10/1/2016 (Carson Merged and Amended Project Area) | AA-/NR | 425,000 | 440,228 | |||||||
Successor Agency to the Redevelopment Agency of the City of Chino, 5.00% due 9/1/2017 (Merged Chino Areas 2001 and 2003 and Central City Redevelopment Projects; Insured: BAM) | AA/NR | 300,000 | 324,027 | |||||||
Successor Agency to the Redevelopment Agency of the Richmond Community, 4.00% due 9/1/2017 (Harbour and Merged Area Redevelopment Projects; Insured: BAM) | AA/NR | 300,000 | 317,277 | |||||||
COLORADO — 2.45% | ||||||||||
City of Aurora COP, 3.00% due 12/1/2016 (Aurora Municipal Center) | AA-/Aa2 | 530,000 | 544,745 | |||||||
Colorado HFA, 4.00% due 2/1/2016 (Catholic Health Initiatives) | A/A2 | 235,000 | 237,923 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2017 (FasTracks Transportation System) | A/Aa3 | 300,000 | 321,681 | |||||||
CONNECTICUT — 1.34% | ||||||||||
Connecticut Housing Finance Authority, 0.01% due 5/15/2039 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 605,000 | 605,000 | |||||||
DISTRICT OF COLUMBIA — 0.45% | ||||||||||
District of Columbia, 5.00% due 4/1/2016 (National Public Radio) (ETM) | AA-/A1 | 200,000 | 204,796 | |||||||
FLORIDA — 4.09% | ||||||||||
County of Osceola, 5.00% due 10/1/2017 (Transportation Capital Improvements; Insured: AMBAC) | A+/A1 | 150,000 | 162,038 | |||||||
Hillsborough County IDA, 5.65% due 5/15/2018 (Tampa Electric Co.) | BBB+/A2 | 200,000 | 222,492 | |||||||
Orange County School Board COP, 5.00% due 8/1/2018 (Educational Facilities) | NR/Aa2 | 1,000,000 | 1,115,130 | |||||||
Volusia County Educational Facilities Authority, 2.00% due 10/15/2016 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 105,000 | 106,584 | |||||||
Volusia County Educational Facilities Authority, 3.00% due 10/15/2017 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 105,000 | 109,454 | |||||||
Volusia County Educational Facilities Authority, 3.00% due 10/15/2018 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 120,000 | 126,486 | |||||||
GEORGIA — 2.24% | ||||||||||
City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station Project; Insured: AGM) | AA/A3 | 200,000 | 209,866 | |||||||
Development Authority of Burke County, 0.07% due 7/1/2049 put 10/1/2015 (Georgia Power Company Plant Vogtle Project) (daily demand notes) | A-/A3 | 800,000 | 800,000 | |||||||
GUAM — 1.35% | ||||||||||
Government of Guam, 3.00% due 11/15/2017 (Economic Development) | A/NR | 300,000 | 311,811 | |||||||
Government of Guam, 4.00% due 11/15/2018 (Economic Development) | A/NR | 275,000 | 296,392 | |||||||
ILLINOIS — 8.09% | ||||||||||
Chicago Park District GO, 5.00% due 1/1/2017 (Capital Improvement Plan; Insured: Natl-Re) | AA+/A3 | 150,000 | 151,838 | |||||||
City of Rockford GO, 3.00% due 12/15/2016 (New Fire Station Construction; Insured: AGM) | AA/A1 | 250,000 | 257,615 | |||||||
Illinois Development Finance Authority, 0.12% due 2/1/2021 put 10/7/2015 (Teachers Academy for Mathematics and Science; LOC: JPMorgan Chase Bank, N.A.) (weekly demand notes) | NR/Aa2 | 100,000 | 100,000 | |||||||
Illinois Educational Facilities Authority, 4.75% due 11/1/2036 put 11/1/2016 (Field Museum of Natural History) | A/A2 | 100,000 | 103,769 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2017 (Rush University Medical Center) | A+/A1 | 1,000,000 | 1,085,050 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Illinois Finance Authority, 5.00% due 8/15/2018 (Silver Cross Hospital and Medical Centers) | NR/Baa1 | $ | 500,000 | $ | 544,665 | |||||
Illinois Finance Authority, 5.00% due 11/15/2018 (Rush University Medical Center) | A+/A1 | 500,000 | 558,100 | |||||||
Illinois Finance Authority, 4.30% due 6/1/2035 put 6/1/2016 (Peoples Gas Light & Coke Co.; Insured: AMBAC) | A/Aa3 | 200,000 | 205,180 | |||||||
Illinois Health Facilities Authority, 0.01% due 8/15/2032 put 10/1/2015 (Northwestern Memorial HealthCare and Cadence Health; SPA: Northern Trust Co.) (daily demand notes) | AA+/Aa2 | 500,000 | 500,000 | |||||||
Town of Cicero GO, 5.00% due 1/1/2018 (Cicero and Laramie Development Areas; Insured: AGM) | AA/A2 | 125,000 | 134,566 | |||||||
INDIANA — 5.33% | ||||||||||
City of Evansville, 5.00% due 1/1/2018 (Waterworks District; Insured: BAM) | AA/NR | 810,000 | 882,171 | |||||||
Hammond Multi-School Building Corp., 4.00% due 7/15/2017 (Educational Facilities) (State Aid Withholding) | AA+/NR | 300,000 | 316,878 | |||||||
Indiana State University, 2.00% due 10/1/2015 (Higher Education Facilities) | NR/A1 | 1,000,000 | 1,000,050 | |||||||
University of Southern Indiana, 0.12% due 10/1/2019 put 10/7/2015 (Wellness, Fitness, Recreational Facility; LOC: JPMorgan Chase Bank, N.A.) (weekly demand notes) | A+/Aa2 | 200,000 | 200,000 | |||||||
KANSAS — 6.46% | ||||||||||
Kansas DFA, 5.00% due 12/1/2016 (Department of Commerce Impact Program) | AA-/A3 | 400,000 | 419,872 | |||||||
Kansas DFA, 5.00% due 12/1/2018 (Department of Commerce Impact Program) | AA-/A3 | 1,250,000 | 1,384,200 | |||||||
Topeka Public Building Commission, 5.00% due 6/1/2018 (10th and Jackson Projects; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,106,860 | |||||||
LOUISIANA — 2.47% | ||||||||||
City of New Orleans, 5.00% due 12/1/2017 (Water System Facilities Capital Improvement Program) | BBB+/NR | 100,000 | 108,275 | |||||||
City of New Orleans GO, 2.00% due 12/1/2015 (Drainage System) | A+/NR | 1,000,000 | 1,003,300 | |||||||
MASSACHUSETTS — 0.65% | ||||||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2017 | AA/NR | 275,000 | 291,077 | |||||||
MICHIGAN — 7.45% | ||||||||||
Berkley School District GO, 4.00% due 5/1/2018 (Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,074,800 | |||||||
Charles Stewart Mott Community College GO, 5.00% due 5/1/2018 | A+/NR | 750,000 | 823,365 | |||||||
Michigan Finance Authority, 5.00% due 5/1/2018 (School District of the City of Detroit; Insured: Q-SBLF) | AA-/NR | 250,000 | 274,030 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2015 (Ascension Health) | AA+/Aa2 | 500,000 | 503,005 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health) | AA+/Aa2 | 200,000 | 210,014 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 pre-refunded 12/1/2015 (Trinity Health) | NR/NR | 180,000 | 181,706 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 (Trinity Health) | AA-/Aa3 | 20,000 | 20,187 | |||||||
Northville Public Schools GO, 5.00% due 5/1/2017 (Counties of Wayne, Oakland, Washtenaw Educational Facilities; Insured: Q-SBLF) | NR/Aa1 | 250,000 | 266,463 | |||||||
NEVADA — 1.29% | ||||||||||
Carson City, 4.00% due 9/1/2016 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 200,000 | 205,164 | |||||||
City of Reno GO, 5.00% due 6/1/2017 (Fire Protection Projects) | A-/A1 | 200,000 | 214,454 | |||||||
Washoe County School District GO, 5.25% due 6/1/2017 (Educational Facilities; Insured: AGM) | AA/Aa3 | 150,000 | 161,402 | |||||||
NEW HAMPSHIRE — 0.22% | ||||||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2035 put 10/1/2015 (University System of New Hampshire; SPA: U.S. Bank, N.A.) (daily demand notes) | A+/Aa3 | 100,000 | 100,000 | |||||||
NEW JERSEY — 2.31% | ||||||||||
Essex County Improvement Authority GO, 4.00% due 10/1/2017 (County Correctional Facility) | NR/Aa2 | 545,000 | 577,951 | |||||||
New Jersey Educational Facilities Authority, 5.00% due 9/1/2016 (Higher Education Capital Improvements; Insured: AGM) | AA/A2 | 300,000 | 301,203 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 1/1/2018 (Hackensack University Medical Center; Insured: AGM) | AA/A2 | 150,000 | 162,804 | |||||||
NEW YORK — 8.72% | ||||||||||
City of New York GO, 0.01% due 8/1/2020 put 10/1/2015 (City Budget Financial Management; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 300,000 | 300,000 | |||||||
City of New York GO, 0.01% due 10/1/2023 put 10/1/2015 (City Budget Financial Management; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 600,000 | 600,000 | |||||||
City of Syracuse Industrial Development Agency, 0.01% due 7/1/2037 put 10/1/2015 (Syracuse University Project; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 200,000 | 200,000 | |||||||
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Educational Facilities; Insured: Natl-Re) (State Aid Withholding) | NR/Aa3 | 200,000 | 214,298 | |||||||
Monroe County Industrial Development Corp., 4.00% due 1/15/2018 (Monroe Community College Association; Insured: AGM) | AA/A2 | 200,000 | 211,566 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2035 put 10/1/2015 (Water & Sewer System; SPA: Bayerische Landesbank) (daily demand notes) | AAA/Aa1 | $ | 800,000 | $ | 800,000 | |||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2048 put 10/1/2015 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes) | AA+/Aa2 | 800,000 | 800,000 | |||||||
New York State Housing Finance Agency, 0.02% due 5/1/2048 put 10/1/2015 (LOC: Bank of China) (daily demand notes) | A/A1 | 800,000 | 800,000 | |||||||
NORTH DAKOTA — 2.59% | ||||||||||
City of Williston GO, 5.00% due 5/1/2017 (Water, Sewer and Street Improvements) | A/NR | 200,000 | 212,940 | |||||||
North Dakota Building Authority, 4.25% due 12/1/2015 (Various State Agency Capital Projects; Insured: Natl-Re) | AA+/Aa2 | 200,000 | 201,424 | |||||||
North Dakota Housing Finance Agency, 0.85% due 1/1/2017 (Housing Mtg Finance Program) | NR/Aa1 | 750,000 | 751,117 | |||||||
OHIO — 3.50% | ||||||||||
City of Cleveland, 3.00% due 10/1/2016 (Public Facilities) | AA/A1 | 200,000 | 204,924 | |||||||
County of Franklin, 4.00% due 11/15/2033 put 8/1/2016 (OhioHealth Corp. Hospital Facilities) | AA+/Aa2 | 200,000 | 205,880 | |||||||
County of Montgomery, 0.01% due 11/15/2045 put 10/1/2015 (Miami Valley Hospital; SPA: Barclays Bank plc) (daily demand notes) | NR/Aa3 | 800,000 | 800,000 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2039 put 10/1/2015 (Cleveland Clinic Health System) (daily demand notes) | AA-/Aa2 | 100,000 | 100,000 | |||||||
University of Toledo, 3.50% due 6/1/2016 (Higher Education Facilities) | A/A1 | 260,000 | 265,275 | |||||||
OKLAHOMA — 0.67% | ||||||||||
Oklahoma DFA, 5.00% due 8/15/2018 (INTEGRIS Health) | AA-/Aa3 | 270,000 | 301,023 | |||||||
OREGON — 2.26% | ||||||||||
a State of Oregon GO, 2.00% due 9/15/2016 (Cash Management) | SP-1+/Mig1 | 1,000,000 | 1,016,580 | |||||||
PENNSYLVANIA — 8.34% | ||||||||||
Allegheny County Higher Education Building Authority, 5.50% due 3/1/2016 (Duquesne University Project; Insured: AMBAC) | NR/NR | 60,000 | 61,016 | |||||||
City of Philadelphia Gas Works, 5.00% due 10/1/2017 (Pennsylvania Gasworks; Insured: AMBAC) | A-/Baa1 | 200,000 | 216,154 | |||||||
City of Philadelphia Gas Works, 5.00% due 7/1/2018 (Pennsylvania Gasworks; Insured: AGM) | AA/A2 | 350,000 | 386,806 | |||||||
Cumberland County Municipal Authority, 3.00% due 1/1/2016 (Diakon Lutheran Social Ministries Project) | NR/NR | 400,000 | 402,152 | |||||||
Cumberland County Municipal Authority, 3.00% due 1/1/2017 (Diakon Lutheran Social Ministries Project) | NR/NR | 500,000 | 510,520 | |||||||
East Allegheny School District GO, 2.00% due 4/1/2017 (Insured: BAM) (State Aid Withholding) | AA/Ba1 | 300,000 | 305,391 | |||||||
b Lancaster County Hospital Authority, 5.00% due 11/1/2018 (Masonic Villages Project) | A/NR | 1,500,000 | 1,667,160 | |||||||
Wilson School District GO, 3.00% due 6/1/2017 (State Aid Withholding) | AA/NR | 200,000 | 207,778 | |||||||
SOUTH CAROLINA — 1.44% | ||||||||||
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2017 (Convention Center Complex) | AA-/NR | 300,000 | 322,461 | |||||||
Piedmont Municipal Power Agency, 5.00% due 1/1/2018 (Catawba Project) | AA/A3 | 300,000 | 327,366 | |||||||
TEXAS — 6.90% | ||||||||||
Brazos River Authority, 4.90% due 10/1/2015 (Houston Industries, Inc. Project; Insured: Natl-Re) | AA-/NR | 200,000 | 200,024 | |||||||
City of Houston, 4.00% due 9/1/2017 (Convention & Entertainment Facilities Department) | A-/A2 | 200,000 | 211,808 | |||||||
City of Houston, 4.00% due 9/1/2018 (Convention & Entertainment Facilities Department) | A-/A2 | 600,000 | 648,576 | |||||||
City of Houston Higher Education Finance Corp., 5.00% due 8/15/2018 (KIPP Program; Guaranty: PSF) | AAA/NR | 970,000 | 1,074,954 | |||||||
Coastal Water Authority, 4.00% due 12/15/2017 (City of Houston Projects) | AA/NR | 905,000 | 970,106 | |||||||
VIRGINIA — 0.44% | ||||||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 200,000 | 200,022 | |||||||
WASHINGTON — 3.47% | ||||||||||
City of Seattle Municipal Light & Power, 5.00% due 2/1/2016 (Municipal Light & Power Improvements) | AA/Aa2 | 200,000 | 203,272 | |||||||
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2018 (Evergreen Health) | NR/Aa3 | 835,000 | 936,603 | |||||||
Ocean Beach School District No. 101 GO, 4.00% due 12/1/2017 (Educational Facilities) | NR/A2 | 300,000 | 320,256 | |||||||
Washington Economic DFA, 0.04% due 8/1/2025 put 10/7/2015 (Seadrunar Project; LOC: U.S. Bank, N.A.) (weekly demand notes) | AA-/NR | 100,000 | 100,000 | |||||||
WEST VIRGINIA — 0.44% | ||||||||||
Mason County, 1.625% due 10/1/2022 put 10/1/2018 (Appalachian Power Company Project) | BBB/Baa1 | 200,000 | 199,620 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
WISCONSIN — 0.45% | ||||||||||
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.) | NR/A2 | $ | 200,000 | $ | 200,974 | |||||
|
| |||||||||
TOTAL INVESTMENTS — 98.54% (Cost $44,311,173) | $ | 44,369,836 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.46% | 657,981 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 45,027,817 | ||||||||
|
|
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | When-issued security. |
b | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
BAM | Insured by Build America Mutual Insurance Co. | |
COP | Certificates of Participation | |
DFA | Development Finance Authority | |
ETM | Escrowed to Maturity | |
GO | General Obligation | |
HFA | Health Facilities Authority |
HFFA | Health Facilities Financing Authority | |
IDA | Industrial Development Authority | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
PSF | Permanent School Fund Guaranty | |
Q-SBLF | Insured by Qualified School Bond Loan Fund | |
USD | Unified School District |
See notes to financial statements.
12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $44,311,173) (Note 2) | $ | 44,369,836 | ||
Cash | 1,246,538 | |||
Interest receivable | 455,800 | |||
Prepaid expenses and other assets | 15,623 | |||
|
| |||
Total Assets | 46,087,797 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 1,016,770 | |||
Payable for fund shares redeemed | 506 | |||
Payable to investment advisor and other affiliates (Note 3) | 3,798 | |||
Accounts payable and accrued expenses | 38,291 | |||
Dividends payable | 615 | |||
|
| |||
Total Liabilities | 1,059,980 | |||
|
| |||
NET ASSETS | $ | 45,027,817 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Net unrealized appreciation on investments | $ | 58,663 | ||
Accumulated net realized gain (loss) | (5,203 | ) | ||
Net capital paid in on shares of beneficial interest | 44,974,357 | |||
|
| |||
$ | 45,027,817 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($3,272,798 applicable to 264,991 shares of beneficial interest outstanding - Note 4) | $ | 12.35 | ||
Maximum sales charge, 1.50% of offering price | 0.19 | |||
|
| |||
Maximum offering price per share | $ | 12.54 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($41,755,019 applicable to 3,381,027 shares of beneficial interest outstanding - Note 4) | $ | 12.35 | ||
|
|
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg Low Duration Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $822,013) | $ | 302,784 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 149,108 | |||
Administration fees (Note 3) | ||||
Class A Shares | 3,785 | |||
Class I Shares | 17,124 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 6,099 | |||
Transfer agent fees | ||||
Class A Shares | 27,035 | |||
Class I Shares | 10,133 | |||
Registration and filing fees | ||||
Class A Shares | 28,670 | |||
Class I Shares | 28,751 | |||
Custodian fees (Note 3) | 25,443 | |||
Professional fees | 63,108 | |||
Accounting fees (Note 3) | 885 | |||
Trustee fees | 1,310 | |||
Other expenses | 4,043 | |||
|
| |||
Total Expenses | 365,494 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (174,623 | ) | ||
Fees paid indirectly (Note 3) | (408 | ) | ||
|
| |||
Net Expenses | 190,463 | |||
|
| |||
Net Investment Income | 112,321 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (5,203 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | 24,676 | |||
|
| |||
Net Realized and Unrealized Gain | 19,473 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 131,794 | ||
|
|
See notes to financial statements.
14 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Low Duration Municipal Fund |
Year Ended September 30, 2015 | Period Ended* September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 112,321 | $ | 32,677 | ||||
Net realized gain (loss) on investments | (5,203 | ) | — | |||||
Net unrealized appreciation (depreciation) on investments | 24,676 | 33,987 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 131,794 | 66,664 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (4,414 | ) | (4,035 | ) | ||||
Class I Shares | (107,907 | ) | (28,642 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 519,307 | 2,744,115 | ||||||
Class I Shares | 29,065,721 | 12,645,214 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 29,604,501 | 15,423,316 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 15,423,316 | — | ||||||
|
|
|
| |||||
End of Year | $ | 45,027,817 | $ | 15,423,316 | ||||
|
|
|
|
* | For the period from commencement of operations on December 30, 2013 through September 30, 2014. |
See notes to financial statements.
Annual Report 15
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Low Duration 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 twenty 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 investment objective is to seek current income exempt from federal income tax, as is consistent with the preservation of capital, in the view of Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”).
The Fund currently offers two classes of shares of beneficial interest: Class A 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 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements At September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 44,369,836 | $ | — | $ | 44,369,836 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 44,369,836 | $ | — | $ | 44,369,836 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .40 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $885 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $306 from the sale of Class A 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 .20 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 year ended September 30, 2015, 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 and shareholder services.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor voluntarily waived Fund level investment advisory fees of $57,461. The Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $61,154 for Class A shares, and $56,008 for Class I 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 year ended September 30, 2015, fees paid indirectly were $408.
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.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
The percentage of direct investments in the Fund held by affiliated Trustees, the Officers identified in the Trustees and Officers section of this report, and the Advisor is approximately 66.12%.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Period Ended* September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 172,222 | $ | 2,123,915 | 225,443 | $ | 2,775,568 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 350 | 4,315 | 326 | 4,025 | ||||||||||||
Shares repurchased | (130,474 | ) | (1,608,923 | ) | (2,876 | ) | (35,478 | ) | ||||||||
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|
| |||||||||
Net increase (decrease) | 42,098 | $ | 519,307 | 222,893 | $ | 2,744,115 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 3,405,347 | $ | 42,016,558 | 1,087,886 | $ | 13,402,490 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 8,471 | 104,442 | 2,321 | 28,630 | ||||||||||||
Shares repurchased | (1,059,361 | ) | (13,055,279 | ) | (63,637 | ) | (785,906 | ) | ||||||||
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| |||||||||
Net increase (decrease) | 2,354,457 | $ | 29,065,721 | 1,026,570 | $ | 12,645,214 | ||||||||||
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* | For the period from commencement of operations on December 13, 2013, through September 30, 2014. |
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $30,424,949 and $4,748,646, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 44,311,173 | ||
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| |||
Gross unrealized appreciation on a tax basis | $ | 92,513 | ||
Gross unrealized depreciation on a tax basis | (33,850 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 58,663 | ||
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At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $5,203. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had $615 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
Distributions from tax exempt income paid by the Fund for the year ended September 30, 2015, and the period ended September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 |
The tax character of distributions paid during the year ended September 30, 2015, and the period ended September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 112,321 | $ | 32,677 | ||||
Ordinary income | — | — | ||||||
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Total | $ | 112,321 | $ | 32,677 | ||||
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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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
20 Annual Report
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Annual Report 21
Thornburg Low Duration 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 | Net Realized & Unrealized Gain (Loss) on Investments | Total from | Dividends from Net Investment Income | Dividends from Net Realized | 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 (%)(a) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 12.34 | 0.02 | 0.01 | 0.03 | (0.02 | ) | — | (0.02 | ) | $ | 12.35 | 0.15 | 0.67 | 0.67 | 2.85 | 0.22 | 15.75 | $ | 3,273 | ||||||||||||||||||||||||||||||
2014(b)(c) | $ | 12.31 | 0.02 | 0.03 | 0.05 | (0.02 | ) | — | (0.02 | ) | $ | 12.34 | 0.20 | (d) | 0.66 | (d) | 0.65 | (d) | 3.14 | (d) | 0.40 | 4.54 | $ | 2,751 | ||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.34 | 0.04 | 0.01 | 0.05 | (0.04 | ) | — | (0.04 | ) | $ | 12.35 | 0.32 | 0.50 | 0.50 | 0.82 | 0.40 | 15.75 | $ | 41,755 | ||||||||||||||||||||||||||||||
2014(c) | $ | 12.31 | 0.04 | 0.03 | 0.07 | (0.04 | ) | — | (0.04 | ) | $ | 12.34 | 0.42 | (d) | 0.44 | (d) | 0.44 | (d) | 1.77 | (d) | 0.56 | 4.54 | $ | 12,672 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Fund commenced operations on December 30, 2013. |
(d) | Annualized. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
22 Annual Report | Annual Report 23 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Low Duration Municipal Fund
To the Trustees and Shareholders of
Thornburg Low Duration Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments in securities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thornburg Low Duration Municipal Fund (the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
24 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.60 | $ | 3.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.56 | $ | 3.55 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.60 | $ | 2.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.56 | $ | 2.54 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.70%; I: 0.50%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 25
TRUSTEES AND OFFICERS | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
26 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 27
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
28 Annual Report
OTHER INFORMATION | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax period ended September 30, 2015, dividends paid by the Fund of $112,321 (or the maximum allowed) are tax exempt dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar period ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Low Duration Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 29
OTHER INFORMATION, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, and comparative annualized total return data for the Fund, a broad-based securities index, and two mutual fund categories selected by independent mutual fund analyst firms that assign a percentage rank to the Fund’s investment performance for each period relative to each of the fund categories.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data considered by the Trustees in their evaluation showed that the Fund’s annualized investment returns fell in the first quartile of performance of a mutual fund category for the three-month period ended with the second quarter of the current year, fell at the midpoint of performance of the category for the year-to-date period, and fell in the third quartile of performance of the category in the one-year period. Data also showed that the Fund’s annualized investment returns fell in the first quartile of performance of the second fund category for the three-month period ended with the second quarter of the current year, fell at the midpoint of performance of the category for the year-to-date period, and fell in the third quartile of performance for the one-year period.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee level and expenses for a representative share class of a fund peer group selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the stated advisory fee for the Fund was comparable to the median and slightly higher than the average fee levels for the fund category, and that the level of total expense for a representative share class of the Fund was comparable to the median and average total expense levels of the category after fee waivers and expense reimbursements by the Advisor. Data for the peer group showed that the Fund’s stated advisory fee was comparable to the median level for the peer group, and that the total expense level of the representative share class of the Fund was comparable to the median level for the peer group after waivers of fees and reimbursements of expenses.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. The Trustees noted the costs incurred by the Advisor in initiating and managing the Fund and the Advisor’s waivers of fees and reimbursements of expenses for the Fund, and further noted that the Fund produces no profits for the Advisor.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
30 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Low Duration Municipal Fund | September 30, 2015 (Unaudited) |
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 31
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
32 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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 Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH3172 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
![]() | ||||
Garrett Thornburg | ||||
Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg Limited Term Municipal Fund
September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class A | LTMFX | 885-215-459 | ||
Class C | LTMCX | 885-215-442 | ||
Class I | LTMIX | 885-215-434 |
Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares decreased by six cents to $14.52 per share during the fiscal year ended September 30, 2015. If you were with us for the entire period, you received dividends of 22.6 cents per share. If you reinvested your dividends, you received 22.8 cents per share. Dividends 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 under-performed the index with a 1.15% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 1.81% total return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index. The Fund generated 2.05% more price return and 2.71% less income than the index.
The drivers of the Fund’s price return relative to its benchmark are as follows: Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve added 0.02% of relative price performance. Our sector allocations subtracted 1.07% of relative price performance and our overweight to lower credit-quality securities added 1.77% of relative price performance compared to its benchmark. Other risk factors and accounting differences added up to another 1.33% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates, and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds
(as of September 30, 2015)
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
Table I | Status of Select Municipal Bankruptcy Cases
ENTITY | BANKRUPTCY PROCEEDINGS | PENSION RECOVERY | BONDHOLDER RECOVERY | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best – provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely, | ||||
![]() | ![]() | ![]() | ||
Christopher Ryon, CFA | Josh Gonze | Nicholos Venditti | ||
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
A Shares (Incep: 9/28/84) | ||||||||||||||||||||
Without sales charge | 1.15 | % | 1.31 | % | 2.34 | % | 3.34 | % | 5.08 | % | ||||||||||
With sales charge | (0.35 | %) | 0.81 | % | 2.02 | % | 3.18 | % | 5.03 | % | ||||||||||
C Shares (Incep: 9/1/94) | ||||||||||||||||||||
Without sales charge | 0.98 | % | 1.08 | % | 2.07 | % | 3.07 | % | 3.51 | % | ||||||||||
With sales charge | 0.49 | % | 1.08 | % | 2.07 | % | 3.07 | % | 3.51 | % | ||||||||||
I Shares (Incep: 7/5/96) | 1.54 | % | 1.66 | % | 2.69 | % | 3.69 | % | 4.12 | % |
30-Day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 1.58 | % | ||
SEC Yield | 0.67 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.71%; C shares, 0.96%; I shares, 0.40%.
Glossary
BofA Merrill Lynch 1-10 Year 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. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
FUND SUMMARY | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income tax as is consistent, in the view of the Fund’s investment advisor, with preservation of capital (may be subject to Alternative Minimum Tax).
The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
This Fund is a laddered portfolio of municipal bonds with a dollar-weighted average maturity of normally less than five years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Long Term Stability of Principal
Net Asset Value History of A Shares
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Portfolio Ladder
Key Portfolio Attributes
Number of Bonds | 1,963 | |||
Effective Duration | 3.4 Yrs | |||
Average Maturity | 4.0 Yrs |
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ALABAMA — 1.10% | ||||||||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 (Education System Capital Improvements) | AA/Aa1 | $ | 5,000,000 | $ | 5,141,300 | |||||
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements) | AA/Aa1 | 4,840,000 | 5,519,439 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2019 (Education System Capital Improvements) | AA/Aa1 | 770,000 | 878,093 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2020 (Education System Capital Improvements) | AA/Aa1 | 5,085,000 | 5,914,160 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Education System Capital Improvements) | AA/Aa1 | 5,335,000 | 6,311,999 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2022 (Education System Capital Improvements) | AA/Aa1 | 5,605,000 | 6,712,100 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2023 (Education System Capital Improvements) | AA/Aa1 | 735,000 | 889,306 | |||||||
Alabama State Board of Education, 3.00% due 5/1/2017 (Calhoun Community College) | NR/A1 | 2,070,000 | 2,128,809 | |||||||
Alabama State Board of Education, 3.00% due 5/1/2018 (Calhoun Community College) | NR/A1 | 2,130,000 | 2,215,519 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2019 (Calhoun Community College) | NR/A1 | 2,195,000 | 2,369,129 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2020 (Calhoun Community College) | NR/A1 | 1,000,000 | 1,086,320 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2021 (Calhoun Community College) | NR/A1 | 1,000,000 | 1,082,840 | |||||||
Alabama State Board of Education, 4.00% due 5/1/2022 (Calhoun Community College) | NR/A1 | 1,230,000 | 1,332,594 | |||||||
City of Birmingham GO, 5.00% due 2/1/2016 (Government Services) | AA/Aa2 | 3,775,000 | 3,835,928 | |||||||
City of Birmingham GO, 4.00% due 8/1/2016 (Government Services) | AA/Aa2 | 3,645,000 | 3,756,537 | |||||||
City of Birmingham GO, 5.00% due 2/1/2017 (Government Services) | AA/Aa2 | 2,045,000 | 2,167,168 | |||||||
City of Birmingham GO, 4.00% due 8/1/2017 (Government Services) | AA/Aa2 | 2,760,000 | 2,927,836 | |||||||
City of Birmingham GO, 5.00% due 2/1/2018 (Government Services) | AA/Aa2 | 2,000,000 | 2,193,080 | |||||||
City of Mobile GO, 4.50% due 8/15/2016 (Senior Center) | NR/NR | 380,000 | 384,989 | |||||||
City of Mobile GO, 5.00% due 2/15/2019 (Capital Improvements) | A+/Aa2 | 2,000,000 | 2,191,880 | |||||||
City of Mobile Industrial Development Board, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A-/A1 | 6,000,000 | 6,074,340 | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2021 | A/NR | 1,245,000 | 1,421,367 | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2022 | A/NR | 800,000 | 911,128 | |||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2016 | AAA/Aa1 | 2,080,000 | 2,168,754 | |||||||
Montgomery Waterworks and Sanitation, 5.00% due 9/1/2019 | AAA/Aa1 | 3,375,000 | 3,746,385 | |||||||
State of Alabama GO, 5.00% due 6/1/2016 (State Parks System Improvement) | AA/Aa1 | 2,250,000 | 2,322,337 | |||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2017 | A+/A1 | 2,500,000 | 2,701,775 | |||||||
University of Alabama at Birmingham Hospital, 5.00% due 9/1/2018 | A+/A1 | 1,700,000 | 1,880,778 | |||||||
ALASKA — 0.55% | ||||||||||
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | AA+/Aa2 | 2,000,000 | 2,183,000 | |||||||
Alaska Industrial Development & Export Authority, 5.00% due 4/1/2023 (Greater Fairbanks Community Hospital Foundation) | A/NR | 1,000,000 | 1,160,990 | |||||||
Alaska Industrial Development & Export Authority, 5.00% due 4/1/2024 (Greater Fairbanks Community Hospital Foundation) | A/NR | 1,000,000 | 1,152,330 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2016 (DeLong Mountain Transportation Project) | AA+/Aa3 | 1,100,000 | 1,126,092 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2017 (DeLong Mountain Transportation Project) | AA+/Aa3 | 3,000,000 | 3,194,640 | |||||||
Alaska Industrial Development & Export Authority GO, 5.00% due 4/1/2018 (DeLong Mountain Transportation Project) | AA+/Aa3 | 2,455,000 | 2,700,353 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 3,700,000 | 4,250,745 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 12,000,000 | 13,786,200 | |||||||
North Slope Borough GO, 5.00% due 6/30/2017 (Insured: Natl-Re) | AA-/Aa2 | 8,800,000 | 9,477,864 | |||||||
State of Alaska, 5.00% due 10/1/2017 (Alaska International Airports System; Insured: Natl-Re) | AA-/A1 | 1,115,000 | 1,168,196 | |||||||
ARIZONA — 2.88% | ||||||||||
Arizona Board of Regents, 5.00% due 8/1/2020 (University of Arizona SPEED) | A+/Aa3 | 575,000 | 669,749 | |||||||
Arizona Board of Regents, 5.00% due 8/1/2023 (University of Arizona SPEED) | A+/Aa3 | 800,000 | 966,808 | |||||||
Arizona Board of Regents, 5.00% due 8/1/2024 (University of Arizona SPEED) | A+/Aa3 | 550,000 | 670,736 | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2018 (Arizona State University; Insured: Natl-Re) | AA-/A1 | 1,285,000 | 1,374,063 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2018 (Northern Arizona University Projects) | A/A2 | 1,000,000 | 1,052,250 | |||||||
Arizona Board of Regents COP, 5.00% due 7/1/2019 (Arizona State University; Insured: Natl-Re) | AA-/A1 | 3,735,000 | 3,998,840 | |||||||
Arizona Board of Regents COP, 3.00% due 9/1/2019 (Northern Arizona University Projects) | A/A2 | 2,525,000 | 2,668,243 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2019 (Arizona State University) | AA-/A1 | 1,085,000 | 1,233,721 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Northern Arizona University Projects) | A/A2 | 1,000,000 | 1,146,420 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2020 (Arizona State University) | AA-/A1 | 3,170,000 | 3,655,105 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2021 (Arizona State University) | AA-/A1 | 4,020,000 | 4,684,305 | |||||||
Arizona Board of Regents COP, 5.00% due 6/1/2022 (University of Arizona) | A+/Aa3 | 6,080,000 | 7,224,986 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2022 (Northern Arizona University Projects) | A/A2 | 2,500,000 | 2,908,600 | |||||||
a Arizona Board of Regents COP, 5.00% due 9/1/2022 (Arizona State University) | AA-/A1 | 4,380,000 | 5,150,749 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Northern Arizona University Projects) | A/A2 | 3,325,000 | 3,817,466 | |||||||
Arizona Board of Regents COP, 5.00% due 9/1/2023 (Arizona State University) | AA-/A1 | 5,580,000 | 6,577,983 | |||||||
Arizona HFA, 5.25% due 1/1/2018 (Banner Health) | AA-/NR | 3,500,000 | 3,835,440 | |||||||
Arizona HFA, 5.00% due 7/1/2018 (Dignity Health) | A/A3 | 1,470,000 | 1,622,057 | |||||||
Arizona HFA, 5.00% due 7/1/2019 (Dignity Health) | A/A3 | 1,365,000 | 1,532,827 | |||||||
Arizona HFA, 5.00% due 7/1/2020 (Dignity Health) | A/A3 | 1,290,000 | 1,445,613 | |||||||
Arizona HFA, 5.00% due 12/1/2022 (Scottsdale Lincoln Hospitals) | NR/A2 | 1,600,000 | 1,881,568 | |||||||
Arizona HFA, 5.00% due 12/1/2024 (Scottsdale Lincoln Hospitals) | NR/A2 | 1,500,000 | 1,787,460 | |||||||
Arizona School Facilities Board, 5.00% due 7/1/2016 (State School Land Trust; Insured: AMBAC) | NR/NR | 5,775,000 | 5,963,727 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Arizona School Facilities Board, 5.00% due 7/1/2018 (State School Land Trust; Insured: AMBAC) | NR/NR | $ | 4,040,000 | $ | 4,445,172 | |||||
Arizona School Facilities Board COP, 5.25% due 9/1/2023 pre-refunded 9/1/2018 (School Site and Building Projects) | AA-/Aa3 | 1,315,000 | 1,482,137 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2019 | AA+/Aa2 | 3,510,000 | 4,010,456 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2021 | AA+/Aa2 | 7,465,000 | 8,870,510 | |||||||
Arizona Transportation Board, 5.00% due 7/1/2022 | AA+/Aa2 | 5,000,000 | 5,890,050 | |||||||
City of Glendale IDA, 5.00% due 5/15/2016 (Midwestern University) | A-/NR | 1,575,000 | 1,617,115 | |||||||
City of Glendale IDA, 5.00% due 5/15/2017 (Midwestern University) | A-/NR | 1,440,000 | 1,527,869 | |||||||
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2022 | AA+/Aa3 | 1,250,000 | 1,502,825 | |||||||
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2023 | AA+/Aa3 | 1,830,000 | 2,220,247 | |||||||
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2024 | AA+/Aa3 | 2,000,000 | 2,454,320 | |||||||
City of Phoenix Civic Improvement Corp., 5.00% due 7/1/2025 | AA+/Aa3 | 3,500,000 | 4,323,060 | |||||||
City of Tucson, 5.00% due 7/1/2022 (Street and Highway Projects) | AA+/A1 | 2,135,000 | 2,526,602 | |||||||
City of Tucson COP, 5.00% due 7/1/2018 pre-refunded 7/1/2016 (Northwest Police Patrol Substation and Train Depot; Insured: Natl-Re) | AA-/A1 | 1,485,000 | 1,538,014 | |||||||
City of Yuma Municipal Property Corp., 5.00% due 7/1/2016 (Water and Wastewater System; Insured: Syncora) | A+/A1 | 2,000,000 | 2,066,900 | |||||||
City of Yuma Municipal Property Corp., 5.00% due 7/1/2018 (Water and Wastewater System; Insured: Syncora) | A+/A1 | 2,130,000 | 2,266,469 | |||||||
County of Pinal, 5.00% due 8/1/2025 (Hunt Highway (Phases III-V)) | AA-/NR | 3,000,000 | 3,616,980 | |||||||
Maricopa County Public Finance Corp., 5.00% due 7/1/2024 (Insured: AMBAC) | AA+/Aa1 | 1,000,000 | 1,033,720 | |||||||
Mohave County IDA, 7.50% due 5/1/2019 (Mohave Prison, LLC Expansion) | BBB+/NR | 15,000,000 | 15,871,950 | |||||||
Navajo County Pollution Control Corp., 5.75% due 6/1/2034 put 6/1/2016 (Arizona Public Service Co.) | A-/A2 | 9,700,000 | 10,026,211 | |||||||
Pima County, 5.00% due 7/1/2016 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 2,000,000 | 2,071,860 | |||||||
Pima County, 4.50% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) | AA/A2 | 5,040,000 | 5,384,938 | |||||||
Pima County, 5.00% due 7/1/2017 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 2,750,000 | 2,962,135 | |||||||
Pima County, 3.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 500,000 | 529,885 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 700,000 | 779,877 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities; Insured: AGM) | AA/A2 | 5,000,000 | 5,570,550 | |||||||
Pima County, 5.00% due 7/1/2018 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 2,000,000 | 2,228,220 | |||||||
Pima County, 5.00% due 7/1/2020 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 500,000 | 582,985 | |||||||
Pima County, 3.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 1,200,000 | 1,288,920 | |||||||
Pima County, 5.00% due 7/1/2021 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 400,000 | 473,380 | |||||||
Pima County, 3.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 1,325,000 | 1,416,518 | |||||||
Pima County, 5.00% due 7/1/2022 (Ina & Roger Road Wastewater Reclamation Facilities) | AA-/NR | 500,000 | 597,615 | |||||||
Pima County COP, 5.00% due 12/1/2015 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 1,250,000 | 1,260,225 | |||||||
Pima County COP, 5.00% due 12/1/2016 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 600,000 | 631,158 | |||||||
Pima County COP, 5.00% due 12/1/2017 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 1,395,000 | 1,517,899 | |||||||
Pima County COP, 5.00% due 12/1/2019 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 500,000 | 572,350 | |||||||
Pima County COP, 5.00% due 12/1/2020 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 765,000 | 885,296 | |||||||
Pima County COP, 5.00% due 12/1/2021 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 1,220,000 | 1,422,520 | |||||||
Pima County COP, 5.00% due 12/1/2022 (Sewer System & Fleet Services Facilities Expansion) | A+/NR | 1,275,000 | 1,498,750 | |||||||
Pinal County, 5.00% due 8/1/2019 (Detention and Training Facilities) | AA-/NR | 1,115,000 | 1,268,558 | |||||||
Pinal County, 5.00% due 8/1/2021 (Detention and Training Facilities) | AA-/NR | 1,775,000 | 2,081,329 | |||||||
Pinal County, 5.00% due 8/1/2023 (Detention and Training Facilities) | AA-/NR | 1,100,000 | 1,312,839 | |||||||
Pinal County, 5.00% due 8/1/2024 (Detention and Training Facilities) | AA-/NR | 700,000 | 843,339 | |||||||
Pinal County, 5.00% due 8/1/2025 (Detention and Training Facilities) | AA-/NR | 1,500,000 | 1,815,225 | |||||||
Scottsdale IDA, 5.00% due 9/1/2019 (Scottsdale Healthcare) | NR/A2 | 6,885,000 | 7,628,373 | |||||||
State of Arizona Department of Administration, 5.00% due 7/1/2018 (State Lottery; Insured: AGM) | AA/A1 | 8,370,000 | 9,276,722 | |||||||
State of Arizona Department of Administration, 5.00% due 7/1/2020 (State Lottery; Insured: AGM) | AA/A1 | 8,705,000 | 10,049,922 | |||||||
ARKANSAS — 0.44% | ||||||||||
Arkansas Development Finance Authority, 2.00% due 12/1/2016 (State Dept. of Environmental Quality Project) | AA-/NR | 460,000 | 467,825 | |||||||
Board of Trustees of the University of Arkansas, 2.00% due 11/1/2015 (Fayetteville Campus Athletic Facilities) | NR/Aa2 | 375,000 | 375,600 | |||||||
Board of Trustees of the University of Arkansas, 2.00% due 11/1/2016 (Fayetteville Campus Athletic Facilities) | NR/Aa2 | 600,000 | 610,344 | |||||||
Board of Trustees of the University of Arkansas, 5.00% due 9/15/2019 pre-refunded 9/15/2016 (Fayetteville Campus Athletic Facilities) | NR/Aa2 | 600,000 | 626,844 | |||||||
Board of Trustees of the University of Arkansas, 3.00% due 11/1/2023 (Fayetteville Campus Athletic Facilities) | NR/Aa2 | 615,000 | 652,496 | |||||||
City of Fort Smith, 3.50% due 10/1/2016 (Water and Sewer System Construction; Insured: AGM) | AA/NR | 1,370,000 | 1,411,895 | |||||||
City of Fort Smith, 3.50% due 10/1/2017 (Water and Sewer System Construction; Insured: AGM) | AA/NR | 1,930,000 | 2,034,297 | |||||||
City of Fort Smith, 4.00% due 10/1/2018 (Water and Sewer System Construction; Insured: AGM) | AA/NR | 1,000,000 | 1,088,050 | |||||||
City of Fort Smith, 4.00% due 10/1/2019 (Water and Sewer System Construction; Insured: AGM) | AA/NR | 1,670,000 | 1,842,544 | |||||||
Independence County, 4.90% due 7/1/2022 (Entergy Mississippi, Inc.; Insured: AMBAC) | NR/A3 | 6,400,000 | 6,506,880 | |||||||
Jefferson County, 4.00% due 6/1/2016 (Jefferson Regional Medical Center; Insured: AGM) | AA/NR | 1,395,000 | 1,423,291 | |||||||
Jefferson County, 4.00% due 6/1/2017 (Jefferson Regional Medical Center; Insured: AGM) | AA/NR | 1,375,000 | 1,431,279 | |||||||
Jefferson County, 1.55% due 10/1/2017 (Entergy Arkansas, Inc. Project) | A-/A3 | 10,000,000 | 10,143,900 | |||||||
a Jefferson County, 4.50% due 6/1/2018 (Jefferson Regional Medical Center; Insured: AGM) | AA/NR | 1,495,000 | 1,597,019 | |||||||
Jefferson County, 4.50% due 6/1/2019 (Jefferson Regional Medical Center; Insured: AGM) | AA/NR | 1,580,000 | 1,713,304 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
CALIFORNIA — 7.13% | ||||||||||
Alameda County COP, 5.00% due 12/1/2017 (Santa Rita Jail; Insured: AMBAC) | AA/NR | $ | 1,220,000 | $ | 1,328,812 | |||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 1,000,000 | 1,191,450 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2022 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 2,000,000 | 2,413,900 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2023 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 3,200,000 | 3,890,304 | |||||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) | AA/A2 | 3,250,000 | 2,737,897 | |||||||
Brentwood Infrastructure, 2.00% due 11/1/2015 (Insured: AGM) | AA/NR | 520,000 | 520,650 | |||||||
Brentwood Infrastructure, 4.00% due 11/1/2016 (Insured: AGM) | AA/NR | 325,000 | 336,040 | |||||||
Brentwood Infrastructure, 5.00% due 11/1/2017 (Insured: AGM) | AA/NR | 965,000 | 1,037,394 | |||||||
a Brentwood Infrastructure, 5.25% due 11/1/2018 (Insured: AGM) | AA/NR | 1,020,000 | 1,133,373 | |||||||
Brentwood Infrastructure, 5.25% due 11/1/2019 (Insured: AGM) | AA/NR | 725,000 | 824,412 | |||||||
Cabrillo USD GO, 0% due 8/1/2021 (Educational Facilities; Insured: AMBAC) | NR/NR | 1,000,000 | 875,110 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2017 (Pitzer College) | NR/A2 | 1,460,000 | 1,554,039 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2021 (Chapman University) | NR/A2 | 4,870,000 | 5,665,076 | |||||||
California HFFA, 5.50% due 2/1/2017 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | AA-/NR | 2,575,000 | 2,745,362 | |||||||
California HFFA, 5.50% due 2/1/2019 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | AA-/NR | 2,865,000 | 3,269,481 | |||||||
California HFFA, 5.75% due 2/1/2020 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | AA-/NR | 1,975,000 | 2,333,779 | |||||||
California HFFA, 5.00% due 3/1/2020 (Dignity Health) | A/A3 | 4,400,000 | 5,068,404 | |||||||
California HFFA, 5.75% due 2/1/2021 (Community Developmental Disabilities Program; Insured: California Mtg Insurance) | AA-/NR | 1,695,000 | 2,042,424 | |||||||
a California HFFA, 5.00% due 3/1/2021 (Dignity Health) | A/A3 | 3,450,000 | 4,028,082 | |||||||
California HFFA, 5.25% due 3/1/2022 (Dignity Health) | A/A3 | 7,020,000 | 8,282,617 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System) | AA-/A1 | 5,000,000 | 5,865,250 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | AA-/A1 | 330,000 | 331,422 | |||||||
California State Department of Water Resources, 5.00% due 5/1/2016 (Power Supply Program) | AA/Aa2 | 5,000,000 | 5,141,500 | |||||||
California State Economic Recovery GO, 5.00% due 7/1/2020 pre-refunded 7/1/2019 | AA+/Aaa | 4,200,000 | 4,823,910 | |||||||
California State Housing Finance Agency, 2.50% due 12/1/2017 (One Santa Fe Apartments Multi-Family Housing; | ||||||||||
Collateralized: GNMA) | NR/Aa1 | 1,725,000 | 1,729,295 | |||||||
California State Public Works Board, 5.00% due 9/1/2016 (Regents of University of California; Insured: Natl-Re) (ETM) | AA+/Aaa | 3,000,000 | 3,131,700 | |||||||
California State Public Works Board, 5.00% due 9/1/2017 (Regents of University of California; Insured: Natl-Re) (ETM) | AA+/Aaa | 3,000,000 | 3,255,090 | |||||||
California State Public Works Board, 5.00% due 11/1/2017 (California State University) | A+/Aa3 | 3,000,000 | 3,267,960 | |||||||
California State Public Works Board, 5.00% due 11/1/2018 (California State University) | A+/Aa3 | 2,700,000 | 3,035,529 | |||||||
California State Public Works Board, 5.00% due 4/1/2020 (California School for the Deaf Riverside Campus) | A+/A1 | 1,585,000 | 1,838,045 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (Yuba City Courthouse) | A+/A1 | 1,675,000 | 1,950,605 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (Coalinga State Hospital) | A+/A1 | 5,685,000 | 6,620,410 | |||||||
California State Public Works Board, 5.00% due 10/1/2020 (California State University) | A+/A1 | 1,000,000 | 1,174,140 | |||||||
California State Public Works Board, 5.00% due 11/1/2020 (Various Capital Projects) | A+/A1 | 1,500,000 | 1,764,705 | |||||||
California State Public Works Board, 5.00% due 4/1/2021 (California School for the Deaf Riverside Campus) | A+/A1 | 890,000 | 1,050,618 | |||||||
California State Public Works Board, 5.00% due 6/1/2021 (Yuba City Courthouse) | A+/A1 | 1,250,000 | 1,479,350 | |||||||
California State Public Works Board, 5.00% due 6/1/2021 (Coalinga State Hospital) | A+/A1 | 5,000,000 | 5,917,400 | |||||||
California State Public Works Board, 5.00% due 10/1/2021 (Various Capital Projects) | A+/A1 | 1,000,000 | 1,189,130 | |||||||
California State Public Works Board, 5.00% due 11/1/2021 (Laboratory Facility and San Diego Courthouse) | A+/A1 | 750,000 | 892,815 | |||||||
California State Public Works Board, 5.00% due 11/1/2021 (Various Capital Projects) | A+/A1 | 1,750,000 | 2,083,235 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus) | A+/A1 | 500,000 | 596,260 | |||||||
California State Public Works Board, 5.00% due 6/1/2022 (Coalinga State Hospital) | A+/A1 | 11,555,000 | 13,819,433 | |||||||
California State Public Works Board, 5.00% due 11/1/2022 (Laboratory Facility and San Diego Courthouse) | A+/A1 | 10,075,000 | 12,133,725 | |||||||
California State Public Works Board, 5.00% due 6/1/2023 (Yuba City Courthouse) | A+/A1 | 1,900,000 | 2,294,136 | |||||||
California State Public Works Board, 5.00% due 11/1/2024 (Laboratory Facility and San Diego Courthouse) | A+/A1 | 2,050,000 | 2,460,676 | |||||||
a California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) | A+/NR | 27,000,000 | 30,688,740 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) | NR/NR | 1,555,000 | 1,620,201 | |||||||
Castaic Lake Water Agency COP, 0% due 8/1/2023 (Water System Improvement; Insured: AMBAC) | AA/NR | 10,125,000 | 8,319,307 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re) | AA-/NR | 3,735,000 | 3,405,386 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2017 (Carson Ice) | AA-/Aa3 | 600,000 | 645,078 | |||||||
Central Valley Financing Authority, 5.00% due 7/1/2019 (Carson Ice) | AA-/Aa3 | 1,750,000 | 1,996,733 | |||||||
Chula Vista COP, 5.25% due 3/1/2018 | AA-/NR | 1,170,000 | 1,291,645 | |||||||
Chula Vista COP, 5.25% due 3/1/2019 | AA-/NR | 1,235,000 | 1,404,924 | |||||||
Clovis USD GO, 0% due 8/1/2019 (Insured: Natl-Re) | AA/A3 | 2,685,000 | 2,549,595 | |||||||
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 | 5,394,550 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2018 (Educational Facilities; Insured: AGM) | AA/NR | 3,000,000 | 3,336,780 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2019 (Educational Facilities; Insured: AGM) | AA/NR | 3,000,000 | 3,423,270 | |||||||
County of Los Angeles COP, 0% due 3/1/2017 (Disney Parking Garage and Walt Disney Concert Hall) | AA/A1 | 1,075,000 | 1,063,455 | |||||||
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 | 1,179,252 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2020 (Bunker Hill Project) | A+/NR | 1,730,000 | 2,008,340 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2020 (Bunker Hill Project) | A+/NR | 3,805,000 | 4,456,454 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2021 (Bunker Hill Project) | A+/NR | 360,000 | 423,418 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2021 (Bunker Hill Project) | A+/NR | 5,805,000 | 6,879,331 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2022 (Bunker Hill Project) | A+/NR | $ | 1,645,000 | $ | 1,954,786 | |||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2022 (Bunker Hill Project) | A+/NR | 5,000,000 | 5,979,550 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2023 (Bunker Hill Project) | A+/NR | 450,000 | 538,412 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2023 (Bunker Hill Project) | A+/NR | 6,875,000 | 8,277,500 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2024 (Bunker Hill Project) | A+/NR | 4,775,000 | 5,756,549 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 12/1/2024 (Bunker Hill Project) | A+/NR | 5,150,000 | 6,244,426 | |||||||
Escondido Union High School District GO, 0% due 11/1/2020 (Insured: Natl-Re) | AA-/A3 | 2,655,000 | 2,357,481 | |||||||
Los Angeles Convention and Exhibition Center Authority, 5.00% due 8/15/2018 | A+/A1 | 2,295,000 | 2,552,292 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | AA/A1 | 4,000,000 | 4,461,720 | |||||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2019 (Multiple Capital Projects) | AA/A1 | 17,935,000 | 20,557,276 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2017 (Educational Facilities and Information Technology Infrastructure; Insured: AMBAC) | A+/A1 | 2,445,000 | 2,655,001 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Infrastructure) | A+/A1 | 4,600,000 | 5,262,722 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2019 (Educational Facilities and Information Technology Infrastructure) | A+/A1 | 7,040,000 | 8,294,598 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2018 pre-refunded 7/1/2017 (Educational Facilities Improvements; Insured: AGM) | AA/Aa2 | 4,000,000 | 4,311,520 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2022 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 12,260,000 | 14,865,618 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2023 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 11,950,000 | 14,637,794 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2024 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 10,640,000 | 13,176,682 | |||||||
Monterey County COP, 5.00% due 8/1/2016 (Insured: AGM) | AA/A1 | 1,435,000 | 1,491,740 | |||||||
Monterey County COP, 5.00% due 8/1/2018 (Insured: AGM) | AA/A1 | 2,260,000 | 2,520,194 | |||||||
Mount San Antonio Community College GO, 0% due 8/1/2017 (Insured: Natl-Re) (ETM) | AA/Aa2 | 5,000,000 | 4,948,900 | |||||||
Needles USD GO, 0% due 8/1/2023 | AA-/A3 | 1,005,000 | 711,570 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2023 (Carmel Valley Educational Facilities; Insured: AGM) | AA/NR | 4,545,000 | 5,346,920 | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) | A+/A1 | 1,000,000 | 1,078,430 | |||||||
Northern California Power Agency, 5.00% due 6/1/2018 (Lodi Energy Center) | A-/A2 | 4,480,000 | 4,983,283 | |||||||
Northern California Power Agency, 5.00% due 7/1/2019 (Hydroelectric Project) | A+/A1 | 1,000,000 | 1,146,560 | |||||||
Northern California Power Agency, 5.00% due 7/1/2020 (Hydroelectric Project) | A+/A1 | 1,325,000 | 1,506,591 | |||||||
Oakland USD GO, 5.00% due 8/1/2022 (Construction & Modernization Project; Insured: AGM) | AA/A2 | 2,240,000 | 2,617,821 | |||||||
Oakland USD GO, 5.00% due 8/1/2023 (Construction & Modernization Project; Insured: AGM) | AA/A2 | 1,290,000 | 1,520,781 | |||||||
Oakland USD GO, 5.00% due 8/1/2024 (Construction & Modernization Project; Insured: AGM) | AA/A2 | 1,500,000 | 1,771,590 | |||||||
Oakland USD GO, 5.00% due 8/1/2025 (Construction & Modernization Project; Insured: AGM) | AA/A2 | 1,750,000 | 2,081,870 | |||||||
Orange County Public Financing Authority, 5.00% due 7/1/2017 (Insured: Natl-Re) | AA-/Aa3 | 1,245,000 | 1,338,773 | |||||||
Palo Alto USD GO, 0% due 8/1/2019 | AAA/Aa1 | 1,000,000 | 955,010 | |||||||
Palomar Community College District GO, 0% due 8/1/2021 | AA-/Aa2 | 2,560,000 | 2,273,946 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/A2 | 3,955,000 | 4,386,095 | |||||||
Rocklin USD GO, 0% due 8/1/2022 (Insured: Natl-Re) | AA-/Aa2 | 3,910,000 | 3,353,216 | |||||||
Sacramento City Financing Authority, 0% due 12/1/2019 (Merged Downtown & Oak Park; Insured: Natl-Re) | AA-/A3 | 2,920,000 | 2,684,502 | |||||||
Sacramento City Financing Authority, 0% due 12/1/2021 (Merged Downtown & Oak Park; Insured: Natl-Re) | AA-/A3 | 1,600,000 | 1,341,488 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements) | A+/A1 | 3,265,000 | 3,860,014 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2017 (Procter & Gamble) | AA-/Aa3 | 750,000 | 806,348 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2016 (Cosumnes Project; Insured: Natl-Re) (ETM) | NR/A3 | 4,870,000 | 5,045,369 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2019 pre-refunded 7/1/2016 (Cosumnes Project; Insured: Natl-Re) | NR/A3 | 5,000,000 | 5,181,600 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 pre-refunded 7/1/2016 (Cosumnes Project; Insured: Natl-Re) | NR/A3 | 8,675,000 | 8,990,076 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2020 | AA-/NR | 4,000,000 | 4,597,400 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2021 | AA-/NR | 3,000,000 | 3,494,310 | |||||||
San Diego Convention Center Expansion Financing Authority, 5.00% due 4/15/2022 | AA-/NR | 8,000,000 | 9,404,160 | |||||||
San Diego Redevelopment Agency, 4.50% due 9/1/2019 (Centre City Redevelopment; Insured: AMBAC) | NR/A2 | 1,240,000 | 1,261,725 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) | AA-/Aa3 | 10,000,000 | 11,929,600 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) | AA/Aa2 | 7,600,000 | 6,987,668 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) (ETM) | AA-/A3 | 2,017,500 | 2,320,428 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | AA-/A3 | 2,017,500 | 2,280,764 | |||||||
Santa Ana USD GO, 0% due 8/1/2019 (Insured: Natl-Re) | AA-/A3 | 3,425,000 | 3,228,816 | |||||||
Santa Fe Springs Community Development Commission, 0% due 9/1/2024 (Consolidated Redevelopment Project; Insured: Natl-Re) | AA-/A3 | 7,000,000 | 5,198,690 | |||||||
Solano County COP, 5.00% due 11/15/2017 | AA-/A1 | 1,580,000 | 1,714,900 | |||||||
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) | SP-1+/NR | 5,130,000 | 5,555,790 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A2 | 2,000,000 | 2,008,320 | |||||||
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM) | AA+/Aaa | 3,105,000 | 3,462,944 | |||||||
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM) | AA+/Aaa | 895,000 | 998,176 | |||||||
State of California GO, 4.75% due 4/1/2018 (Various Purposes) | AA-/Aa3 | 1,250,000 | 1,375,713 | |||||||
State of California GO, 5.00% due 9/1/2020 (Various Purposes) | AA-/Aa3 | 10,000,000 | 11,774,900 | |||||||
State of California GO, 5.00% due 9/1/2021 (Various Purposes) | AA-/Aa3 | 5,000,000 | 5,974,000 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 | AA-/A2 | 2,000,000 | 2,183,840 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2019 | AA-/A2 | 2,000,000 | 2,247,840 | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2017 (Tustin Redevelopment) | A/NR | 935,000 | 986,640 |
12 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2019 (Tustin Redevelopment) | A/NR | $ | 1,010,000 | $ | 1,100,355 | |||||
Tustin Community Redevelopment Agency, 4.00% due 9/1/2020 (Tustin Redevelopment) | A/NR | 1,050,000 | 1,138,484 | |||||||
Ventura County COP, 5.00% due 8/15/2016 | AA+/Aa3 | 1,520,000 | 1,580,435 | |||||||
Ventura County COP, 5.25% due 8/15/2017 | AA+/Aa3 | 1,635,000 | 1,770,051 | |||||||
West Contra Costa USD GO, 0% due 8/1/2022 (Educational Facilities; Insured: AGM) | AA/Aa3 | 4,000,000 | 3,392,920 | |||||||
West Covina Redevelopment Agency, 6.00% due 9/1/2022 (Fashion Plaza) | NR/NR | 6,180,000 | 7,163,485 | |||||||
COLORADO — 2.62% | ||||||||||
Castle Oaks Metropolitan District GO, 6.125% due 12/1/2035 pre-refunded 12/1/2015 | NR/NR | 1,428,000 | 1,442,537 | |||||||
City & County of Denver Airport System, 5.00% due 11/15/2016 (Insured: Natl-Re) | AA-/A1 | 1,725,000 | �� | 1,812,820 | ||||||
City & County of Denver Airport System, 5.00% due 11/15/2017 (Insured: Natl-Re) | AA-/A1 | 1,000,000 | 1,088,590 | |||||||
City & County of Denver COP, 5.00% due 12/1/2020 (Buell Theatre Property) | AA+/Aa1 | 3,065,000 | 3,586,326 | |||||||
City & County of Denver COP, 5.00% due 12/1/2021 (Buell Theatre Property) | AA+/Aa1 | 3,825,000 | 4,538,401 | |||||||
City & County of Denver COP, 5.00% due 12/1/2023 (Buell Theatre Property) | AA+/Aa1 | 1,720,000 | 2,083,969 | |||||||
City & County of Denver COP, 0.01% due 12/1/2029 put 10/1/2015 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 29,510,000 | 29,510,000 | |||||||
City & County of Denver COP, 0.01% due 12/1/2029 put 10/1/2015 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 16,860,000 | 16,860,000 | |||||||
City & County of Denver COP, 0.01% due 12/1/2031 put 10/1/2015 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 48,425,000 | 48,425,000 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2016 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 350,000 | 364,525 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2019 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 400,000 | 441,296 | |||||||
City & County of Denver School District No. 1 COP, 4.00% due 12/15/2020 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 600,000 | 664,704 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2021 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 1,000,000 | 1,167,810 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2022 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 1,030,000 | 1,214,967 | |||||||
City & County of Denver School District No. 1 COP, 5.00% due 12/15/2023 (Eastbridge Elementary and Conservatory Green K-8 Schools) | NR/Aa3 | 1,180,000 | 1,400,955 | |||||||
City & County of Denver School District No. 1 GO, 4.00% due 12/1/2016 (Capital Projects) (State Aid WIthholding) | AA-/Aa2 | 3,775,000 | 3,936,608 | |||||||
City of Longmont, 6.00% due 5/15/2019 | AA+/NR | 3,215,000 | 3,740,974 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2016 (Colorado Penitentiary II Project) (ETM) | AA-/Aa2 | 2,000,000 | 2,040,260 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2017 (Colorado Penitentiary II Project) (ETM) | AA-/Aa2 | 2,000,000 | 2,127,460 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2018 (Colorado Penitentiary II Project) (ETM) | AA-/Aa2 | 1,590,000 | 1,750,510 | |||||||
Colorado Department of Corrections COP, 5.00% due 3/1/2019 pre-refunded 3/1/2016 (Colorado Penitentiary II Project; Insured: AMBAC) | AA-/Aa2 | 4,930,000 | 5,029,044 | |||||||
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2016 (National Conference of State Legislatures) | A/A3 | 755,000 | 774,562 | |||||||
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2018 (National Conference of State Legislatures) | A/A3 | 1,625,000 | 1,753,554 | |||||||
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2020 (National Conference of State Legislatures) | A/A3 | 1,805,000 | 2,023,224 | |||||||
Colorado Educational & Cultural Facilities Authority, 5.00% due 6/1/2021 (National Conference of State Legislatures) | A/A3 | 1,000,000 | 1,130,900 | |||||||
Colorado HFA, 5.00% due 11/15/2015 (Adventist Health/Sunbelt Group) (ETM) | AA-/Aa2 | 2,365,000 | 2,379,426 | |||||||
Colorado HFA, 5.25% due 5/15/2017 (Northern Colorado Medical Center; Insured: AGM) | AA/NR | 1,185,000 | 1,272,394 | |||||||
Colorado HFA, 5.25% due 5/15/2019 (Northern Colorado Medical Center; Insured: AGM) | AA/NR | 2,225,000 | 2,537,612 | |||||||
Colorado HFA, 5.50% due 10/1/2038 put 11/12/2015 (Catholic Health Initiatives) | A/A2 | 1,000,000 | 1,006,170 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2021 (Insured: Syncora) | BBB-/Baa3 | 3,700,000 | 3,860,099 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2022 (Insured: Syncora) | BBB-/Baa3 | 1,100,000 | 1,156,562 | |||||||
Denver West Metropolitan District GO, 5.00% due 12/1/2021 (Insured: AGM) | AA/NR | 2,175,000 | 2,529,220 | |||||||
El Paso County COP, 4.00% due 12/1/2021 (Pikes Peak Regional Development Center) | AA-/Aa2 | 1,000,000 | 1,108,460 | |||||||
El Paso County COP, 5.00% due 12/1/2023 (Pikes Peak Regional Development Center) | AA-/Aa2 | 1,330,000 | 1,571,927 | |||||||
El Paso County School District No. 49 Falcon COP, 5.00% due 12/15/2020 | NR/Aa3 | 350,000 | 407,530 | |||||||
El Paso County School District No. 49 Falcon COP, 5.00% due 12/15/2023 | NR/Aa3 | 945,000 | 1,127,376 | |||||||
El Paso County School District No. 49 Falcon COP, 5.00% due 12/15/2024 | NR/Aa3 | 655,000 | 789,727 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2015 (Insured: AGM) | AA/NR | 1,000,000 | 1,007,410 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2016 (Insured: AGM) | AA/NR | 1,035,000 | 1,082,413 | |||||||
Park Creek Metropolitan District, 5.00% due 12/1/2017 (Insured: AGM) | AA/NR | 1,525,000 | 1,636,096 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2018 (Insured: AGM) | AA/NR | 1,200,000 | 1,337,388 | |||||||
Park Creek Metropolitan District, 5.50% due 12/1/2019 (Insured: AGM) | AA/NR | 1,000,000 | 1,135,370 | |||||||
Regents of the University of Colorado COP, 5.00% due 11/1/2016 (UCDHSC Fitzsimons Academic Facilities) | AA-/Aa2 | 700,000 | 734,958 | |||||||
Regents of the University of Colorado COP, 5.00% due 11/1/2017 (UCDHSC Fitzsimons Academic Facilities) | AA-/Aa2 | 850,000 | 925,234 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2018 (FasTracks Transportation System) | A/Aa3 | 1,750,000 | 1,936,935 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2019 (FasTracks Transportation System) | A/Aa3 | 4,730,000 | 5,377,821 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2020 (FasTracks Transportation System) | A/Aa3 | 3,655,000 | 4,241,701 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2021 (FasTracks Transportation System) | A/Aa3 | 2,370,000 | 2,768,326 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2023 (North Metro Rail Line) | A/Aa3 | 4,000,000 | 4,826,080 |
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Regional Transportation District COP, 5.00% due 6/1/2024 (North Metro Rail Line) | A/Aa3 | $ | 4,000,000 | $ | 4,738,040 | |||||
CONNECTICUT — 2.39% | ||||||||||
City of Hartford GO, 5.00% due 10/1/2022 (Various Public Improvements; Insured: AGM) | AA/A3 | 1,765,000 | 2,078,782 | |||||||
City of Hartford GO, 5.00% due 7/1/2024 (Various Public Improvements; Insured: AGM) | AA/A2 | 800,000 | 944,952 | |||||||
City of Hartford GO, 5.00% due 7/1/2025 (Various Public Improvements; Insured: AGM) | AA/A2 | 1,020,000 | 1,209,863 | |||||||
City of West Haven GO, 4.00% due 8/1/2018 (Insured: AGM) | AA/A2 | 2,080,000 | 2,231,403 | |||||||
Connecticut Health & Educational Facilities Authority, 0.01% due 7/1/2036 put 10/1/2015 (Yale University) (daily demand notes) | AAA/Aaa | 300,000 | 300,000 | |||||||
Connecticut Health & Educational Facilities Authority, 0.01% due 7/1/2036 put 10/1/2015 (Yale University) (daily demand notes) | AAA/Aaa | 300,000 | 300,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 11/15/2036 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 10,355,000 | 10,355,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 5/15/2039 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 13,110,000 | 13,110,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 5/15/2039 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 40,915,000 | 40,915,000 | |||||||
State of Connecticut GO, 5.00% due 6/1/2019 pre-refunded 6/1/2016 (General State Capital Projects; Insured: AGM) | AA/Aa3 | 2,865,000 | 2,955,935 | |||||||
State of Connecticut GO, 5.00% due 6/15/2023 (Housing Development & Rehabilitation) | AA/Aa3 | 13,915,000 | 16,601,987 | |||||||
State of Connecticut GO, 5.00% due 9/1/2023 (Housing Development & Rehabilitation) | AA/Aa3 | 5,550,000 | 6,640,964 | |||||||
State of Connecticut GO, 5.00% due 6/15/2024 (Housing Development & Rehabilitation) | AA/Aa3 | 19,385,000 | 23,314,533 | |||||||
State of Connecticut GO, 5.00% due 8/15/2024 (General State Capital Projects) | AA/Aa3 | 1,845,000 | 2,184,074 | |||||||
State of Connecticut GO, 5.00% due 6/15/2025 (Housing Development & Rehabilitation) | AA/Aa3 | 11,015,000 | 13,372,430 | |||||||
State of Connecticut GO, 5.00% due 6/15/2026 (Housing Development & Rehabilitation) | AA/Aa3 | 22,240,000 | 26,714,243 | |||||||
State of Connecticut GO Floating Rate Note, 0.79% due 9/15/2018 (General State Capital Projects) | AA/Aa3 | 725,000 | 717,663 | |||||||
State of Connecticut GO Floating Rate Note, 0.67% due 9/15/2024 (Education Capital Projects) | AA/Aa3 | 10,000,000 | 9,954,900 | |||||||
DISTRICT OF COLUMBIA — 0.51% | ||||||||||
District of Columbia, 5.00% due 4/1/2016 (National Public Radio) (ETM) | AA-/A1 | 685,000 | 701,426 | |||||||
District of Columbia, 4.00% due 4/1/2017 (National Public Radio) | AA-/A1 | 1,830,000 | 1,922,104 | |||||||
a District of Columbia, 5.00% due 4/1/2018 (National Public Radio) | AA-/A1 | 1,745,000 | 1,920,530 | |||||||
District of Columbia, 5.00% due 4/1/2019 (National Public Radio) | AA-/A1 | 805,000 | 909,634 | |||||||
District of Columbia, 5.00% due 4/1/2020 (National Public Radio) | AA-/A1 | 1,890,000 | 2,180,569 | |||||||
District of Columbia COP, 5.25% due 1/1/2016 (St. Elizabeth Hospital Lease; Insured: Natl-Re) (ETM) | NR/Aa3 | 4,700,000 | 4,760,536 | |||||||
District of Columbia COP, 5.00% due 1/1/2018 pre-refunded 1/1/2016 (St. Elizabeth Hospital Lease; Insured: Natl-Re) | NR/Aa3 | 5,000,000 | 5,061,100 | |||||||
District of Columbia COP, 5.00% due 1/1/2019 pre-refunded 1/1/2016 (St. Elizabeth Hospital Lease; Insured: Natl-Re) | NR/Aa3 | 5,000,000 | 5,061,100 | |||||||
District of Columbia COP, 4.50% due 1/1/2021 pre-refunded 1/1/2016 (St. Elizabeth Hospital Lease; Insured: Natl-Re) | NR/Aa3 | 1,100,000 | 1,112,056 | |||||||
District of Columbia GO, 6.00% due 6/1/2018 (Insured: Natl-Re) | AA/Aa1 | 5,000,000 | 5,684,300 | |||||||
District of Columbia GO, 5.25% due 6/1/2020 (Insured: Syncora) | AA/Aa1 | 3,005,000 | 3,540,791 | |||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2016 (Dulles Toll Road; Insured: AGM) | AA/A3 | 4,000,000 | 3,957,760 | |||||||
FLORIDA — 8.44% | ||||||||||
Broward County, 5.00% due 9/1/2017 (Port Facilities) | A-/A1 | 2,820,000 | 3,014,129 | |||||||
Broward County, 4.00% due 10/1/2017 (Airport, Marina & Port Improvements) | A+/A1 | 500,000 | 532,495 | |||||||
Broward County, 5.00% due 10/1/2017 (Airport, Marina & Port Improvements) | A+/A1 | 1,000,000 | 1,084,840 | |||||||
Broward County, 5.50% due 9/1/2018 (Port Facilities) | A-/A1 | 3,500,000 | 3,893,365 | |||||||
Broward County, 4.00% due 10/1/2018 (Airport, Marina & Port Improvements) | A+/A1 | 425,000 | 462,817 | |||||||
Broward County, 5.00% due 10/1/2018 (Airport, Marina & Port Improvements) | A+/A1 | 500,000 | 559,250 | |||||||
Broward County, 5.50% due 9/1/2019 (Port Facilities) | A-/A1 | 2,800,000 | 3,195,192 | |||||||
Broward County, 5.00% due 10/1/2019 (Airport, Marina & Port Improvements) | A+/A1 | 1,000,000 | 1,147,010 | |||||||
Broward County, 4.00% due 10/1/2020 (Airport, Marina & Port Improvements) | A+/A1 | 1,660,000 | 1,847,630 | |||||||
Broward County, 5.00% due 10/1/2020 (Airport, Marina & Port Improvements) | A+/A1 | 2,000,000 | 2,339,300 | |||||||
Broward County School Board COP, 5.00% due 7/1/2016 (Educational Facilities; Insured: AGM) | AA/A1 | 1,495,000 | 1,548,132 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Educational Facilities; Insured: AGM) | AA/A1 | 7,630,000 | 7,915,515 | |||||||
Broward County School Board COP, 5.25% due 7/1/2016 (Educational Facilities; Insured: AGM) | AA/A1 | 3,715,000 | 3,854,015 | |||||||
Broward County School Board COP, 5.00% due 7/1/2017 (Educational Facilities; Insured: Natl-Re) | AA-/A1 | 1,000,000 | 1,074,770 | |||||||
Broward County School Board COP, 5.00% due 7/1/2021 (Educational Facilities) | A/A1 | 4,000,000 | 4,702,560 | |||||||
Broward County School Board COP, 5.00% due 7/1/2022 (Educational Facilities) | A/A1 | 4,580,000 | 5,435,910 | |||||||
Broward County School Board COP, 5.00% due 7/1/2023 (Educational Facilities) | A/A1 | 3,000,000 | 3,576,840 | |||||||
Broward County School Board COP, 5.00% due 7/1/2023 (Educational Facilities) | A/A1 | 2,000,000 | 2,384,560 | |||||||
Broward County School Board COP, 5.00% due 7/1/2024 (Educational Facilities) | A/NR | 4,000,000 | 4,804,280 | |||||||
Broward County School Board COP, 5.00% due 7/1/2024 (Educational Facilities) | A/A1 | 2,000,000 | 2,402,140 | |||||||
Broward County School Board COP, 5.00% due 7/1/2025 (Educational Facilities) | A/A1 | 7,000,000 | 8,459,010 | |||||||
Broward County School Board COP, 5.00% due 7/1/2025 (Educational Facilities) | A/A1 | 5,000,000 | 6,042,150 | |||||||
Capital Projects Finance Authority, 5.50% due 10/1/2015 (University of Central Florida Apartment Student Housing; Insured: Natl-Re) | AA-/A3 | 2,660,000 | 2,660,027 | |||||||
City of Fort Myers, 5.00% due 12/1/2018 (Gulf Breeze Loan Program; Insured: Natl-Re) | AA-/Aa3 | 2,195,000 | 2,375,495 |
14 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Fort Myers, 5.00% due 10/1/2023 (Utility Systems Capital Projects) | A/Aa3 | $ | 3,360,000 | $ | 3,949,310 | |||||
City of Gainesville, 0.01% due 10/1/2026 put 10/1/2015 (Utilities System; SPA: Union Bank) (daily demand notes) | AA/Aa2 | 20,285,000 | 20,285,000 | |||||||
City of Gainesville, 0.02% due 10/1/2042 put 10/7/2015 (Utilities System; LOC: Sumitomo Mitsui Banking) (weekly demand notes) | NR/NR | 46,600,000 | 46,600,000 | |||||||
City of Hollywood Community Redevelopment Agency, 5.00% due 3/1/2016 (Beach Community Redevelopment Project; Insured: Syncora) | NR/A3 | 2,000,000 | 2,032,600 | |||||||
a City of Hollywood Community Redevelopment Agency, 5.00% due 3/1/2017 (Beach Community Redevelopment Project; Insured: Syncora) | NR/A3 | 2,000,000 | 2,095,260 | |||||||
City of Hollywood Community Redevelopment Agency, 5.00% due 3/1/2024 (Beach Community Redevelopment Project; Insured: Syncora) | NR/A3 | 4,850,000 | 5,016,258 | |||||||
City of Jacksonville, 5.00% due 10/1/2017 | AA-/Aa3 | 1,000,000 | 1,085,680 | |||||||
City of Jacksonville, 5.00% due 10/1/2018 | AA-/Aa3 | 1,050,000 | 1,175,916 | |||||||
City of Jacksonville, 5.00% due 10/1/2019 | AA-/Aa3 | 500,000 | 574,350 | |||||||
City of Jacksonville, 5.00% due 10/1/2020 | AA-/Aa3 | 1,000,000 | 1,169,390 | |||||||
City of Jacksonville, 5.00% due 10/1/2023 | AA-/Aa3 | 1,105,000 | 1,328,652 | |||||||
City of Lakeland, 5.00% due 10/1/2016 (Energy System; Insured: AGM) | AA/Aa3 | 9,780,000 | 10,232,227 | |||||||
City of Lakeland, 5.00% due 10/1/2017 (Energy System; Insured: AGM) | AA/Aa3 | 7,105,000 | 7,710,772 | |||||||
City of Lakeland, 5.00% due 10/1/2019 (Energy System; Insured: AGM) | AA/Aa3 | 5,000,000 | 5,732,950 | |||||||
City of Lakeland, 5.00% due 11/15/2019 (Lakeland Regional Health Systems) | NR/A2 | 5,655,000 | 6,336,484 | |||||||
City of Lakeland, 5.00% due 10/1/2020 (Energy System; Insured: AGM) | AA/Aa3 | 1,695,000 | 1,975,438 | |||||||
City of Miami, 5.00% due 1/1/2018 (Street & Sidewalk Improvement Program; Insured: Natl-Re) | AA-/A2 | 1,970,000 | 2,134,928 | |||||||
City of North Miami Beach, 5.00% due 8/1/2017 (North Miami Beach Water Project) | A+/NR | 750,000 | 804,548 | |||||||
City of North Miami Beach, 3.00% due 8/1/2018 (North Miami Beach Water Project) | A+/NR | 1,280,000 | 1,342,938 | |||||||
City of North Miami Beach, 5.00% due 8/1/2019 (North Miami Beach Water Project) | A+/NR | 1,650,000 | 1,866,101 | |||||||
City of North Miami Beach, 5.00% due 8/1/2020 (North Miami Beach Water Project) | A+/NR | 780,000 | 894,309 | |||||||
City of North Miami Beach, 5.00% due 8/1/2021 (North Miami Beach Water Project) | A+/NR | 1,000,000 | 1,159,980 | |||||||
City of Port St. Lucie, 1.70% due 7/1/2016 (Tesoro Special Assessment District) | NR/A2 | 1,075,000 | 1,082,127 | |||||||
City of Port St. Lucie, 1.875% due 7/1/2017 (Tesoro Special Assessment District; Insured: AGM) | NR/A2 | 2,175,000 | 2,197,011 | |||||||
City of Port St. Lucie, 2.00% due 7/1/2018 (Tesoro Special Assessment District; Insured: AGM) | NR/A2 | 2,215,000 | 2,244,725 | |||||||
City of Tampa, 5.00% due 11/15/2016 (BayCare Health System) | NR/Aa2 | 2,855,000 | 3,000,605 | |||||||
City of Tampa, 5.00% due 11/15/2017 (BayCare Health System) | NR/Aa2 | 1,215,000 | 1,323,244 | |||||||
Florida Atlantic University Financing Corp., 5.00% due 7/1/2016 (Innovation Village Capital Improvements) | A/A1 | 2,275,000 | 2,351,986 | |||||||
Florida Department of Management Services, 5.25% due 9/1/2016 (Insured: AGM) | AA+/Aa2 | 3,500,000 | 3,653,160 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2016 (Nova Southeastern University) | BBB/Baa1 | 2,345,000 | 2,392,228 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2017 (Nova Southeastern University) | BBB/Baa1 | 1,325,000 | 1,399,995 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.25% due 4/1/2018 (Nova Southeastern University) | BBB/Baa1 | 2,630,000 | 2,861,230 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (University of Tampa) | BBB+/NR | 1,225,000 | 1,353,552 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2019 (Nova Southeastern University) | BBB/Baa1 | 1,035,000 | 1,143,613 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.50% due 4/1/2019 (Nova Southeastern University) | BBB/Baa1 | 1,705,000 | 1,912,686 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2020 (Nova Southeastern University) | BBB/Baa1 | 1,030,000 | 1,157,236 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2022 (University of Tampa) | BBB+/NR | 620,000 | 709,206 | |||||||
Florida State Board of Education GO, 5.00% due 6/1/2016 (Public Education Capital Outlay) | AAA/Aa1 | 3,900,000 | 4,026,204 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2020 (University System Capital Improvements) | AA/Aa2 | 4,055,000 | 4,526,232 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2021 (University System Capital Improvements) | AA/Aa2 | 4,215,000 | 4,747,902 | |||||||
Florida State Board of Governors, 4.00% due 7/1/2022 (University System Capital Improvements) | AA/Aa2 | 4,385,000 | 4,970,441 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2015 | AA+/NR | 925,000 | 925,120 | |||||||
Florida State Department of Transportation GO, 5.00% due 7/1/2018 | AAA/Aa1 | 3,000,000 | 3,252,840 | |||||||
Highlands County HFA, 5.00% due 11/15/2015 (Adventist Health System Sunbelt Group) (ETM) | AA-/Aa2 | 1,000,000 | 1,006,070 | |||||||
Highlands County HFA, 5.00% due 11/15/2016 (Adventist Health System Sunbelt Group) | AA-/Aa2 | 1,000,000 | 1,050,760 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 (Adventist Health System Sunbelt Group) | AA-/Aa2 | 3,200,000 | 3,485,088 | |||||||
Highlands County HFA, 5.00% due 11/15/2017 pre-refunded 11/16/2015 (Adventist Health System Sunbelt Group) | AA-/Aa2 | 1,000,000 | 1,006,210 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 (Adventist Health System Sunbelt Group) | AA-/Aa2 | 3,000,000 | 3,437,550 | |||||||
Highlands County HFA, 5.00% due 11/15/2035 pre-refunded 11/15/2015 (Adventist Health System Sunbelt Group) | AA-/Aa2 | 1,225,000 | 1,232,436 | |||||||
Hillsborough County, 5.00% due 11/1/2016 (Transportation Related Capital Improvements; Insured: AMBAC) | AA/A1 | 1,000,000 | 1,050,170 | |||||||
Hillsborough County, 5.00% due 11/1/2018 (Court Facilities) | AA/A1 | 4,210,000 | 4,724,504 | |||||||
Hillsborough County, 5.00% due 11/1/2019 (Court Facilities) | AA/A1 | 4,420,000 | 5,085,740 | |||||||
Hillsborough County, 5.00% due 11/1/2020 (Court Facilities) | AA/A1 | 4,645,000 | 5,425,639 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Court Facilities) | AA/A1 | 4,880,000 | 5,770,014 | |||||||
Hillsborough County, 5.00% due 11/1/2021 (Jail and Storm Water Projects) | AA/A1 | 2,300,000 | 2,719,474 | |||||||
Hillsborough County, 5.00% due 11/1/2022 (Jail and Storm Water Projects) | AA/A1 | 3,005,000 | 3,590,073 | |||||||
Hillsborough County IDA, 5.65% due 5/15/2018 (Tampa Electric Co.) | BBB+/A2 | 3,200,000 | 3,559,872 | |||||||
Hillsborough County School Board COP, 5.25% due 7/1/2017 (Educational Facilities; Insured: Natl-Re) | AA-/Aa2 | 1,300,000 | 1,403,324 | |||||||
Jacksonville Economic Development Commission, 6.00% due 9/1/2017 (Florida Proton Therapy Institute) | NR/NR | 1,985,000 | 2,140,386 | |||||||
JEA, 4.00% due 10/1/2016 (Electric System) | A+/Aa3 | 3,540,000 | 3,668,679 | |||||||
JEA, 5.00% due 10/1/2018 (Water and Sewer System) | AA/Aa2 | 1,500,000 | 1,683,210 | |||||||
JEA, 5.00% due 10/1/2023 (Electric System) | A+/Aa3 | 1,395,000 | 1,685,592 |
Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
JEA, 5.00% due 10/1/2024 (Electric System) | A+/Aa3 | $ | 1,200,000 | $ | 1,454,628 | |||||
Kissimmee Utility Authority, 5.25% due 10/1/2016 (Electrical Systems; Insured: AGM) | NR/A1 | 1,700,000 | 1,778,472 | |||||||
Lee County School Board COP, 5.00% due 8/1/2023 (School Facilities Improvements) | A+/Aa3 | 1,000,000 | 1,191,910 | |||||||
Lee County School Board COP, 5.00% due 8/1/2024 (School Facilities Improvements) | A+/Aa3 | 2,000,000 | 2,401,760 | |||||||
Manatee County, 5.00% due 10/1/2016 (County Capital Projects) | NR/Aa2 | 1,000,000 | 1,046,760 | |||||||
Manatee County, 4.00% due 10/1/2017 (Public Utilities Improvements) | NR/Aa2 | 1,000,000 | 1,066,230 | |||||||
Manatee County, 5.00% due 10/1/2018 (County Capital Projects) | NR/Aa2 | 2,400,000 | 2,688,552 | |||||||
Manatee County, 5.00% due 10/1/2021 (County Capital Projects) | NR/Aa2 | 2,775,000 | 3,295,923 | |||||||
Manatee County, 5.00% due 10/1/2024 (Public Utilities Improvements) | NR/Aa2 | 500,000 | 612,400 | |||||||
Manatee County, 5.00% due 10/1/2025 (Public Utilities Improvements) | NR/Aa2 | 470,000 | 575,858 | |||||||
Marion County Hospital District, 5.00% due 10/1/2015 (Munroe Regional Health Systems) (ETM) | NR/NR | 1,000,000 | 1,000,140 | |||||||
Marion County School Board COP, 5.00% due 6/1/2018 (Insured: BAM) | AA/A2 | 2,500,000 | 2,752,500 | |||||||
Marion County School Board COP, 5.00% due 6/1/2019 (Insured: BAM) | AA/A2 | 2,635,000 | 2,969,540 | |||||||
Marion County School Board COP, 5.00% due 6/1/2020 (Insured: BAM) | AA/A2 | 2,760,000 | 3,161,801 | |||||||
Marion County School Board COP, 5.00% due 6/1/2021 (Insured: BAM) | AA/A2 | 2,505,000 | 2,906,852 | |||||||
Marion County School Board COP, 5.00% due 6/1/2024 (Insured: BAM) | AA/A2 | 3,065,000 | 3,620,194 | |||||||
Miami Beach GO, 4.00% due 9/1/2019 | AA+/Aa2 | 2,745,000 | 3,030,562 | |||||||
Miami Beach GO, 5.00% due 9/1/2020 | AA+/Aa2 | 3,720,000 | 4,323,570 | |||||||
Miami Beach GO, 4.00% due 9/1/2021 | AA+/Aa2 | 1,015,000 | 1,138,414 | |||||||
Miami Beach GO, 5.00% due 9/1/2022 | AA+/Aa2 | 1,000,000 | 1,164,240 | |||||||
Miami-Dade County, 0% due 10/1/2015 (Professional Sports Franchise Facilities; Insured: AGM) | AA/A1 | 3,845,000 | 3,844,923 | |||||||
Miami-Dade County, 0% due 10/1/2016 (Professional Sports Franchise Facilities; Insured: AGM) | AA/A1 | 3,535,000 | 3,500,463 | |||||||
Miami-Dade County, 0% due 10/1/2017 (Professional Sports Franchise Facilities; Insured: AGM) | AA/A1 | 2,435,000 | 2,352,648 | |||||||
Miami-Dade County, 0% due 10/1/2018 (Professional Sports Franchise Facilities; Insured: AGM) | AA/A1 | 5,385,000 | 5,087,694 | |||||||
Miami-Dade County, 0% due 10/1/2019 (Professional Sports Franchise Facilities; Insured: AGM) | AA/A1 | 2,170,000 | 1,981,731 | |||||||
Miami-Dade County, 5.00% due 7/1/2023 (Transit System) | AA/A1 | 1,000,000 | 1,195,410 | |||||||
Miami-Dade County, 5.00% due 7/1/2024 (Transit System) | AA/A1 | 5,565,000 | 6,708,329 | |||||||
Miami-Dade County, 5.00% due 7/1/2025 (Transit System) | AA/A1 | 3,650,000 | 4,414,310 | |||||||
Miami-Dade County, 5.00% due 10/1/2025 (Miami International Airport) | A/A2 | 2,500,000 | 2,993,825 | |||||||
Miami-Dade County Educational Facilities Authority GO, 5.00% due 4/1/2016 (University of Miami; Insured: AMBAC) | A-/A3 | 3,000,000 | 3,066,780 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2019 (Toll System; Insured: AGM) | AA/A2 | 7,530,000 | 8,544,140 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2024 (Toll System) | A-/A3 | 2,000,000 | 2,399,520 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2025 (Toll System) | A-/A3 | 2,000,000 | 2,377,020 | |||||||
Miami-Dade County GO, 5.25% due 7/1/2018 (Building Better Communities) | AA/Aa2 | 5,040,000 | 5,624,489 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2015 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,000,140 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2016 (Insured: Natl-Re) | AA-/A1 | 4,065,000 | 4,178,901 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2016 (Insured: AMBAC) | A/A1 | 1,000,000 | 1,046,550 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2022 (Educational Facilities Improvements) | A/A1 | 3,405,000 | 4,023,280 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2023 (Educational Facilities Improvements) | A/A1 | 4,130,000 | 4,927,586 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2024 (Educational Facilities Improvements) | A/A1 | 8,000,000 | 9,534,480 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2025 (Educational Facilities Improvements) | A/A1 | 15,000,000 | 17,757,750 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2031 put 5/1/2024 (Educational Facilities Improvements) | A/A1 | 2,425,000 | 2,828,302 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2032 put 5/1/2016 (Educational Facilities Improvements) | A/A1 | 6,000,000 | 6,153,900 | |||||||
Orange County HFA, 5.00% due 10/1/2015 (Orlando Health, Inc.) | A/A3 | 500,000 | 500,065 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Health, Inc.; Insured: Natl-Re) | AA-/A3 | 820,000 | 839,155 | |||||||
Orange County HFA, 5.00% due 10/1/2017 (Orlando Health, Inc.) | A/A3 | 1,980,000 | 2,133,965 | |||||||
Orange County HFA, 5.25% due 10/1/2019 (Orlando Health, Inc.) | A/A3 | 6,050,000 | 6,863,846 | |||||||
Orange County HFA, 6.25% due 10/1/2021 (Orlando Health, Inc.; Insured: Natl-Re) | AA-/A3 | 1,870,000 | 2,134,044 | |||||||
Orange County HFA, 5.375% due 10/1/2023 (Orlando Health, Inc.) | A/A3 | 4,150,000 | 4,702,033 | |||||||
Orange County School Board COP, 5.00% due 8/1/2019 (Educational Facilities) | NR/Aa2 | 1,000,000 | 1,145,470 | |||||||
Orange County School Board COP, 5.00% due 8/1/2020 (Educational Facilities) | NR/Aa2 | 1,695,000 | 1,979,980 | |||||||
Orange County School Board COP, 5.00% due 8/1/2021 (Educational Facilities) | NR/Aa2 | 2,100,000 | 2,486,127 | |||||||
Orange County School Board COP, 5.00% due 8/1/2022 (Educational Facilities) | NR/Aa2 | 1,825,000 | 2,187,682 | |||||||
Orange County School Board COP, 5.00% due 8/1/2023 (Educational Facilities) | NR/Aa2 | 1,540,000 | 1,863,061 | |||||||
Orange County School Board COP, 5.00% due 8/1/2024 (Educational Facilities) | NR/Aa2 | 1,445,000 | 1,762,206 | |||||||
Orange County School Board COP, 5.00% due 8/1/2025 (Educational Facilities) | NR/Aa2 | 1,190,000 | 1,458,155 | |||||||
Orlando and Orange County Expressway Authority, 8.25% due 7/1/2016 (Insured: Natl-Re/FGIC/IBC) | AA-/A2 | 3,000,000 | 3,175,440 | |||||||
Palm Beach County HFA, 5.00% due 12/1/2020 (Boca Raton Regional Hospital) | BBB+/NR | 600,000 | 679,290 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2018 (Educational Facilities Master Lease Program) | NR/Aa3 | 800,000 | 889,720 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2019 (Educational Facilities Master Lease Program) | NR/Aa3 | 940,000 | 1,035,203 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2020 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,090,000 | 1,263,986 | |||||||
Palm Beach County School Board COP, 4.00% due 8/1/2021 (Educational Facilities Master Lease Program) | NR/Aa3 | 3,835,000 | 4,293,436 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,000,000 | 1,186,030 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2022 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,660,000 | 1,968,810 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2023 (Educational Facilities Master Lease Program) | NR/Aa3 | 3,500,000 | 4,182,780 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2023 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,000,000 | 1,195,080 |
16 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2024 (Educational Facilities Master Lease Program) | NR/Aa3 | $ | 3,595,000 | $ | 4,343,874 | |||||
Palm Beach County School Board COP, 5.00% due 8/1/2024 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,000,000 | 1,208,310 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 (Educational Facilities Master Lease Program) | NR/Aa3 | 1,300,000 | 1,349,491 | |||||||
Polk County, 4.00% due 10/1/2020 (Water and Wastewater Utility Systems; Insured: AGM) | A+/Aa3 | 3,100,000 | 3,461,057 | |||||||
Polk County, 3.00% due 10/1/2021 (Water and Wastewater Utility Systems; Insured: AGM) | A+/Aa3 | 3,125,000 | 3,320,062 | |||||||
Polk County, 5.00% due 10/1/2023 (Water and Wastewater Utility Systems) | A+/Aa3 | 1,420,000 | 1,677,503 | |||||||
Putnam County Development Authority, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 10,200,000 | 11,259,984 | |||||||
Putnam County Development Authority, 5.35% due 3/15/2042 put 5/1/2018 (Seminole Project; Insured: AMBAC) | A-/A3 | 4,165,000 | 4,588,872 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2017 (Walt Disney World Resort Complex Utility Systems) | A/A1 | 400,000 | 432,476 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2018 (Walt Disney World Resort Complex Utility Systems) | A/A1 | 755,000 | 839,832 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2021 (Walt Disney World Resort Complex Utility Systems) | A/A1 | 1,200,000 | 1,399,728 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2022 (Walt Disney World Resort Complex Utility Systems) | A/A1 | 625,000 | 735,669 | |||||||
Reedy Creek Improvement District, 5.00% due 6/1/2023 (Buena Vista Drive Corridor Improvements) | A+/Aa3 | 1,940,000 | 2,319,639 | |||||||
Reedy Creek Improvement District, 5.00% due 10/1/2023 (Walt Disney World Resort Complex Utility Systems) | A/A1 | 750,000 | 884,933 | |||||||
Reedy Creek Improvement District GO, 5.00% due 6/1/2021 (Walt Disney World Resort Complex Utility Systems) | A+/Aa3 | 500,000 | 586,725 | |||||||
Reedy Creek Improvement District GO, 5.00% due 6/1/2023 (Walt Disney World Resort Complex Utility Systems) | A+/Aa3 | 860,000 | 1,028,293 | |||||||
Reedy Creek Improvement District GO, 5.00% due 6/1/2024 (Walt Disney World Resort Complex Utility Systems) | A+/Aa3 | 850,000 | 1,028,560 | |||||||
Reedy Creek Improvement District GO, 5.00% due 6/1/2025 (Walt Disney World Resort Complex Utility Systems) | A+/Aa3 | 2,000,000 | 2,432,520 | |||||||
School Board of Alachua County COP, 5.00% due 7/1/2022 (Educational Facilities) | A+/Aa3 | 1,600,000 | 1,869,296 | |||||||
School Board of Alachua County COP, 5.00% due 7/1/2023 (Educational Facilities) | A+/Aa3 | 2,250,000 | 2,649,375 | |||||||
School Board of Lake County COP, 5.25% due 6/1/2017 (Insured: AMBAC) | A/NR | 2,000,000 | 2,149,640 | |||||||
School Board of Lake County COP, 5.25% due 6/1/2018 (Insured: AMBAC) | A/NR | 1,475,000 | 1,643,076 | |||||||
South Broward Hospital District, 5.00% due 5/1/2020 (Insured: Natl-Re) | AA-/Aa3 | 1,955,000 | 2,005,380 | |||||||
South Broward Hospital District, 5.00% due 5/1/2020 pre-refunded 5/1/2016 (Insured: Natl-Re) | AA-/Aa3 | 5,305,000 | 5,453,964 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2015 (Everglades Restoration Plan; Insured: AMBAC) | AA/Aa3 | 1,000,000 | 1,000,130 | |||||||
South Florida Water Management District COP, 5.00% due 10/1/2023 (Everglades Restoration Plan; Insured: AMBAC) | AA/Aa3 | 500,000 | 523,270 | |||||||
South Miami HFA, 5.00% due 8/15/2016 (Baptist Health) | AA/Aa2 | 4,985,000 | 5,184,649 | |||||||
South Miami HFA, 5.00% due 8/15/2017 (Baptist Health) | AA/Aa2 | 4,610,000 | 4,979,077 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Miami-Dade County Program; Insured: AGM) | AA/Aa3 | 5,000,000 | 5,878,100 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2021 (Miami-Dade County Program) | AA-/Aa3 | 1,450,000 | 1,704,649 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2022 (Miami-Dade County Program) | AA-/Aa3 | 2,000,000 | 2,378,760 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2023 (Miami-Dade County Program) | AA-/Aa3 | 2,100,000 | 2,524,032 | |||||||
Sunshine State Governmental Financing Commission, 5.00% due 9/1/2024 (Miami-Dade County Program) | AA-/Aa3 | 1,725,000 | 2,051,681 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2017 | AA+/Aa1 | 5,615,000 | 6,100,754 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2018 | AA+/Aa1 | 2,890,000 | 3,241,597 | |||||||
Tampa Bay Regional Water Supply Authority, 5.00% due 10/1/2019 | AA+/Aa1 | 3,000,000 | 3,446,730 | |||||||
Tampa Sports Authority, 5.75% due 10/1/2015 (Tampa Bay Arena; Insured: Natl-Re) | AA-/NR | 170,000 | 170,019 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2016 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM) | AA/A2 | 2,320,000 | 2,426,952 | |||||||
Volusia County Educational Facilities Authority, 4.00% due 10/15/2017 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM) | AA/A2 | 1,030,000 | 1,093,252 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2018 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM) | AA/A2 | 2,075,000 | 2,308,521 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2019 (Embry-Riddle Aeronautical University, Inc.; Insured: AGM) | AA/A2 | 2,350,000 | 2,677,097 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2023 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 700,000 | 826,504 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2024 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 650,000 | 774,332 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2025 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 400,000 | 475,040 | |||||||
Volusia County School Board COP, 5.00% due 8/1/2024 (Master Lease Program) | NR/Aa3 | 1,000,000 | 1,198,240 | |||||||
GEORGIA — 3.25% | ||||||||||
Athens-Clarke County Unified Government Development Authority, 3.00% due 12/15/2015 (UGAREF Coverdell Building, LLC) | NR/Aa2 | 670,000 | 673,719 | |||||||
Athens-Clarke County Unified Government Development Authority, 3.00% due 6/15/2016 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 300,000 | 305,253 | |||||||
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2017 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 495,000 | 521,082 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2019 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 400,000 | 450,908 | |||||||
Athens-Clarke County Unified Government Development Authority, 4.00% due 6/15/2020 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 395,000 | 434,255 | |||||||
Athens-Clarke County Unified Government Development Authority, 0.01% due 7/1/2035 put 10/1/2015 (University of Georgia Athletic Association; LOC: Wells Fargo Bank, N.A.) (daily demand notes) | NR/Aa1 | 100,000 | 100,000 | |||||||
City of Atlanta, 5.50% due 11/1/2015 (Water & Wastewater System; Insured: Natl-Re) | AA-/Aa3 | 4,000,000 | 4,018,560 | |||||||
City of Atlanta, 5.00% due 1/1/2016 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | 1,495,000 | 1,513,359 | |||||||
City of Atlanta, 5.00% due 11/1/2016 (Water & Wastewater System; Insured: AGM) | AA/Aa3 | 3,215,000 | 3,376,779 | |||||||
City of Atlanta, 5.50% due 11/1/2016 (Water & Wastewater System; Insured: Natl-Re) | AA-/Aa3 | 8,215,000 | 8,672,822 | |||||||
City of Atlanta, 5.25% due 12/1/2016 (Atlantic Station Project; Insured: AGM) | AA/A3 | 3,650,000 | 3,830,054 | |||||||
City of Atlanta, 5.00% due 11/1/2017 (Water & Wastewater System; Insured: AGM) | AA/Aa3 | 4,745,000 | 5,167,068 | |||||||
City of Atlanta, 5.00% due 1/1/2018 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | 2,100,000 | 2,299,479 | |||||||
City of Atlanta, 5.00% due 1/1/2019 (Hartsfield-Jackson Atlanta International Airport) | NR/Aa3 | 3,145,000 | 3,546,585 | |||||||
City of Atlanta, 6.00% due 11/1/2019 (Water & Wastewater System) | AA-/Aa3 | 5,650,000 | 6,721,409 |
Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Atlanta, 5.00% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | $ | 6,000,000 | $ | 6,926,220 | |||||
City of Atlanta, 5.25% due 1/1/2020 (Hartsfield-Jackson Atlanta International Airport) | NR/Aa3 | 5,000,000 | 5,823,450 | |||||||
City of Atlanta, 5.00% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport) | NR/A1 | 7,000,000 | 8,005,550 | |||||||
City of Atlanta, 5.50% due 1/1/2021 (Hartsfield-Jackson Atlanta International Airport) | NR/Aa3 | 3,525,000 | 4,214,878 | |||||||
City of Atlanta, 5.00% due 11/1/2021 (Water & Wastewater System) | AA-/Aa3 | 2,500,000 | 2,968,375 | |||||||
City of Atlanta, 5.00% due 11/1/2022 (Water & Wastewater System) | AA-/Aa3 | 1,000,000 | 1,202,740 | |||||||
City of Atlanta, 5.00% due 1/1/2023 (Airport Passenger Facility) | AA-/Aa3 | 1,000,000 | 1,191,900 | |||||||
City of Atlanta, 5.00% due 11/1/2023 (Water & Wastewater System) | AA-/Aa3 | 1,130,000 | 1,370,475 | |||||||
City of Atlanta, 5.00% due 1/1/2024 (Airport Passenger Facility) | AA-/A1 | 1,350,000 | 1,641,762 | |||||||
City of Atlanta, 5.00% due 11/1/2024 (Water & Wastewater System) | AA-/Aa3 | 1,000,000 | 1,225,110 | |||||||
City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility) | AA-/Aa3 | 1,645,000 | 1,968,868 | |||||||
City of Atlanta, 5.00% due 1/1/2025 (Airport Passenger Facility) | AA-/A1 | 2,500,000 | 2,988,075 | |||||||
City of Atlanta, 5.00% due 11/1/2025 (Water & Wastewater System) | AA-/Aa3 | 1,000,000 | 1,219,990 | |||||||
County of Douglas GO, 5.00% due 8/1/2016 (Jail & Law Enforcement Complex) | AA/Aa2 | 4,000,000 | 4,158,840 | |||||||
Development Authority of Bartow County, 2.70% due 8/1/2043 put 8/23/2018 (Georgia Power Co. Plant Bowen Project) | A-/A3 | 6,000,000 | 6,232,260 | |||||||
Development Authority of Burke County, 0.07% due 7/1/2049 put 10/1/2015 (Georgia Power Company Plant Vogtle Project) (daily demand notes) | A-/A3 | 71,910,000 | 71,910,000 | |||||||
Fulton County Development Authority, 5.00% due 10/1/2022 (Georgia Tech Athletic Association) | NR/A2 | 4,550,000 | 5,394,525 | |||||||
Fulton County Facilities Corp. COP, 5.00% due 11/1/2017 (Public Purpose Project) | AA-/Aa3 | 8,400,000 | 9,086,868 | |||||||
Fulton County Facilities Corp. COP, 5.00% due 11/1/2019 (Public Purpose Project) | AA-/Aa3 | 6,600,000 | 7,521,360 | |||||||
Georgia Municipal Electric Authority, 6.50% due 1/1/2017 | A+/A1 | 370,000 | 382,417 | |||||||
Gwinnett County Hospital Authority, 5.00% due 7/1/2023 (Gwinnett Hospital System, Inc.; Insured: AGM) | NR/A2 | 5,000,000 | 5,586,700 | |||||||
Gwinnett County School District GO, 4.00% due 10/1/2015 (Educational Capital Building Program) | AAA/Aaa | 10,000,000 | 10,001,100 | |||||||
Gwinnett County School District GO, 4.50% due 10/1/2017 (Capital Projects) | AAA/Aaa | 13,000,000 | 14,021,280 | |||||||
LaGrange-Troup County Hospital Authority, 5.00% due 7/1/2018 (West Georgia Health Foundation, Inc.) | A+/Aa2 | 1,570,000 | 1,647,919 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A-/Baa1 | 5,000,000 | 5,366,750 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) | AA-/A1 | 1,155,000 | 1,208,731 | |||||||
State of Georgia GO, 5.00% due 7/1/2017 (Capital Projects) | AAA/Aaa | 8,625,000 | 9,298,267 | |||||||
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2022 (South Medical Center) | AA-/Aa2 | 1,500,000 | 1,756,125 | |||||||
GUAM — 0.66% | ||||||||||
Government of Guam, 5.25% due 12/1/2016 (Layon Solid Waste Disposal Facility) | BBB+/NR | 5,610,000 | 5,874,960 | |||||||
Government of Guam, 5.25% due 12/1/2017 (Layon Solid Waste Disposal Facility) | BBB+/NR | 2,000,000 | 2,169,080 | |||||||
Government of Guam, 5.50% due 12/1/2018 (Layon Solid Waste Disposal Facility) | BBB+/NR | 3,000,000 | 3,361,260 | |||||||
Government of Guam, 5.00% due 11/15/2019 (Various Capital Projects) | A/NR | 1,000,000 | 1,128,680 | |||||||
Government of Guam, 5.50% due 12/1/2019 (Layon Solid Waste Disposal Facility) | BBB+/NR | 2,000,000 | 2,295,620 | |||||||
Government of Guam, 5.00% due 11/15/2020 (Various Capital Projects) | A/NR | 1,500,000 | 1,711,860 | |||||||
Government of Guam, 5.00% due 11/15/2021 (Various Capital Projects) | A/NR | 2,210,000 | 2,540,218 | |||||||
Government of Guam, 5.00% due 11/15/2022 (Various Capital Projects) | A/NR | 2,960,000 | 3,414,597 | |||||||
Government of Guam, 5.00% due 11/15/2023 (Various Capital Projects) | A/NR | 6,280,000 | 7,280,781 | |||||||
Government of Guam, 5.00% due 11/15/2024 (Various Capital Projects) | A/NR | 4,500,000 | 5,250,330 | |||||||
Guam Government Waterworks Authority, 5.25% due 7/1/2020 (Water & Wastewater System Improvements) | A-/Baa2 | 300,000 | 342,381 | |||||||
Guam Government Waterworks Authority, 5.25% due 7/1/2022 (Water & Wastewater System Improvements) | A-/Baa2 | 1,050,000 | 1,220,226 | |||||||
Guam Government Waterworks Authority, 5.25% due 7/1/2023 (Water & Wastewater System Improvements) | A-/Baa2 | 645,000 | 755,166 | |||||||
Guam Power Authority, 5.00% due 10/1/2019 (Electric Power System; Insured: AGM) | AA/A2 | 1,000,000 | 1,143,010 | |||||||
Guam Power Authority, 5.00% due 10/1/2020 (Electric Power System; Insured: AGM) | AA/A2 | 1,500,000 | 1,743,465 | |||||||
Guam Power Authority, 5.00% due 10/1/2022 (Electric Power System; Insured: AGM) | AA/A2 | 6,340,000 | 7,548,594 | �� | ||||||
HAWAII — 1.07% | ||||||||||
City and County of Honolulu GO, 5.00% due 11/1/2019 (Capital Improvement Projects) | NR/Aa1 | 3,620,000 | 4,170,457 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2020 (Capital Improvement Projects) | NR/Aa1 | 8,265,000 | 9,714,516 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2021 (Capital Improvement Projects) | NR/Aa1 | 2,770,000 | 3,307,768 | |||||||
a City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) | NR/Aa1 | 1,750,000 | 2,119,862 | |||||||
City and County of Honolulu GO, 5.00% due 11/1/2022 (Capital Improvement Projects) | NR/Aa1 | 6,695,000 | 8,109,988 | |||||||
State of Hawaii GO, 5.00% due 11/1/2017 (Hawaiian Home Lands Settlement) | AA/Aa2 | 12,000,000 | 13,083,960 | |||||||
State of Hawaii GO, 5.00% due 11/1/2018 (Hawaiian Home Lands Settlement) | AA/Aa2 | 20,000,000 | 22,498,400 | |||||||
State of Hawaii GO, 5.00% due 12/1/2019 (Hawaiian Home Lands Settlement) | AA/Aa2 | 3,000,000 | 3,463,080 | |||||||
State of Hawaii GO, 5.00% due 12/1/2020 (Hawaiian Home Lands Settlement) | AA/Aa2 | 2,500,000 | 2,947,000 | |||||||
State of Hawaii GO, 5.00% due 12/1/2021 (Hawaiian Home Lands Settlement) | AA/Aa2 | 3,000,000 | 3,586,620 | |||||||
State of Hawaii GO, 5.00% due 12/1/2022 (Hawaiian Home Lands Settlement) | AA/Aa2 | 4,000,000 | 4,836,120 | |||||||
IDAHO — 0.28% | ||||||||||
Idaho HFA, 5.00% due 12/1/2022 (Trinity Health Credit Group) | AA-/Aa3 | 1,000,000 | 1,198,180 | |||||||
Idaho HFA, 5.00% due 12/1/2023 (Trinity Health Credit Group) | AA-/Aa3 | 2,000,000 | 2,421,140 | |||||||
Idaho HFA, 5.00% due 12/1/2024 (Trinity Health Credit Group) | AA-/Aa3 | 1,000,000 | 1,220,560 | |||||||
University of Idaho, 5.25% due 4/1/2041 put 4/1/2021 | A+/Aa3 | 13,420,000 | 15,559,014 |
18 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ILLINOIS — 5.25% | ||||||||||
Board of Education of the City of Chicago GO, 0% due 12/1/2020 (Educational Facilities; Insured: BHAC) | AA+/Aa1 | $ | 12,000,000 | $ | 9,870,360 | |||||
Board of Trustees of Southern Illinois University, 5.25% due 4/1/2020 (Housing & Auxiliary Facilities; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,136,170 | |||||||
Chicago Housing Authority, 5.00% due 7/1/2016 (Housing Transformation Capital Program; Insured: AGM) (ETM) | NR/A2 | 2,000,000 | 2,070,460 | |||||||
Chicago Midway International Airport, 5.00% due 1/1/2022 | A-/A3 | 800,000 | 931,688 | |||||||
Chicago Midway International Airport, 5.00% due 1/1/2023 | A-/A3 | 1,900,000 | 2,217,338 | |||||||
Chicago Midway International Airport, 5.00% due 1/1/2024 | A-/A3 | 1,000,000 | 1,176,380 | |||||||
Chicago O’Hare International Airport, 5.00% due 1/1/2022 (O’Hare Modernization Program) | A/A2 | 5,835,000 | 6,675,357 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2017 (Capital Improvement Plan) | AA+/NR | 1,000,000 | 1,033,930 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan) | AA+/NR | 1,250,000 | 1,315,812 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan) | AA+/NR | 1,420,000 | 1,494,763 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2018 (Capital Improvement Plan) | AA+/NR | 945,000 | 994,754 | |||||||
Chicago Park District GO, 5.00% due 1/1/2018 (Capital Improvement Plan; Insured: Natl-Re) | AA+/A3 | 700,000 | 708,575 | |||||||
Chicago Park District GO, 5.00% due 1/1/2018 (Capital Improvement Plan) | AA+/Ba1 | 1,150,000 | 1,235,882 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2019 (Capital Improvement Plan) | AA+/NR | 1,745,000 | 1,860,589 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2019 (Capital Improvement Plan) | AA+/NR | 820,000 | 874,317 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2020 (Capital Improvement Plan) | AA+/NR | 2,730,000 | 2,910,071 | |||||||
b Chicago Park District GO, 4.00% due 1/1/2020 (Capital Improvement Plan) | AA+/NR | 815,000 | 868,757 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2021 (Capital Improvement Plan) | AA+/NR | 2,840,000 | 3,168,105 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2022 (Capital Improvement Plan) | AA+/NR | 1,485,000 | 1,660,304 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2022 (Capital Improvement Plan) | AA+/NR | 1,940,000 | 2,169,017 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan) | AA+/NR | 1,605,000 | 1,802,752 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan) | AA+/NR | 3,215,000 | 3,611,120 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2023 (Capital Improvement Plan) | AA+/NR | 1,675,000 | 1,881,377 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan) | AA+/NR | 1,305,000 | 1,470,096 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan) | AA+/NR | 1,340,000 | 1,509,523 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2024 (Capital Improvement Plan) | AA+/NR | 1,760,000 | 1,982,658 | |||||||
Chicago School Reform Board of Trustees of the Board of Education GO, 5.25% due 12/1/2021 (School District Capital Improvement Program; Insured: Natl-Re) | AA-/A3 | 1,500,000 | 1,578,075 | |||||||
Chicago Transit Authority, 5.25% due 6/1/2017 (Federal Transit Program-Rail Systems; Insured: AGM) | A/A3 | 3,000,000 | 3,176,430 | |||||||
Chicago Transit Authority, 5.50% due 6/1/2018 (Federal Transit Program-Rail Systems; Insured: AGM) | A/A3 | 2,500,000 | 2,734,700 | |||||||
City of Chicago, 5.00% due 11/1/2015 (Water System Extensions & Improvements; Insured: AGM) | AA/A2 | 1,050,000 | 1,053,559 | |||||||
City of Chicago, 4.00% due 1/1/2018 (Wastewater Transmission System) | A-/Baa3 | 1,475,000 | 1,522,805 | |||||||
City of Chicago, 5.00% due 1/1/2020 (Project Fund; Insured: AGM) | AAA/A2 | 1,320,000 | 1,341,978 | |||||||
City of Chicago, 5.50% due 1/1/2020 (Wastewater Transmission System; Insured: BHAC) | AA+/Aa1 | 1,250,000 | 1,356,537 | |||||||
City of Chicago, 5.00% due 1/1/2021 (Riverwalk Expansion Project; Insured: AGM) | AA+/Ba1 | 1,410,000 | 1,517,611 | |||||||
City of Chicago, 5.00% due 1/1/2023 (Chicago Midway Airport) | A-/A3 | 6,215,000 | 7,253,029 | |||||||
City of Chicago, 5.00% due 1/1/2023 (Riverwalk Expansion Project; Insured: AGM) | AA+/Ba1 | 1,000,000 | 1,081,320 | |||||||
City of Chicago, 5.25% due 1/1/2023 (O’Hare International Airport; Insured: AGM) | AA/A2 | 2,000,000 | 2,023,320 | |||||||
City of Chicago, 5.00% due 1/1/2024 (Chicago Midway Airport) | A-/A3 | 16,060,000 | 18,626,709 | |||||||
City of Chicago Board of Education GO, 5.00% due 12/1/2018 (Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,035,460 | |||||||
City of Chicago Building Acquisition Certificates GO, 5.40% due 1/1/2018 (Parking Facility Improvements; Insured: AGM) | AA/A2 | 1,620,000 | 1,626,480 | |||||||
City of Chicago GO, 0% due 1/1/2016 (City Colleges; Insured: Natl-Re) | AA-/A3 | 2,670,000 | 2,642,953 | |||||||
City of Chicago GO, 5.44% due 1/1/2018 (Transportation Infrastructure Capital Projects; Insured: Natl-Re) | AA-/A3 | 3,050,000 | 3,113,989 | |||||||
City of Chicago School Reform Board of Trustees GO, 5.25% due 12/1/2017 (Insured: Natl-Re) | AA-/A3 | 4,100,000 | 4,250,183 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2019 (Various Municipal Capital Improvements; Insured: AGM) | AA/A2 | 1,000,000 | 1,100,230 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2020 (Various Municipal Capital Improvements; Insured: AGM) | AA/A2 | 785,000 | 867,190 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2021 (Various Municipal Capital Improvements; Insured: AGM) | AA/A2 | 1,640,000 | 1,785,993 | |||||||
City of Quincy, 5.00% due 11/15/2016 (Blessing Hospital) | A-/A3 | 1,750,000 | 1,824,025 | |||||||
City of Quincy, 5.00% due 11/15/2017 (Blessing Hospital) | A-/A3 | 500,000 | 535,615 | |||||||
City of Waukegan GO, 5.00% due 12/30/2019 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,935,000 | 2,178,791 | |||||||
City of Waukegan GO, 5.00% due 12/30/2020 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,000,000 | 1,135,990 | |||||||
City of Waukegan GO, 5.00% due 12/30/2021 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 2,100,000 | 2,404,626 | |||||||
City of Waukegan GO, 5.00% due 12/30/2022 (Lakehurst Redevelopment Project; Insured: AGM) | NR/A2 | 1,000,000 | 1,153,360 | |||||||
Community College District No. 516 GO, 4.50% due 12/15/2020 (Waubonsee Community College) | NR/Aa1 | 1,325,000 | 1,514,806 | |||||||
Community College District No. 516 GO, 5.00% due 12/15/2021 (Waubonsee Community College) | NR/Aa1 | 6,175,000 | 7,314,411 | |||||||
Community Consolidated School District No. 146 GO, 9.00% due 12/1/2016 (Tinley Park; Insured: Natl-Re) | NR/Aa2 | 2,500,000 | 2,628,175 | |||||||
Community Consolidated School District No. 158 GO, 0% due 1/1/2017 (McHenry and Kane Counties; Insured: Natl-Re) (ETM) | NR/A3 | 95,000 | 94,231 | |||||||
Community Consolidated School District No. 158 GO, 0% due 1/1/2017 (McHenry and Kane Counties; Insured: Natl-Re) | NR/A3 | 1,090,000 | 1,065,540 | |||||||
Community Consolidated School District No. 93 GO, 2.00% due 1/1/2017 (Village of Carol Stream) | AA+/NR | 370,000 | 376,268 | |||||||
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 | 1,941,824 | |||||||
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 | 2,235,721 | |||||||
Community High School District No. 127 GO, 7.375% due 2/1/2020 (Lake County-Grayslake School Bldg.; Insured: Syncora) | AAA/NR | 1,000,000 | 1,234,480 | |||||||
Community Unit School District No. 200 GO, 5.25% due 10/1/2023 (DuPage County Educational Facilities; Insured: FSA) | AA/Aa3 | 1,000,000 | 1,133,200 | |||||||
Community Unit School District No. 302 GO, 0% due 2/1/2021 (Kane & DeKalb Counties; Insured: Natl-Re) | NR/Aa3 | 3,165,000 | 2,749,435 |
Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Community Unit School District No. 428 GO, 0% due 1/1/2021 (DeKalb County) | AA-/Aa2 | $ | 6,140,000 | $ | 5,435,803 | |||||
Cook County Community College District No. 508 GO, 5.00% due 12/1/2020 (City Colleges of Chicago) | AA/NR | 720,000 | 823,270 | |||||||
Cook County Community College District No. 508 GO, 5.00% due 12/1/2021 (City Colleges of Chicago) | AA/NR | 1,000,000 | 1,155,470 | |||||||
Cook County Community College District No. 508 GO, 5.00% due 12/1/2022 (City Colleges of Chicago) | AA/NR | 1,250,000 | 1,457,687 | |||||||
Cook County Community College District No. 508 GO, 5.00% due 12/1/2023 (City Colleges of Chicago) | AA/NR | 1,250,000 | 1,467,462 | |||||||
Cook County Township High School District No. 227 GO, 5.00% due 12/1/2018 (Rich Township Educational Facilities; Insured: AGM) | NR/Aa3 | 190,000 | 199,865 | |||||||
County of Cook GO, 5.00% due 11/15/2015 (Capital Improvement Plan; Insured: Natl-Re) | AA/A2 | 2,000,000 | 2,009,140 | |||||||
County of Cook GO, 5.00% due 11/15/2019 (Capital Improvement Plan) | AA/A2 | 3,690,000 | 4,009,702 | |||||||
County of Cook GO, 4.00% due 11/15/2020 (Capital Improvement Plan) | AA/A2 | 925,000 | 963,203 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan) | AA/A2 | 2,000,000 | 2,176,640 | |||||||
County of Cook GO, 5.00% due 11/15/2020 (Capital Improvement Plan) | AA/A2 | 3,590,000 | 3,877,954 | |||||||
County of Cook GO, 4.00% due 11/15/2021 (Capital Improvement Plan) | AA/A2 | 2,000,000 | 2,069,880 | |||||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan) | AA/A2 | 2,105,000 | 2,294,176 | |||||||
County of Cook GO, 5.00% due 11/15/2021 (Capital Improvement Plan) | AA/A2 | 5,000,000 | 5,449,350 | |||||||
County of Cook GO, 4.00% due 11/15/2022 (Capital Improvement Plan) | AA/A2 | 1,000,000 | 1,030,870 | |||||||
County of Cook GO, 5.00% due 11/15/2022 (Capital Improvement Plan) | AA/A2 | 1,500,000 | 1,640,145 | |||||||
County of Winnebago GO, 3.00% due 12/30/2015 (Public Safety) | NR/Aa2 | 1,035,000 | 1,042,235 | |||||||
Forest Preserve District of Cook County GO, 5.00% due 11/15/2021 | AA/A2 | 1,500,000 | 1,690,380 | |||||||
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2020 | AAA/Aaa | 500,000 | 582,345 | |||||||
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2021 | AAA/Aaa | 1,425,000 | 1,683,538 | |||||||
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2022 | AAA/Aaa | 900,000 | 1,076,328 | |||||||
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2023 | AAA/Aaa | 1,300,000 | 1,563,978 | |||||||
Forest Preserve District of DuPage County GO, 5.00% due 11/1/2024 | AAA/Aaa | 5,000,000 | 6,066,050 | |||||||
Forest Preserve District of Kane County GO, 5.00% due 12/15/2015 (Insured: Natl-Re) | AA+/A3 | 2,780,000 | 2,807,578 | |||||||
Illinois Educational Facilities Authority, 4.75% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | AA-/NR | 3,030,000 | 3,164,290 | |||||||
Illinois Educational Facilities Authority, 5.00% due 3/1/2030 put 3/1/2017 (Art Institute of Chicago) | NR/A1 | 3,000,000 | 3,143,460 | |||||||
Illinois Educational Facilities Authority, 5.25% due 3/1/2034 put 3/1/2018 (Art Institute of Chicago) | NR/NR | 3,600,000 | 3,871,764 | |||||||
Illinois Educational Facilities Authority, 3.40% due 11/1/2036 put 11/1/2017 (Field Museum of Natural History) | A/NR | 1,300,000 | 1,341,379 | |||||||
Illinois Finance Authority, 5.00% due 10/1/2015 (DePaul University) (ETM) | NR/A2 | 1,000,000 | 1,000,140 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2015 (Central DuPage Health) | AA+/Aa2 | 5,000,000 | 5,019,450 | |||||||
Illinois Finance Authority, 5.25% due 12/1/2015 (Columbia College) | BBB+/NR | 1,620,000 | 1,631,275 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2016 (Advocate Health Care) | AA/Aa2 | 1,250,000 | 1,279,012 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2016 (Rush University Medical Center) | A+/A1 | 1,750,000 | 1,839,040 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2016 (Columbia College) | BBB+/NR | 1,710,000 | 1,779,871 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Rush University Medical Center; Insured: Natl-Re) (ETM) | AA-/Aaa | 1,000,000 | 1,086,260 | |||||||
Illinois Finance Authority, 5.00% due 12/1/2017 (Columbia College) | BBB+/NR | 1,395,000 | 1,483,108 | |||||||
Illinois Finance Authority, 5.50% due 11/1/2018 (Advocate Health Care) | AA/Aa2 | 1,000,000 | 1,101,390 | |||||||
Illinois Finance Authority, 5.25% due 5/1/2019 (Educational Advancement Fund, Inc.) | NR/Baa3 | 4,675,000 | 4,829,649 | |||||||
Illinois Finance Authority, 5.00% due 4/1/2020 (Advocate Health Care) | AA/Aa2 | 1,315,000 | 1,480,848 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2020 (Rush University Medical Center) | A+/A1 | 250,000 | 289,163 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2021 (Rush University Medical Center) | A+/A1 | 250,000 | 291,775 | |||||||
Illinois Finance Authority, 4.00% due 12/1/2021 (Trinity Health) | AA-/Aa3 | 1,000,000 | 1,104,900 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2022 (Rush University Medical Center) | A+/A1 | 250,000 | 293,830 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2023 (Advocate Health Care) | AA/Aa2 | 565,000 | 676,378 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2023 (Rush University Medical Center) | A+/A1 | 1,000,000 | 1,180,460 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2024 (Advocate Health Care) | AA/Aa2 | 800,000 | 961,232 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2024 (Rush University Medical Center) | A+/A1 | 500,000 | 595,570 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2025 (Rush University Medical Center) | A+/A1 | 1,655,000 | 1,961,638 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2030 put 1/15/2020 (Advocate Health Care) | AA/Aa2 | 1,250,000 | 1,430,750 | |||||||
Illinois Finance Authority, 4.30% due 6/1/2035 put 6/1/2016 (Peoples Gas Light & Coke Co.; Insured: AMBAC) | A/Aa3 | 2,350,000 | 2,410,865 | |||||||
Illinois State Toll Highway Authority, 5.00% due 1/1/2023 | AA-/Aa3 | 4,000,000 | 4,741,000 | |||||||
Illinois State Toll Highway Authority, 5.00% due 1/1/2024 | AA-/Aa3 | 6,500,000 | 7,785,115 | |||||||
Illinois State Toll Highway Authority, 5.00% due 1/1/2025 | AA-/Aa3 | 6,500,000 | 7,319,325 | |||||||
Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 0% due 12/1/2021 (Insured: AMBAC) (ETM) | NR/Aa3 | 765,000 | 688,638 | |||||||
Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 0% due 12/1/2021 (Insured: AMBAC) | NR/Aa3 | 1,235,000 | 1,039,994 | |||||||
b Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 5.00% due 1/1/2024 | AA/NR | 4,000,000 | 4,712,000 | |||||||
McHenry County Conservation District GO, 5.00% due 2/1/2021 | AA+/Aa1 | 2,325,000 | 2,719,343 | |||||||
a McHenry County Conservation District GO, 5.00% due 2/1/2025 | AA+/Aa1 | 2,000,000 | 2,427,400 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re) (ETM) | AA-/NR | 3,475,000 | 3,468,085 | |||||||
Metropolitan Pier & Exposition Authority, 0% due 6/15/2016 (McCormick Place Expansion; Insured: Natl-Re) | AA-/Baa1 | 8,245,000 | 8,191,490 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2020 (McCormick Place Expansion) | BBB+/NR | 4,000,000 | 4,487,560 | |||||||
Peoria Tazewell Etc. Counties Community College District No. 514 GO, 4.25% due 12/1/2015 (ETM) | NR/NR | 490,000 | 493,425 | |||||||
Peoria Tazewell Etc. Counties Community College District No. 514 GO, 4.25% due 12/1/2015 | AA+/Aa2 | 1,870,000 | 1,882,772 | |||||||
Railsplitter Tobacco Settlement Authority, 5.00% due 6/1/2019 | A/NR | 22,000,000 | 24,673,000 | |||||||
Railsplitter Tobacco Settlement Authority, 5.125% due 6/1/2019 | A/NR | 6,780,000 | 7,633,873 |
20 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
School District No. 122 GO, 0% due 1/1/2016 (Winnebago County-Harlem-Loves Park; Insured: AGM) | NR/A2 | $ | 2,000,000 | $ | 1,997,220 | |||||
School District No. 97 GO, 9.00% due 12/1/2018 (Village of Oak Park; Insured: Natl-Re) | NR/Aa2 | 4,000,000 | 4,927,800 | |||||||
Southwestern Illinois Development Authority, 5.125% due 8/15/2016 (Anderson Hospital) | BBB+/Baa3 | 320,000 | 330,534 | |||||||
State of Illinois, 5.00% due 6/15/2016 (Build Illinois Bond Retirement & Interest Fund) | AAA/NR | 3,500,000 | 3,615,850 | |||||||
Town of Cicero Cook County GO, 5.00% due 1/1/2019 (Cicero and Laramie Development Areas; Insured: AGM) | AA/A2 | 2,000,000 | 2,202,600 | |||||||
Town of Cicero Cook County GO, 5.00% due 12/1/2019 (Economic Redevelopment) | A+/NR | 1,070,000 | 1,187,711 | |||||||
Town of Cicero Cook County GO, 5.00% due 1/1/2020 (Cicero and Laramie Development Areas; Insured: AGM) | AA/A2 | 1,450,000 | 1,626,450 | |||||||
Town of Cicero Cook County GO, 5.00% due 1/1/2021 (Cicero and Laramie Development Areas; Insured: AGM) | AA/A2 | 1,250,000 | 1,418,700 | |||||||
Town of Cicero GO, 5.00% due 1/1/2018 (Cicero and Laramie Development Areas; Insured: AGM) | AA/A2 | 2,375,000 | 2,556,759 | |||||||
University of Illinois Board of Trustees COP, 5.00% due 10/1/2019 (Insured: AGM) | AA/Aa3 | 2,000,000 | 2,160,440 | |||||||
Village of Downers Grove GO, 3.00% due 1/1/2017 | AAA/NR | 970,000 | 995,676 | |||||||
Village of Melrose Park, 5.20% due 7/1/2018 (Insured: Natl-Re) | AA-/A3 | 1,190,000 | 1,203,828 | |||||||
Village of Tinley Park GO, 4.00% due 12/1/2022 | AA+/NR | 625,000 | 700,363 | |||||||
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2023 (Capital Improvements; Insured: BAM) | AA/Aa3 | 8,050,000 | 9,476,379 | |||||||
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2024 (Capital Improvements; Insured: BAM) | AA/Aa3 | 4,580,000 | 5,421,392 | |||||||
Will & Kendall Counties Plainfield Community Consolidated School District 202 GO, 5.00% due 1/1/2025 (Capital Improvements; Insured: BAM) | AA/Aa3 | 8,495,000 | 10,130,967 | |||||||
Will County Valley View Community Unit School District No. 365 GO, 0% due 11/1/2018 (Insured: AGM) | AA/Aa2 | 3,370,000 | 3,200,691 | |||||||
INDIANA — 3.33% | ||||||||||
Allen County Jail Building Corp., 5.00% due 10/1/2015 (Insured: Syncora) | NR/Aa2 | 760,000 | 760,099 | |||||||
Allen County Jail Building Corp., 5.00% due 10/1/2016 (Insured: Syncora) | NR/Aa2 | 1,520,000 | 1,553,166 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2016 pre-refunded 11/15/2015 | NR/A2 | 770,000 | 782,382 | |||||||
Avon Community School Building Corp., 5.00% due 7/15/2017 (Insured: AMBAC) (State Aid Withholding) | AA+/NR | 2,500,000 | 2,693,375 | |||||||
Board of Trustees for the Vincennes University, 4.00% due 6/1/2018 | NR/Aa3 | 1,000,000 | 1,076,530 | |||||||
Board of Trustees for the Vincennes University, 5.00% due 6/1/2020 | NR/Aa3 | 1,000,000 | 1,153,710 | |||||||
City of Carmel Redevelopment Authority, 5.00% due 8/1/2021 (Road and Intersection Improvements) | AA+/NR | 2,405,000 | 2,814,860 | |||||||
City of Carmel Redevelopment Authority, 5.00% due 8/1/2022 (Road and Intersection Improvements) | AA+/NR | 2,510,000 | 2,973,421 | |||||||
City of Carmel Redevelopment District COP, 5.75% due 7/15/2022 (CFP Energy Center, LLC Installment Purchase Agreement) | NR/NR | 3,375,000 | 3,766,162 | |||||||
City of Fort Wayne, 2.00% due 12/1/2015 (Waterworks Utility Improvements) | NR/Aa3 | 1,145,000 | 1,148,561 | |||||||
City of Fort Wayne, 2.00% due 12/1/2016 (Waterworks Utility Improvements) | NR/Aa3 | 1,160,000 | 1,179,326 | |||||||
City of Fort Wayne, 2.00% due 12/1/2017 (Waterworks Utility Improvements) | NR/Aa3 | 1,175,000 | 1,200,439 | |||||||
City of Whiting, 5.00% due 1/1/2016 (BP Products North America, Inc.) | A/A2 | 5,375,000 | 5,436,974 | |||||||
Clay Multiple School Building Corp., 5.00% due 7/15/2016 (State Aid Withholding) | AA+/NR | 1,295,000 | 1,337,100 | |||||||
Clay Multiple School Building Corp., 5.00% due 1/15/2017 (State Aid Withholding) | AA+/NR | 1,000,000 | 1,054,880 | |||||||
Crown Point Multi-School Building Corp., 0% due 1/15/2016 (Crown Point Community School Corp.; Insured: Natl-Re) (State Aid Withholding) | AA+/A3 | 5,685,000 | 5,680,907 | |||||||
Duneland School Building Corp., 0% due 2/1/2020 (State Aid Withholding) | A/NR | 2,970,000 | 2,682,118 | |||||||
Duneland School Building Corp., 0% due 8/1/2020 (State Aid Withholding) | A/NR | 3,470,000 | 3,083,754 | |||||||
Duneland School Building Corp., 0% due 2/1/2021 (State Aid Withholding) | A/NR | 2,770,000 | 2,417,933 | |||||||
Duneland School Building Corp., 0% due 8/1/2021 (State Aid Withholding) | A/NR | 3,270,000 | 2,805,398 | |||||||
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2021 (Educational Facilities; Insured: State Intercept) | AA+/NR | 1,230,000 | 1,443,922 | |||||||
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2022 (Educational Facilities; Insured: State Intercept) | AA+/NR | 885,000 | 1,047,840 | |||||||
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 7/15/2023 (Educational Facilities; Insured: State Intercept) | AA+/NR | 570,000 | 679,030 | |||||||
Hamilton Southeastern Consolidated School Building Corp., 5.00% due 1/15/2024 (Educational Facilities; Insured: State Intercept) | AA+/NR | 525,000 | 628,656 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2016 (Special Gas Program) | NR/A3 | 1,545,000 | 1,614,525 | |||||||
Indiana Bond Bank, 5.00% due 10/15/2017 (Special Gas Program) | NR/A3 | 5,000,000 | 5,370,450 | |||||||
Indiana Bond Bank, 5.00% due 8/1/2021 (Columbus Learning Center) | AA/NR | 1,300,000 | 1,511,081 | |||||||
Indiana Finance Authority, 4.90% due 1/1/2016 (Indiana Power & Light Co.) | BBB+/A2 | 11,650,000 | 11,780,480 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2016 (Parkview Health Systems) | A+/A1 | 3,090,000 | 3,173,801 | |||||||
Indiana Finance Authority, 5.00% due 7/1/2016 (Forensic & Health Science; Insured: Natl-Re) (ETM) | AA+/Aa1 | 1,030,000 | 1,066,925 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2016 (Marian University Health Sciences) | BBB-/NR | 1,500,000 | 1,528,680 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2017 (Parkview Health Systems) | A+/A1 | 1,000,000 | 1,062,570 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2017 (Marian University Health Sciences) | BBB-/NR | 1,940,000 | 2,010,985 | |||||||
Indiana Finance Authority, 4.00% due 5/1/2018 (Community Health Network) | A/A2 | 2,820,000 | 3,024,958 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Wabash Correctional Facilities) | AA+/Aa1 | 1,000,000 | 1,116,840 | |||||||
Indiana Finance Authority, 5.25% due 7/1/2018 (Rockville Correctional Facilities) (ETM) | AA+/Aa1 | 2,150,000 | 2,405,570 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2018 (Marian University Health Sciences) | BBB-/NR | 1,790,000 | 1,879,196 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Indianapolis Airport) | AA+/Aa2 | 2,750,000 | 3,073,565 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2018 (Sisters of St. Francis Health Services, Inc.) | NR/Aa3 | 1,250,000 | 1,393,987 |
Annual Report 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Indiana Finance Authority, 5.00% due 5/1/2019 (Community Health Network) | A/A2 | $ | 1,790,000 | $ | 2,006,160 | |||||
Indiana Finance Authority, 5.00% due 9/15/2019 (Marian University Health Sciences) | BBB-/NR | 1,250,000 | 1,324,900 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2020 (Indiana University Health System) | AA-/Aa3 | 5,000,000 | 5,760,700 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2020 (Community Health Network) | A/A2 | 860,000 | 980,624 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2020 (Marian University Health Sciences) | BBB-/NR | 2,245,000 | 2,390,723 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2021 (Indiana University Health System) | AA-/Aa3 | 9,880,000 | 11,543,002 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2021 (Community Health Network) | A/A2 | 2,250,000 | 2,596,972 | |||||||
Indiana Finance Authority, 5.00% due 9/15/2021 (Marian University Health Sciences) | BBB-/NR | 2,320,000 | 2,468,434 | |||||||
Indiana Finance Authority, 5.00% due 10/1/2021 (CWA Authority, Inc. Wastewater System Project) | AA/NR | 500,000 | 590,105 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2022 (Indiana University Health System) | AA-/Aa3 | 3,240,000 | 3,751,985 | |||||||
Indiana Finance Authority, 5.00% due 5/1/2022 (Parkview Regional Medical Center) | A+/A1 | 1,135,000 | 1,328,359 | |||||||
a Indiana Finance Authority, 5.00% due 5/1/2022 (Community Health Network) | A/A2 | 1,230,000 | 1,429,727 | |||||||
Indiana Finance Authority, 5.00% due 10/1/2023 (CWA Authority, Inc. Wastewater System Project) | AA/NR | 1,000,000 | 1,202,400 | |||||||
Indiana Finance Authority, 5.00% due 10/1/2024 (CWA Authority, Inc. Wastewater System Project) | AA/NR | 500,000 | 607,510 | |||||||
Indiana Finance Authority, 0.01% due 2/1/2037 put 10/1/2015 (Stadium Project; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 48,810,000 | 48,810,000 | |||||||
Indiana Finance Authority, 0.01% due 2/1/2037 put 10/1/2015 (Stadium Project; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 23,090,000 | 23,090,000 | |||||||
Indiana HFFA, 5.00% due 10/1/2027 put 6/1/2017 (Ascension Health) | NR/Aa3 | 7,100,000 | 7,610,916 | |||||||
Indianapolis Public Schools Multi-School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re) | AA/A3 | 5,000,000 | 5,182,000 | |||||||
Knox Middle School Building Corp., 0% due 1/15/2020 (Insured: Natl-Re) (State Aid Withholding) | AA-/A3 | 1,295,000 | 1,171,107 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2019 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,000,000 | 1,086,450 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2019 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,680,000 | 1,907,371 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,345,000 | 1,476,649 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2020 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,170,000 | 1,351,607 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2021 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,250,000 | 1,377,762 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2021 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,250,000 | 1,461,000 | |||||||
Lake Central Multi-District School Building Corp., 4.00% due 1/15/2022 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,455,000 | 1,606,640 | |||||||
Lake Central Multi-District School Building Corp., 5.00% due 7/15/2022 (Educational Facilities) (State Aid Withholding) | AA+/A2 | 1,000,000 | 1,182,610 | |||||||
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 | 2,182,194 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2016 (146th Street Extension A) (ETM) | AA/NR | 1,660,000 | 1,701,500 | |||||||
Perry Township Multischool Building Corp., 4.00% due 1/15/2018 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,066,650 | |||||||
Perry Township Multischool Building Corp., 3.00% due 1/10/2019 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,055,190 | |||||||
Perry Township Multischool Building Corp., 4.00% due 7/10/2019 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,096,300 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2020 (Educational Facilities) (State Aid Withholding) | AA+/NR | 2,090,000 | 2,404,587 | |||||||
Perry Township Multischool Building Corp., 5.00% due 7/10/2021 (Educational Facilities) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,170,400 | |||||||
Pike Township Multischool Building Corp., 4.00% due 1/15/2017 (Metropolitan School District of Pike Township) (State Aid Withholding) | AA+/NR | 1,080,000 | 1,128,190 | |||||||
South Bend Community School Building Corp., 5.00% due 7/15/2016 (Insured: Natl-Re) (State Aid Withholding) | AA+/A3 | 1,785,000 | 1,851,134 | |||||||
Zionsville Community Schools Building Corp., 5.00% due 7/15/2019 (Insured: AGM) (State Aid Withholding) | AA/A2 | 1,100,000 | 1,258,532 | |||||||
IOWA — 0.91% | ||||||||||
Des Moines Independent Community School District, 4.00% due 6/1/2019 (School Infrastructure; Insured: AGM) | AA/A2 | 3,870,000 | 4,244,152 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2020 (School Infrastructure; Insured: AGM) | AA/A2 | 3,990,000 | 4,421,359 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2021 (School Infrastructure; Insured: AGM) | AA/A2 | 4,125,000 | 4,536,964 | |||||||
Des Moines Independent Community School District, 4.00% due 6/1/2022 (School Infrastructure; Insured: AGM) | AA/A2 | 2,140,000 | 2,340,368 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,626,800 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2016 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,500,000 | 1,556,835 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,600,000 | 1,690,336 | |||||||
Iowa Finance Authority, 5.00% due 8/15/2017 (Iowa Health System; Insured: AGM) | NR/Aa3 | 990,000 | 1,064,626 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2018 (Iowa Health System; Insured: AGM) | NR/Aa3 | 1,405,000 | 1,533,262 | |||||||
Iowa Finance Authority, 5.00% due 7/1/2022 (Genesis Health System) | NR/A1 | 1,735,000 | 2,021,119 | |||||||
Iowa Finance Authority, 5.00% due 7/1/2023 (Genesis Health System) | NR/A1 | 2,000,000 | 2,351,140 | |||||||
Iowa Finance Authority, 5.00% due 7/1/2024 (Genesis Health System) | NR/A1 | 2,350,000 | 2,734,671 | |||||||
Iowa Finance Authority, 0.01% due 2/15/2035 put 10/1/2015 (Iowa Health System; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | NR/Aa1 | 27,185,000 | 27,185,000 | |||||||
Iowa Finance Authority, 0.01% due 2/15/2035 put 10/1/2015 (Iowa Health System; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | NR/Aa1 | 8,820,000 | 8,820,000 | |||||||
KANSAS — 0.96% | ||||||||||
Johnson County USD No. 512 GO, 4.00% due 10/1/2016 (Shawnee Mission School District) | NR/Aaa | 6,455,000 | 6,694,932 | |||||||
Johnson County USD No. 512 GO, 4.00% due 10/1/2017 (Shawnee Mission School District) | NR/Aaa | 6,700,000 | 7,143,071 | |||||||
Kansas DFA, 2.75% due 11/1/2015 (State of Kansas Projects) | AA-/Aa3 | 1,000,000 | 1,002,270 | |||||||
Kansas DFA, 5.00% due 11/1/2015 (State Capitol, School of Pharmacy and Wildlife & Parks Projects) | AA-/Aa3 | 2,605,000 | 2,615,967 | |||||||
Kansas DFA, 5.00% due 4/1/2020 (National Bio and Agro-Defense Facility) | AA-/Aa3 | 6,980,000 | 8,036,632 | |||||||
Kansas DFA, 5.00% due 12/1/2020 (New Jobs Training; Insured: BAM) | AA/NR | 1,500,000 | 1,701,450 |
22 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Kansas DFA, 5.00% due 4/1/2021 (National Bio and Agro-Defense Facility) | AA-/Aa3 | $ | 5,075,000 | $ | 5,918,008 | |||||
Kansas DFA, 5.00% due 4/1/2022 (National Bio and Agro-Defense Facility) | AA-/Aa3 | 2,730,000 | 3,218,479 | |||||||
Kansas DFA, 5.00% due 4/1/2023 (National Bio and Agro-Defense Facility) | AA-/Aa3 | 8,110,000 | 9,632,734 | |||||||
Kansas DFA, 5.00% due 4/1/2024 (National Bio and Agro-Defense Facility) | AA-/Aa3 | 9,275,000 | 11,055,058 | |||||||
Kansas DFA, 5.00% due 4/1/2025 (National Bio and Agro-Defense Facility) | AA-/Aa3 | 6,895,000 | 8,154,372 | |||||||
Wyandotte County-Kansas City Unified Government, 5.00% due 9/1/2022 (Utility Systems Improvement) | A+/A3 | 2,000,000 | 2,384,440 | |||||||
Wyandotte County-Kansas City Unified Government, 5.00% due 9/1/2023 (Utility Systems Improvement) | A+/A3 | 1,000,000 | 1,200,310 | |||||||
Wyandotte County-Kansas City Unified Government, 5.00% due 9/1/2024 (Utility Systems Improvement) | A+/A3 | 600,000 | 728,508 | |||||||
KENTUCKY — 0.39% | ||||||||||
Jefferson County School District Finance Corp., 5.25% due 1/1/2016 (Insured: AGM) | AA/Aa2 | 2,145,000 | 2,172,520 | |||||||
Kentucky Economic DFA, 0% due 10/1/2019 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 5,000,000 | 4,542,800 | |||||||
Kentucky Economic DFA, 0% due 10/1/2020 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 9,600,000 | 8,454,912 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 2,885,000 | 2,451,644 | |||||||
Kentucky Economic DFA, 0% due 10/1/2023 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 4,195,000 | 3,280,197 | |||||||
Lexington-Fayette Urban County Government Public Facilities Corp., 5.00% due 6/1/2022 (Eastern State Hospital) | A/Aa3 | 6,165,000 | 7,181,547 | |||||||
LOUISIANA — 2.75% | ||||||||||
City of Bossier, 4.00% due 12/1/2018 (Public Improvements; Insured: AGM) | AA/Aa3 | 2,020,000 | 2,202,689 | |||||||
City of Bossier, 4.50% due 12/1/2021 (Public Improvements; Insured: AGM) | AA/Aa3 | 2,240,000 | 2,575,709 | |||||||
City of Lafayette, 4.00% due 11/1/2016 (Utilities System Improvements) | AA-/A1 | 1,395,000 | 1,449,726 | |||||||
City of Lafayette, 5.00% due 11/1/2019 (Utilities System Improvements) | AA-/A1 | 1,000,000 | 1,148,180 | |||||||
City of New Orleans GO, 5.00% due 10/1/2016 (Audubon Park Aquarium) | A/NR | 2,380,000 | 2,477,556 | |||||||
City of New Orleans GO, 4.00% due 10/1/2018 (Audubon Park Aquarium; Insured: AGM) | AA/NR | 1,110,000 | 1,186,601 | |||||||
City of New Orleans GO, 5.00% due 12/1/2019 (Public Improvements; Insured: AGM) | A-/A3 | 3,080,000 | 3,504,208 | |||||||
City of New Orleans GO, 5.00% due 12/1/2020 (Public Improvements; Insured: AGM) | A-/A3 | 3,250,000 | 3,735,062 | |||||||
City of New Orleans GO, 5.00% due 12/1/2021 (Public Improvements; Insured: AGM) | A-/A3 | 5,700,000 | 6,596,838 | |||||||
City of Shreveport, 5.00% due 12/1/2020 (Water and Sewer System; Insured: BAM) | AA/A3 | 7,770,000 | 8,950,341 | |||||||
City of Shreveport, 5.00% due 12/1/2021 (Water and Sewer System; Insured: BAM) | AA/A3 | 8,185,000 | 9,533,479 | |||||||
City of Shreveport, 5.00% due 12/1/2022 (Water and Sewer System; Insured: BAM) | AA/A3 | 6,460,000 | 7,593,665 | |||||||
City of Shreveport, 5.00% due 12/1/2023 (Water and Sewer System; Insured: BAM) | AA/A3 | 4,245,000 | 5,017,165 | |||||||
City of Shreveport, 5.00% due 12/1/2024 (Water and Sewer System; Insured: BAM) | AA/A3 | 4,490,000 | 5,358,546 | |||||||
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 | 2,170,871 | |||||||
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 | 1,682,181 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2018 pre-refunded 2/1/2016 (Wastewater System Improvements; Insured: AGM) | AA/Aa3 | 3,000,000 | 3,048,690 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2023 (Wastewater System Improvements) | AA-/Aa3 | 450,000 | 538,983 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2024 (Wastewater System Improvements) | AA-/Aa3 | 1,000,000 | 1,210,670 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2025 (Wastewater System Improvements) | AA-/Aa3 | 700,000 | 852,201 | |||||||
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2020 (Convention Center) | NR/A1 | 1,000,000 | 1,157,260 | |||||||
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2021 (Convention Center) | NR/A1 | 780,000 | 914,035 | |||||||
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2022 (Convention Center) | NR/A1 | 1,000,000 | 1,186,790 | |||||||
Ernest N. Morial - New Orleans Exhibition Hall Authority, 5.00% due 7/15/2023 (Convention Center) | NR/A1 | 1,000,000 | 1,172,710 | |||||||
Jefferson Sales Tax District Parish of Jefferson, 5.00% due 12/1/2018 (Sewerage Capital Project; Insured: AGM) | AA/A2 | 2,000,000 | 2,250,360 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2020 (Rodemacher Unit No. 2 Power) | A-/A3 | 1,000,000 | 1,143,650 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2021 (Rodemacher Unit No. 2 Power) | A-/A3 | 1,000,000 | 1,158,590 | |||||||
Louisiana Energy & Power Authority, 5.00% due 6/1/2022 (LEPA Unit No. 1 Power; Insured: AGM) | AA/A2 | 1,000,000 | 1,194,530 | |||||||
Louisiana Energy & Power Authority, 5.00% due 1/1/2023 (Rodemacher Unit No. 2 Power) | A-/A3 | 1,415,000 | 1,661,592 | |||||||
Louisiana Energy & Power Authority, 5.00% due 6/1/2023 (LEPA Unit No. 1 Power; Insured: AGM) | AA/A2 | 750,000 | 902,977 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2016 (Independence Stadium) | A/NR | 1,000,000 | 1,017,420 | |||||||
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 | 1,029,700 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2017 (Independence Stadium) | A/NR | 1,265,000 | 1,330,502 | |||||||
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 | 1,051,170 | |||||||
Louisiana Local Govt Environmental Facilities & Community Development Authority, 5.00% due 3/1/2018 (Independence Stadium) | A/NR | 1,000,000 | 1,082,450 | |||||||
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 | 1,085,600 | |||||||
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 | 2,882,852 | |||||||
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 | 1,101,780 | |||||||
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 | 1,445,572 |
Annual Report 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
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 | $ | 1,399,668 | |||||
Louisiana Offshore Terminal Authority, 5.00% due 10/1/2018 (Deepwater Oil Port-Loop LLC) | BBB/NR | 22,140,000 | 24,300,421 | |||||||
Louisiana Offshore Terminal Authority, 2.20% due 10/1/2040 put 10/1/2017 (Deepwater Oil Port-Loop LLC) | BBB/NR | 6,000,000 | 6,097,440 | |||||||
Louisiana Public Facilities Authority, 2.875% due 11/1/2015 (Entergy Gulf States) | A-/A2 | 2,500,000 | 2,505,525 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) (ETM) | NR/NR | 275,000 | 283,214 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2016 (Ochsner Clinic Foundation) | NR/Baa1 | 725,000 | 743,843 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) (ETM) | NR/NR | 285,000 | 305,483 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2017 (Ochsner Clinic Foundation) | NR/Baa1 | 750,000 | 796,170 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 pre-refunded 5/15/2017 (Ochsner Clinic Foundation) | NR/NR | 550,000 | 588,132 | |||||||
Louisiana Public Facilities Authority, 5.00% due 5/15/2018 (Ochsner Clinic Foundation) | NR/Baa1 | 1,450,000 | 1,542,829 | |||||||
Louisiana Public Facilities Authority, 5.00% due 6/1/2022 (Hurricane Recovery Program) | NR/Aa3 | 2,945,000 | 3,473,392 | |||||||
Louisiana Public Facilities Authority, 5.00% due 6/1/2023 (Hurricane Recovery Program) | NR/Aa3 | 5,000,000 | 5,939,650 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2016 (State Capitol) | NR/Aa3 | 1,000,000 | 1,026,900 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2018 (State Capitol) | NR/Aa3 | 2,500,000 | 2,752,425 | |||||||
Louisiana State Office Facilities Corp., 5.00% due 5/1/2021 (State Capitol) | NR/Aa3 | 4,595,000 | 5,194,096 | |||||||
Parish of LaFourche, 5.00% due 1/1/2019 (Roads, Highways & Bridges) | AA-/NR | 595,000 | 668,125 | |||||||
Parish of LaFourche, 5.00% due 1/1/2022 (Roads, Highways & Bridges) | AA-/NR | 415,000 | 488,891 | |||||||
Parish of LaFourche, 5.00% due 1/1/2023 (Roads, Highways & Bridges) | AA-/NR | 515,000 | 610,404 | |||||||
Parish of Orleans School District GO, 5.00% due 9/1/2016 (Insured: AGM) | AA/Aa3 | 4,500,000 | 4,676,400 | |||||||
Parish of Orleans School District GO, 5.00% due 9/1/2018 (Insured: AGM) | AA/Aa3 | 4,800,000 | 5,302,656 | |||||||
Parish of Orleans School District GO, 5.00% due 9/1/2020 (Insured: AGM) | AA/Aa3 | 3,840,000 | 4,402,253 | |||||||
Parish of Plaquemines Law Enforcement District GO, 5.00% due 9/1/2019 | A+/NR | 1,005,000 | 1,097,832 | |||||||
Parish of Plaquemines Law Enforcement District GO, 5.00% due 9/1/2021 | A+/NR | 1,115,000 | 1,206,140 | |||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) | BBB/Baa2 | 14,195,000 | 15,029,240 | |||||||
Parish of St. Tammany Sales Tax District No. 3, 5.00% due 6/1/2017 pre-refunded 6/1/2016 (Public Works, Improvements and Facilities; Insured: CIFG) | AA/NR | 1,405,000 | 1,463,996 | |||||||
Parish of Terrebonne Hospital Service District No. 1, 4.00% due 4/1/2017 (Terrebonne General Medical Center) | A+/A2 | 1,000,000 | 1,037,620 | |||||||
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2018 (Terrebonne General Medical Center) | A+/A2 | 1,000,000 | 1,078,740 | |||||||
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2019 (Terrebonne General Medical Center) | A+/A2 | 1,810,000 | 1,987,995 | |||||||
Parish of Terrebonne Hospital Service District No. 1, 5.00% due 4/1/2021 (Terrebonne General Medical Center) | A+/A2 | 2,320,000 | 2,612,993 | |||||||
Regional Transit Authority, 0% due 12/1/2015 (Streetcar Rail Lines; Insured: Natl-Re) | AA-/NR | 1,490,000 | 1,488,927 | |||||||
Regional Transit Authority, 5.00% due 12/1/2017 (Streetcar Rail Lines; Insured: AGM) | AA/Aa3 | 755,000 | 819,832 | |||||||
Regional Transit Authority, 5.00% due 12/1/2019 (Streetcar Rail Lines; Insured: AGM) | AA/Aa3 | 1,000,000 | 1,143,820 | |||||||
Regional Transit Authority, 5.00% due 12/1/2021 (Streetcar Rail Lines; Insured: AGM) | AA/Aa3 | 1,000,000 | 1,144,270 | |||||||
Regional Transit Authority, 5.00% due 12/1/2022 (Streetcar Rail Lines; Insured: AGM) | AA/Aa3 | 1,110,000 | 1,268,286 | |||||||
MAINE — 0.13% | ||||||||||
Maine Finance Authority, 3.80% due 11/1/2015 (Waste Management, Inc.) | A-/NR | 3,440,000 | 3,450,458 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2020 (Augusta & Machias Courthouses) | AA-/Aa3 | 1,245,000 | 1,447,076 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2021 (Augusta & Machias Courthouses) | AA-/Aa3 | 1,315,000 | 1,548,294 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2022 (Augusta & Machias Courthouses) | AA-/Aa3 | 1,175,000 | 1,399,836 | |||||||
Maine Governmental Facilities Authority, 5.00% due 10/1/2023 (Augusta & Machias Courthouses) | AA-/Aa3 | 1,445,000 | 1,735,127 | |||||||
MARYLAND — 0.71% | ||||||||||
County of Montgomery GO, 0.01% due 6/1/2026 put 10/1/2015 (Consolidated Public Improvements; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AAA/Aaa | 9,885,000 | 9,885,000 | |||||||
County of Montgomery GO, 0.01% due 6/1/2026 put 10/1/2015 (Consolidated Public Improvements; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AAA/Aaa | 3,880,000 | 3,880,000 | |||||||
Maryland Economic Development Corp., 5.00% due 6/1/2021 (Public Health Laboratory) | AA+/Aa1 | 8,725,000 | 10,322,810 | |||||||
Maryland Economic Development Corp., 4.00% due 6/1/2022 (Public Health Laboratory) | AA+/Aa1 | 8,245,000 | 9,157,639 | |||||||
Montgomery County GO, 4.00% due 11/1/2015 (Consolidated Public Improvements) | AAA/Aaa | 5,160,000 | 5,177,389 | |||||||
Prince George’s County GO, 5.00% due 9/15/2017 (Consolidated Public Improvements) | AAA/Aaa | 12,340,000 | 13,403,091 | |||||||
MASSACHUSETTS — 1.04% | ||||||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2017 | A/NR | 2,540,000 | 2,724,353 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2018 | A/NR | 2,825,000 | 3,118,009 | |||||||
a Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2019 | A/NR | 2,765,000 | 3,127,602 | |||||||
Berkshire Wind Power Cooperative Corp., 5.00% due 7/1/2020 | A/NR | 2,965,000 | 3,371,946 | |||||||
City of Northampton GO, 5.125% due 10/15/2016 (Insured: Natl-Re) | NR/Aa2 | 1,585,000 | 1,591,562 | |||||||
Commonwealth of Massachusetts, 5.00% due 6/15/2016 (Accelerated Bridge Program) | AAA/Aa1 | 6,390,000 | 6,608,346 | |||||||
Massachusetts Bay Transportation Authority, 0.02% due 7/1/2026 put 10/1/2015 (Capital Investment Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 500,000 | 500,000 | |||||||
Massachusetts Development Finance Agency, 3.45% due 12/1/2015 (Carleton-Willard Village) | A-/NR | 590,000 | 591,617 | |||||||
Massachusetts Development Finance Agency, 3.00% due 7/1/2018 (Mount Auburn Hospital Health Records System) | A-/A3 | 1,000,000 | 1,047,200 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2022 (Mount Auburn Hospital Health Records System) | A-/A3 | 2,750,000 | 3,184,885 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2023 (Mount Auburn Hospital Health Records System) | A-/A3 | 4,000,000 | 4,656,320 |
24 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Massachusetts Development Finance Agency, 5.25% due 10/1/2023 (Simmons College) | BBB+/Baa1 | $ | 595,000 | $ | 691,342 | |||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2024 (Mount Auburn Hospital Health Records System) | A-/A3 | 6,050,000 | 7,076,685 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2025 (Mount Auburn Hospital Health Records System) | A-/A3 | 2,465,000 | 2,898,495 | |||||||
Massachusetts Development Finance Agency, 5.75% due 12/1/2042 pre-refunded 5/1/2019 (Dominion Energy Brayton Point Station Units 1 and 2) | BBB+/Baa2 | 2,000,000 | 2,332,040 | |||||||
Massachusetts Educational Financing Authority, 5.25% due 1/1/2016 | AA/NR | 2,450,000 | 2,480,037 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2017 | AA/NR | 1,800,000 | 1,905,228 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2018 | AA/NR | 11,170,000 | 12,252,485 | |||||||
Massachusetts Educational Financing Authority, 5.75% due 1/1/2020 | AA/NR | 7,500,000 | 8,704,050 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 7/1/2018 (UMass Memorial Health Care) | BBB+/Ba1 | 4,290,000 | 4,612,565 | |||||||
Massachusetts Health & Educational Facilities Authority, 5.00% due 10/1/2019 (Berkshire Health Systems; Insured: AGM) | AA/A3 | 1,750,000 | 1,756,090 | |||||||
Massachusetts Health & Educational Facilities Authority, 0.01% due 7/1/2027 put 10/7/2015 (Partners HealthCare System; SPA: JPMorgan Chase Bank, N.A.) (weekly demand notes) | AA/Aa3 | 500,000 | 500,000 | |||||||
MICHIGAN — 3.49% | ||||||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2022 (Educational Facilities and Equipment) | AA-/Aa3 | 425,000 | 503,961 | |||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2023 (Educational Facilities and Equipment) | AA-/Aa3 | 305,000 | 364,274 | |||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2024 (Educational Facilities and Equipment) | AA-/Aa3 | 515,000 | 618,582 | |||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2025 (Educational Facilities and Equipment) | AA-/Aa3 | 625,000 | 742,369 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2017 (Insured: AGM/Q-SBLF) | AA/NR | 1,305,000 | 1,372,951 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2018 (Insured: AGM/Q-SBLF) | AA/NR | 1,935,000 | 2,086,278 | |||||||
Byron Center Michigan Public Schools, 4.00% due 5/1/2020 (Insured: AGM/Q-SBLF) | AA/NR | 1,000,000 | 1,117,620 | |||||||
City of Battle Creek County of Calhoun GO, 5.00% due 5/1/2020 (Downtown Development; Insured: AMBAC) | AA/A1 | 3,200,000 | 3,502,528 | |||||||
City of Grand Haven, 5.50% due 7/1/2016 (Electric System; Insured: Natl-Re) | AA-/A3 | 3,890,000 | 3,999,970 | |||||||
County of Genesee GO, 3.00% due 11/1/2016 (Water Supply System; Insured: BAM) | AA/A2 | 615,000 | 629,686 | |||||||
County of Genesee GO, 5.00% due 11/1/2022 (Water Supply System; Insured: BAM) | AA/A2 | 600,000 | 697,044 | |||||||
Kalamazoo Hospital Finance Authority, 4.00% due 5/15/2016 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,850,000 | 1,886,797 | |||||||
Kalamazoo Hospital Finance Authority, 4.50% due 5/15/2017 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,830,000 | 1,932,553 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) | AA/A2 | 1,520,000 | 1,662,728 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2018 (Bronson Methodist Hospital; Insured: AGM) | AA/A2 | 2,500,000 | 2,734,750 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2020 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 1,735,000 | 1,982,237 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2021 (Bronson Methodist Hospital; Insured: AGM) | NR/A2 | 2,350,000 | 2,660,035 | |||||||
Livingston County GO, 4.00% due 5/1/2018 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,074,980 | |||||||
Livingston County GO, 4.00% due 5/1/2020 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,107,750 | |||||||
Livingston County GO, 4.00% due 5/1/2021 (Howell Public Schools; Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,116,070 | |||||||
Livonia Public Schools School District GO, 4.00% due 5/1/2020 (School Building & Site) | A/A2 | 800,000 | 871,248 | |||||||
Livonia Public Schools School District GO, 5.00% due 5/1/2021 (School Building & Site) | A/A2 | 900,000 | 1,039,653 | |||||||
Michigan Finance Authority, 4.00% due 8/1/2018 (Beaumont Health Credit Group) | A/A1 | 500,000 | 539,445 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2019 (Ypsilanti Community Schools) | A+/NR | 1,150,000 | 1,283,665 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2020 (Ypsilanti Community Schools) | A+/NR | 1,220,000 | 1,382,455 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2021 (Ypsilanti Community Schools) | A+/NR | 1,295,000 | 1,482,115 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2022 (Ypsilanti Community Schools) | A+/NR | 1,375,000 | 1,586,241 | |||||||
Michigan Finance Authority, 5.00% due 12/1/2022 (Trinity Health Credit Group) | AA-/Aa3 | 1,000,000 | 1,190,090 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2023 (Beaumont Health Credit Group) | A/A1 | 3,800,000 | 4,441,934 | |||||||
Michigan Finance Authority, 5.00% due 12/1/2023 (Trinity Health Credit Group) | AA-/Aa3 | 2,500,000 | 3,011,900 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2024 (Beaumont Health Credit Group) | A/A1 | 7,000,000 | 8,223,810 | |||||||
Michigan Finance Authority, 5.00% due 12/1/2024 (Trinity Health Credit Group) | AA-/Aa3 | 1,000,000 | 1,214,120 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2025 (Beaumont Health Credit Group) | A/A1 | 8,000,000 | 9,280,160 | |||||||
Michigan Municipal Bond Authority, 5.00% due 10/1/2020 (Clean Water Fund) | AAA/Aaa | 35,000 | 35,141 | |||||||
Michigan State Building Authority, 5.50% due 10/15/2017 | A+/Aa2 | 3,625,000 | 3,969,447 | |||||||
Michigan State Building Authority, 5.50% due 10/15/2017 pre-refunded 10/15/2017 (ETM) | NR/NR | 525,000 | 576,340 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2015 (Henry Ford Health System) | A-/A3 | 2,300,000 | 2,312,604 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2016 (Oakwood Hospital) | A/A1 | 1,205,000 | 1,246,127 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2016 (Ascension Health) | AA+/Aa2 | 3,330,000 | 3,496,733 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2017 (Sparrow Memorial Hospital) | A+/A1 | 1,500,000 | 1,624,920 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2017 (Henry Ford Health System) | A-/A3 | 1,530,000 | 1,644,903 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2018 pre-refunded 7/15/2017 (Oakwood Hospital) | A/A1 | 1,000,000 | 1,078,490 | |||||||
Michigan State Hospital Finance Authority, 5.50% due 11/15/2018 (Henry Ford Health System) | A-/A3 | 3,500,000 | 3,856,650 | |||||||
Michigan State Hospital Finance Authority, 6.00% due 12/1/2018 (Trinity Health) | AA-/Aa3 | 2,000,000 | 2,300,760 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2019 pre-refunded 7/15/2017 (Oakwood Hospital) | A/A1 | 2,000,000 | 2,156,980 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 10/1/2026 put 6/1/2017 (Ascension Health) | NR/Aa3 | 12,140,000 | 13,003,033 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 pre-refunded 12/1/2015 (Trinity Health) | NR/NR | 8,845,000 | 8,928,851 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 12/1/2034 (Trinity Health) | AA-/Aa3 | 955,000 | 963,939 | |||||||
Michigan State Housing Development Authority, 5.00% due 4/1/2016 (Multi-Family Mtg Loan Financing) | AA/NR | 290,000 | 291,346 | |||||||
Michigan State Housing Development Authority, 4.00% due 10/1/2016 (Multi-Family Mtg Loan Financing) | AA/NR | 1,715,000 | 1,772,332 | |||||||
Michigan Strategic Fund, 5.00% due 10/15/2017 (Michigan House of Representatives Facilities; Insured: AGM) | AA/Aa3 | 2,000,000 | 2,167,020 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2019 (Michigan House of Representatives Facilities; Insured: AGM) | AA/Aa3 | 2,550,000 | 2,848,452 |
Annual Report 25
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2020 (Michigan House of Representatives Facilities; Insured: AGM) | AA/Aa3 | $ | 4,025,000 | $ | 4,488,438 | |||||
Michigan Strategic Fund, 5.50% due 8/1/2029 put 8/1/2016 (Detroit Edison Co. Exempt Facilities Project) | A/Aa3 | 5,160,000 | 5,341,993 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2018 (Insured: Q-SBLF) | NR/Aa1 | 1,500,000 | 1,612,470 | |||||||
Plymouth-Canton Community Schools GO, 4.00% due 5/1/2019 (Insured: Q-SBLF) | NR/Aa1 | 1,000,000 | 1,095,770 | |||||||
Plymouth-Canton Community Schools GO, 5.00% due 5/1/2020 (Insured: Q-SBLF) | NR/Aa1 | 1,000,000 | 1,151,840 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2017 (William Beaumont Hospital) (ETM) | NR/A1 | 5,855,000 | 6,351,328 | |||||||
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2020 (William Beaumont Hospital) | A/A1 | 1,200,000 | 1,378,140 | |||||||
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2021 (William Beaumont Hospital) | A/A1 | 2,500,000 | 2,891,475 | |||||||
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2023 (William Beaumont Hospital) | A/A1 | 1,240,000 | 1,450,763 | |||||||
Royal Oak Hospital Finance Authority, 5.00% due 9/1/2024 (William Beaumont Hospital) | A/A1 | 2,000,000 | 2,342,100 | |||||||
School District of the City of Dearborn GO, 3.00% due 5/1/2019 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa1 | 445,000 | 472,065 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2020 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa1 | 350,000 | 387,713 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2021 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa1 | 570,000 | 636,160 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2022 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa1 | 535,000 | 598,381 | |||||||
School District of the City of Dearborn GO, 4.00% due 5/1/2023 (Insured: Q-SBLF) (State Aid Withholding) | NR/Aa1 | 625,000 | 702,906 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2020 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa1 | 2,200,000 | 2,500,256 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2021 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa1 | 4,000,000 | 4,593,360 | |||||||
School District of the City of Detroit GO, 5.00% due 5/1/2022 (Wayne County School Building & Site; Insured: Q-SBLF) | AA-/Aa1 | 3,000,000 | 3,476,580 | |||||||
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 | 1,019,820 | |||||||
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 | 1,154,190 | |||||||
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 | 1,408,052 | |||||||
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 | 1,521,606 | |||||||
St. Johns Public Schools GO, 5.00% due 5/1/2021 (Insured: Natl-Re/FGIC/Q-SBLF) | AA-/Aa2 | 1,000,000 | 1,168,980 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2015 (Higher Education Facilities Program) | A+/Aa2 | 4,000,000 | 4,008,240 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2015 (Higher Education Facilities Program; Insured: AMBAC) (ETM) | A+/Aa2 | 6,000,000 | 6,012,240 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2016 (Higher Education Facilities Program) | A+/Aa2 | 6,305,000 | 6,607,451 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2020 (Higher Education Facilities Program) | A+/Aa2 | 1,000,000 | 1,166,500 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2021 (Higher Education Facilities Program) | A+/Aa2 | 1,000,000 | 1,182,150 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2022 (Higher Education Facilities Program) | A+/Aa2 | 3,000,000 | 3,584,400 | |||||||
State Building Authority of the State of Michigan, 5.00% due 10/15/2023 (Higher Education Facilities Program) | A+/Aa2 | 7,715,000 | 9,257,151 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2018 (Technology Infrastructure Improvements; Insured: Q-SBLF) | AA-/NR | 1,725,000 | 1,854,341 | |||||||
Utica Community Schools County of Macomb GO, 4.00% due 5/1/2019 (Technology Infrastructure Improvements; Insured: Q-SBLF) | AA-/NR | 9,925,000 | 10,875,517 | |||||||
Warren Consolidated School District GO, 4.00% due 5/1/2017 (Insured: Q-SBLF) | AA-/NR | 1,035,000 | 1,083,624 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2018 (Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,093,530 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2020 (Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,136,790 | |||||||
Warren Consolidated School District GO, 5.00% due 5/1/2021 (Insured: Q-SBLF) | AA-/NR | 1,000,000 | 1,153,060 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport; Insured: Natl-Re) | AA-/A2 | 1,000,000 | 1,087,640 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2017 (Detroit Metropolitan Airport) | A/A2 | 2,420,000 | 2,629,814 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 12,645,000 | 14,414,921 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2019 (Detroit Metropolitan Airport) | A/A2 | 2,600,000 | 3,016,260 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 4,395,000 | 5,160,873 | |||||||
Wayne County Airport Authority, 5.50% due 12/1/2020 (Detroit Metropolitan Airport) | A/A2 | 3,115,000 | 3,657,820 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2016 (Sewage Disposal System) | AA/NR | 1,670,000 | 1,689,038 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2017 (Sewage Disposal System) | AA/NR | 1,500,000 | 1,580,295 | |||||||
Western Townships Utilities Authority GO, 5.00% due 1/1/2018 (Sewage Disposal System) | AA/NR | 1,500,000 | 1,634,715 | |||||||
MINNESOTA — 1.55% | ||||||||||
Cities of Minneapolis-St. Paul Metropolitan Airports Commission, 5.00% due 1/1/2017 (Insured: AMBAC) | AA-/NR | 8,005,000 | 8,463,606 | |||||||
City of St. Cloud, 5.00% due 5/1/2016 (CentraCare Health System) | NR/A1 | 1,250,000 | 1,283,600 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System) | NR/A1 | 2,920,000 | 3,118,502 | |||||||
City of St. Cloud, 5.00% due 5/1/2017 (CentraCare Health System) | NR/A1 | 1,000,000 | 1,067,980 | |||||||
City of St. Cloud, 5.00% due 5/1/2018 (CentraCare Health System) | NR/A1 | 3,105,000 | 3,415,717 | |||||||
City of St. Cloud, 5.00% due 5/1/2019 (CentraCare Health System) | NR/A1 | 3,495,000 | 3,936,628 | |||||||
City of St. Cloud, 5.00% due 5/1/2020 (CentraCare Health System) | NR/A1 | 3,310,000 | 3,808,916 | |||||||
City of St. Paul Housing & Redevelopment Authority, 5.00% due 2/1/2018 (Gillette Children’s Specialty Healthcare Project) | A-/NR | 1,255,000 | 1,347,230 | |||||||
City of St. Paul Housing & Redevelopment Authority, 5.25% due 2/1/2020 (Gillette Children’s Specialty Healthcare Project) | A-/NR | 2,010,000 | 2,211,864 | |||||||
City of St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2021 pre-refunded 11/15/2016 (Regions Hospital) | A/Aaa | 1,070,000 | 1,128,593 | |||||||
City of St. Paul Housing & Redevelopment Authority, 0.01% due 11/15/2035 put 10/1/2015 (Allina Health System; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA-/Aa2 | 42,865,000 | 42,865,000 | |||||||
County of Clay GO, 3.00% due 4/1/2018 (State-Aid Road Improvements) | AA/NR | 1,225,000 | 1,292,902 | |||||||
Le Sueur-Henderson ISD No. 2397 GO, 3.00% due 4/1/2021 (Minnesota School District Credit Enhancement Program) | AA+/NR | 1,125,000 | 1,205,685 | |||||||
Minnesota Agricultural & Economic Development Board, 5.00% due 2/15/2017 (Essential Health; Insured: AGM) | AA/NR | 2,500,000 | 2,640,625 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2019 (Electric System) | A-/A3 | 5,000,000 | 5,616,200 | |||||||
Northern Municipal Power Agency, 5.00% due 1/1/2020 (Electric System) | A-/A3 | 3,500,000 | 4,021,500 |
26 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2017 (Minnesota Andersen Office Building) | AA/Aa2 | $ | 4,945,000 | $ | 5,393,907 | |||||
Port Authority of the City of St. Paul, 4.00% due 12/1/2018 (Minnesota Freeman Office Building) | AA/Aa2 | 3,925,000 | 4,289,004 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2019 (Minnesota Freeman Office Building) | AA/Aa2 | 2,000,000 | 2,296,400 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2020 (Minnesota Freeman Office Building) | AA/Aa2 | 2,675,000 | 3,128,520 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2021 (Minnesota Andersen Office Building) | AA/Aa2 | 965,000 | 1,144,982 | |||||||
Port Authority of the City of St. Paul, 5.00% due 12/1/2022 (Minnesota Andersen Office Building) | AA/Aa2 | 1,250,000 | 1,503,513 | |||||||
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2023 (HealthPartners) | A/A2 | 1,000,000 | 1,171,720 | |||||||
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2024 (HealthPartners) | A/A2 | 600,000 | 709,482 | |||||||
St. Paul Housing and Redevelopment Authority, 5.00% due 7/1/2025 (HealthPartners) | A/A2 | 250,000 | 297,473 | |||||||
State of Minnesota GO, 5.00% due 8/1/2016 | AA+/Aa1 | 5,000,000 | 5,199,000 | |||||||
MISSISSIPPI — 0.39% | ||||||||||
City of Jackson GO, 5.00% due 10/1/2016 (Insured: AMBAC) | AA-/Aa2 | 1,500,000 | 1,505,580 | |||||||
Lamar County School District GO, 3.00% due 6/1/2016 (Educational and Performing Arts Capital Projects) | A/NR | 1,800,000 | 1,830,636 | |||||||
Lamar County School District GO, 3.50% due 6/1/2017 (Educational and Performing Arts Capital Projects) | A/NR | 1,700,000 | 1,775,616 | |||||||
Medical Center Educational Building, 4.00% due 6/1/2016 (University of Mississippi Medical Center) | AA-/Aa2 | 3,300,000 | 3,376,626 | |||||||
Mississippi Development Bank, 4.75% due 7/1/2017 (Canton GO Public Improvement Project) | NR/NR | 620,000 | 639,970 | |||||||
Mississippi Development Bank, 5.00% due 8/1/2018 (Department of Corrections) | AA-/NR | 4,910,000 | 5,434,388 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Harrison County Highway) | AA-/Aa3 | 1,500,000 | 1,723,500 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2020 (MDOT-Madison County Highway) | AA-/Aa3 | 1,000,000 | 1,149,000 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Harrison County Highway) | AA-/Aa3 | 2,500,000 | 2,914,200 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2021 (MDOT-Madison County Highway) | AA-/Aa3 | 2,000,000 | 2,331,360 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Harrison County Highway) | AA-/Aa3 | 1,000,000 | 1,182,570 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2022 (MDOT-Madison County Highway) | AA-/Aa3 | 1,000,000 | 1,182,570 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Harrison County Highway) | AA-/Aa3 | 1,500,000 | 1,788,960 | |||||||
Mississippi Development Bank, 5.00% due 1/1/2023 (MDOT-Madison County Highway) | AA-/Aa3 | 1,250,000 | 1,490,800 | |||||||
MISSOURI — 1.19% | ||||||||||
Cass County COP, 4.00% due 5/1/2018 | A/NR | 2,255,000 | 2,394,314 | |||||||
Cass County COP, 4.50% due 5/1/2019 | A/NR | 1,270,000 | 1,386,865 | |||||||
Cass County COP, 5.00% due 5/1/2020 | A/NR | 2,255,000 | 2,547,924 | |||||||
Cass County COP, 5.00% due 5/1/2021 | A/NR | 1,750,000 | 1,952,405 | |||||||
Jackson County, 4.00% due 12/1/2016 (Parking Facility Projects) | NR/Aa3 | 500,000 | 520,505 | |||||||
Jackson County, 4.00% due 12/1/2017 (Parking Facility Projects) | NR/Aa3 | 500,000 | 534,020 | |||||||
Jackson County, 4.00% due 12/1/2019 (Parking Facility Projects) | NR/Aa3 | 500,000 | 553,890 | |||||||
Jackson County, 4.00% due 12/1/2021 (Parking Facility Projects) | NR/Aa3 | 1,000,000 | 1,116,530 | |||||||
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Redevelopment District) (ETM) | NR/NR | 695,000 | 778,122 | |||||||
Kansas City IDA, 5.00% due 9/1/2018 (Kansas City Redevelopment District) | AA-/A1 | 1,305,000 | 1,446,018 | |||||||
Kansas City Municipal Assistance Corp., 5.00% due 4/15/2018 (Bartle Music Hall and Municipal Auditorium Parking Garage; Insured: Natl-Re) | AA/A1 | 1,000,000 | 1,097,400 | |||||||
Kansas City Municipal Assistance Corp., 0% due 4/15/2021 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC) | AA-/A1 | 10,055,000 | 8,715,875 | |||||||
Kansas City Municipal Assistance Corp., 0% due 4/15/2022 (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC) | AA-/A1 | 5,040,000 | 4,198,320 | |||||||
a Missouri Development Finance Board, 4.00% due 6/1/2016 (City of Independence Electric System Projects) | A/NR | 1,560,000 | 1,594,102 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2017 (City of Independence Electric System Projects) | A/NR | 1,525,000 | 1,619,596 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2018 (City of Independence Electric System Projects) | A/NR | 1,705,000 | 1,863,514 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2019 (City of Independence Electric System Projects) | A/NR | 1,000,000 | 1,078,740 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2019 (City of Independence Electric System Projects) | A/NR | 1,790,000 | 1,994,257 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2020 (City of Independence Electric System Projects) | A/NR | 1,265,000 | 1,371,930 | |||||||
Missouri Development Finance Board, 5.00% due 6/1/2020 (City of Independence Electric System Projects) | A/NR | 1,000,000 | 1,128,790 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2021 (City of Independence Electric System Projects) | A/NR | 2,465,000 | 2,680,614 | |||||||
Missouri Development Finance Board, 4.00% due 6/1/2022 (City of Independence Electric System Projects) | A/NR | 3,155,000 | 3,432,230 | |||||||
Missouri Health and Educational Facilities Authority, 4.00% due 4/1/2016 (Webster University) | NR/A2 | 1,685,000 | 1,716,510 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2017 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,059,560 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2019 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,108,750 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 5/15/2020 (Children’s Mercy Hospital) | A+/NR | 1,000,000 | 1,111,540 | |||||||
Missouri Health and Educational Facilities Authority, 0.01% due 9/1/2030 put 10/1/2015 (Washington University; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 3,100,000 | 3,100,000 | |||||||
Missouri Health and Educational Facilities Authority, 0.01% due 7/1/2032 put 10/1/2015 (St. Louis University; SPA: U.S. Bank, N.A.) (daily demand notes) | NR/A1 | 2,000,000 | 2,000,000 | |||||||
Platte County, 4.00% due 4/1/2017 (Community & Resource Centers) | NR/A1 | 1,500,000 | 1,565,010 | |||||||
Platte County, 4.00% due 4/1/2018 (Community & Resource Centers) | NR/A1 | 2,110,000 | 2,248,247 | |||||||
Platte County, 5.00% due 4/1/2019 (Community & Resource Centers) | NR/A1 | 2,000,000 | 2,234,740 | |||||||
Platte County, 5.00% due 4/1/2021 (Community & Resource Centers) | NR/A1 | 2,440,000 | 2,815,589 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2016 (City of Cape Girardeau Campus System Facilities) | A/NR | 750,000 | 767,198 | |||||||
Southeast Missouri State University, 5.00% due 4/1/2018 (City of Cape Girardeau Campus System Facilities) | A/NR | 1,165,000 | 1,277,015 |
Annual Report 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Southeast Missouri State University, 5.00% due 4/1/2020 (City of Cape Girardeau Campus System Facilities) | A/NR | $ | 2,825,000 | $ | 3,233,099 | |||||
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 | 1,776,112 | |||||||
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 | 1,787,232 | |||||||
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 | 2,324,000 | |||||||
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 | 3,737,712 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2016 (City Justice Center) | A/A2 | 2,065,000 | 2,100,745 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2017 (City Justice Center) | A/A2 | 2,000,000 | 2,117,120 | |||||||
St. Louis Municipal Finance Corp., 5.00% due 2/15/2018 (City Justice Center) | A/A2 | 3,865,000 | 4,218,338 | |||||||
NEBRASKA — 0.11% | ||||||||||
a Douglas County Hospital Authority No. 3, 5.00% due 11/1/2022 (Nebraska Methodist Health System) | A-/NR | 1,670,000 | 1,921,769 | |||||||
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2023 (Nebraska Methodist Health System) | A-/NR | 1,905,000 | 2,202,580 | |||||||
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2024 (Nebraska Methodist Health System) | A-/NR | 1,400,000 | 1,621,592 | |||||||
Douglas County Hospital Authority No. 3, 5.00% due 11/1/2025 (Nebraska Methodist Health System) | A-/NR | 2,005,000 | 2,325,500 | |||||||
NEVADA — 2.16% | ||||||||||
Carson City, 4.00% due 9/1/2016 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,045,000 | 1,071,982 | |||||||
Carson City, 5.00% due 9/1/2019 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,000,000 | 1,107,340 | |||||||
Carson City, 5.00% due 9/1/2020 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 1,000,000 | 1,120,920 | |||||||
Carson City, 5.00% due 9/1/2022 (Carson Tahoe Regional Healthcare Project) | BBB+/NR | 2,450,000 | 2,781,338 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2016 (City Hall) | AA-/Aa3 | 4,000,000 | 4,153,400 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2017 (City Hall) | AA-/Aa3 | 4,300,000 | 4,606,203 | |||||||
City of Las Vegas COP, 5.00% due 9/1/2018 (City Hall) | AA-/Aa3 | 4,000,000 | 4,389,880 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2017 (Performing Arts Center) | AA/Aa2 | 1,825,000 | 1,997,754 | |||||||
City of Las Vegas GO, 7.00% due 4/1/2018 (Performing Arts Center) | AA/Aa2 | 2,095,000 | 2,408,894 | |||||||
City of Reno, 5.25% due 6/1/2016 (Washoe Medical Center; Insured: AGM) | AA/A2 | 1,100,000 | 1,134,177 | |||||||
City of Reno, 5.25% due 6/1/2018 (Washoe Medical Center; Insured: AGM) | AA/A2 | 1,000,000 | 1,099,030 | |||||||
Clark County GO, 5.00% due 11/1/2017 (Southern Nevada Water Authority; Insured: AMBAC) | AA/Aa1 | 1,310,000 | 1,377,714 | |||||||
Clark County Improvement District, 5.00% due 12/1/2015 (Insured: AMBAC) | BBB+/NR | 1,580,000 | 1,589,938 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2018 | AA/Aa2 | 6,535,000 | 7,137,266 | |||||||
Las Vegas Clark County Library District GO, 5.00% due 1/1/2019 | AA/Aa2 | 3,000,000 | 3,371,760 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2016 | AA+/Aa1 | 1,000,000 | 1,031,870 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2017 | AA+/Aa1 | 1,050,000 | 1,126,955 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2019 | AA+/Aa1 | 1,000,000 | 1,139,220 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 | AA+/Aa1 | 4,255,000 | 4,955,118 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2020 | AA+/Aa1 | 5,080,000 | 5,915,863 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2021 | AA+/Aa1 | 5,000,000 | 5,924,600 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2023 | AA+/Aa1 | 15,995,000 | 19,340,354 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2024 | AA+/Aa1 | 13,825,000 | 16,836,361 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2025 | AA+/Aa1 | 7,505,000 | 9,238,655 | |||||||
Las Vegas Valley Water District GO, 5.00% due 12/1/2025 | AA+/Aa1 | 20,000,000 | 24,629,400 | |||||||
Las Vegas Valley Water District GO, 5.00% due 6/1/2026 | AA+/Aa1 | 18,630,000 | 22,717,049 | |||||||
State of Nevada GO, 5.00% due 12/1/2021 (Municipal Bond Bank Project Nos. R-9A through R-13F; Insured: AGM) | AA/Aa2 | 10,000 | 10,041 | |||||||
Washoe County GO, 5.00% due 7/1/2021 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 1,700,000 | 2,008,788 | |||||||
Washoe County GO, 5.00% due 7/1/2022 (Reno-Sparks Convention & Visitors Authority) | AA/Aa2 | 2,500,000 | 2,927,100 | |||||||
NEW HAMPSHIRE — 0.46% | ||||||||||
New Hampshire Health and Education Facilities Authority, 5.00% due 10/1/2016 (Southern New Hampshire Medical Center) | A-/NR | 1,260,000 | 1,309,833 | |||||||
New Hampshire Health and Education Facilities Authority, 5.00% due 10/1/2017 (Southern New Hampshire Medical Center) | A-/NR | 1,000,000 | 1,071,150 | |||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2033 put 10/1/2015 (University System of New Hampshire; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | A+/Aa3 | 9,085,000 | 9,085,000 | |||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2033 put 10/1/2015 (University System of New Hampshire; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | A+/Aa3 | 835,000 | 835,000 | |||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2035 put 10/1/2015 (University System of New Hampshire; SPA: U.S. Bank, N.A.) (daily demand notes) | A+/Aa3 | 375,000 | 375,000 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2016 (Insured: Natl-Re) | AA/Aa3 | 2,985,000 | 3,109,325 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2017 (Insured: Natl-Re) | AA/Aa3 | 3,130,000 | 3,387,161 | |||||||
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2020 | AA+/Aa2 | 1,000,000 | 1,179,930 | |||||||
New Hampshire Municipal Bond Bank, 5.25% due 8/15/2022 | AA+/Aa2 | 2,770,000 | 3,368,653 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2016 | A+/A1 | 3,000,000 | 3,048,540 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2017 | A+/A1 | 2,425,000 | 2,570,815 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2018 | A+/A1 | 1,295,000 | 1,420,654 | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2020 | A+/A1 | 1,000,000 | 1,154,640 |
28 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New Hampshire Turnpike System, 5.00% due 2/1/2021 | A+/A1 | $ | 1,260,000 | $ | 1,476,531 | |||||
NEW JERSEY — 2.23% | ||||||||||
Burlington County Bridge Commission, 3.00% due 12/1/2015 (County Governmental Loan Program) | AA/Aa2 | 1,245,000 | 1,251,013 | |||||||
Burlington County Bridge Commission, 3.00% due 12/1/2016 (County Governmental Loan Program) | AA/Aa2 | 1,000,000 | 1,030,670 | |||||||
Burlington County Bridge Commission, 5.00% due 12/1/2018 (County Governmental Loan Program) | AA/Aa2 | 1,000,000 | 1,125,850 | |||||||
Camden County Improvement Authority, 5.00% due 7/1/2016 (Cooper Medical School) | A/A2 | 3,040,000 | 3,141,445 | |||||||
City of Jersey City GO, 4.00% due 8/1/2020 (Qualified General Improvement; Insured: BAM) (State Aid Withholding) | AA/A1 | 2,650,000 | 2,914,390 | |||||||
City of Jersey City GO, 4.00% due 8/1/2021 (Qualified General Improvement; Insured: BAM) (State Aid Withholding) | AA/A1 | 2,805,000 | 3,092,204 | |||||||
City of Jersey City GO, 5.00% due 8/1/2022 (Qualified General Improvement; Insured: BAM) (State Aid Withholding) | AA/A1 | 2,530,000 | 2,953,244 | |||||||
City of Jersey City GO, 5.00% due 8/1/2023 (Qualified General Improvement; Insured: BAM) (State Aid Withholding) | AA/A1 | 2,455,000 | 2,866,728 | |||||||
City of Paterson GO, 3.50% due 3/15/2017 (Debt Restructuring & City Capital Projects) (State Aid Withholding) | NR/A3 | 950,000 | 979,802 | |||||||
County of Essex GO, 4.00% due 6/1/2016 | NR/Aa2 | 500,000 | 512,695 | |||||||
County of Hudson COP, 6.25% due 12/1/2016 (Correctional Facility Lease-Purchase; Insured: Natl-Re) | AA-/A3 | 550,000 | 581,878 | |||||||
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re) | NR/Aa2 | 5,000,000 | 6,280,500 | |||||||
Gloucester County Improvement Authority, 2.125% due 12/1/2029 put 12/1/2017 (Waste Management, Inc. Project) | A-/NR | 2,000,000 | 2,043,440 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2015 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 2,000,000 | 2,000,260 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2016 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 3,155,000 | 3,286,343 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2017 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 4,065,000 | 4,371,094 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2018 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 2,000,000 | 2,202,840 | |||||||
Hudson County Improvement Authority, 4.75% due 10/1/2019 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 4,390,000 | 4,934,053 | |||||||
Hudson County Improvement Authority, 5.375% due 10/1/2020 (Hudson County Lease Project; Insured: AGM) | AA/Aa3 | 2,020,000 | 2,364,774 | |||||||
Monmouth County Improvement Authority, 5.00% due 12/1/2016 (Insured: AMBAC) | NR/NR | 1,000,000 | 1,046,550 | |||||||
New Jersey EDA, 5.00% due 12/15/2016 (School Facilities Construction) | A-/A3 | 4,155,000 | 4,349,828 | |||||||
New Jersey EDA, 5.00% due 12/15/2016 (School Facilities Construction) (ETM) | NR/NR | 6,795,000 | 7,170,763 | |||||||
New Jersey EDA, 5.50% due 12/15/2019 (School Facilities Construction; Insured: AMBAC) | A-/A3 | 5,525,000 | 6,014,239 | |||||||
New Jersey EDA, 5.00% due 9/1/2020 (School Facilities Construction) | A-/A3 | 135,000 | 144,513 | |||||||
New Jersey EDA, 5.00% due 9/1/2020 (School Facilities Construction) (ETM) | NR/NR | 365,000 | 428,703 | |||||||
New Jersey EDA, 5.00% due 6/15/2022 (School Facilities Construction) | A-/A3 | 8,000,000 | 8,564,320 | |||||||
New Jersey EDA, 5.00% due 3/1/2023 (School Facilities Construction) | A-/A3 | 8,015,000 | 8,541,986 | |||||||
New Jersey EDA, 5.00% due 6/15/2023 (School Facilities Construction) | A-/A3 | 2,000,000 | 2,131,440 | |||||||
New Jersey EDA, 5.75% due 9/1/2023 (School Facilities Construction) | A-/A3 | 550,000 | 605,930 | |||||||
New Jersey EDA, 5.75% due 9/1/2023 pre-refunded 3/1/2021 (School Facilities Construction) | NR/A3 | 4,955,000 | 6,020,523 | |||||||
New Jersey EDA, 5.00% due 6/15/2024 (School Facilities Construction) | A-/A3 | 4,250,000 | 4,514,392 | |||||||
New Jersey EDA, 5.00% due 3/1/2025 (School Facilities Construction) | A-/A3 | 4,575,000 | 4,816,651 | |||||||
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction) | A-/A3 | 11,150,000 | 11,696,573 | |||||||
New Jersey Educational Facilities Authority, 5.00% due 9/1/2016 (Higher Education Capital Improvements; Insured: AGM) | AA/A2 | 675,000 | 677,707 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2023 (Virtua Health Issue) | A+/NR | 535,000 | 628,930 | |||||||
New Jersey Health Care Facilities Financing Authority, 5.00% due 7/1/2024 (Virtua Health Issue) | A+/NR | 1,000,000 | 1,177,200 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2017 | AA/Aa2 | 1,910,000 | 2,053,957 | |||||||
New Jersey Higher Educational Assistance Authority, 5.00% due 12/1/2018 | AA/Aa2 | 3,000,000 | 3,299,400 | |||||||
New Jersey Higher Educational Assistance Authority, 5.25% due 12/1/2019 | AA/Aa2 | 5,650,000 | 6,380,036 | |||||||
New Jersey Transit Corp., 5.00% due 9/15/2021 (Urban Public Transportation Capital Improvement) | A/A3 | 3,395,000 | 3,881,470 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2019 (State Transportation System) | A-/A3 | 1,000,000 | 1,064,910 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2020 (State Transportation System) | A-/A3 | 1,000,000 | 1,069,670 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2021 (State Transportation System) | A-/A3 | 2,570,000 | 2,751,211 | |||||||
New Jersey Transportation Trust Fund Authority, 5.25% due 12/15/2022 (State Transportation System) | A-/A3 | 2,000,000 | 2,171,600 | |||||||
New Jersey Transportation Trust Fund Authority, 5.25% due 12/15/2023 (State Transportation System; Insured: AMBAC) | A-/A3 | 3,545,000 | 3,853,486 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2024 (State Transportation System) | A-/A3 | 1,660,000 | 1,763,269 | |||||||
a Ocean Township Municipal Utility Authority, 6.00% due 8/1/2017 (Insured: Natl-Re) | AA-/A3 | 1,515,000 | 1,592,280 | |||||||
Passaic Valley Sewer Commissioners GO, 5.625% due 12/1/2018 (Sewer System) | NR/A3 | 1,210,000 | 1,359,617 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2019 (Sewer System) | NR/A3 | 2,000,000 | 2,304,420 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2020 (Sewer System) | NR/A3 | 4,250,000 | 4,985,462 | |||||||
Passaic Valley Sewer Commissioners GO, 5.75% due 12/1/2021 (Sewer System) | NR/A3 | 4,500,000 | 5,332,995 | |||||||
Township of Wayne GO, 2.00% due 2/15/2018 (General Improvements and Water Utility System) | AA+/Aaa | 1,295,000 | 1,330,095 | |||||||
NEW MEXICO — 0.74% | ||||||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 2,300,000 | 2,637,226 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2021 pre-refunded 8/1/2016 (Educational Facilities) (State Aid Withholding) | AA/Aa1 | 2,425,000 | 2,520,739 | |||||||
City of Farmington, 1.875% due 6/1/2032 put 9/1/2017 (El Paso Electric Co.-Four Corners Project) | BBB/Baa1 | 3,000,000 | 3,032,370 | |||||||
City of Gallup, 5.00% due 8/15/2016 (Tri-State Generation and Transmission Assoc., Inc.; Insured: AMBAC) | A/A3 | 2,500,000 | 2,509,050 | |||||||
City of Santa Fe, 4.50% due 5/15/2022 (El Castillo Retirement Residences) | BBB-/NR | 2,585,000 | 2,653,839 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2017 | AA+/A1 | 2,365,000 | 2,557,109 | |||||||
Incorporated County of Los Alamos, 5.50% due 6/1/2018 | AA+/A1 | 2,205,000 | 2,472,533 |
Annual Report 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) | NR/Aaa | $ | 6,000,000 | $ | 6,378,720 | |||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2018 (Student Loans) | AAA/Aaa | 5,000,000 | 5,618,950 | |||||||
a New Mexico Educational Assistance Foundation, 5.00% due 12/1/2021 (Student Loans) | AAA/Aaa | 3,000,000 | 3,475,650 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2024 (Presbyterian Healthcare Services) | AA/Aa3 | 1,030,000 | 1,242,128 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2025 (Presbyterian Healthcare Services) | AA/Aa3 | 750,000 | 907,553 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2020 (Corbett Center Student Union & NMSU Golf Course) | AA-/Aa3 | 3,095,000 | 3,589,117 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2021 (Corbett Center Student Union & NMSU Golf Course) | AA-/Aa3 | 1,845,000 | 2,178,225 | |||||||
Regents of New Mexico State University, 5.00% due 4/1/2022 (Corbett Center Student Union & NMSU Golf Course) | AA-/Aa3 | 1,250,000 | 1,492,962 | |||||||
State of New Mexico, 5.00% due 7/1/2016 (Statewide Capital Project Funding) | AA/Aa1 | 10,265,000 | 10,636,182 | |||||||
NEW YORK — 10.72% | ||||||||||
Amherst Development Corp., 5.00% due 10/1/2015 (Student Housing; Insured: AGM) | AA/A2 | 2,035,000 | 2,035,265 | |||||||
City of Long Beach School District GO, 3.50% due 5/1/2022 (Insured: AGM) (State Aid Withholding) | AA/Aa2 | 1,600,000 | 1,713,408 | |||||||
City of New York GO, 4.00% due 8/1/2016 (Capital Projects) | AA/Aa2 | 1,930,000 | 1,990,756 | |||||||
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management) | AA/Aa2 | 3,000,000 | 3,556,020 | |||||||
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management) | AA/Aa2 | 9,000,000 | 10,668,060 | |||||||
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management) | AA/Aa2 | 7,350,000 | 8,712,249 | |||||||
City of New York GO, 5.00% due 8/1/2021 (City Budget Financial Management) | AA/Aa2 | 7,775,000 | 9,216,019 | |||||||
City of New York GO, 0.01% due 8/1/2022 put 10/1/2015 (Capital Projects; Insured: AGM; SPA: State Street Bank & Trust Co.) (daily demand notes) | AA/Aa2 | 1,400,000 | 1,400,000 | |||||||
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management) | AA/Aa2 | 3,000,000 | 3,594,570 | |||||||
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management) | AA/Aa2 | 6,625,000 | 7,938,009 | |||||||
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management) | AA/Aa2 | 20,000,000 | 23,963,800 | |||||||
City of New York GO, 5.00% due 8/1/2022 (City Budget Financial Management) | AA/Aa2 | 13,075,000 | 15,666,334 | |||||||
City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management) | AA/Aa2 | 9,520,000 | 11,497,970 | |||||||
City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management) | AA/Aa2 | 12,985,000 | 15,682,893 | |||||||
City of New York GO, 0.01% due 10/1/2023 put 10/1/2015 (City Budget Financial Management; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 200,000 | 200,000 | |||||||
a City of New York GO, 5.00% due 8/1/2024 (City Budget Financial Management) | AA/Aa2 | 40,145,000 | 49,092,518 | |||||||
City of New York GO, 0.01% due 8/1/2035 put 10/1/2015 (Capital Projects) (daily demand notes) | AA/Aa2 | 3,100,000 | 3,100,000 | |||||||
City of Syracuse Industrial Development Agency, 0.01% due 12/1/2037 put 10/1/2015 (Syracuse University; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 1,150,000 | 1,150,000 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) (ETM) | NR/NR | 4,090,000 | 4,205,011 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2016 (Buffalo School District) | AA/Aa2 | 4,705,000 | 4,837,211 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2017 (Buffalo School District) | AA/Aa2 | 7,265,000 | 7,770,063 | |||||||
Erie County Individual Development Agency, 5.00% due 5/1/2018 (Buffalo School District) | AA/Aa2 | 5,000,000 | 5,525,150 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2020 | AA/NR | 2,000,000 | 2,351,220 | |||||||
Metropolitan Transportation Authority, 5.00% due 11/15/2020 | AA-/A1 | 12,955,000 | 15,155,795 | |||||||
a Metropolitan Transportation Authority, 5.00% due 11/15/2021 | AA-/A1 | 24,325,000 | 28,791,070 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2018 (St. John Fisher College) | BBB+/NR | 1,425,000 | 1,553,165 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2019 (St. John Fisher College) | BBB+/NR | 1,030,000 | 1,147,533 | |||||||
Monroe County Industrial Development Corp., 5.00% due 6/1/2022 (St. John Fisher College) | BBB+/NR | 2,000,000 | 2,281,080 | |||||||
Nassau County IDA, 5.25% due 3/1/2018 (New York Institute of Technology) | BBB+/Baa2 | 1,260,000 | 1,364,756 | |||||||
Nassau County IDA, 5.25% due 3/1/2020 (New York Institute of Technology) | BBB+/Baa2 | 1,715,000 | 1,935,566 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2019 (Healthcare Facilities Improvements) | A+/Aa3 | 2,700,000 | 3,037,635 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2021 (Healthcare Facilities Improvements) | A+/Aa3 | 2,615,000 | 2,993,391 | |||||||
New York City Health and Hospital Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements) | A+/Aa3 | 10,000,000 | 11,501,300 | |||||||
New York City Housing Development Corp., 0.80% due 11/1/2015 (Multi-Family Housing) | AA+/Aa2 | 1,820,000 | 1,820,801 | |||||||
New York City Housing Development Corp., 0.02% due 5/1/2020 put 10/1/2015 (Multi-Family Housing) (daily demand notes) | AA+/Aa2 | 500,000 | 500,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2035 put 10/1/2015 (Water & Sewer System; SPA: Bayerische Landesbank) (daily demand notes) | AAA/Aa1 | 42,500,000 | 42,500,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2045 put 10/1/2015 (Water & Sewer System; SPA: Northern Trust Company) (daily demand notes) | AAA/Aa1 | 100,000 | 100,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2045 put 10/1/2015 (Water & Sewer System; SPA: U.S. Bank, N.A.) (daily demand notes) | AAA/Aa1 | 500,000 | 500,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2048 put 10/1/2015 (Water & Sewer System; SPA: Mizuho Bank, Ltd.) (daily demand notes) | AA+/Aa2 | 32,000,000 | 32,000,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2050 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 1,000,000 | 1,000,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2050 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 46,350,000 | 46,350,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2015 (City Capital Projects & WTC Recovery Costs) (ETM) | NR/NR | 3,630,000 | 3,645,173 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2015 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 1,370,000 | 1,375,781 | |||||||
New York City Transitional Finance Authority, 5.00% due 7/15/2016 (School Financing Act) (State Aid Withholding) | AA/Aa2 | 3,155,000 | 3,274,007 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 5,000,000 | 5,257,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2016 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 12,680,000 | 13,331,752 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2017 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 1,000,000 | 1,004,260 |
30 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2018 (School Financing Act) (State Aid Withholding) | AA/Aa2 | $ | 4,865,000 | $ | 5,335,105 | |||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 1,500,000 | 1,686,570 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 11,730,000 | 13,188,977 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 3,075,000 | 3,457,469 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 1,645,000 | 1,849,605 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 12,725,000 | 14,307,735 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2018 (City Capital Projects & WTC Recovery Costs) | AAA/Aa1 | 2,000,000 | 2,248,760 | |||||||
New York City Transitional Finance Authority, 0.01% due 11/1/2042 put 10/1/2015 (City Capital Projects; SPA: Barclays Bank plc) (daily demand notes) | AAA/Aa1 | 27,500,000 | 27,500,000 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services Facilities) | AA/NR | 9,000,000 | 9,622,260 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2017 (Court Facilities Lease; Insured: AMBAC) | AA-/Aa2 | 4,945,000 | 5,317,853 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2018 (Mental Health Services Facilities) | AA/NR | 5,280,000 | 5,863,968 | |||||||
New York State Dormitory Authority, 2.25% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 4,800,000 | 4,958,256 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 325,000 | 358,631 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | 2,520,000 | 2,814,235 | |||||||
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 | 2,800,600 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,395,000 | 1,562,288 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2019 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 610,000 | 692,435 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2019 (New York Department of Health Projects; Insured: Natl-Re) | AA/Aa2 | 6,975,000 | 7,002,761 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | 2,645,000 | 3,029,927 | |||||||
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 | 2,414,496 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2019 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,585,000 | 1,821,688 | |||||||
a New York State Dormitory Authority, 5.00% due 12/15/2019 (Metropolitan Transportation Authority Service Contract) | AAA/Aa1 | 60,000,000 | 69,376,200 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2020 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 1,000,000 | 1,159,540 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) | NR/Aa2 | 1,000,000 | 1,149,800 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) | AA-/NR | 2,775,000 | 3,234,124 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program; Insured: AGM) | AA/NR | 1,250,000 | 1,463,213 | |||||||
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 | 2,458,197 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2020 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 1,000,000 | 1,167,020 | |||||||
New York State Dormitory Authority, 5.00% due 4/1/2021 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 450,000 | 529,457 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program) (State Aid Withholding) | NR/Aa3 | 750,000 | 886,095 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2021 (School Districts Financing Program; Insured: AGM) | AA/NR | 1,100,000 | 1,305,106 | |||||||
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 | 1,483,075 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program; Insured: AGM) | AA/NR | 1,800,000 | 2,158,704 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2022 (School Districts Financing Program) (State Aid Withholding) | AA+/NR | 300,000 | 359,784 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2023 (School Districts Financing Program; Insured: AGM) | AA/NR | 2,500,000 | 3,026,900 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2023 (School Districts Financing Program; Insured: AGM) (State Aid Withholding) | AA/A1 | 2,000,000 | 2,374,340 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2024 (School Districts Financing Program; Insured: AGM) | AA/NR | 2,000,000 | 2,449,600 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/A3 | 5,000,000 | 5,014,100 | |||||||
New York State Housing Finance Agency, 0.02% due 5/1/2048 put 10/1/2015 (Multi-family Rental Housing Development; LOC: Bank of China) (daily demand notes) | A/A1 | 55,900,000 | 55,900,000 | |||||||
New York State Thruway Authority, 5.00% due 5/1/2019 (New NY Bridge Project) | A-/A3 | 5,000,000 | 5,652,450 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2020 (Governor Thomas E. Dewey Thruway) | A/A2 | 2,000,000 | 2,294,420 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2021 (Governor Thomas E. Dewey Thruway) | A/A2 | 2,500,000 | 2,925,175 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2022 (Governor Thomas E. Dewey Thruway) | A/A2 | 3,000,000 | 3,543,840 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2024 (Governor Thomas E. Dewey Thruway) | A/A2 | 1,000,000 | 1,206,870 | |||||||
New York State Thruway Authority, 5.00% due 3/15/2024 (Highway, Bridge, Multi-Modal and MTA Projects) | AAA/Aa1 | 18,300,000 | 21,385,197 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2025 (Governor Thomas E. Dewey Thruway) | A/A2 | 2,000,000 | 2,445,820 | |||||||
Patchogue-Medford Union Free School District GO, 4.25% due 10/1/2015 (Insured: MBIA) (State Aid Withholding) | AA-/A3 | 1,000,000 | 1,000,110 | |||||||
Port Authority 148th GO, 5.00% due 8/15/2017 (Insured: AGM) | AA/Aa3 | 4,725,000 | 5,121,569 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2020 (Catholic Health Services) | BBB+/Baa1 | 5,000,000 | 5,718,250 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2021 (Catholic Health Services) | BBB+/Baa1 | 5,000,000 | 5,778,900 | |||||||
Suffolk County Economic Development Corp., 5.00% due 7/1/2022 (Catholic Health Services) | BBB+/Baa1 | 5,000,000 | 5,707,550 | |||||||
Suffolk County IDA Civic Facilities GO, 5.25% due 3/1/2019 (New York Institute of Technology) | BBB+/Baa2 | 1,400,000 | 1,414,252 | |||||||
Tobacco Settlement Financing Corp., 5.00% due 6/1/2018 | AA/NR | 3,725,000 | 4,128,790 | |||||||
Triborough Bridge and Tunnel Authority, 5.00% due 11/15/2021 (MTA Bridges & Tunnels) | AA-/Aa3 | 5,140,000 | 6,147,491 | |||||||
United Nations Development Corp., 5.00% due 7/1/2016 (One, Two and Three U.N. Plaza Project) | NR/A1 | 3,400,000 | 3,520,054 | |||||||
United Nations Development Corp., 5.00% due 7/1/2017 (One, Two and Three U.N. Plaza Project) | NR/A1 | 3,000,000 | 3,225,960 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza Project) | NR/A1 | 4,000,000 | 4,543,440 | |||||||
West Seneca Central School District GO, 5.00% due 11/15/2022 (Insured: BAM) (State Aid Withholding) | AA/A2 | 1,000,000 | 1,199,670 |
Annual Report 31
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
NORTH CAROLINA — 2.49% | ||||||||||
Catawba County, 4.00% due 10/1/2015 | AA-/Aa2 | $ | 1,620,000 | $ | 1,620,178 | |||||
Catawba County, 4.00% due 10/1/2016 | AA-/Aa2 | 1,000,000 | 1,036,140 | |||||||
Catawba County, 4.00% due 10/1/2017 | AA-/Aa2 | 1,000,000 | 1,065,410 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2016 (Carolinas HealthCare System) | AA-/Aa3 | 3,520,000 | 3,568,083 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2017 (Carolinas HealthCare System) | AA-/Aa3 | 2,000,000 | 2,112,980 | |||||||
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2019 (Carolinas HealthCare System) | AA-/Aa3 | 600,000 | 654,492 | |||||||
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2021 (Carolinas HealthCare System) | AA-/Aa3 | 1,595,000 | 1,697,176 | |||||||
Charlotte-Mecklenburg Hospital Authority, 4.00% due 1/15/2022 (Carolinas HealthCare System) | AA-/Aa3 | 845,000 | 947,820 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2023 (Carolinas HealthCare System) | AA-/Aa3 | 1,400,000 | 1,667,540 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2024 (Carolinas HealthCare System) | AA-/Aa3 | 2,855,000 | 3,360,877 | |||||||
City of Charlotte COP, 5.00% due 12/1/2020 (Equipment Acquisition & Public Facilities) | AA+/Aa1 | 1,000,000 | 1,171,170 | |||||||
City of Charlotte COP, 5.00% due 12/1/2021 (Equipment Acquisition & Public Facilities) | AA+/Aa1 | 1,100,000 | 1,307,988 | |||||||
City of Charlotte COP, 5.00% due 12/1/2022 (Equipment Acquisition & Public Facilities) | AA+/Aa1 | 2,405,000 | 2,899,901 | |||||||
City of Charlotte COP, 5.00% due 12/1/2023 (Equipment Acquisition & Public Facilities) | AA+/Aa1 | 2,145,000 | 2,584,639 | |||||||
City of Charlotte COP, 5.00% due 12/1/2025 (Equipment Acquisition & Public Facilities) | AA+/Aa1 | 2,290,000 | 2,837,379 | |||||||
City of Charlotte GO, 4.00% due 12/1/2016 (Equipment Acquisition & Public Facilities) | AAA/Aaa | 5,315,000 | 5,543,173 | |||||||
County of Buncombe, 5.00% due 6/1/2022 (Primary, Middle School & Community College Facilities) | AA+/Aa2 | 1,000,000 | 1,198,220 | |||||||
County of Buncombe, 5.00% due 6/1/2023 (Primary, Middle School & Community College Facilities) | AA+/Aa2 | 750,000 | 908,047 | |||||||
County of Buncombe, 5.00% due 6/1/2024 (Primary, Middle School & Community College Facilities) | AA+/Aa2 | 600,000 | 733,338 | |||||||
County of Dare, 4.00% due 6/1/2016 (Educational Facility Capital Projects) | AA-/Aa3 | 500,000 | 512,275 | |||||||
County of Dare, 4.00% due 6/1/2017 (Educational Facility Capital Projects) | AA-/Aa3 | 400,000 | 422,048 | |||||||
County of Dare, 4.00% due 6/1/2018 (Educational Facility Capital Projects) | AA-/Aa3 | 425,000 | 458,711 | |||||||
County of Dare, 4.00% due 6/1/2019 (Educational Facility Capital Projects) | AA-/Aa3 | 500,000 | 548,715 | |||||||
County of Dare, 4.00% due 6/1/2020 (Educational Facility Capital Projects) | AA-/Aa3 | 765,000 | 849,096 | |||||||
County of Dare, 5.00% due 6/1/2021 (Educational Facility Capital Projects) | AA-/Aa3 | 1,225,000 | 1,438,922 | |||||||
County of Dare, 4.00% due 6/1/2022 (Educational Facility Capital Projects) | AA-/Aa3 | 490,000 | 546,281 | |||||||
County of Dare, 5.00% due 6/1/2024 (Educational Facility Capital Projects) | AA-/Aa3 | 700,000 | 832,853 | |||||||
County of Mecklenburg GO, 5.00% due 12/1/2018 (County Debt Restructing) | AAA/Aaa | 3,015,000 | 3,405,382 | |||||||
County of Randolph, 5.00% due 10/1/2020 | A+/Aa3 | 500,000 | 580,630 | |||||||
County of Randolph, 5.00% due 10/1/2021 | A+/Aa3 | 1,065,000 | 1,251,790 | |||||||
County of Randolph, 5.00% due 10/1/2021 | A+/Aa3 | 500,000 | 587,695 | |||||||
County of Randolph, 5.00% due 10/1/2022 | A+/Aa3 | 1,945,000 | 2,314,375 | |||||||
County of Randolph, 5.00% due 10/1/2023 | A+/Aa3 | 550,000 | 659,538 | |||||||
County of Randolph, 5.00% due 10/1/2023 | A+/Aa3 | 400,000 | 479,664 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2016 (Insured: AMBAC) (ETM) | A-/NR | 1,700,000 | 1,720,774 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: AMBAC) (ETM) | NR/Baa1 | 7,500,000 | 8,368,875 | |||||||
North Carolina Eastern Municipal Power Agency, 6.00% due 1/1/2018 (Insured: BHAC/AMBAC) (ETM) | AA+/Aa1 | 5,965,000 | 6,653,182 | |||||||
North Carolina Eastern Municipal Power Agency, 5.25% due 1/1/2019 pre-refunded 1/1/2018 (Insured: AGM) | AA/A3 | 3,105,000 | 3,417,239 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2021 (ETM) | A-/Baa1 | 5,000,000 | 5,908,400 | |||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2022 (ETM) | A-/Baa1 | 4,715,000 | 5,646,543 | |||||||
North Carolina Infrastructure Finance Corp. COP, 5.00% due 5/1/2026 pre-refunded 5/1/2017 (North Carolina Capital Improvements; Insured: AGM) | AA+/Aa1 | 3,000,000 | 3,207,750 | |||||||
North Carolina Medical Care Commission, 0.02% due 11/1/2034 put 10/7/2015 (Novant Health; SPA: JPMorgan Chase Bank, N.A.) (weekly demand notes) | A+/A1 | 23,215,000 | 23,215,000 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric) (ETM) | NR/NR | 1,120,000 | 1,186,786 | |||||||
North Carolina Municipal Power Agency, 5.25% due 1/1/2017 (Catawba Electric) | A/A2 | 2,000,000 | 2,118,480 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric) | A/A2 | 11,750,000 | 12,574,027 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2018 (Catawba Electric) (ETM) | NR/NR | 3,250,000 | 3,482,440 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric) (ETM) | NR/NR | 1,220,000 | 1,379,137 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2019 (Catawba Electric) | A/A2 | 3,280,000 | 3,686,458 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric) | A/A2 | 605,000 | 670,509 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2020 (Catawba Electric) (ETM) | NR/NR | 945,000 | 1,054,790 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric) | A/A2 | 720,000 | 827,921 | |||||||
North Carolina Municipal Power Agency, 5.00% due 1/1/2020 (Catawba Electric) (ETM) | NR/NR | 280,000 | 324,232 | |||||||
North Carolina Municipal Power Agency, 4.00% due 1/1/2022 (Catawba Electric) | A/A2 | 1,000,000 | 1,125,120 | |||||||
State of North Carolina, 5.00% due 5/1/2016 (Various Capital Improvements) | AA+/Aa1 | 5,070,000 | 5,213,278 | |||||||
State of North Carolina, 5.00% due 11/1/2019 (State Capital Projects and Correctional Facilities) | AA+/Aa1 | 23,635,000 | 27,259,664 | |||||||
State of North Carolina GO, 5.00% due 6/1/2017 (Various Capital Improvements) | AAA/Aaa | 6,070,000 | 6,523,672 | |||||||
Winston-Salem State University, 4.00% due 4/1/2016 (Student Housing and Student Services Facilities) | A-/A3 | 640,000 | 650,355 | |||||||
Winston-Salem State University, 4.00% due 4/1/2017 (Student Housing and Student Services Facilities) | A-/A3 | 645,000 | 671,277 | |||||||
Winston-Salem State University, 5.00% due 4/1/2019 (Student Housing and Student Services Facilities) | A-/A3 | 815,000 | 898,489 | |||||||
Winston-Salem State University, 5.00% due 4/1/2022 (Student Housing and Student Services Facilities) | A-/A3 | 945,000 | 1,075,514 | |||||||
NORTH DAKOTA — 0.06% | ||||||||||
County of Ward, 4.00% due 4/1/2020 (Insured: AGM) | AA/A2 | 2,445,000 | 2,701,774 | |||||||
North Dakota Public Finance Authority, 4.00% due 6/1/2017 (City of Fargo Flood Mitigation Projects) | AA/NR | 1,460,000 | 1,540,023 |
32 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
OHIO — 3.20% | ||||||||||
Akron, Bath & Copley Joint Township Hospital District, 5.00% due 11/15/2021 (Children’s Hospital Medical Center) | NR/A1 | $ | 1,000,000 | $ | 1,162,730 | |||||
Allen County Hospital Facilities, 5.00% due 9/1/2016 (Catholic Healthcare Partners) | AA-/A1 | 10,000,000 | 10,402,700 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) | A/A3 | 5,500,000 | 6,054,400 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2019 (AMP Combined Hydroelectric Projects) | A/A3 | 5,595,000 | 6,341,261 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2020 (AMP Fremont Energy Center) | A/A1 | 1,865,000 | 2,145,533 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2021 (AMP Fremont Energy Center) | A/A1 | 1,300,000 | 1,490,398 | |||||||
American Municipal Power, Inc., 5.00% due 2/15/2022 (AMP Fremont Energy Center) | A/A1 | 2,750,000 | 3,245,303 | |||||||
Cincinnati City School District Board of Education GO, 5.25% due 12/1/2023 (Educational Facilities; Insured: Natl-Re) | AA-/Aa2 | 2,690,000 | 3,304,638 | |||||||
City of Akron, 5.00% due 12/1/2021 (Community Learning Centers) | AA+/NR | 4,120,000 | 4,893,695 | |||||||
City of Akron GO, 5.00% due 12/1/2018 pre-refunded 12/1/2015 (Various Municipal Capital Projects; Insured: AMBAC) | AA+/Aa3 | 2,425,000 | 2,444,982 | |||||||
City of Akron GO, 5.00% due 12/1/2019 (Various Municipal Capital Projects) | AA-/NR | 1,685,000 | 1,942,114 | |||||||
City of Cleveland, 3.00% due 10/1/2016 (Public Facilities) | AA/A1 | 690,000 | 706,988 | |||||||
City of Cleveland, 4.00% due 10/1/2018 (Parks & Recreation Facilities) | AA/A1 | 500,000 | 541,780 | |||||||
City of Cleveland, 4.00% due 10/1/2019 (Public Facilities) | AA/A1 | 600,000 | 660,762 | |||||||
City of Cleveland, 4.00% due 10/1/2019 (Parks & Recreation Facilities) | AA/A1 | 520,000 | 572,660 | |||||||
City of Cleveland, 5.00% due 10/1/2020 (Public Facilities) | AA/A1 | 510,000 | 590,254 | |||||||
City of Cleveland, 5.00% due 10/1/2020 (Parks & Recreation Facilities) | AA/A1 | 545,000 | 630,761 | |||||||
City of Cleveland, 5.00% due 10/1/2021 (Parks & Recreation Facilities) | AA/A1 | 570,000 | 665,834 | |||||||
City of Cleveland, 5.00% due 10/1/2022 (Public Facilities) | AA/A1 | 905,000 | 1,068,461 | |||||||
City of Cleveland, 5.00% due 10/1/2022 (Parks & Recreation Facilities) | AA/A1 | 600,000 | 708,372 | |||||||
City of Cleveland, 5.00% due 11/15/2022 (Parks & Recreation Facilities) | AA/A1 | 1,030,000 | 1,217,635 | |||||||
City of Cleveland, 5.00% due 10/1/2023 (Public Facilities) | AA/A1 | 1,155,000 | 1,371,320 | |||||||
City of Cleveland, 5.00% due 10/1/2023 (Parks & Recreation Facilities) | AA/A1 | 630,000 | 747,993 | |||||||
City of Cleveland COP, 5.00% due 11/15/2016 (Cleveland Stadium) | A/A2 | 2,200,000 | 2,307,976 | |||||||
City of Cleveland COP, 4.75% due 11/15/2020 (Cleveland Stadium) | A/A2 | 2,000,000 | 2,255,180 | |||||||
City of Cleveland GO, 5.50% due 10/1/2019 (City Capital Projects; Insured: AMBAC) | AA/A1 | 1,260,000 | 1,460,932 | |||||||
City of Toledo, 5.00% due 11/15/2018 (Water System Improvements) | AA-/Aa3 | 1,175,000 | 1,319,631 | |||||||
City of Toledo, 5.00% due 11/15/2019 (Water System Improvements) | AA-/Aa3 | 2,260,000 | 2,602,141 | |||||||
City of Toledo, 5.00% due 11/15/2020 (Water System Improvements) | AA-/Aa3 | 2,000,000 | 2,342,840 | |||||||
City of Toledo, 5.00% due 11/15/2021 (Water System Improvements) | AA-/Aa3 | 2,000,000 | 2,373,560 | |||||||
City of Toledo, 5.00% due 11/15/2022 (Water System Improvements) | AA-/Aa3 | 3,255,000 | 3,897,732 | |||||||
City of Toledo, 5.00% due 11/15/2023 (Water System Improvements) | AA-/Aa3 | 1,750,000 | 2,098,163 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) (ETM) | AA/A2 | 965,000 | 1,169,831 | |||||||
Cleveland Package Facilities, 5.25% due 9/15/2021 (Insured: AGM) | AA/A2 | 2,035,000 | 2,361,170 | |||||||
Cleveland State University, 5.00% due 6/1/2019 (Campus Capital Projects) | A+/A1 | 1,000,000 | 1,133,550 | |||||||
Cleveland State University, 5.00% due 6/1/2020 (Campus Capital Projects) | A+/A1 | 700,000 | 809,389 | |||||||
Cleveland State University, 5.00% due 6/1/2021 (Campus Capital Projects) | A+/A1 | 1,000,000 | 1,172,030 | |||||||
Cleveland State University, 5.00% due 6/1/2022 (Campus Capital Projects) | A+/A1 | 2,000,000 | 2,371,800 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2019 (Cleveland Museum of Art) | AA+/NR | 2,000,000 | 2,287,700 | |||||||
County of Clermont, 2.00% due 8/1/2016 (Sanitary Sewer System) | NR/Aa3 | 1,325,000 | 1,340,648 | |||||||
County of Clermont, 2.00% due 8/1/2016 (Water System ) | NR/Aa3 | 1,855,000 | 1,877,056 | |||||||
County of Clermont, 4.00% due 8/1/2019 (Sanitary Sewer System) | NR/Aa3 | 1,420,000 | 1,531,470 | |||||||
County of Cuyahoga COP, 5.00% due 12/1/2019 (Convention Hotel Project) | AA-/Aa3 | 2,585,000 | 2,947,960 | |||||||
County of Cuyahoga COP, 5.00% due 12/1/2022 (Convention Hotel Project) | AA-/Aa3 | 9,725,000 | 11,452,743 | |||||||
County of Cuyahoga COP, 5.00% due 12/1/2023 (Convention Hotel Project) | AA-/Aa3 | 5,645,000 | 6,700,051 | |||||||
County of Cuyahoga COP, 5.00% due 12/1/2024 (Convention Hotel Project) | AA-/Aa3 | 11,515,000 | 13,665,196 | |||||||
County of Franklin, 4.00% due 11/15/2033 put 8/1/2016 (OhioHealth Corp. Hospital Facilities) | AA+/Aa2 | 3,235,000 | 3,330,109 | |||||||
County of Montgomery, 0.01% due 11/15/2045 put 10/1/2015 (Miami Valley Hospital; SPA: Barclays Bank plc) (daily demand notes) | NR/Aa3 | 500,000 | 500,000 | |||||||
Deerfield Township, 5.00% due 12/1/2017 | NR/A1 | 1,000,000 | 1,071,740 | |||||||
Franklin County Convention Facilities Authority, 4.50% due 12/1/2021 (Greater Columbus Convention Center; Insured: AMBAC) | AA/Aaa | 1,000,000 | 1,007,060 | |||||||
Franklin County Convention Facilities Authority, 5.00% due 12/1/2021 (Greater Columbus Convention Center) | AA/Aaa | 1,000,000 | 1,186,510 | |||||||
Franklin County Convention Facilities Authority, 5.00% due 12/1/2022 (Greater Columbus Convention Center) | AA/Aaa | 500,000 | 600,295 | |||||||
Franklin County Convention Facilities Authority, 5.00% due 12/1/2024 (Greater Columbus Convention Center) | AA/Aaa | 1,000,000 | 1,214,340 | |||||||
Garfield Heights City School District GO, 5.375% due 12/15/2016 (School Improvements; Insured: Natl-Re) | NR/A2 | 1,625,000 | 1,712,003 | |||||||
Greater Cleveland Regional Transportation Authority GO, 5.00% due 12/1/2015 (Insured: Natl-Re) | NR/Aa1 | 1,000,000 | 1,007,850 | |||||||
Kent State University, 5.00% due 5/1/2020 (Insured: AGM) | AA/Aa3 | 1,000,000 | 1,128,600 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2039 put 10/1/2015 (Cleveland Clinic Health System) (daily demand notes) | AA-/Aa2 | 12,800,000 | 12,800,000 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2043 put 10/1/2015 (Cleveland Clinic Health System; SPA: Barclays Bank plc) (daily demand notes) | AA-/Aa2 | 11,350,000 | 11,350,000 | |||||||
Ohio State Air Quality Development Authority, 5.625% due 6/1/2018 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 5,000,000 | 5,350,000 | |||||||
Ohio State Air Quality Development Authority, 5.75% due 6/1/2033 put 06/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 5,800,000 | 5,948,596 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2015 (Insured: Natl-Re) | AA/Aa2 | 4,600,000 | 4,600,644 | |||||||
Ohio State Building Authority, 5.00% due 10/1/2020 | AA/Aa2 | 1,700,000 | 1,939,207 |
Annual Report 33
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Ohio State Water Development Authority, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | $ | 5,500,000 | $ | 5,655,485 | |||||
Ohio State Water Development Authority, 3.625% due 10/1/2033 put 4/1/2020 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 2,000,000 | 2,026,980 | |||||||
Penta Career Center COP, 4.00% due 4/1/2017 (School District Facilities Project) | NR/Aa3 | 1,550,000 | 1,622,168 | |||||||
RiverSouth Authority, 5.00% due 12/1/2016 pre-refunded 12/1/2015 (RiverSouth Area Redevelopment) | AA+/Aa2 | 2,380,000 | 2,399,706 | |||||||
RiverSouth Authority, 5.00% due 12/1/2019 (RiverSouth Area Redevelopment) | AA+/Aa2 | 2,500,000 | 2,866,100 | |||||||
State of Ohio, 4.00% due 12/15/2018 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,092,830 | |||||||
State of Ohio, 4.00% due 12/15/2019 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,111,020 | |||||||
State of Ohio, 5.00% due 10/1/2020 (Cultural and Sports Capital Facilities) | AA/Aa2 | 3,845,000 | 4,469,082 | |||||||
State of Ohio, 5.00% due 12/15/2020 (Major New Street Infrastructure Project) | AA/Aa2 | 1,000,000 | 1,170,350 | |||||||
State of Ohio, 5.00% due 12/15/2021 (Major New Street Infrastructure Project) | AA/Aa2 | 2,500,000 | 2,964,225 | |||||||
State of Ohio GO, 5.50% due 9/15/2019 (Common Schools Capital Facilities) | AA+/Aa1 | 4,150,000 | 4,851,558 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 pre-refunded 7/1/2016 (Kenyon College) | A+/A1 | 3,500,000 | 3,625,720 | |||||||
University of Akron Ohio, 5.00% due 1/1/2018 (Insured: AGM) | AA/A1 | 3,415,000 | 3,736,147 | |||||||
University of Toledo, 3.50% due 6/1/2016 (Higher Education Facilities) | A/A1 | 1,000,000 | 1,020,290 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2015 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,000,000 | 1,004,320 | |||||||
Youngstown City School District GO, 3.00% due 12/1/2016 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,440,000 | 1,479,715 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2017 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,480,000 | 1,576,614 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2018 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,545,000 | 1,681,702 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2019 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,605,000 | 1,770,427 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2020 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,670,000 | 1,859,996 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2021 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,735,000 | 1,907,025 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2022 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,805,000 | 1,964,345 | |||||||
Youngstown City School District GO, 4.00% due 12/1/2023 (Educational Facilities) (State Aid Withholding) | NR/Aa2 | 1,700,000 | 1,828,010 | |||||||
OKLAHOMA — 1.74% | ||||||||||
Canadian County Educational Facilities Authority, 4.00% due 9/1/2019 (Mustang Public Schools) | A+/NR | 1,410,000 | 1,533,347 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2020 (Mustang Public Schools) | A+/NR | 2,690,000 | 3,004,380 | |||||||
Canadian County Educational Facilities Authority, 4.50% due 9/1/2021 (Mustang Public Schools) | A+/NR | 2,290,000 | 2,574,464 | |||||||
Cleveland County ISD No. 29 GO, 1.50% due 3/1/2017 (Norman School District) | NR/Aa3 | 3,630,000 | 3,676,319 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2016 (Western Heights Public Schools) | A+/NR | 3,000,000 | 3,116,850 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2017 (Western Heights Public Schools) | A+/NR | 4,075,000 | 4,381,847 | |||||||
Oklahoma County Finance Authority, 4.00% due 9/1/2018 (Western Heights Public Schools) | A+/NR | 250,000 | 269,840 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2018 (Western Heights Public Schools) | A+/NR | 2,120,000 | 2,345,017 | |||||||
Oklahoma County Finance Authority, 5.00% due 9/1/2020 (Western Heights Public Schools) | A+/NR | 2,000,000 | 2,299,940 | |||||||
Oklahoma County ISD No. 1 GO, 1.00% due 1/1/2016 | A+/NR | 4,075,000 | 4,081,357 | |||||||
Oklahoma DFA, 5.00% due 8/15/2017 (INTEGRIS Health) (ETM) | AA-/Aa3 | 4,375,000 | 4,731,694 | |||||||
Oklahoma DFA, 5.00% due 8/15/2018 (INTEGRIS Health) (ETM) | AA-/Aa3 | 500,000 | 559,040 | |||||||
Oklahoma DFA, 5.00% due 8/15/2022 (INTEGRIS Health) | AA-/Aa3 | 1,000,000 | 1,193,960 | |||||||
Oklahoma DFA, 5.00% due 8/15/2023 (INTEGRIS Health) | AA-/Aa3 | 1,500,000 | 1,806,225 | |||||||
Oklahoma DFA, 5.00% due 8/15/2024 (INTEGRIS Health) | AA-/Aa3 | 1,225,000 | 1,482,434 | |||||||
Oklahoma DFA, 5.00% due 8/15/2025 (INTEGRIS Health) | AA-/Aa3 | 1,000,000 | 1,214,510 | |||||||
Oklahoma State Industrial Authority, 5.00% due 7/1/2016 (Medical Research Foundation) | NR/A2 | 1,165,000 | 1,202,268 | |||||||
Oklahoma State Industrial Authority, 5.25% due 7/1/2017 (Medical Research Foundation) | NR/A2 | 1,075,000 | 1,152,024 | |||||||
Oklahoma Turnpike Authority, 0.01% due 1/1/2028 put 10/1/2015 (Oklahoma Turnpike System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA-/Aa3 | 70,715,000 | 70,715,000 | |||||||
Tulsa County Industrial Authority, 4.50% due 9/1/2020 (Broken Arrow Public Schools) | AA-/NR | 1,585,000 | 1,804,792 | |||||||
Tulsa County Industrial Authority, 4.50% due 9/1/2021 (Broken Arrow Public Schools) | AA-/NR | 8,775,000 | 9,962,257 | |||||||
Tulsa County ISD No. 3 GO, 2.00% due 4/1/2016 (Broken Arrow School District) | AA/NR | 1,725,000 | 1,740,646 | |||||||
Tulsa Parking Authority, 3.00% due 7/1/2017 | AA-/NR | 1,470,000 | 1,523,023 | |||||||
OREGON — 2.45% | ||||||||||
Oregon Facilities Authority, 5.00% due 3/15/2016 (Legacy Health System) | AA-/A1 | 1,000,000 | 1,020,130 | |||||||
Oregon Facilities Authority, 4.50% due 3/15/2018 (Legacy Health System) | AA-/A1 | 1,100,000 | 1,181,829 | |||||||
Polk County Dallas School District No. 2 GO, 0% due 6/15/2017 (Capital Improvements) | AA+/NR | 2,270,000 | 2,239,128 | |||||||
Polk County Dallas School District No. 2 GO, 0% due 6/15/2019 (Capital Improvements) | AA+/NR | 515,000 | 490,739 | |||||||
Polk County Dallas School District No. 2 GO, 0% due 6/15/2021 (Capital Improvements) | AA+/NR | 1,475,000 | 1,316,098 | |||||||
b State of Oregon GO, 2.00% due 9/15/2016 (Cash Management) | SP-1+/Mig1 | 158,000,000 | 160,619,640 | |||||||
State of Oregon GO, 0.01% due 6/1/2028 put 10/1/2015 (Veterans’ Loan Program; SPA: U.S. Bank, N.A.) (daily demand notes) | AA+/Aa1 | 4,600,000 | 4,600,000 | |||||||
State of Oregon GO, 0.01% due 6/1/2040 put 10/1/2015 (Veterans’ Loan Program; SPA: U.S. Bank, N.A.) (daily demand notes) | AA+/Aa1 | 3,000,000 | 3,000,000 | |||||||
State of Oregon GO, 0.01% due 12/1/2041 put 10/1/2015 (Veterans’ Loan Program; SPA: U.S. Bank, N.A.) (daily demand notes) | AA+/Aa1 | 3,500,000 | 3,500,000 | |||||||
PENNSYLVANIA — 5.23% | ||||||||||
Adams County IDA, 5.00% due 8/15/2016 (Gettysburg College) | A/A2 | 1,250,000 | 1,298,238 | |||||||
Adams County IDA, 5.00% due 8/15/2017 (Gettysburg College) | A/A2 | 1,340,000 | 1,441,599 |
34 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Adams County IDA, 5.00% due 8/15/2019 (Gettysburg College) | A/A2 | $ | 1,765,000 | $ | 2,004,916 | |||||
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2020 (Duquesne University of the Holy Spirit) | A-/A2 | 250,000 | 286,995 | |||||||
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2023 (Duquesne University of the Holy Spirit) | A-/A2 | 300,000 | 353,847 | |||||||
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2024 (Duquesne University of the Holy Spirit) | A-/A2 | 500,000 | 594,930 | |||||||
Allegheny County Higher Education Building Authority, 5.00% due 3/1/2025 (Duquesne University of the Holy Spirit) | A-/A2 | 1,145,000 | 1,372,763 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2017 (University of Pittsburgh Medical Center) | A+/Aa3 | 3,000,000 | 3,218,340 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2017 (University of Pittsburgh Medical Center) | A+/Aa3 | 1,875,000 | 2,026,031 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 5,915,000 | 6,531,875 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 6/15/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 3,310,000 | 3,663,938 | |||||||
Allegheny County Hospital Development Authority, 5.00% due 9/1/2018 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,100,000 | 2,338,896 | |||||||
Allegheny County Sanitary Authority, 4.00% due 12/1/2018 (2015 Capital Project) | A/A1 | 650,000 | 706,843 | |||||||
Allegheny County Sanitary Authority, 5.00% due 12/1/2023 (2015 Capital Project) | A/A1 | 14,500,000 | 17,290,960 | |||||||
Allegheny County Sanitary Authority, 5.00% due 12/1/2024 (2015 Capital Project) | A/A1 | 4,650,000 | 5,591,485 | |||||||
Allegheny County Sanitary Authority, 5.00% due 12/1/2025 (2015 Capital Project; Insured: BAM) | AA/A1 | 1,000,000 | 1,209,980 | |||||||
Altoona Area School District GO, 3.25% due 12/1/2016 (Insured: AGM) (State Aid Withholding) | AA/NR | 1,475,000 | 1,519,648 | |||||||
Altoona Area School District GO, 3.00% due 12/1/2022 (Insured: AGM) (State Aid Withholding) | AA/NR | 1,335,000 | 1,396,624 | |||||||
Athens Area School District GO, 2.00% due 4/15/2016 (Insured: AGM) (State Aid Withholding) | NR/A2 | 470,000 | 473,896 | |||||||
Athens Area School District GO, 3.00% due 4/15/2018 (Insured: AGM) (State Aid Withholding) | NR/A2 | 2,600,000 | 2,730,338 | |||||||
Athens Area School District GO, 3.00% due 4/15/2019 (Insured: AGM) (State Aid Withholding) | NR/A2 | 2,680,000 | 2,785,002 | |||||||
Beaver County IDA, 4.00% due 1/1/2035 put 7/1/2021 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 18,000,000 | 18,267,300 | |||||||
City of Philadelphia, 5.00% due 6/15/2017 (Water and Wastewater System; Insured: AGM) | AA/A1 | 5,570,000 | 5,984,297 | |||||||
City of Philadelphia, 5.00% due 10/1/2017 (Pennsylvania Gas Works) | A-/Baa1 | 400,000 | 432,308 | |||||||
City of Philadelphia, 5.00% due 7/1/2018 (Pennsylvania Gas Works) | AA/A2 | 1,395,000 | 1,541,698 | |||||||
City of Philadelphia, 5.00% due 8/1/2023 (Pennsylvania Gas Works) | A-/Baa1 | 3,750,000 | 4,430,850 | |||||||
City of Philadelphia, 5.00% due 8/1/2024 (Pennsylvania Gas Works) | A-/Baa1 | 4,000,000 | 4,742,120 | |||||||
City of Philadelphia, 5.00% due 8/1/2025 (Pennsylvania Gas Works) | A-/Baa1 | 1,900,000 | 2,263,926 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2016 (Insured: AGM) | AA/A1 | 3,030,000 | 3,164,320 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2017 (Insured: AGM) | AA/A1 | 2,210,000 | 2,310,665 | |||||||
City of Pittsburgh GO, 5.25% due 9/1/2018 pre-refunded 9/1/2016 (Insured: AGM) | AA/A1 | 3,240,000 | 3,387,517 | |||||||
City of Pittsburgh GO, 5.00% due 9/1/2022 (Insured: BAM) | AA/A1 | 1,100,000 | 1,309,099 | |||||||
Commonwealth of Pennsylvania GO, 5.00% due 10/1/2022 pre-refunded 10/1/2016 (Capital Facilities) | AA-/Aa3 | 575,000 | 601,945 | |||||||
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2023 (Capital Facilities) | AA-/Aa3 | 19,125,000 | 22,817,655 | |||||||
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2024 (Capital Facilities) | AA-/Aa3 | 15,500,000 | 18,635,340 | |||||||
Commonwealth of Pennsylvania GO, 5.00% due 8/15/2025 (Capital Facilities) | AA-/Aa3 | 14,825,000 | 17,972,644 | |||||||
Commonwealth of Pennsylvania State Public School Building Authority, 5.00% due 10/1/2016 (Harrisburg Area Community College Project) | A/NR | 1,390,000 | 1,445,614 | |||||||
County of Luzerne GO, 5.00% due 11/15/2021 (Insured: AGM) | AA/NR | 2,680,000 | 3,075,514 | |||||||
County of Luzerne GO, 5.00% due 11/15/2022 (Insured: AGM) | AA/NR | 2,560,000 | 2,943,974 | |||||||
County of Luzerne GO, 5.00% due 11/15/2023 (Insured: AGM) | AA/NR | 2,600,000 | 3,001,570 | |||||||
County of Luzerne GO, 5.00% due 11/15/2024 (Insured: AGM) | AA/NR | 4,000,000 | 4,621,840 | |||||||
Cumberland Valley School District GO, 5.00% due 11/15/2018 (Insured: AGM) (State Aid Withholding) | NR/Aa3 | 3,590,000 | 3,611,468 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2016 (Beaver County Sewer System; Insured: BAM) | AA/NR | 505,000 | 519,079 | |||||||
Economy Borough Municipal Authority, 3.00% due 12/15/2018 (Beaver County Sewer System; Insured: BAM) | AA/NR | 435,000 | 458,307 | |||||||
Economy Borough Municipal Authority, 4.00% due 12/15/2020 (Beaver County Sewer System; Insured: BAM) | AA/NR | 605,000 | 669,608 | |||||||
Economy Borough Municipal Authority, 4.00% due 12/15/2022 (Beaver County Sewer System; Insured: BAM) | AA/NR | 1,180,000 | 1,312,231 | |||||||
Geisinger Authority, 0.01% due 6/1/2041 put 10/1/2015 (Geisinger Health System; SPA: U.S. Bank, N.A.) (daily demand notes) | AA/Aa2 | 100,000 | 100,000 | |||||||
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.01% due 2/15/2021 put 10/1/2015 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AA/Aa2 | 35,455,000 | 35,455,000 | |||||||
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.01% due 7/1/2025 put 10/1/2015 (The Children’s Hospital of Philadelphia; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA/Aa2 | 32,290,000 | 32,290,000 | |||||||
Lancaster County Hospital Authority, 3.00% due 11/1/2016 (Masonic Villages Project) | A/NR | 1,550,000 | 1,587,076 | |||||||
Lancaster County Hospital Authority, 4.00% due 11/1/2017 (Masonic Villages Project) | A/NR | 865,000 | 914,426 | |||||||
Lancaster County Hospital Authority, 5.00% due 11/1/2018 (Masonic Villages Project) | A/NR | 1,105,000 | 1,228,141 | |||||||
Lancaster County Solid Waste Management Authority, 5.00% due 12/15/2023 (Harrisburg Resource Recovery Facility) | AA-/NR | 2,680,000 | 3,168,939 | |||||||
Lancaster County Solid Waste Management Authority, 5.25% due 12/15/2024 (Harrisburg Resource Recovery Facility) | AA-/NR | 4,000,000 | 4,780,080 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2021 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,400,000 | 2,800,464 | |||||||
Monroeville Finance Authority, 5.00% due 2/15/2022 (University of Pittsburgh Medical Center) | A+/Aa3 | 1,250,000 | 1,473,388 | |||||||
Montgomery County Higher Education & Health Authority, 5.00% due 6/1/2022 (Abington Memorial Hospital) | A/NR | 3,000,000 | 3,454,890 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2021 (Water System; Insured: AGM) | NR/A1 | 500,000 | 544,050 | |||||||
Northampton Borough Municipal Authority, 4.00% due 5/15/2022 (Water System; Insured: AGM) | NR/A1 | 1,185,000 | 1,290,975 | |||||||
Northampton Borough Municipal Authority, 3.00% due 5/15/2023 (Water System; Insured: AGM) | NR/A1 | 1,255,000 | 1,284,053 | |||||||
Norwin School District GO, 4.00% due 4/1/2018 (Insured: AGM) (State Aid Withholding) | AA/A1 | 1,835,000 | 1,966,496 | |||||||
Pennsylvania Economic DFA, 5.00% due 7/1/2016 (Pennsylvania Dept. of Labor and Industry) | AA+/Aaa | 10,000,000 | 10,361,600 | |||||||
Pennsylvania Economic DFA, 1.75% due 12/1/2033 put 12/1/2015 (Waste Management, Inc.) | A-/NR | 2,000,000 | 2,003,840 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) | A+/Aa3 | 5,600,000 | 6,333,096 |
Annual Report 35
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 5/15/2020 (University of Pittsburgh Medical Center) | A+/Aa3 | $ | 5,100,000 | $ | 5,891,163 | |||||
Pennsylvania Higher Educational Facilities Authority, 4.00% due 10/1/2022 (Shippensburg University Student Services, Inc., Student Housing) | BBB-/Baa3 | 1,825,000 | 1,904,296 | |||||||
Pennsylvania Higher Educational Facilities Authority, 5.00% due 11/1/2023 (Saint Joseph’s University) | A-/NR | 1,075,000 | 1,218,964 | |||||||
Philadelphia Authority for Industrial Development, 5.00% due 8/1/2020 (Mast Charter School) | BBB+/NR | 515,000 | 552,894 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2016 | A/A1 | 1,500,000 | 1,557,960 | |||||||
Philadelphia Parking Authority, 5.00% due 9/1/2017 | A/A1 | 1,020,000 | 1,093,644 | |||||||
Philadelphia School District GO, 4.50% due 9/1/2017 (State Aid Withholding) | A+/A2 | 2,270,000 | 2,416,415 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/A2 | 18,410,000 | 20,690,999 | |||||||
Philadelphia School District GO, 5.00% due 9/1/2019 (State Aid Withholding) | A+/A2 | 4,210,000 | 4,731,619 | |||||||
Philadelphia School District GO, 5.25% due 9/1/2021 (State Aid Withholding) | A+/A2 | 2,265,000 | 2,568,034 | |||||||
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2023 | A/A2 | 2,520,000 | 3,010,644 | |||||||
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2024 | A/A2 | 7,365,000 | 8,791,085 | |||||||
Pittsburgh Water and Sewer Authority, 5.00% due 9/1/2024 | A/A2 | 2,395,000 | 2,858,744 | |||||||
Plum Borough School District GO, 3.00% due 9/15/2016 (Insured: BAM) (State Aid Withholding) | AA/NR | 750,000 | 767,220 | |||||||
Plum Borough School District GO, 3.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding) | AA/NR | 240,000 | 249,694 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding) | AA/NR | 740,000 | 800,044 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) | AA/NR | 390,000 | 428,571 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) | AA/NR | 395,000 | 434,066 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2019 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,205,000 | 1,324,175 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,455,000 | 1,609,856 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,610,000 | 1,787,020 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2022 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,410,000 | 1,658,851 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,495,000 | 1,763,113 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2023 (Insured: BAM) (State Aid Withholding) | AA/NR | 470,000 | 554,290 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2024 (Insured: BAM) (State Aid Withholding) | AA/NR | 1,885,000 | 2,251,124 | |||||||
School District of Pittsburgh GO, 5.50% due 9/1/2016 (Insured: AGM) (State Aid Withholding) | AA/Aa3 | 4,000,000 | 4,184,600 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2016 (Wayne Memorial Hospital; Insured: AGM) | AA/NR | 500,000 | 505,625 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2017 (Wayne Memorial Hospital; Insured: AGM) | AA/NR | 1,000,000 | 1,022,070 | |||||||
Wayne County Hospital and HFA, 2.00% due 7/1/2018 (Wayne Memorial Hospital; Insured: AGM) | AA/NR | 625,000 | 641,750 | |||||||
Wayne County Hospital and HFA, 3.00% due 7/1/2019 (Wayne Memorial Hospital; Insured: AGM) | AA/NR | 1,185,000 | 1,236,986 | |||||||
West Mifflin Area School District GO, 3.70% due 10/1/2015 (Insured: AGM) (State Aid Withholding) (ETM) | AA/A2 | 2,210,000 | 2,210,221 | |||||||
RHODE ISLAND — 1.63% | ||||||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2018 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 870,000 | 974,879 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2019 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 1,250,000 | 1,437,988 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2020 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 1,300,000 | 1,526,213 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2021 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 2,000,000 | 2,387,720 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2022 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 2,280,000 | 2,755,927 | |||||||
Rhode Island Clean Water Finance Agency, 5.00% due 10/1/2023 (Public Drinking Water Supply or Treatment Facilities) | AAA/NR | 2,380,000 | 2,902,648 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2018 (Convention Center and Parking Projects) | AA-/Aa3 | 5,615,000 | 6,181,329 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2019 (Convention Center and Parking Projects) | AA-/Aa3 | 7,310,000 | 8,246,850 | |||||||
Rhode Island Convention Center Authority, 5.00% due 5/15/2020 (Convention Center and Parking Projects) | AA-/Aa3 | 5,890,000 | 6,755,830 | |||||||
Rhode Island Health & Educational Building Corp., 5.00% due 9/15/2020 (University of Rhode Island Auxiliary Enterprise) | A+/A1 | 750,000 | 864,630 | |||||||
Rhode Island Health & Educational Building Corp., 5.00% due 9/15/2023 (University of Rhode Island Auxiliary Enterprise) | A+/A1 | 1,400,000 | 1,651,076 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2015 (Shepard’s Building; Insured: AGM) | AA/Aa3 | 800,000 | 800,104 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Kent County Courthouse) | AA-/Aa3 | 600,000 | 684,546 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2019 (Training School Project) | AA-/Aa3 | 1,575,000 | 1,789,672 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Kent County Courthouse) | AA-/Aa3 | 1,375,000 | 1,594,588 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2020 (Training School Project) | AA-/Aa3 | 1,405,000 | 1,629,379 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Kent County Courthouse) | AA-/Aa3 | 2,000,000 | 2,344,580 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2021 (Training School Project) | AA-/Aa3 | 3,540,000 | 4,149,907 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 4/1/2022 (Energy Conservation Project) | AA-/Aa3 | 2,020,000 | 2,376,065 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Kent County Courthouse) | AA-/Aa3 | 2,100,000 | 2,485,287 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2022 (Training School Project) | AA-/Aa3 | 3,620,000 | 4,284,161 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Kent County Courthouse) | AA-/Aa3 | 1,500,000 | 1,785,435 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2023 (Training School Project) | AA-/Aa3 | 1,705,000 | 2,029,444 | |||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 11/1/2024 (Information Technology Project) | AA-/Aa3 | 3,010,000 | 3,608,207 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2016 (Consolidated Capital Development Loan) | AA/Aa2 | 3,000,000 | 3,117,060 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 10/1/2019 (Consolidated Capital Development Loan) | AA/Aa2 | 5,000,000 | 5,721,350 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2020 (Consolidated Capital Development Loan) | AA/Aa2 | 8,365,000 | 9,739,119 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2020 (Consolidated Capital Development Loan) | AA/Aa2 | 1,200,000 | 1,341,468 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2021 (Consolidated Capital Development Loan) | AA/Aa2 | 16,535,000 | 19,551,645 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2021 (Consolidated Capital Development Loan) | AA/Aa2 | 1,000,000 | 1,124,550 | |||||||
State of Rhode Island and Providence Plantations GO, 5.00% due 8/1/2022 (Consolidated Capital Development Loan) | AA/Aa2 | 9,825,000 | 11,719,456 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2022 (Consolidated Capital Development Loan) | AA/Aa2 | 1,000,000 | 1,129,470 |
36 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
SOUTH CAROLINA — 0.48% | ||||||||||
Berkeley County School District, 5.00% due 12/1/2020 (School Facility Equipment Acquisition) | AA-/NR | $ | 550,000 | $ | 633,550 | |||||
Berkeley County School District, 5.00% due 12/1/2021 (School Facility Equipment Acquisition) | AA-/NR | 1,000,000 | 1,162,860 | |||||||
Berkeley County School District, 5.00% due 12/1/2024 (School Facility Equipment Acquisition) | AA-/NR | 2,000,000 | 2,365,260 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2019 (City of Charleston Project) | AA+/Aa1 | 390,000 | 446,027 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2020 (City of Charleston Project) | AA+/Aa1 | 700,000 | 814,422 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2021 (City of Charleston Project) | AA+/Aa1 | 460,000 | 542,575 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2022 (City of Charleston Project) | AA+/Aa1 | 425,000 | 507,102 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2023 (City of Charleston Project) | AA+/Aa1 | 345,000 | 415,125 | |||||||
City of Charleston Public Facilities Corp., 5.00% due 9/1/2025 (City of Charleston Project) | AA+/Aa1 | 930,000 | 1,137,074 | |||||||
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2016 (Convention Center Complex) | AA-/NR | 1,560,000 | 1,625,863 | |||||||
City of North Charleston Public Facilities Corp. COP, 5.00% due 10/1/2017 (Convention Center Complex) | AA-/NR | 710,000 | 763,158 | |||||||
County of Charleston, 5.00% due 12/1/2022 (South Aviation Ave. Construction) | AA+/NR | 1,810,000 | 2,169,050 | |||||||
County of Charleston, 5.00% due 12/1/2023 (South Aviation Ave. Construction) | AA+/NR | 2,460,000 | 2,968,285 | |||||||
Greenville County School District, 5.50% due 12/1/2016 (Building Equity Sooner for Tomorrow) | AA/Aa2 | 3,500,000 | 3,708,075 | |||||||
Greenwood County, 5.00% due 10/1/2022 (Self Regional Healthcare) | A+/A1 | 1,000,000 | 1,150,970 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2015 (Insured: AGM) | AA/A1 | 1,000,000 | 1,007,820 | |||||||
Greenwood Fifty Facilities School District, 5.00% due 12/1/2016 (Insured: AGM) | AA/A1 | 1,000,000 | 1,050,360 | |||||||
Lexington One School Facilities Corp., 5.00% due 12/1/2015 (Lexington County School District No. 1) (ETM) | NR/Aa3 | 1,000,000 | 1,008,280 | |||||||
Piedmont Municipal Power Agency, 5.00% due 1/1/2016 (Electric Generation and Transmission Facilities) | A-/Baa1 | 490,000 | 495,836 | |||||||
Piedmont Municipal Power Agency, 6.75% due 1/1/2019 (Insured: Natl-Re) | NR/A3 | 3,800,000 | 4,453,752 | |||||||
SCAGO Educational Facilities Corp., 5.00% due 12/1/2021 (School District of Pickens County) | A/A1 | 1,810,000 | 2,122,080 | |||||||
SCAGO Educational Facilities Corp., 5.00% due 12/1/2022 (School District of Pickens County) | A/A1 | 500,000 | 592,460 | |||||||
SCAGO Educational Facilities Corp., 5.00% due 12/1/2023 (School District of Pickens County) | A/A1 | 1,000,000 | 1,191,800 | |||||||
SCAGO Educational Facilities Corp., 5.00% due 12/1/2024 (School District of Pickens County) | A/A1 | 1,010,000 | 1,212,818 | |||||||
SCAGO Educational Facilities Corp., 5.00% due 12/1/2025 (School District of Pickens County) | A/A1 | 1,000,000 | 1,197,130 | |||||||
SOUTH DAKOTA — 0.33% | ||||||||||
South Dakota Building Authority, 4.50% due 6/1/2016 (Insured: Natl-Re) (ETM) | AA+/A3 | 2,000,000 | 2,056,780 | |||||||
South Dakota Building Authority, 5.00% due 6/1/2022 | AA+/Aa2 | 500,000 | 596,230 | |||||||
South Dakota Building Authority, 5.00% due 6/1/2024 | AA+/Aa2 | 1,000,000 | 1,198,670 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2015 (Sanford Health) | A+/A1 | 1,310,000 | 1,315,306 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2016 (Regional Health) | NR/A1 | 1,000,000 | 1,040,300 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2017 (Prairie Lakes Health) | A+/NR | 2,215,000 | 2,321,829 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2017 (Regional Health) | NR/A1 | 1,100,000 | 1,184,656 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2018 (Prairie Lakes Health) | A+/NR | 2,290,000 | 2,449,361 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) | NR/A1 | 1,000,000 | 1,107,860 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2018 (Regional Health) | NR/A1 | 1,275,000 | 1,412,521 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 4/1/2019 (Prairie Lakes Health) | A+/NR | 2,440,000 | 2,650,206 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 9/1/2020 (Regional Health) | NR/A1 | 1,000,000 | 1,149,470 | |||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Avera Health) | AA-/A1 | 1,670,000 | 1,942,945 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2016 (Single Family Mtg) | NR/Aa3 | 1,040,000 | 1,076,057 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2017 (Single Family Mtg) | NR/Aa3 | 1,055,000 | 1,116,179 | |||||||
South Dakota Housing Development Authority, 4.00% due 11/1/2018 (Single Family Mtg) | NR/Aa3 | 1,165,000 | 1,257,245 | |||||||
TENNESSEE — 0.48% | ||||||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2015 | NR/Baa1 | 3,500,000 | 3,532,410 | |||||||
Clarksville Natural Gas Acquisition Corp., 5.00% due 12/15/2019 | NR/Baa1 | 6,000,000 | 6,699,720 | |||||||
Hallsdale-Powell Utility District, 3.00% due 4/1/2016 | AA/NR | 500,000 | 506,765 | |||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2017 | A-/A3 | 5,000,000 | 5,234,600 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2017 | A-/A3 | 11,000,000 | 11,862,400 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2018 | A-/A3 | 5,000,000 | 5,519,950 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2020 | A-/A3 | 1,190,000 | 1,349,412 | |||||||
TEXAS — 6.07% | ||||||||||
Austin Community College Public Facilities Corp., 5.25% due 8/1/2017 (Round Rock Campus) (ETM) | AA/Aa2 | 1,500,000 | 1,626,570 | |||||||
Bexar Metropolitan Water District, 4.50% due 5/1/2021 (Waterworks System; Insured: Natl-Re) | AA-/A1 | 1,200,000 | 1,227,948 | |||||||
Brazos River Authority, 4.90% due 10/1/2015 (Houston Industries, Inc. Project; Insured: Natl-Re) | AA-/NR | 4,685,000 | 4,685,562 | |||||||
Capital Area Cultural Education Facilities Finance Corp., 5.00% due 4/1/2018 (Roman Catholic Diocese of Austin) | NR/Baa1 | 1,370,000 | 1,487,889 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2015 (DFW International Airport Development Plan) | A+/A2 | 3,370,000 | 3,384,356 | |||||||
Cities of Dallas and Fort Worth, 5.25% due 11/1/2023 (DFW International Airport Terminal Renewal & Improvement Program) | A+/A2 | 3,000,000 | 3,568,620 | |||||||
City of Austin, 5.00% due 5/15/2016 (Water and Wastewater System; Insured: Natl-Re) | AA/Aa2 | 1,500,000 | 1,509,045 | |||||||
City of Austin, 5.00% due 11/15/2022 (Water and Wastewater System) | AA/Aa2 | 2,640,000 | 3,161,690 | |||||||
City of Beaumont, 5.00% due 9/1/2023 (Waterworks & Sewer System Improvements; Insured: AGM) | AA/A2 | 5,000,000 | 6,019,000 | |||||||
City of Beaumont, 5.00% due 9/1/2024 (Waterworks & Sewer System Improvements; Insured: AGM) | AA/A2 | 2,500,000 | 2,995,425 | |||||||
City of Brownsville, 5.00% due 9/1/2020 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | 1,500,000 | 1,726,995 | |||||||
City of Brownsville, 5.00% due 9/1/2022 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | 1,520,000 | 1,787,474 |
Annual Report 37
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Brownsville, 5.00% due 9/1/2022 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | $ | 1,300,000 | $ | 1,528,761 | |||||
City of Brownsville, 5.00% due 9/1/2023 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | 2,380,000 | 2,816,920 | |||||||
City of Bryan, 5.00% due 7/1/2019 (Electric System) | A+/A2 | 8,000,000 | 8,516,880 | |||||||
City of Denton GO, 4.00% due 2/15/2016 | AA+/Aa2 | 3,535,000 | 3,586,187 | |||||||
City of Denton GO, 5.00% due 2/15/2017 | AA+/Aa2 | 3,675,000 | 3,901,968 | |||||||
City of Denton GO, 5.00% due 2/15/2019 | AA+/Aa2 | 3,990,000 | 4,517,638 | |||||||
City of Denton GO, 5.00% due 2/15/2020 | AA+/Aa2 | 4,195,000 | 4,712,202 | |||||||
City of Houston, 5.00% due 7/1/2017 (Airport System) | AA-/Aa3 | 1,600,000 | 1,718,176 | |||||||
City of Houston, 5.00% due 7/1/2018 (Airport System) | AA-/Aa3 | 1,000,000 | 1,107,750 | |||||||
City of Houston, 0% due 9/1/2020 (Convention & Entertainment Facilities; Insured: AGM/AMBAC) | AA/A2 | 3,650,000 | 3,225,322 | |||||||
City of Houston, 5.00% due 9/1/2020 (Convention & Entertainment Facilities) | A-/A2 | 650,000 | 750,575 | |||||||
City of Houston, 5.00% due 9/1/2021 (Convention & Entertainment Facilities) | A-/A2 | 1,500,000 | 1,750,305 | |||||||
City of Houston, 5.00% due 5/15/2022 (Combined Utility System) | AA/Aa2 | 3,000,000 | 3,593,700 | |||||||
City of Houston, 5.00% due 9/1/2022 (Convention & Entertainment Facilities) | A-/A2 | 600,000 | 704,742 | |||||||
City of Houston, 5.00% due 11/15/2022 (Combined Utility System) | AA/Aa2 | 5,000,000 | 6,046,300 | |||||||
City of Houston, 5.00% due 5/15/2023 (Combined Utility System) | AA/Aa2 | 4,445,000 | 5,385,651 | |||||||
City of Houston, 5.00% due 11/15/2023 (Combined Utility System) | AA/Aa2 | 5,000,000 | 6,096,650 | |||||||
City of Houston, 5.00% due 5/15/2024 (Combined Utility System) | AA/Aa2 | 7,250,000 | 8,868,852 | |||||||
City of Houston, 5.00% due 9/1/2024 (Convention & Entertainment Facilities) | A-/A2 | 1,215,000 | 1,446,470 | |||||||
City of Houston, 5.00% due 11/15/2024 (Combined Utility System) | AA/Aa2 | 5,000,000 | 6,156,300 | |||||||
City of Laredo, 5.00% due 3/15/2021 (Sports Venues; Insured: AGM) | AA/A1 | 600,000 | 698,838 | |||||||
City of Laredo, 5.00% due 3/15/2022 (Sports Venues; Insured: AGM) | AA/A1 | 2,000,000 | 2,352,520 | |||||||
City of Laredo, 5.00% due 3/15/2023 (Sports Venues; Insured: AGM) | AA/A1 | 1,500,000 | 1,772,715 | |||||||
City of Laredo, 5.00% due 3/15/2024 (Sports Venues; Insured: AGM) | AA/A1 | 300,000 | 356,952 | |||||||
City of Laredo GO, 5.00% due 2/15/2018 pre-refunded 2/15/2017 (Streets, Sidewalks, Drainage, Signals, Lighting; Insured: Natl-Re) | AA/Aa2 | 2,000,000 | 2,123,800 | |||||||
City of Lubbock GO, 5.00% due 2/15/2020 (Waterworks System) | AA+/Aa2 | 2,000,000 | 2,306,580 | |||||||
City of Lubbock GO, 5.00% due 2/15/2020 (Waterworks System) | AA+/Aa2 | 2,325,000 | 2,681,399 | |||||||
City of Lubbock GO, 5.00% due 2/15/2021 (Waterworks System) | AA+/Aa2 | 7,490,000 | 8,793,934 | |||||||
City of Lubbock GO, 5.00% due 2/15/2022 (Waterworks System) | AA+/Aa2 | 2,895,000 | 3,435,468 | |||||||
City of Lubbock GO, 5.00% due 2/15/2023 (Waterworks System) | AA+/Aa2 | 500,000 | 599,905 | |||||||
City of Lubbock GO, 5.00% due 2/15/2023 (Waterworks System) | AA+/Aa2 | 4,180,000 | 5,015,206 | |||||||
City of Lubbock GO, 5.00% due 2/15/2024 (Waterworks System) | AA+/Aa2 | 4,460,000 | 5,398,964 | |||||||
City of Lubbock GO, 5.00% due 2/15/2024 (Waterworks System) | AA+/Aa2 | 4,440,000 | 5,374,753 | |||||||
City of Lubbock GO, 5.00% due 2/15/2025 (Waterworks System) | AA+/Aa2 | 7,735,000 | 9,466,093 | |||||||
City of Lubbock GO, 5.00% due 2/15/2025 (Waterworks System) | AA+/Aa2 | 5,725,000 | 7,006,255 | |||||||
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 | 4,187,145 | |||||||
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 | 1,167,950 | |||||||
City of San Antonio, 5.00% due 2/1/2022 (CPS Energy) | AA/Aa1 | 20,000,000 | 23,940,200 | |||||||
City of San Antonio, 5.25% due 2/1/2024 (CPS Energy) | AA/Aa1 | 7,000,000 | 8,722,350 | |||||||
City of San Antonio Public Facilities Corp., 5.00% due 9/15/2022 (Convention Center Refinancing & Expansion) | AA+/Aa2 | 1,450,000 | 1,729,589 | |||||||
City of Weslaco GO, 5.25% due 2/15/2019 (Waterworks and Sewer System; Insured: Natl-Re) | AA-/A2 | 2,835,000 | 2,986,871 | |||||||
Clifton Higher Education Finance Corp., 5.00% due 8/15/2016 (IDEA Public Schools) | BBB/NR | 225,000 | 232,457 | |||||||
Clifton Higher Education Finance Corp., 5.00% due 8/15/2017 (IDEA Public Schools) | BBB/NR | 315,000 | 336,212 | |||||||
Clifton Higher Education Finance Corp., 5.00% due 8/15/2018 (IDEA Public Schools) | BBB/NR | 325,000 | 356,210 | |||||||
Clifton Higher Education Finance Corp., 5.00% due 8/15/2019 (IDEA Public Schools) | BBB/NR | 445,000 | 498,769 | |||||||
Clifton Higher Education Finance Corp., 5.00% due 8/15/2023 (IDEA Public Schools) | BBB/NR | 1,100,000 | 1,254,077 | |||||||
Collin County GO, 5.00% due 2/15/2016 (Road and Highway Construction) | AAA/Aaa | 1,465,000 | 1,491,751 | |||||||
Corpus Christi Business & Job Development Corp., 5.00% due 3/1/2021 (Seawall Project) | A+/A1 | 625,000 | 722,256 | |||||||
Dallas Convention Center Hotel Development Corp., 0% due 1/1/2018 | A+/A1 | 5,240,000 | 5,020,339 | |||||||
Dallas Convention Center Hotel Development Corp., 5.00% due 1/1/2019 | A+/A1 | 5,200,000 | 5,765,084 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | A-/A3 | 1,160,000 | 1,229,658 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2017 (Insured: AMBAC) | A-/A3 | 1,260,000 | 1,335,663 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | A-/A3 | 1,935,000 | 2,044,753 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2018 (Insured: AMBAC) | A-/A3 | 2,035,000 | 2,150,425 | |||||||
Dallas County Utility & Reclamation District, 5.00% due 2/15/2019 (Insured: AMBAC) | A-/A3 | 2,175,000 | 2,293,124 | |||||||
Grayson County GO, 1.625% due 1/1/2017 (State Highway Toll System) | AA/Aa2 | 1,200,000 | 1,216,236 | |||||||
Grayson County GO, 4.00% due 1/1/2020 (State Highway Toll System) | AA/Aa2 | 2,000,000 | 2,218,300 | |||||||
Grayson County GO, 5.00% due 1/1/2022 (State Highway Toll System) | AA/Aa2 | 3,000,000 | 3,551,580 | |||||||
Guadalupe-Blanco River Authority, 5.625% due 10/1/2017 (AEP Texas Central Co.) | BBB/Baa1 | 5,000,000 | 5,421,400 | |||||||
Gulf Coast Waste Disposal Authority, 4.00% due 10/1/2016 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/A2 | 500,000 | 517,045 | |||||||
Gulf Coast Waste Disposal Authority, 4.00% due 10/1/2017 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/A2 | 800,000 | 848,208 | |||||||
a Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2019 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/A2 | 1,000,000 | 1,136,300 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2020 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/A2 | 2,000,000 | 2,295,560 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2022 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/A2 | 1,635,000 | 1,906,083 | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2023 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/NR | 500,000 | 593,645 |
38 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2024 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/NR | $ | 350,000 | $ | 419,524 | |||||
Gulf Coast Waste Disposal Authority, 5.00% due 10/1/2025 (Bayport Area Wastewater Treatment System; Insured: AGM) | AA/NR | 1,000,000 | 1,205,550 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 11/15/2015 (Texas Medical Center Central Heating & Cooling Services Corp.) | AA/Aa3 | 1,450,000 | 1,458,816 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 11/15/2018 (Texas Medical Center Central Heating & Cooling Services Corp.) | AA/Aa3 | 1,365,000 | 1,533,577 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 11/15/2019 (Texas Medical Center Central Heating & Cooling Services Corp.) | AA/Aa3 | 1,000,000 | 1,147,910 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2022 (Memorial Hermann Health) | A+/A1 | 200,000 | 235,918 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2023 (Memorial Hermann Health) | A+/A1 | 400,000 | 475,660 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2024 (Memorial Hermann Health) | A+/A1 | 3,000,000 | 3,601,980 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2025 (Memorial Hermann Health) | A+/A1 | 2,845,000 | 3,379,803 | |||||||
Harris County Cultural Education Facilities Finance Corp., 0.01% due 9/1/2031 put 10/1/2015 (Texas Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 100,000 | 100,000 | |||||||
Harris County GO, 4.00% due 10/1/2015 (County Permanent Improvements) | AAA/NR | 2,995,000 | 2,995,329 | |||||||
Harris County GO, 5.00% due 10/1/2015 (County Permanent Improvements) | AAA/NR | 4,000,000 | 4,000,560 | |||||||
Harris County Health Facilities Development Corp., 5.00% due 7/1/2016 (CHRISTUS Health System; Insured: AGM) | AA/A1 | 6,260,000 | 6,472,777 | |||||||
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, N.A.) | NR/A1 | 1,245,000 | 1,481,600 | |||||||
Harris County Hospital District, 5.00% due 2/15/2017 (Insured: Natl-Re) | AA-/A2 | 1,500,000 | 1,575,690 | |||||||
Harris County-Houston Sports Authority, 5.00% due 11/15/2022 (Insured: AGM) | AA/A2 | 5,410,000 | 6,430,867 | |||||||
Harris County-Houston Sports Authority, 5.00% due 11/15/2023 (Insured: AGM) | AA/A2 | 9,475,000 | 11,302,822 | |||||||
Harris County-Houston Sports Authority, 5.00% due 11/15/2024 (Insured: AGM) | AA/A2 | 7,930,000 | 9,524,961 | |||||||
Hays County GO, 5.00% due 2/15/2022 | AA/NR | 750,000 | 887,543 | |||||||
Hays County GO, 5.00% due 2/15/2023 | AA/NR | 1,500,000 | 1,789,530 | |||||||
Hays County GO, 5.00% due 2/15/2024 | AA/NR | 1,300,000 | 1,563,783 | |||||||
Hays County GO, 5.00% due 2/15/2025 | AA/NR | 500,000 | 605,335 | |||||||
Houston Higher Education Finance Corp., 5.00% due 8/15/2016 (KIPP, Inc.; Guaranty: PSF) | AAA/NR | 880,000 | 914,118 | |||||||
a Houston Higher Education Finance Corp., 5.00% due 8/15/2017 (KIPP, Inc.; Guaranty: PSF) | AAA/NR | 925,000 | 995,578 | |||||||
Houston Higher Education Finance Corp., 5.00% due 8/15/2019 (KIPP, Inc.; Guaranty: PSF) | AAA/NR | 1,020,000 | 1,154,936 | |||||||
Houston Higher Education Finance Corp., 5.875% due 5/15/2021 (Cosmos Foundation, Inc.) | BBB/NR | 1,645,000 | 1,849,983 | |||||||
Houston Higher Education Finance Corp., 5.00% due 8/15/2021 (KIPP Inc.; Guaranty: PSF) | AAA/NR | 300,000 | 350,544 | |||||||
Houston Higher Education Finance Corp., 5.00% due 8/15/2022 (KIPP, Inc.; Guaranty: PSF) | AAA/NR | 1,185,000 | 1,398,620 | |||||||
Houston ISD GO, 2.00% due 6/1/2037 put 6/1/2016 (Harris County School Buildings; Guaranty: PSF) | AAA/Aaa | 10,000,000 | 10,103,900 | |||||||
Hutto ISD GO, 0% due 8/1/2017 pre-refunded 8/1/2016 (Guaranty: PSF) | AAA/NR | 2,170,000 | 2,065,341 | |||||||
Irving ISD GO, 0% due 2/15/2017 pre-refunded 2/15/2016 (Guaranty: PSF) | NR/Aaa | 155,000 | 147,537 | |||||||
Irving ISD GO, 0% due 2/15/2017 (Guaranty: PSF) | AAA/Aaa | 845,000 | 804,220 | |||||||
Kerrville Health Facilities Development Corp., 5.25% due 8/15/2021 (Sid Peterson Memorial Hospital) | BBB+/NR | 4,000,000 | 4,038,520 | |||||||
a Laredo Community College District GO, 5.00% due 8/1/2019 (School Facilities Improvements) | AA-/Aa3 | 880,000 | 1,001,546 | |||||||
Laredo Community College District GO, 5.00% due 8/1/2020 (School Facilities Improvements) | AA-/Aa3 | 1,360,000 | 1,577,083 | |||||||
Laredo Community College District GO, 5.00% due 8/1/2022 (School Facilities Improvements) | AA-/Aa3 | 655,000 | 775,022 | |||||||
Laredo Community College District GO, 5.00% due 8/1/2023 (School Facilities Improvements) | AA-/Aa3 | 610,000 | 725,821 | |||||||
Laredo Community College District GO, 5.00% due 8/1/2024 (School Facilities Improvements) | AA-/Aa3 | 715,000 | 857,371 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2025 pre-refunded 5/15/2022 | NR/NR | 55,000 | 66,101 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2025 | A/A2 | 8,020,000 | 9,293,656 | |||||||
New Caney ISD GO, 5.00% due 2/15/2024 (Guaranty: PSF) | AAA/Aaa | 865,000 | 1,034,661 | |||||||
a North East ISD GO, 5.00% due 8/1/2016 (Educational Facilities; Guaranty: PSF) | AAA/Aaa | 2,000,000 | 2,080,660 | |||||||
North East ISD GO, 2.00% due 8/1/2044 (Educational Facilities; Guaranty: PSF) | AAA/Aaa | 10,615,000 | 10,769,554 | |||||||
North Texas University, 5.00% due 4/15/2016 | NR/Aa2 | 2,250,000 | 2,307,780 | |||||||
Northside ISD GO, 2.00% due 6/1/2039 put 6/1/2019 (Educational Facilities; Guaranty: PSF) | NR/Aaa | 2,185,000 | 2,227,236 | |||||||
Pasadena ISD GO, 3.00% due 2/15/2044 put 8/15/2019 (Educational Facilities; Guaranty: PSF) | AAA/Aaa | 8,775,000 | 9,267,102 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2017 | BBB+/NR | 1,000,000 | 1,079,210 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2019 | BBB+/NR | 2,565,000 | 2,911,403 | |||||||
Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2020 | BBB+/NR | 1,620,000 | 1,866,094 | |||||||
San Antonio Education Facilities Corp., 0.02% due 6/1/2033 put 10/7/2015 (Trinity University) (weekly demand notes) | AA/NR | 2,000,000 | 2,000,000 | |||||||
San Antonio Public Facilities Corp., 5.00% due 9/15/2020 (Convention Center Refinancing & Expansion) | AA+/Aa2 | 915,000 | 1,065,582 | |||||||
San Juan Higher Education Finance Authority, 5.125% due 8/15/2020 (IDEA Public Schools) | BBB/NR | 1,365,000 | 1,503,411 | |||||||
Tarrant County Cultural Education Facilities Finance Corp., 5.00% due 8/15/2016 (Scott & White Memorial Hospital) (ETM) | AA-/Aa3 | 2,280,000 | 2,373,776 | |||||||
Tarrant County Cultural Education Facilities Finance Corp., 5.00% due 8/15/2017 (Scott & White Memorial Hospital) (ETM) | AA-/Aa3 | 2,000,000 | 2,162,660 | |||||||
Texas Municipal Power Agency, 5.00% due 9/1/2017 (Insured: AGM) | AA/A2 | 10,000,000 | 10,813,500 | |||||||
Texas Public Finance Authority, 5.00% due 10/15/2015 (Stephen F. Austin University; Insured: Natl-Re) | NR/A1 | 1,450,000 | 1,452,871 | |||||||
Texas Public Finance Authority, 5.00% due 7/1/2017 pre-refunded 1/1/2016 (Unemployment Compensation) | AAA/Aaa | 15,500,000 | 15,690,650 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2022 (Central Texas Turnpike System) | BBB+/Baa1 | 400,000 | 466,556 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2023 (Central Texas Turnpike System) | BBB+/Baa1 | 730,000 | 854,115 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2024 (Central Texas Turnpike System) | BBB+/Baa1 | 1,000,000 | 1,178,810 | |||||||
Uptown Development Authority, 5.00% due 9/1/2017 (Infrastructure Improvements) | BBB/NR | 1,580,000 | 1,692,085 |
Annual Report 39
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Uptown Development Authority, 5.00% due 9/1/2018 (Infrastructure Improvements) | BBB/NR | $ | 1,870,000 | $ | 2,058,085 | |||||
Uptown Development Authority, 5.00% due 9/1/2019 (Infrastructure Improvements) | BBB/NR | 1,945,000 | 2,185,207 | |||||||
Walnut Creek Special Utility District, 4.00% due 1/10/2020 (Water System Improvements; Insured: BAM) | AA/NR | 520,000 | 570,809 | |||||||
Walnut Creek Special Utility District, 4.00% due 1/10/2021 (Water System Improvements; Insured: BAM) | AA/NR | 445,000 | 489,251 | |||||||
Walnut Creek Special Utility District, 5.00% due 1/10/2022 (Water System Improvements; Insured: BAM) | AA/NR | 525,000 | 610,281 | |||||||
Walnut Creek Special Utility District, 5.00% due 1/10/2024 (Water System Improvements; Insured: BAM) | AA/NR | 750,000 | 882,518 | |||||||
West Harris County Regional Water Authority, 5.00% due 12/15/2020 (Insured: Natl-Re) | AA-/A1 | 2,140,000 | 2,309,146 | |||||||
Ysleta ISD, 5.00% due 8/15/2017 (District’s Unlimited Tax School Building Bonds; Guaranty: PSF) | AAA/Aaa | 2,190,000 | 2,367,675 | |||||||
U.S. VIRGIN ISLANDS — 0.10% | ||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2019 (Matching Fund Loan Diageo Project) | NR/Baa3 | 6,352,000 | 7,069,395 | |||||||
UTAH — 1.38% | ||||||||||
City of Murray, 0.01% due 5/15/2037 put 10/1/2015 (IHC Health Services, Inc.; SPA: Wells Fargo Bank N.A.) (daily demand notes) | AA+/Aa1 | 6,780,000 | 6,780,000 | |||||||
City of Murray, 0.01% due 5/15/2037 put 10/1/2015 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 38,390,000 | 38,390,000 | |||||||
Utah Transit Authority, 5.00% due 6/15/2022 (Integrated Mass Transit System) | A+/A1 | 710,000 | 846,341 | |||||||
Utah Transit Authority, 5.00% due 6/15/2023 (Integrated Mass Transit System) | A+/A1 | 775,000 | 931,721 | |||||||
Utah Transit Authority, 5.00% due 6/15/2024 (Integrated Mass Transit System) | A+/A1 | 825,000 | 1,001,236 | |||||||
Utah Transit Authority, 5.00% due 6/15/2025 (Integrated Mass Transit System) | A+/A1 | 1,235,000 | 1,499,648 | |||||||
Weber County, 0.01% due 2/15/2031 put 10/1/2015 (IHC Health Services, Inc.; SPA: The Bank of NY Mellon) (daily demand notes) | AA+/Aa1 | 29,800,000 | 29,800,000 | |||||||
Weber County, 0.01% due 2/15/2035 put 10/1/2015 (IHC Health Services, Inc.; SPA: The Bank of NY Mellon) (daily demand notes) | AA+/Aa1 | 20,700,000 | 20,700,000 | |||||||
VERMONT — 0.28% | ||||||||||
Vermont Colleges GO, 4.00% due 7/1/2017 | A-/NR | 3,650,000 | 3,798,774 | |||||||
Vermont EDA, 5.00% due 12/15/2020 (Vermont Public Service Corp.) | NR/NR | 14,250,000 | 16,345,605 | |||||||
VIRGINIA — 0.29% | ||||||||||
Fairfax County EDA, 5.00% due 8/1/2016 (Wiehle Avenue Metrorail Station Parking Project) | AA+/Aa2 | 2,600,000 | 2,701,686 | |||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 5,000,000 | 5,000,550 | |||||||
Fairfax County GO, 5.00% due 10/1/2016 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 1,100,000 | 1,152,008 | |||||||
Fairfax County IDA, 4.00% due 5/15/2022 (Inova Health System) | AA+/Aa2 | 5,500,000 | 6,186,950 | |||||||
Fairfax County IDA, 5.00% due 5/15/2022 (Inova Health System) | AA+/Aa2 | 5,000,000 | 5,981,500 | |||||||
WASHINGTON — 2.15% | ||||||||||
Bremerton School District No. 100C GO, 0% due 12/1/2015 (Insured: AGM) | NR/Aa1 | 1,270,000 | 1,269,657 | |||||||
City of Seattle Municipal Light & Power, 5.00% due 2/1/2016 (Municipal Light & Power Improvements) | AA/Aa2 | 800,000 | 813,088 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 3) | AA-/Aa1 | 5,470,000 | 5,891,956 | |||||||
Energy Northwest, 5.00% due 7/1/2017 (Bonneville Power Administration Project 1) | AA-/Aa1 | 5,000,000 | 5,385,700 | |||||||
Energy Northwest, 5.00% due 7/1/2018 (Bonneville Power Administration Project 3) | AA-/Aa1 | 475,000 | 509,917 | |||||||
Energy Northwest, 5.00% due 7/1/2018 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 1,000,000 | 1,106,020 | |||||||
Energy Northwest, 5.00% due 7/1/2019 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 2,000,000 | 2,267,000 | |||||||
Energy Northwest, 5.00% due 7/1/2020 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 2,000,000 | 2,298,620 | |||||||
Energy Northwest, 5.00% due 7/1/2021 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 2,000,000 | 2,329,260 | |||||||
Energy Northwest, 5.00% due 7/1/2022 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 1,000,000 | 1,177,210 | |||||||
Energy Northwest, 5.00% due 7/1/2023 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 1,000,000 | 1,184,480 | |||||||
Energy Northwest, 5.00% due 7/1/2025 (Nine Canyon Wind Project Phase I-III) | NR/A2 | 850,000 | 1,018,648 | |||||||
King County Federal Way School District No. 210 GO, 4.125% due 12/1/2019 pre-refunded 12/1/2017 (Insured: Natl-Re) | AA+/Aa1 | 2,000,000 | 2,148,240 | |||||||
Marysville School District No. 25 GO, 4.00% due 12/1/2017 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,000,000 | 1,069,310 | |||||||
Marysville School District No. 25 GO, 4.00% due 12/1/2018 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,100,000 | 1,204,907 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2019 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,390,000 | 1,602,712 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2020 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,625,000 | 1,908,449 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2021 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,750,000 | 2,085,405 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2022 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 2,620,000 | 3,159,144 | |||||||
Marysville School District No. 25 GO, 5.00% due 12/1/2023 (Snohomish County Educational Facilities) (State Aid Withholding) | NR/Aa1 | 1,700,000 | 2,058,207 | |||||||
Port of Seattle, 5.50% due 9/1/2018 (Insured: Natl-Re) | AA-/A2 | 5,000,000 | 5,641,000 | |||||||
Seattle Municipal Light & Power, 5.00% due 2/1/2017 | AA/Aa2 | 2,000,000 | 2,120,280 |
40 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Skagit County Public Hospital District No. 1, 4.00% due 12/1/2016 (Skagit Regional Health) | NR/Baa2 | $ | 1,000,000 | $ | 1,030,250 | |||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2018 (Skagit Regional Health) | NR/Baa2 | 800,000 | 872,592 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2019 (Skagit Regional Health) | NR/Baa2 | 835,000 | 923,760 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2021 (Skagit Regional Health) | NR/Baa2 | 1,160,000 | 1,302,460 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2022 (Skagit Regional Health) | NR/Baa2 | 500,000 | 562,995 | |||||||
Skagit County Public Hospital District No. 1, 5.375% due 12/1/2022 (Skagit Regional Health) | NR/Baa2 | 500,000 | 502,840 | |||||||
Skagit County Public Hospital District No. 1, 5.00% due 12/1/2023 (Skagit Regional Health) | NR/Baa2 | 750,000 | 848,497 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2017 (Skagit Regional Health) | NR/A1 | 1,000,000 | 1,062,910 | |||||||
Skagit County Public Hospital District No. 1 GO, 4.00% due 12/1/2018 (Skagit Regional Health) | NR/A1 | 1,270,000 | 1,375,423 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2019 (Skagit Regional Health) | NR/A1 | 1,695,000 | 1,926,503 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2020 (Skagit Regional Health) | NR/A1 | 1,570,000 | 1,808,075 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2021 (Skagit Regional Health) | NR/A1 | 3,135,000 | 3,647,228 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2022 (Skagit Regional Health) | NR/A1 | 3,635,000 | 4,256,330 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2018 (Island Hospital) | NR/A1 | 1,000,000 | 1,080,740 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2019 (Island Hospital) | NR/A1 | 1,000,000 | 1,093,860 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2020 (Island Hospital) | NR/A1 | 1,000,000 | 1,097,470 | |||||||
Skagit County Public Hospital District No. 2 GO, 4.00% due 12/1/2021 (Island Hospital) | NR/A1 | 1,000,000 | 1,098,630 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2022 (Island Hospital) | NR/A1 | 1,700,000 | 1,978,409 | |||||||
State of Washington COP, 5.00% due 7/1/2016 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,415,000 | 2,501,771 | |||||||
State of Washington COP, 5.00% due 7/1/2017 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,555,000 | 2,752,093 | |||||||
State of Washington COP, 5.00% due 7/1/2018 (State Agency Real Property Projects) (State Aid Withholding) | NR/Aa2 | 2,670,000 | 2,971,576 | |||||||
State of Washington COP, 5.00% due 7/1/2019 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 1,000,000 | 1,139,810 | |||||||
State of Washington COP, 5.00% due 7/1/2020 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,290,000 | 3,826,171 | |||||||
State of Washington COP, 5.00% due 7/1/2021 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,125,000 | 3,694,500 | |||||||
State of Washington COP, 5.00% due 7/1/2022 (State and Local Agency Real and Personal Property Projects) (State Aid Withholding) | NR/Aa2 | 3,000,000 | 3,585,690 | |||||||
State of Washington GO, 5.00% due 7/1/2016 (Various Purpose) | AA+/Aa1 | 2,000,000 | 2,072,320 | |||||||
State of Washington GO, 0% due 1/1/2018 (Stadium and Exhibition Center; Insured: Natl-Re) | AA+/Aa1 | 4,000,000 | 3,917,240 | |||||||
State of Washington GO, 0% due 1/1/2019 (Stadium and Exhibition Center; Insured: Natl-Re) | AA+/Aa1 | 3,000,000 | 2,883,630 | |||||||
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 | 2,860,320 | |||||||
State of Washington GO, 5.00% due 7/1/2025 (Motor Vehicle Fuel Tax) | AA+/Aa1 | 10,475,000 | 12,873,880 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2016 (Multicare Health Systems) | AA-/Aa3 | 2,075,000 | 2,157,357 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2017 (Overlake Hospital Medical Center) | A/A2 | 1,245,000 | 1,336,956 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2017 (Multicare Health Systems) | AA-/Aa3 | 1,000,000 | 1,078,890 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/1/2018 (Highline Medical Center; Insured: FHA 242) (ETM) | NR/NR | 7,935,000 | 8,456,250 | |||||||
Washington Health Care Facilities Authority, 5.00% due 8/15/2018 (Multicare Health Systems) | AA-/Aa3 | 2,000,000 | 2,224,660 | |||||||
Washington Health Care Facilities Authority, 5.00% due 7/1/2019 (Overlake Hospital Medical Center) | A/A2 | 1,050,000 | 1,187,697 | |||||||
Washington Health Care Facilities Authority, 4.75% due 7/1/2020 (Overlake Hospital Medical Center) | A/A2 | 1,000,000 | 1,105,890 | |||||||
Washington Health Care Facilities Authority, 0.01% due 8/15/2041 put 10/1/2015 (Multicare Health Systems; LOC: Barclays Bank plc) (daily demand notes) | A/Aa1 | 14,190,000 | 14,190,000 | |||||||
Washington Health Care Facilities Authority, 0.02% due 8/15/2041 put 10/7/2015 (Multicare Health System; LOC: Barclays Bank plc) (weekly demand notes) | A/Aa1 | 4,600,000 | 4,600,000 | |||||||
WEST VIRGINIA — 0.10% | ||||||||||
Mason County, 1.625% due 10/1/2022 put 10/1/2018 (Appalachian Power Company Project) | BBB/Baa1 | 3,300,000 | 3,293,730 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2020 (Higher Education Facilities) | A+/Aa3 | 1,000,000 | 1,153,260 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2021 (Higher Education Facilities) | A+/Aa3 | 1,000,000 | 1,169,100 | |||||||
West Virginia Higher Education Policy Commission, 5.00% due 4/1/2022 (Higher Education Facilities) | A+/Aa3 | 1,500,000 | 1,773,405 | |||||||
WISCONSIN — 0.72% | ||||||||||
Fox Valley Technical College District GO, 3.00% due 12/1/2015 (Higher Education Facility Projects) | NR/Aaa | 4,515,000 | 4,536,582 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2016 (Aurora Health Care, Inc.) | NR/A2 | 3,695,000 | 3,817,526 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 4/15/2017 (Aurora Health Care, Inc.) | NR/A2 | 1,295,000 | 1,368,698 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2017 (Agnesian Healthcare, Inc.) | A/A3 | 1,000,000 | 1,064,430 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/15/2017 (Aurora Health Care, Inc.) | NR/A2 | 5,025,000 | 5,350,369 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2018 (Agnesian Healthcare, Inc.) | A/A3 | 1,855,000 | 2,025,196 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2019 (Agnesian Healthcare, Inc.) | A/A3 | 1,000,000 | 1,114,050 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2020 (Agnesian Healthcare, Inc.) | A/A3 | 2,110,000 | 2,387,402 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2020 (ProHealth Care, Inc.) | A+/A1 | 1,075,000 | 1,236,368 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2021 (ProHealth Care, Inc.) | A+/A1 | 2,575,000 | 2,993,489 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2022 (ProHealth Care, Inc.) | A+/A1 | 1,600,000 | 1,837,200 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 12/1/2022 (UnityPoint Health) | NR/Aa3 | 1,000,000 | 1,187,170 | |||||||
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.) | NR/A2 | 1,800,000 | 1,808,766 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.125% due 8/15/2027 put 8/15/2016 (Aurora Health Care, Inc.) | NR/A2 | 4,500,000 | 4,675,500 |
Annual Report 41
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 11/15/2043 put 6/1/2021 (Ascension Health Alliance System) | AA+/Aa2 | $ | 10,000,000 | $ | 11,730,600 | |||||
WPPI Energy, 5.00% due 7/1/2021 (Power Supply System) | A/A1 | 4,100,000 | 4,837,303 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.01% (Cost $6,976,935,631) | $ | 7,191,217,151 | ||||||||
OTHER ASSETS LESS LIABILITIES — 0.99% | 71,771,643 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 7,262,988,794 | ||||||||
|
|
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:
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
BAM | Insured by 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 | |
FSA | Insured by Financial Security Assurance Co. | |
GNMA | Collateralized by Government National Mortgage Association | |
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 | |
MBIA | Insured by Municipal Bond Investors Assurance | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
PSF | Guaranteed by Permanent School Fund | |
Q-SBLF | Insured by Qualified School Bond Loan Fund | |
Syncora | Insured by Syncora Guarantee Inc. | |
USD | Unified School District |
See notes to financial statements.
42 Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $6,976,935,631) (Note 2) | $ | 7,191,217,151 | ||
Cash | 177,931,495 | |||
Receivable for investments sold | 18,712,470 | |||
Receivable for fund shares sold | 13,954,019 | |||
Interest receivable | 74,589,916 | |||
Prepaid expenses and other assets | 99,637 | |||
|
| |||
Total Assets | 7,476,504,688 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 195,703,153 | |||
Payable for fund shares redeemed | 13,645,745 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,661,258 | |||
Accounts payable and accrued expenses | 545,319 | |||
Dividends payable | 960,419 | |||
|
| |||
Total Liabilities | 213,515,894 | |||
|
| |||
NET ASSETS | $ | 7,262,988,794 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (947,051 | ) | |
Net unrealized appreciation on investments | 214,281,520 | |||
Accumulated net realized gain (loss) | (768,537 | ) | ||
Net capital paid in on shares of beneficial interest | 7,050,422,862 | |||
|
| |||
$ | 7,262,988,794 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($1,700,126,909 applicable to 117,059,399 shares of beneficial interest outstanding - Note 4) | $ | 14.52 | ||
Maximum sales charge, 1.50% of offering price | 0.22 | |||
|
| |||
Maximum offering price per share | $ | 14.74 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($730,395,362 applicable to 50,198,289 shares of beneficial interest outstanding - Note 4) | $ | 14.55 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($4,832,466,523 applicable to 332,686,612 shares of beneficial interest outstanding - Note 4) | $ | 14.53 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 43
STATEMENT OF OPERATIONS | ||
Thornburg Limited Term Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $88,831,988) | $ | 166,009,113 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 19,089,365 | |||
Administration fees (Note 3) | ||||
Class A Shares | 2,293,415 | |||
Class C Shares | 932,826 | |||
Class I Shares | 2,340,474 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 4,586,829 | |||
Class C Shares | 3,732,486 | |||
Transfer agent fees | ||||
Class A Shares | 1,207,119 | |||
Class C Shares | 341,708 | |||
Class I Shares | 3,374,373 | |||
Registration and filing fees | ||||
Class A Shares | 55,919 | |||
Class C Shares | 39,487 | |||
Class I Shares | 168,499 | |||
Custodian fees (Note 3) | 594,131 | |||
Professional fees | 114,566 | |||
Accounting fees (Note 3) | 241,450 | |||
Trustee fees | 249,955 | |||
Other expenses | 471,888 | |||
|
| |||
Total Expenses | 39,834,490 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (46,931 | ) | ||
|
| |||
Net Expenses | 39,787,559 | |||
|
| |||
Net Investment Income | 126,221,554 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (246,405 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (27,314,650 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (27,561,055 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 98,660,499 | ||
|
|
See notes to financial statements.
44 Annual Report
STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Limited Term Municipal Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 126,221,554 | $ | 128,131,476 | ||||
Net realized gain (loss) on investments | (246,405 | ) | (22,996 | ) | ||||
Net unrealized appreciation (depreciation) on investments | (27,314,650 | ) | 89,178,704 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 98,660,499 | 217,287,184 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (28,555,079 | ) | (37,884,453 | ) | ||||
Class C Shares | (9,883,065 | ) | (11,622,218 | ) | ||||
Class I Shares | (87,783,410 | ) | (78,624,805 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (157,979,365 | ) | (341,940,499 | ) | ||||
Class C Shares | (16,433,151 | ) | (55,692,515 | ) | ||||
Class I Shares | 432,554,387 | 864,935,978 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 230,580,816 | 556,458,672 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 7,032,407,978 | 6,475,949,306 | ||||||
|
|
|
| |||||
End of Year | $ | 7,262,988,794 | $ | 7,032,407,978 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (947,051 | ) | $ | (947,051 | ) |
See notes to financial statements.
Annual Report 45
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
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 twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
46 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 7,191,217,151 | $ | — | $ | 7,191,217,151 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 7,191,217,151 | $ | — | $ | 7,191,217,151 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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.
Annual Report 47
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $241,450 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $1,542 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $39,652 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, 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 year ended September 30, 2015, fees paid indirectly were $46,931.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $3,500,019 in purchases.
48 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 19,409,135 | $ | 282,189,980 | 36,108,479 | $ | 522,536,121 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,764,554 | 25,651,510 | 2,381,396 | 34,534,840 | ||||||||||||
Shares repurchased | (32,078,869 | ) | (465,820,855 | ) | (62,000,850 | ) | (899,011,460 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,905,180 | ) | $ | (157,979,365 | ) | (23,510,975 | ) | $ | (341,940,499 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 6,892,790 | $ | 100,433,041 | 7,940,555 | $ | 115,293,887 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 580,603 | 8,455,627 | 677,717 | 9,847,834 | ||||||||||||
Shares repurchased | (8,611,331 | ) | (125,321,819 | ) | (12,467,177 | ) | (180,834,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,137,938 | ) | $ | (16,433,151 | ) | (3,848,905 | ) | $ | (55,692,515 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 99,672,701 | $ | 1,449,480,327 | 128,853,171 | $ | 1,869,230,997 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,492,589 | 79,846,726 | 4,847,211 | 70,339,213 | ||||||||||||
Shares repurchased | (75,505,844 | ) | (1,096,772,666 | ) | (74,200,163 | ) | (1,074,634,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 29,659,446 | $ | 432,554,387 | 59,500,219 | $ | 864,935,978 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,446,617,471 and $1,126,795,765, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 6,976,935,631 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 218,985,752 | ||
Gross unrealized depreciation on a tax basis | (4,704,232 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 214,281,520 | ||
|
|
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $268,898. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $307,195, (of which $232,601 are short-term and $74,594 are long-term) generated after September 30, 2011, 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 gains prior to utilization of losses generated prior to October 1, 2011.
At September 30, 2015, the Fund had $1,903,835 of capital loss carryforwards generated prior to September 30, 2011, which expired.
Annual Report 49
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 |
At September 30, 2015, the Fund had cumulative tax basis capital losses generated prior to September 30, 2011 in the amount of $192,444, 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 on September 30, 2016.
In order to account for permanent book to tax differences, the Fund decreased accumulated realized loss by $1,903,835 and decreased net capital paid in on shares of beneficial interest by $1,903,835. Reclassifications have no impact on the net asset value of the Fund and resulted primarily from the expiration of capital loss carryforwards.
At September 30, 2015, the Fund had $13,368 of undistributed tax basis net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 126,053,407 | $ | 127,862,872 | ||||
Ordinary income | 168,147 | 164,627 | ||||||
Capital gains | — | 103,977 | ||||||
|
|
|
| |||||
Total | $ | 126,221,554 | $ | 128,131,476 | ||||
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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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
50 Annual Report
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Annual Report 51
Thornburg Limited Term Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | 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 Year | 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 (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
CLASS A SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 14.58 | 0.23 | (0.06 | ) | 0.17 | (0.23 | ) | — | (0.23 | ) | $ | 14.52 | 1.56 | 0.73 | 0.73 | 0.73 | 1.15 | 18.56 | $ | 1,700,127 | |||||||||||||||||||||||||||||||||||||||
2014(b) | $ | 14.38 | 0.26 | 0.20 | 0.46 | (0.26 | ) | — | (0.26 | ) | $ | 14.58 | 1.78 | 0.72 | 0.71 | 0.72 | 3.20 | 14.46 | $ | 1,865,213 | ||||||||||||||||||||||||||||||||||||||||
2013(b) | $ | 14.70 | 0.26 | (0.32 | ) | (0.06 | ) | (0.26 | ) | — | (0.26 | ) | $ | 14.38 | 1.81 | 0.71 | 0.71 | 0.71 | (0.39 | ) | 17.47 | $ | 2,178,317 | |||||||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||||||||||
CLASS C SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.60 | 0.19 | (0.05 | ) | 0.14 | (0.19 | ) | — | (0.19 | ) | $ | 14.55 | 1.32 | 0.96 | 0.96 | 0.96 | 0.98 | 18.56 | $ | 730,395 | |||||||||||||||||||||||||||||||||||||||
2014 | $ | 14.41 | 0.22 | 0.19 | 0.41 | (0.22 | ) | — | (0.22 | ) | $ | 14.60 | 1.52 | 0.97 | 0.96 | 0.97 | 2.87 | 14.46 | $ | 749,648 | ||||||||||||||||||||||||||||||||||||||||
2013 | $ | 14.72 | 0.23 | (0.31 | ) | (0.08 | ) | (0.23 | ) | — | (0.23 | ) | $ | 14.41 | 1.55 | 0.97 | 0.97 | 0.97 | (0.58 | ) | 17.47 | $ | 795,052 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
CLASS I SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.58 | 0.27 | (0.05 | ) | 0.22 | (0.27 | ) | — | (0.27 | ) | $ | 14.53 | 1.88 | 0.41 | 0.41 | 0.41 | 1.54 | 18.56 | $ | 4,832,467 | |||||||||||||||||||||||||||||||||||||||
2014 | $ | 14.38 | 0.30 | 0.20 | 0.50 | (0.30 | ) | — | (0.30 | ) | $ | 14.58 | 2.09 | 0.40 | 0.40 | 0.40 | 3.53 | 14.46 | $ | 4,417,547 | ||||||||||||||||||||||||||||||||||||||||
2013 | $ | 14.70 | 0.31 | (0.32 | ) | (0.01 | ) | (0.31 | ) | — | (0.31 | ) | $ | 14.38 | 2.15 | 0.37 | 0.37 | 0.37 | (0.05 | ) | 17.47 | $ | 3,502,580 | |||||||||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
52 Annual Report | Annual Report 53 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Limited Term Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
54 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.10 | $ | 3.71 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.37 | $ | 3.74 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.90 | $ | 4.86 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.22 | $ | 4.90 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.30 | $ | 2.17 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.91 | $ | 2.19 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.74%; C: 0.97%; I: 0.43%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 55
TRUSTEES AND OFFICERS | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
56 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 57
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held By Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
58 Annual Report
OTHER INFORMATION | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $126,053,407 (or the maximum allowed) are tax exempt dividends and $168,147 are taxable ordinary investment income dividends for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Limited Term Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide variety of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 59
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the securities index and higher than the average return of the fund category considered, that the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the index in eight of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in all nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the top decile of investment performance of the first of two fund categories for the one-year, three-year, five-year and ten-year periods ended with the second quarter of the current year, and that the Fund’s annualized investment returns fell in the top quartile of investment performance of the second fund category for the one-year, three-year, five-year and ten-year periods ended with the second quarter. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of a longer term shareholder.
Comparisons of Fee and Expense Levels. The Trustees noted clear disclosures of the Advisor’s fees and expenses in the Fund’s prospectus. Information also noted by the Trustees as having been considered included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was comparable to the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was comparable to the median and average levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Peer group data showed that the Fund’s advisory fee level was comparable to the median fee level for two fund peer groups and the total expenses for two representative share classes were comparable to the median total expenses for their respective peer groups.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profiability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
60 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to improve its systems and other capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits to the Advisor. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 61
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
62 Annual Report
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 63
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH858 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
![]() |
Garrett Thornburg |
Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg Intermediate Municipal Fund
September 30, 2015
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Share Class | Nasdaq Symbol | Cusip | ||
Class A | THIMX | 885-215-202 | ||
Class C | THMCX | 885-215-780 | ||
Class I | THMIX | 885-215-673 |
Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by six cents to $14.17 per share during the fiscal year ended September 30, 2015. If you were with us for the entire period, you received dividends of 29.7 cents per share. If you reinvested your dividends, you received 30.0 cents per share. Dividends 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 underperformed the index, with a 1.68% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 2.60% total return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index. The Fund generated 1.23% more price return and 2.15% less income than the index.
The drivers of the Fund’s price return relative to its benchmark are as follows: Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve subtracted 0.23% of relative price performance. Our sector allocations subtracted 0.02% of relative price performance, and our overweight to lower credit-quality securities added 0.29% of relative price performance compared to its benchmark. Other risk factors and accounting differences added up to another 1.19% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates, and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech that:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds (as of September 30, 2015)
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
Table I | Status of Select Municipal Bankruptcy Cases
ENTITY | BANKRUPTCY PROCEEDINGS | PENSION RECOVERY | BONDHOLDER RECOVERY | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best-provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
![]() | ![]() | ![]() | ||
Christopher Ryon, CFA | Josh Gonze | Nicholos Venditti | ||
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
A Shares (Incep: 7/22/91) | ||||||||||||||||||||
Without sales charge | 1.68 | % | 2.20 | % | 3.49 | % | 3.97 | % | 4.96 | % | ||||||||||
With sales charge | -0.35 | % | 1.51 | % | 3.07 | % | 3.76 | % | 4.87 | % | ||||||||||
C Shares (Incep: 9/1/94) | ||||||||||||||||||||
Without sales charge | 1.35 | % | 1.88 | % | 3.19 | % | 3.70 | % | 4.13 | % | ||||||||||
With sales charge | 0.76 | % | 1.88 | % | 3.19 | % | 3.70 | % | 4.13 | % | ||||||||||
I Shares (Incep: 7/5/96) | 1.91 | % | 2.51 | % | 3.82 | % | 4.30 | % | 4.67 | % |
30-Day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 2.10 | % | ||
SEC Yield | 1.03 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. Class C shares include a 0.60% CDSC for the first year only. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.92%; C shares, 1.29%; I shares, 0.61%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: C shares, 1.24%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Glossary
BofA Merrill Lynch 3-15 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 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. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
FUND SUMMARY | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary investment goal is to obtain as high a level of current income exempt from federal individual income tax as is consistent, in the view of the Fund’s investment advisor, with preservation of capital (may be subject to Alternative Minimum Tax).
The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.
This Fund is a laddered portfolio of municipal bonds with a dollar-weighted average maturity of normally three to ten years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Long Term Stability of Principal
Net Asset Value History of A Shares
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Key Portfolio Attributes
Number of Bonds | 525 | |||
Effective Duration | 5.0 Yrs | |||
Average Maturity | 7.9 Yrs |
Portfolio Ladder
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ALABAMA — 1.65% | ||||||||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2016 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | $ | 160,000 | $ | 163,781 | |||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2017 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 750,000 | 786,765 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 4.00% due 6/15/2019 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 815,000 | 880,648 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2020 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 845,000 | 957,934 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2021 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 890,000 | 1,020,412 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2022 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 930,000 | 1,070,848 | |||||||
Alabama Capital Region Solid Waste Disposal Authority, 5.00% due 6/15/2023 (Montgomery Materials Recovery Facility) (AMT) | AA/NR | 980,000 | 1,117,278 | |||||||
Alabama Public School & College Authority, 5.00% due 5/1/2016 (Educational Facilities) | NR/Aa1 | 2,000,000 | 2,056,520 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2021 (Educational Facilities) | AA/Aa1 | 775,000 | 916,926 | |||||||
Alabama Public School & College Authority, 5.00% due 6/1/2026 (Educational Facilities) | AA/Aa1 | 4,380,000 | 5,153,464 | |||||||
City of Mobile Industrial Development Board, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A-/A1 | 2,000,000 | 2,024,780 | |||||||
East Alabama Health Care Authority GO, 5.00% due 9/1/2027 (Health Care Facilities Capital Improvements) | A/NR | 1,250,000 | 1,370,475 | |||||||
Montgomery Water Works & Sanitary Sewer Board, 5.00% due 9/1/2017 | AAA/Aa1 | 2,185,000 | 2,365,394 | |||||||
University of Alabama at Birmingham Hospital, 5.25% due 9/1/2025 | A+/A1 | 2,000,000 | 2,196,940 | |||||||
ALASKA — 0.22% | ||||||||||
Alaska Housing Finance Corp. GO, 5.00% due 12/1/2021 (State Capital Project) | AA+/Aa2 | 500,000 | 584,595 | |||||||
City of Valdez, 5.00% due 1/1/2021 (BP Pipelines (Alaska), Inc. Project) | A/A2 | 2,000,000 | 2,297,700 | |||||||
ARIZONA — 1.82% | ||||||||||
Arizona Board of Regents, 5.00% due 8/1/2024 (University of Arizona SPEED) | A+/Aa3 | 1,635,000 | 1,910,089 | |||||||
Arizona Board of Regents, 5.00% due 8/1/2029 (University of Arizona SPEED) | A+/Aa3 | 1,000,000 | 1,163,470 | |||||||
Arizona HFA, 5.00% due 7/1/2017 (Dignity Health) | A/A3 | 1,450,000 | 1,553,660 | |||||||
Arizona HFA, 5.00% due 12/1/2031 (Scottsdale Lincoln Hospitals) | NR/A2 | 2,500,000 | 2,804,350 | |||||||
Arizona State University Energy Management LLC, 5.00% due 7/1/2017 (Tempe Campus Project) | AA-/A1 | 465,000 | 498,243 | |||||||
City of Flagstaff GO, 1.75% due 7/1/2016 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 200,000 | 202,194 | |||||||
City of Flagstaff GO, 3.00% due 7/1/2020 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 700,000 | 747,992 | |||||||
City of Flagstaff GO, 4.00% due 7/1/2022 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 420,000 | 474,083 | |||||||
City of Flagstaff GO, 4.00% due 7/1/2023 (Urban Trail, Street and Utilities Improvements) | AA/Aa2 | 200,000 | 226,444 | |||||||
Phoenix Civic Improvement Corp., 5.00% due 7/1/2017 (Insured: Natl-Re) | AA+/Aa3 | 1,000,000 | 1,077,140 | |||||||
Pima County IDA, 5.00% due 12/1/2030 (Providence Day School Project) | BBB+/NR | 2,000,000 | 2,123,140 | |||||||
Salt Verde Financial Corp., 5.25% due 12/1/2022 (Salt River Project Agricultural Improvement and Power District) | A-/Baa1 | 2,000,000 | 2,314,800 | |||||||
Salt Verde Financial Corp., 5.25% due 12/1/2028 (Salt River Project Agricultural Improvement and Power District) | A-/Baa1 | 770,000 | 898,752 | |||||||
State of Arizona, 5.00% due 7/1/2019 (Insured: AGM) | AA/A1 | 7,280,000 | 8,266,222 | |||||||
ARKANSAS — 0.32% | ||||||||||
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2031 (Fayetteville Campus) | NR/Aa2 | 1,000,000 | 1,164,920 | |||||||
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2032 (Fayetteville Campus) | NR/Aa2 | 655,000 | 759,623 | |||||||
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2033 (Fayetteville Campus) | NR/Aa2 | 1,000,000 | 1,153,710 | |||||||
Board of Trustees of the University of Arkansas, 5.00% due 11/1/2034 (Fayetteville Campus) | NR/Aa2 | 1,000,000 | 1,146,870 | |||||||
CALIFORNIA — 6.63% | ||||||||||
Alameda County Joint Powers Authority, 5.25% due 12/1/2027 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 1,000,000 | 1,197,470 | |||||||
Alameda County Joint Powers Authority, 5.25% due 12/1/2028 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 1,150,000 | 1,364,970 | |||||||
Alameda County Joint Powers Authority, 5.25% due 12/1/2029 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 1,500,000 | 1,772,655 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 11/1/2026 (Insured: AGM) | AA/NR | 2,000,000 | 2,230,760 | |||||||
California Educational Facilities Authority, 5.50% due 4/1/2029 (Pitzer College) | NR/A2 | 3,000,000 | 3,440,580 | |||||||
California HFFA, 5.00% due 11/15/2022 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,000,000 | 1,127,680 | |||||||
California HFFA, 5.00% due 3/1/2026 (Adventist Health System/West) | A/NR | 3,020,000 | 3,476,896 | |||||||
California HFFA, 5.25% due 3/1/2027 (Dignity Health) | A/A3 | 5,250,000 | 5,926,357 | |||||||
California Infrastructure & Economic Development Bank, 5.75% due 8/15/2029 (King City Joint Union High School District) | AA-/NR | 1,500,000 | 1,731,180 | |||||||
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) | BBB+/Baa3 | 2,000,000 | 2,125,720 | |||||||
California State Public Works Board, 5.00% due 6/1/2017 (University of California Multiple Campus Capital Projects; Insured: Natl-Re) (ETM) | AA+/Aaa | 2,000,000 | 2,150,300 | |||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) | A+/A1 | 2,500,000 | 2,906,775 | |||||||
California Statewide Community Development Authority, 6.25% due 8/15/2028 (Enloe Medical Center; Insured: California Mtg Insurance) | AA-/NR | 1,050,000 | 1,200,507 | |||||||
California Statewide Community Development Authority, 6.00% due 7/1/2030 (Aspire Public Schools) | NR/NR | 7,015,000 | 7,460,452 | |||||||
Carson Redevelopment Agency, 6.25% due 10/1/2022 (Redevelopment Project Area No. 1) | A-/NR | 1,620,000 | 1,889,779 | |||||||
Carson Redevelopment Agency, 6.375% due 10/1/2024 (Redevelopment Project Area No. 1) | A-/NR | 1,300,000 | 1,498,198 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 5,500,000 | 5,594,765 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2018 (Insured: AGM) | AA/A1 | $ | 1,245,000 | $ | 1,371,878 | |||||
Corona-Norco USD COP, 5.00% due 4/15/2021 (Insured: AGM) | AA/A1 | 1,000,000 | 1,147,010 | |||||||
Delano Financing Authority, 5.00% due 12/1/2025 (City of Delano Police Station and Woollomes Avenue Bridge) | A-/NR | 2,555,000 | 2,789,268 | |||||||
El Camino Hospital District, 6.25% due 8/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 300,000 | 319,170 | |||||||
Franklin-McKinley School District GO, 5.25% due 8/1/2027 (Insured: Natl-Re) | NR/A1 | 1,000,000 | 1,209,040 | |||||||
Fresno USD GO, 6.00% due 8/1/2026 (Educational Facilities and Improvements; Insured: Natl-Re) | AA-/A3 | 1,165,000 | 1,377,356 | |||||||
Jurupa Public Financing Authority, 5.50% due 9/1/2025 (Eastvale Community Services; Insured: AGM) | AA/NR | 1,195,000 | 1,439,664 | |||||||
Jurupa Public Financing Authority, 5.50% due 9/1/2027 (Eastvale Community Services; Insured: AGM) | AA/NR | 1,335,000 | 1,583,484 | |||||||
Los Angeles Regional Airport Improvement Corp., 5.00% due 1/1/2017 (LAX Fuel Corp.; Insured: AGM) (AMT) | AA/A2 | 1,120,000 | 1,133,227 | |||||||
M-S-R Energy Authority, 6.125% due 11/1/2029 | A-/NR | 2,500,000 | 3,151,325 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2024 (Carmel Valley Schools; Insured: AGM) | AA/NR | 1,080,000 | 1,273,082 | |||||||
Oakland USD GO, 5.00% due 8/1/2032 (County of Alameda Educational Facillities) | NR/NR | 1,000,000 | 1,113,300 | |||||||
Oakland USD GO, 5.00% due 8/1/2033 (County of Alameda Educational Facilities) | NR/NR | 1,000,000 | 1,112,430 | |||||||
Oakland USD GO, 5.00% due 8/1/2034 (County of Alameda Educational Facilities) | NR/NR | 1,000,000 | 1,105,450 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2023 (Redevelopment Area A-2; Insured: AMBAC) | A-/NR | 2,065,000 | 1,596,534 | |||||||
San Jose Redevelopment Agency, 5.25% due 8/1/2027 (Merged Area Redevelopment Project) | A/A2 | 2,400,000 | 2,649,360 | |||||||
San Jose Redevelopment Agency, 5.375% due 8/1/2028 (Merged Area Redevelopment Project) | A/A2 | 1,175,000 | 1,304,638 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities; Insured: Natl-Re) | AA+/Aa1 | 3,000,000 | 2,856,210 | |||||||
Saratoga Union School District GO, 0% due 9/1/2023 (Insured: Natl-Re) | AA+/Aa2 | 900,000 | 737,514 | |||||||
State of California GO, 5.25% due 9/1/2026 (Kindergarten University Facilities) | AA-/Aa3 | 5,000,000 | 5,945,850 | |||||||
Tuolumne Wind Project Authority, 5.875% due 1/1/2029 (Tuolumne Co.) | AA-/A2 | 3,000,000 | 3,442,920 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2021 | AA-/A2 | 1,750,000 | 2,013,095 | |||||||
William S. Hart Union High School District GO, 0% due 9/1/2021 (Educational Facilities) | AA/A2 | 800,000 | 698,160 | |||||||
COLORADO — 1.04% | ||||||||||
City & County of Denver COP, 0.01% due 12/1/2029 put 10/1/2015 (Wellington E. Webb Municipal Office Building; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 2,000,000 | 2,000,000 | |||||||
Denver Convention Center Hotel Authority, 5.25% due 12/1/2023 (Insured: Syncora) | BBB-/Baa3 | 2,530,000 | 2,660,093 | |||||||
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) (AMT) | NR/Aaa | 1,220,000 | 1,332,142 | |||||||
Housing Authority of the City and County of Denver, 5.20% due 11/1/2027 (Three Towers Rehabilitation; Insured: AGM) (AMT) | NR/A2 | 1,335,000 | 1,424,792 | |||||||
Park Creek Metropolitan District, 5.25% due 12/1/2020 (Insured: AGM) | AA/NR | 1,120,000 | 1,248,229 | |||||||
Regional Transportation District COP, 5.50% due 6/1/2022 (FasTracks Transportation System) | A/Aa3 | 3,000,000 | 3,496,260 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2028 (North Metro Rail Line) | A/Aa3 | 1,550,000 | 1,779,803 | |||||||
CONNECTICUT — 0.90% | ||||||||||
City of Hartford GO, 5.00% due 7/1/2031 (Various Public Improvements; Insured: AGM) | AA/A2 | 1,700,000 | 1,927,103 | |||||||
Connecticut Health & Educational Facilities Authority, 5.75% due 7/1/2029 (Ethel Walker School) | BBB/NR | 1,350,000 | 1,422,333 | |||||||
Connecticut Health & Educational Facilities Authority, 0.01% due 7/1/2036 put 10/1/2015 (Yale University) (daily demand notes) | AAA/Aaa | 300,000 | 300,000 | |||||||
Connecticut Health & Educational Facilities Authority, 0.01% due 7/1/2036 put 10/1/2015 (Yale University) (daily demand notes) | AAA/Aaa | 200,000 | 200,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 11/15/2036 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 200,000 | 200,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 5/15/2039 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 6,000,000 | 6,000,000 | |||||||
State of Connecticut GO Floating Rate Note, 0.54% due 9/15/2017 (Public Facility Improvements) | AA/Aa3 | 2,000,000 | 1,991,040 | |||||||
DELAWARE — 0.05% | ||||||||||
Delaware Solid Waste Authority, 5.00% due 6/1/2021 (Capital Improvement Program; Insured: Natl-Re) | AA+/Aa3 | 615,000 | 633,751 | |||||||
DISTRICT OF COLUMBIA — 0.94% | ||||||||||
District of Columbia Association of American Medical Colleges, 5.00% due 2/15/2017 (Insured: AMBAC) (ETM) | NR/NR | 1,000,000 | 1,061,190 | |||||||
District of Columbia COP, 5.00% due 1/1/2020 pre-refunded 1/1/16 (Insured: Natl-Re) | NR/Aa3 | 3,900,000 | 3,947,658 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2023 (Dulles Toll Road; Insured: AGM) | AA/A3 | 4,890,000 | 3,802,611 | |||||||
Metropolitan Airports Authority, 0% due 10/1/2024 (Dulles Toll Road; Insured: AGM) | AA/A3 | 5,000,000 | 3,700,850 | |||||||
FLORIDA — 6.63% | ||||||||||
Broward County School Board COP, 5.00% due 7/1/2030 (Educational Facilities) | A/A1 | 1,250,000 | 1,429,275 | |||||||
Broward County School Board COP, 5.00% due 7/1/2032 (Educational Facilities) | A/A1 | 2,000,000 | 2,268,960 | |||||||
City of Hollywood Community Redevelopment Agency, 5.00% due 3/1/2021 (Beach Community Redevelopment Project; Insured: Syncora) | NR/A3 | 3,000,000 | 3,126,030 | |||||||
City of Jacksonville, 5.00% due 10/1/2026 (Better Jacksonville Plan) | A/A1 | 2,075,000 | 2,424,866 | |||||||
City of Lakeland, 5.00% due 10/1/2018 (Electric Power System Smart Grid Project; Insured: AGM) | AA/Aa3 | 2,000,000 | 2,237,940 | |||||||
City of Lakeland, 5.25% due 10/1/2027 (Electric Power System Smart Grid Project; Insured: AGM) | AA/Aa3 | 3,680,000 | 4,560,808 | |||||||
City of Lakeland, 5.25% due 10/1/2036 (Electric Power System Smart Grid Project; Insured: AGM) | AA/Aa3 | 2,770,000 | 3,486,710 | |||||||
Escambia County HFA, 5.95% due 7/1/2020 (Florida Health Care Facility; Insured: AMBAC) | NR/NR | 1,620,000 | 1,700,174 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
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 | $ | 507,035 | |||||
Florida Department of Management Services COP, 3.50% due 8/1/2016 (Correctional Facilities Construction and Improvements; Insured: AGM) | AA+/Aa2 | 500,000 | 513,510 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2020 (Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,060,630 | |||||||
Florida Municipal Loan Council, 5.00% due 10/1/2024 (Insured: Natl-Re) | AA-/A3 | 2,235,000 | 2,345,387 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2018 (South Florida Evaluation Treatment) | AA+/NR | 2,090,000 | 2,098,276 | |||||||
Florida State Department of Children & Families COP, 5.00% due 10/1/2019 (South Florida Evaluation Treatment) | AA+/NR | 2,255,000 | 2,263,930 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 pre-refunded 11/16/2015 (Adventist Health Hospital) | AA-/Aa2 | 1,750,000 | 1,760,868 | |||||||
Highlands County HFA, 5.00% due 11/15/2019 pre-refunded 11/16/2015 (Adventist Health Hospital) | AA-/Aa2 | 1,100,000 | 1,106,831 | |||||||
Hillsborough County, 5.00% due 3/1/2017 pre-refunded 3/1/2016 (Water & Wastewater System; Insured: Natl-Re) | AA-/A1 | 5,630,000 | 5,743,501 | |||||||
Lake County School Board COP, 5.00% due 6/1/2026 (School District Facility Projects) | A/NR | 1,210,000 | 1,371,414 | |||||||
Manatee County, 5.00% due 10/1/2015 (Various County Capital Projects) | NR/Aa2 | 500,000 | 500,070 | |||||||
Manatee County, 5.00% due 10/1/2026 (Public Utilities System Improvements) | NR/Aa2 | 370,000 | 447,374 | |||||||
Manatee County, 5.00% due 10/1/2027 (Public Utilities System Improvements) | NR/Aa2 | 470,000 | 563,558 | |||||||
a Manatee County, 5.00% due 10/1/2028 (Public Utilities System Improvements) | NR/Aa2 | 1,030,000 | 1,226,915 | |||||||
Manatee County, 5.00% due 10/1/2031 (Public Utilities System Improvements) | NR/Aa2 | 2,675,000 | 3,124,132 | |||||||
Manatee County, 5.00% due 10/1/2033 (Public Utilities System Improvements) | NR/Aa2 | 1,535,000 | 1,776,210 | |||||||
Miami-Dade County Aviation Department, 5.00% due 10/1/2028 | A/A2 | 1,000,000 | 1,162,120 | |||||||
Miami-Dade County Aviation Department, 5.00% due 10/1/2029 | A/A2 | 1,335,000 | 1,542,005 | |||||||
Miami-Dade County Aviation Department, 5.00% due 10/1/2030 | A/A2 | 1,000,000 | 1,145,730 | |||||||
Miami-Dade County Aviation Department, 5.00% due 10/1/2031 | A/A2 | 2,000,000 | 2,281,340 | |||||||
Miami-Dade County Educational Facilities Authority, 5.25% due 4/1/2018 (University of Miami) | A-/A3 | 250,000 | 256,325 | |||||||
Miami-Dade County Educational Facilities Authority, 5.25% due 4/1/2024 (University of Miami; Insured: AMBAC) | A-/A3 | 1,000,000 | 1,209,900 | |||||||
Miami-Dade County GO, 5.00% due 10/1/2023 (Seaport Properties) | AA/Aa2 | 1,040,000 | 1,209,738 | |||||||
Miami-Dade County GO, 6.25% due 7/1/2026 (Building Better Communities) | AA/Aa2 | 2,130,000 | 2,426,688 | |||||||
Miami-Dade County School Board COP, 5.00% due 10/1/2021 (Insured: AMBAC) | A/A1 | 3,035,000 | 3,564,486 | |||||||
Miami-Dade County School Board COP, 5.25% due 5/1/2022 pre-refunded 5/1/2018 (Insured: AGM) | AA/A1 | 2,600,000 | 2,892,240 | |||||||
Miami-Dade County School Board COP, 5.00% due 5/1/2030 | A/A1 | 3,250,000 | 3,677,960 | |||||||
Orange County HFA, 6.25% due 10/1/2016 (Orlando Health, Inc.; Insured: Natl-Re) | AA-/A3 | 795,000 | 813,571 | |||||||
Orange County HFA, 5.125% due 10/1/2026 (Orlando Health, Inc.) | A/A3 | 2,000,000 | 2,214,480 | |||||||
Palm Beach County HFA, 5.00% due 12/1/2025 (Boca Raton Regional Hospital) | BBB+/NR | 500,000 | 575,545 | |||||||
Palm Beach County School Board COP, 5.00% due 8/1/2032 put 8/1/2016 | NR/Aa3 | 1,500,000 | 1,557,105 | |||||||
Sarasota County Public Hospital Board, 4.659% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | AA-/A1 | 2,000,000 | 2,003,300 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2020 pre-refunded 7/1/2016 (Educational Facilities and Equipment; Insured: AGM) | AA/A1 | 1,000,000 | 1,035,850 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2026 (Educational Facilities and Equipment) | A/A1 | 3,000,000 | 3,413,340 | |||||||
School Board of Broward County COP, 5.00% due 7/1/2027 (Educational Facilities and Equipment) | A/A1 | 2,000,000 | 2,260,420 | |||||||
South Miami HFA, 5.00% due 8/15/2022 (Baptist Health Group) | AA/Aa2 | 1,500,000 | 1,616,760 | |||||||
Sunshine State Governmental Finance Commission, 5.00% due 9/1/2028 (Miami-Dade County Program) | AA-/Aa3 | 3,500,000 | 4,037,145 | |||||||
GEORGIA — 4.25% | ||||||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2024 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 485,000 | 578,852 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2025 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 510,000 | 603,549 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2027 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 735,000 | 852,865 | |||||||
Athens-Clarke County Unified Government Development Authority, 5.00% due 6/15/2028 (UGAREF Bolton Commons, LLC) | NR/Aa2 | 590,000 | 680,612 | |||||||
Athens-Clarke County Unified Government Development Authority, 0.01% due 7/1/2035 put 10/1/2015 (University of Georgia Athletic Association; LOC: Wells Fargo Bank, N.A.) (daily demand notes) | NR/Aa1 | 15,395,000 | 15,395,000 | |||||||
City of Atlanta, 5.50% due 11/1/2022 (Water & Wastewater System; Insured: Natl-Re) | AA-/Aa3 | 530,000 | 634,961 | |||||||
City of Atlanta, 5.50% due 11/1/2024 (Water & Wastewater System; Insured: AGM) | AA/Aa3 | 5,000,000 | 5,690,700 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2023 (Athens Regional Medical Center) | AA/Aa1 | 2,060,000 | 2,409,603 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2024 (Athens Regional Medical Center) | AA/Aa1 | 2,310,000 | 2,672,693 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2025 (Athens Regional Medical Center) | AA/Aa1 | 525,000 | 601,829 | |||||||
Clarke County Hospital Authority, 5.00% due 1/1/2026 (Athens Regional Medical Center) | AA/Aa1 | 725,000 | 827,486 | |||||||
Development Authority of Burke County, 0.07% due 7/1/2049 put 10/1/2015 (Georgia Power Company Plant Vogtle Project) (daily demand notes) | A-/A3 | 12,200,000 | 12,200,000 | |||||||
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.) | NR/A2 | 3,000,000 | 3,432,810 | |||||||
Gwinnett County School District GO, 4.50% due 10/1/2017 (Capital Projects) | AAA/Aaa | 7,000,000 | 7,549,920 | |||||||
Municipal Electric Authority of Georgia, 6.60% due 1/1/2018 (Insured: Natl-Re) | AA-/A1 | 1,170,000 | 1,224,428 | |||||||
Valdosta and Lowndes County Hospital Authority, 5.00% due 10/1/2024 (South Medical Center) | AA-/Aa2 | 1,200,000 | 1,383,780 | |||||||
GUAM — 2.99% | ||||||||||
Government of Guam, 5.00% due 11/15/2031 (Economic Development) | A/NR | 5,500,000 | 6,123,590 | |||||||
Government of Guam, 5.00% due 11/15/2032 (Economic Development) | A/NR | 12,000,000 | 13,296,240 | |||||||
Government of Guam, 5.00% due 11/15/2033 (Economic Development) | A/NR | 10,500,000 | 11,615,520 | |||||||
Guam Power Authority, 5.00% due 10/1/2023 (Electric Power System; Insured: AGM) | AA/A2 | 2,000,000 | 2,378,380 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Guam Power Authority, 5.00% due 10/1/2024 (Electric Power System; Insured: AGM) | AA/A2 | $ | 2,000,000 | $ | 2,368,720 | |||||
Guam Power Authority, 5.00% due 10/1/2025 (Electric Power System; Insured: AGM) | AA/A2 | 2,500,000 | 2,948,900 | |||||||
Guam Waterworks Authority, 5.25% due 7/1/2024 (Water and Wastewater System) | A-/Baa2 | 1,000,000 | 1,161,700 | |||||||
HAWAII — 0.88% | ||||||||||
State of Hawaii GO, 5.00% due 12/1/2027 (Hawaiian Home Lands Settlement) | AA/Aa2 | 10,000,000 | 11,788,900 | |||||||
ILLINOIS — 6.78% | ||||||||||
Board of Trustees of Southern Illinois University, 5.25% due 4/1/2019 (Housing & Auxiliary Facilities; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,118,420 | |||||||
Chicago Housing Authority, 5.00% due 7/1/2018 pre-refunded 7/1/2016 (Low-Income Public Housing Program; Insured: AGM) | NR/A2 | 5,295,000 | 5,470,476 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2025 (Capital Improvement Plan) | AA+/NR | 1,000,000 | 1,117,300 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2027 (Capital Improvement Plan) | AA+/NR | 1,945,000 | 2,130,553 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2028 (Capital Improvement Plan) | AA+/NR | 3,450,000 | 3,753,462 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2029 (Capital Improvement Plan) | AA+/NR | 1,995,000 | 2,154,321 | |||||||
b Chicago Park District GO, 5.00% due 1/1/2030 (Capital Improvement Plan) | AA+/NR | 3,500,000 | 3,756,480 | |||||||
Chicago Transit Authority, 5.00% due 12/1/2018 (Bombardier Transit Rail System) | AA/A1 | 1,500,000 | 1,629,210 | |||||||
City of Chicago, 5.00% due 1/1/2019 (Midway Airport; Insured: AMBAC) (AMT) | A-/A3 | 1,210,000 | 1,214,598 | |||||||
City of Chicago, 5.75% due 11/1/2030 (Water System; Insured: AMBAC) | AA+/Aa1 | 1,270,000 | 1,535,214 | |||||||
City of Chicago, 5.00% due 1/1/2032 (Midway Airport) | A-/A3 | 4,805,000 | 5,339,316 | |||||||
City of Chicago, 5.00% due 1/1/2033 (Midway Airport) | A-/A3 | 5,000,000 | 5,544,650 | |||||||
City of Chicago, 5.25% due 1/1/2034 (Midway Airport) | A-/A3 | 4,700,000 | 5,228,938 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Municipal Facilities Projects; Insured: AMBAC) | BBB+/Ba1 | 1,000,000 | 1,015,350 | |||||||
City of Chicago GO, 5.00% due 12/1/2022 (Modern Schools Across Chicago Program; Insured: AMBAC) | BBB+/Ba1 | 415,000 | 419,532 | |||||||
City of Chicago GO, 5.00% due 12/1/2024 (Modern Schools Across Chicago Program; Insured: AMBAC) | BBB+/Ba1 | 500,000 | 503,185 | |||||||
City of Mount Vernon GO, 4.00% due 12/15/2025 (Various Municipal Capital Improvements; Insured: AGM) | AA/A2 | 1,900,000 | 1,996,900 | |||||||
City of Waukegan GO, 4.00% due 12/30/2015 (Insured: AGM) | NR/A2 | 500,000 | 504,250 | |||||||
City of Waukegan GO, 5.00% due 12/30/2016 (Insured: AGM) | NR/A2 | 1,500,000 | 1,575,105 | |||||||
City of Waukegan GO, 5.00% due 12/30/2017 (Insured: AGM) | NR/A2 | 1,680,000 | 1,811,930 | |||||||
City of Waukegan GO, 5.00% due 12/30/2018 (Insured: AGM) | NR/A2 | 2,000,000 | 2,209,160 | |||||||
Community College District No. 525 GO, 6.25% due 6/1/2024 (Joliet Junior College) | AA/NR | 500,000 | 564,570 | |||||||
Cook County Community College District No. 508 GO, 5.25% due 12/1/2026 (City Colleges of Chicago) | AA/NR | 1,000,000 | 1,164,000 | |||||||
Cook County GO, 5.25% due 11/15/2024 | AA/A2 | 3,000,000 | 3,231,840 | |||||||
Cook County School District No. 104 GO, 0% due 12/1/2022 (Argo Summit Elementary School Facilities; Insured: AGM) (ETM) | NR/NR | 2,000,000 | 1,751,380 | |||||||
DuPage County Community Consolidated School District No. 93 GO, 2.00% due 1/1/2016 (Carol Stream Educational Facilities) (State Aid Withholding) | AA+/NR | 485,000 | 486,872 | |||||||
Forest Preserve District of DuPage County GO, 4.00% due 11/1/2022 (Land Acquisition and Development) | AAA/NR | 750,000 | 851,902 | |||||||
Illinois Educational Facilities Authority, 5.00% due 11/1/2016 (Rush University Medical Center) (ETM) | AA-/Aaa | 1,000,000 | 1,048,740 | |||||||
Illinois Educational Facilities Authority, 5.75% due 11/1/2028 pre-refunded 11/1/2018 (Rush University Medical Center) | AA-/Aaa | 1,000,000 | 1,145,720 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2016 (Central DuPage Health) | AA+/Aa2 | 2,000,000 | 2,091,080 | |||||||
Illinois Finance Authority, 5.00% due 11/1/2017 (Central DuPage Health) | AA+/Aa2 | 2,000,000 | 2,161,520 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2022 (Bradley University; Insured: Syncora) | A/NR | 1,000,000 | 1,053,050 | |||||||
Illinois Finance Authority, 6.125% due 11/1/2023 pre-refunded 11/1/2018 (Advocate Health Care Network) | AA/Aa2 | 5,175,000 | 5,979,454 | |||||||
Illinois Finance Authority, 5.00% due 8/15/2024 (Silver Cross Hospital and Medical Centers) | NR/Baa1 | 1,000,000 | 1,138,100 | |||||||
Illinois Finance Authority, 5.00% due 11/15/2033 (Rush University Medical Center) | A+/A1 | 1,000,000 | 1,102,720 | |||||||
Illinois HFA, 5.70% due 2/20/2021 (Midwest Care Center I, Inc.; Collateralized: GNMA) | NR/Aa1 | 500,000 | 502,105 | |||||||
Illinois Toll Highway Authority, 5.00% due 1/1/2037 (Move Illinois Program) | AA-/Aa3 | 5,550,000 | 6,183,976 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) (ETM) | NR/Aa2 | 45,000 | 44,686 | |||||||
McHenry & Lake Counties Community Consolidated School District No. 15 GO, 0% due 1/1/2017 (Insured: AGM) | NR/Aa2 | 955,000 | 941,028 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 12/15/2022 (McCormick Place Expansion Project) | BBB+/NR | 1,000,000 | 1,138,160 | |||||||
Niles Park District GO, 2.00% due 12/1/2015 (Parks and Recreation Projects) | NR/Aa2 | 325,000 | 325,819 | |||||||
Niles Park District GO, 2.00% due 12/1/2016 (Parks and Recreation Projects) | NR/Aa2 | 330,000 | 335,214 | |||||||
Niles Park District GO, 3.00% due 12/1/2017 (Parks and Recreation Projects) | NR/Aa2 | 340,000 | 354,838 | |||||||
Niles Park District GO, 3.00% due 12/1/2018 (Parks and Recreation Projects) | NR/Aa2 | 350,000 | 368,764 | |||||||
Niles Park District GO, 3.00% due 12/1/2019 (Parks and Recreation Projects) | NR/Aa2 | 360,000 | 379,422 | |||||||
Niles Park District GO, 3.00% due 12/1/2020 (Parks and Recreation Projects) | NR/Aa2 | 370,000 | 390,924 | |||||||
State of Illinois, 5.00% due 6/15/2018 | AAA/NR | 2,000,000 | 2,206,960 | |||||||
Tazewell County School District GO, 9.00% due 12/1/2024 (Insured: Natl-Re) | NR/Aa3 | 1,205,000 | 1,799,921 | |||||||
Village of Tinley Park GO, 4.00% due 12/1/2021 | AA+/NR | 585,000 | 652,123 | |||||||
Village of Tinley Park GO, 5.00% due 12/1/2024 | AA+/NR | 870,000 | 1,021,815 | |||||||
INDIANA — 3.20% | ||||||||||
Allen County Jail Building Corp., 5.00% due 4/1/2018 (Insured: Syncora) | NR/Aa2 | 2,495,000 | 2,554,930 | |||||||
Allen County Redevelopment District, 5.00% due 11/15/2018 pre-refunded 11/15/2015 | NR/A2 | 1,560,000 | 1,585,085 | |||||||
Board of Trustees for the Vincennes University, 5.375% due 6/1/2022 | NR/Aa3 | 895,000 | 1,055,178 | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2016 (Performing Arts Center) | AA+/Aa1 | 1,730,000 | 1,728,184 |
12 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Carmel Redevelopment Authority, 0% due 2/1/2021 (Performing Arts Center) | AA+/Aa1 | $ | 2,000,000 | $ | 1,796,960 | |||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) | NR/NR | 2,730,000 | 2,976,109 | |||||||
City of Petersburg, 5.40% due 8/1/2017 (Indianapolis Power and Light Company; Insured: Natl-Re/IBC) | AA-/A2 | 1,325,000 | 1,429,463 | |||||||
Clay Multi-School Building Corp., 5.00% due 1/15/2018 (State Aid Withholding) | AA+/NR | 1,735,000 | 1,890,265 | |||||||
Fort Wayne Redevelopment Authority, 5.00% due 8/1/2023 pre-refunded 2/1/2017 (Harrison Square; Insured: AGM) | NR/Aa2 | 2,290,000 | 2,427,812 | |||||||
Franklin Township Multi-School Building Corp., 5.00% due 7/10/2017 (Franklin Central High School) (State Aid Withholding) | AA+/NR | 630,000 | 678,397 | |||||||
Hobart Building Corp., 6.50% due 7/15/2019 (Insured: Natl-Re) (State Aid Withholding) | AA+/A3 | 1,000,000 | 1,163,880 | |||||||
Indiana Bond Bank, 5.25% due 10/15/2020 (Natural Gas Utility Improvements) | NR/A3 | 5,340,000 | 6,210,100 | |||||||
a Indiana Bond Bank, 5.25% due 4/1/2023 (Hendricks Regional Health Financing Program; Insured: AMBAC) | AA/NR | 2,000,000 | 2,367,420 | |||||||
Indiana Finance Authority, 5.00% due 3/1/2019 (Indiana University Health) | AA-/Aa3 | 5,000,000 | 5,635,350 | |||||||
Indiana Finance Authority, 5.00% due 11/1/2021 (Sisters of St. Francis Health Services, Inc.) | NR/Aa3 | 605,000 | 668,579 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2022 (Marian University) | BBB-/NR | 2,480,000 | 2,665,975 | |||||||
Indiana Finance Authority, 5.25% due 9/15/2023 (Marian University) | BBB-/NR | 2,605,000 | 2,773,231 | |||||||
Indiana Finance Authority, 4.10% due 11/15/2046 put 11/3/2016 (Ascension Health) | AA+/Aa2 | 1,000,000 | 1,039,270 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2017 pre-refunded 8/1/2016 (146th Street Extension) | AA/NR | 1,000,000 | 1,039,580 | |||||||
Noblesville Redevelopment Authority, 5.00% due 8/1/2020 pre-refunded 8/1/2016 (146th Street Extension) | AA/NR | 1,000,000 | 1,039,580 | |||||||
IOWA — 0.34% | ||||||||||
Iowa Finance Authority, 5.00% due 2/15/2030 (UnityPoint Health) | NR/Aa3 | 2,250,000 | 2,543,625 | |||||||
Iowa Finance Authority, 5.00% due 2/15/2032 (UnityPoint Health) | NR/Aa3 | 1,850,000 | 2,074,109 | |||||||
KANSAS — 0.05% | ||||||||||
Kansas Development Finance Authority, 5.00% due 6/1/2020 (Wichita State University) | NR/Aa3 | 575,000 | 665,701 | |||||||
KENTUCKY — 0.20% | ||||||||||
Louisville/Jefferson County Metro Government, 5.25% due 10/1/2026 (Norton Suburban Hospital and Kosair Children’s Hospital) | A-/NR | 2,320,000 | 2,634,174 | |||||||
LOUISIANA — 2.84% | ||||||||||
City of New Orleans, 6.00% due 6/1/2024 pre-refunded 6/1/2019 (Sewerage System; Insured: AGM) | AA/A3 | 750,000 | 883,920 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2030 | AA-/Aa3 | 1,170,000 | 1,362,371 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2031 | AA-/Aa3 | 2,655,000 | 3,077,437 | |||||||
East Baton Rouge Sewerage Commission, 5.00% due 2/1/2032 | AA-/Aa3 | 3,000,000 | 3,461,520 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2023 | A+/NR | 1,230,000 | 1,312,312 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.00% due 9/1/2025 | A+/NR | 1,350,000 | 1,433,187 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.15% due 9/1/2027 | A+/NR | 1,490,000 | 1,580,577 | |||||||
Law Enforcement District of the Parish of Plaquemines, 5.30% due 9/1/2029 | A+/NR | 1,650,000 | 1,751,838 | |||||||
Louisiana Energy and Power Authority, 5.25% due 6/1/2029 (LEPA Unit No. 1; Insured: AGM) | AA/A2 | 1,000,000 | 1,162,760 | |||||||
Louisiana Energy and Power Authority, 5.25% due 6/1/2030 (LEPA Unit No. 1; Insured: AGM) | AA/A2 | 2,955,000 | 3,420,531 | |||||||
Louisiana Energy and Power Authority, 5.25% due 6/1/2031 (LEPA Unit No. 1; Insured: AGM) | AA/A2 | 2,145,000 | 2,476,553 | |||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2022 (Black & Gold Facilities; Insured: CIFG) | AA/A3 | 1,590,000 | 1,689,677 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2018 (Insured: AGM) (AMT) | AA/A2 | 1,000,000 | 1,084,360 | |||||||
New Orleans Aviation Board, 5.25% due 1/1/2020 (Insured: AGM) | AA/A2 | 2,000,000 | 2,168,260 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2023 (Insured: AGM) | AA/Aa3 | 1,000,000 | 1,139,440 | |||||||
New Orleans Regional Transit Authority, 5.00% due 12/1/2024 (Insured: AGM) | AA/Aa3 | 1,000,000 | 1,129,680 | |||||||
Office Facilities Corp., 5.00% due 3/1/2019 (Louisiana State Capitol Complex Program) | AA-/Aa3 | 255,000 | 287,069 | |||||||
Parish of Lafourche, 5.00% due 1/1/2024 (Roads, Highways and Bridges) | AA-/NR | 1,065,000 | 1,266,764 | |||||||
Parish of Lafourche, 5.00% due 1/1/2025 (Roads, Highways and Bridges) | AA-/NR | 2,620,000 | 3,145,991 | |||||||
St. Tammany Parish, 5.00% due 6/1/2019 pre-refunded 6/1/2016 (Insured: CIFG) | AA/NR | 1,300,000 | 1,354,587 | |||||||
St. Tammany Parish, 5.00% due 6/1/2020 pre-refunded 6/1/2016 (Insured: CIFG) | AA/NR | 1,000,000 | 1,041,990 | |||||||
Terrebonne Parish Hospital Service District 1, 5.00% due 4/1/2028 (General Medical Center) | A+/A2 | 1,500,000 | 1,654,725 | |||||||
MARYLAND — 0.22% | ||||||||||
County of Montgomery GO, 0.01% due 6/1/2026 put 10/1/2015 (Consolidated Public Improvements; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AAA/Aaa | 3,000,000 | 3,000,000 | |||||||
MASSACHUSETTS — 1.21% | ||||||||||
Massachusetts Bay Transportation Authority, 5.25% due 7/1/2030 (Transportation Capital Program) | AAA/Aa1 | 1,000,000 | 1,276,230 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2019 (CareGroup Healthcare System) | A-/A3 | 2,800,000 | 3,144,260 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2020 (CareGroup Healthcare System) | A-/A3 | 5,000,000 | 5,693,800 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2021 (CareGroup Healthcare System) | A-/A3 | 2,330,000 | 2,679,337 | |||||||
Massachusetts DFA, 5.50% due 10/1/2025 (Simmons College) | BBB+/Baa1 | 460,000 | 537,091 | |||||||
Massachusetts DFA, 5.50% due 10/1/2028 (Simmons College) | BBB+/Baa1 | 1,330,000 | 1,518,248 | |||||||
Massachusetts Educational Financing Authority, 5.50% due 1/1/2022 (Higher Education Student Loans) | AA/NR | 1,130,000 | 1,277,612 |
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
MICHIGAN — 6.03% | ||||||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2031 (Educational Facilities and Equipment) | AA-/Aa3 | $ | 1,010,000 | $ | 1,146,007 | |||||
Brighton Area Schools GO, 5.00% due 5/1/2016 (Livingston County School Building and Site; Insured: Q-SBLF) | NR/Aa1 | 370,000 | 379,805 | |||||||
City of Troy GO, 5.00% due 10/1/2016 (Public Safety Facilities and City Hall) | AAA/NR | 1,060,000 | 1,105,241 | |||||||
City of Troy GO, 5.00% due 11/1/2025 (Downtown Development Authority-Community Center Facilities) | AAA/NR | 300,000 | 357,996 | |||||||
County of Genesee, 5.00% due 11/1/2024 (Water Supply System; Insured: BAM) | AA/A2 | 610,000 | 702,397 | |||||||
County of Genesee, 5.00% due 11/1/2025 (Water Supply System; Insured: BAM) | AA/A2 | 345,000 | 394,383 | |||||||
County of Genesee, 5.25% due 11/1/2026 (Water Supply System; Insured: BAM) | AA/A2 | 900,000 | 1,037,331 | |||||||
County of Genesee, 5.25% due 11/1/2027 (Water Supply System; Insured: BAM) | AA/A2 | 1,375,000 | 1,573,275 | |||||||
County of Genesee, 5.25% due 11/1/2028 (Water Supply System; Insured: BAM) | AA/A2 | 645,000 | 730,779 | |||||||
County of Genesee, 5.00% due 11/1/2029 (Water Supply System; Insured: BAM) | AA/A2 | 1,210,000 | 1,345,302 | |||||||
County of Genesee, 5.00% due 11/1/2030 (Water Supply System; Insured: BAM) | AA/A2 | 1,195,000 | 1,321,873 | |||||||
County of Genesee, 5.125% due 11/1/2032 (Water Supply System; Insured: BAM) | AA/A2 | 750,000 | 830,827 | |||||||
Detroit City School District GO, 5.25% due 5/1/2026 (School Building & Site Improvement; Insured: AGM/Q-SBLF) | AA/Aa1 | 3,150,000 | 3,697,060 | |||||||
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site Improvement; Insured: AGM/Q-SBLF) | AA/Aa1 | 1,100,000 | 1,288,551 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2019 (Bronson Hospital; Insured: AGM) | AA/A2 | 2,000,000 | 2,207,200 | |||||||
Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2022 (Bronson Hospital; Insured: AGM) | NR/A2 | 2,470,000 | 2,773,588 | |||||||
Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2026 (Bronson Hospital) | NR/A2 | 1,285,000 | 1,420,310 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2026 (Government Loan Program) | A+/NR | 1,580,000 | 1,754,258 | |||||||
a Michigan Finance Authority, 5.00% due 8/1/2031 (Beaumont Health Credit Group) | A/A1 | 19,080,000 | 21,207,611 | |||||||
Michigan Finance Authority, 5.00% due 8/1/2032 (Beaumont Health Credit Group) | A/A1 | 12,000,000 | 13,290,000 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 930,000 | 987,465 | |||||||
Michigan State Building Authority, 0% due 10/15/2025 (Insured: Nat’l-Re) | AA-/Aa2 | 2,210,000 | 1,405,140 | |||||||
Michigan State Building Authority, 0% due 10/15/2025 pre-refunded 10/15/2016 (Insured: Nat’l-Re) | AA-/Aa2 | 2,790,000 | 1,792,966 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 pre-refunded 11/15/2017 (Edward W. Sparrow Hospital Association) | NR/NR | 1,520,000 | 1,658,624 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2024 (Edward W. Sparrow Hospital Association) | A+/NR | 620,000 | 661,255 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 pre-refunded 7/15/2017 (Oakwood Health System) | A/A1 | 3,000,000 | 3,235,470 | |||||||
Michigan State Hospital Finance Authority, 5.625% due 11/15/2029 (Henry Ford Health System) | A-/A3 | 2,500,000 | 2,853,850 | |||||||
Michigan Strategic Fund, 5.25% due 10/15/2023 (Michigan House of Representatives Facilities; Insured: AGM) | AA/Aa3 | 1,000,000 | 1,109,760 | |||||||
Royal Oak Hospital Finance Authority, 5.25% due 8/1/2016 (William Beaumont Hospital) (ETM) | NR/A1 | 2,000,000 | 2,082,620 | |||||||
Royal Oak Hospital Finance Authority, 8.00% due 9/1/2029 pre-refunded 9/1/2018 (William Beaumont Hospital) | NR/Aaa | 2,540,000 | 3,062,224 | |||||||
South Lyon Community Schools GO, 4.00% due 5/1/2019 (School Buildings and Sites; Insured: Natl-Re) | AA-/Aa2 | 450,000 | 459,176 | |||||||
State of Michigan, 5.50% due 11/1/2020 (Trunk Line Fund; Insured: AGM) | AA+/Aa2 | 1,500,000 | 1,799,895 | |||||||
Warren Consolidated Schools District GO, 4.00% due 5/1/2018 (School Buildings and Sites; Insured: AGM) | AA/A2 | 750,000 | 764,932 | |||||||
MINNESOTA — 0.50% | ||||||||||
Housing & Redevelopment Authority of the City of St. Paul, 5.25% due 5/15/2020 pre-refunded 11/15/2016 (HealthPartners Health System) | A/Aaa | 1,965,000 | 2,072,603 | |||||||
Minnesota Agriculture & Economic Development Board, 5.50% due 2/15/2025 (Essentia Health; Insured: AGM) | AA/NR | 2,500,000 | 2,851,650 | |||||||
State of Minnesota GO, 5.00% due 8/1/2016 (State Trunk Highway System) | AA+/Aa1 | 1,745,000 | 1,814,451 | |||||||
MISSISSIPPI — 0.85% | ||||||||||
Mississippi Development Bank, 5.00% due 3/1/2018 (Municipal Energy Agency Power Supply; Insured: Syncora) | NR/Baa1 | 1,920,000 | 1,948,570 | |||||||
Mississippi Development Bank, 5.00% due 7/1/2022 (City of Canton Parking Facilities) | NR/NR | 1,935,000 | 2,060,891 | |||||||
Mississippi Development Bank, 5.25% due 8/1/2027 (Department of Corrections) | AA-/NR | 3,415,000 | 3,890,402 | |||||||
Mississippi Development Bank GO, 5.00% due 3/1/2025 (Capital City Convention Center) | AA-/Aa2 | 2,850,000 | 3,466,996 | |||||||
MISSOURI — 1.31% | ||||||||||
Kansas City Metropolitan Community Colleges Building Corp., 5.00% due 7/1/2017 pre-refunded 7/1/2016 (Junior College District; Insured: Natl-Re) | NR/Aa2 | 1,000,000 | 1,035,700 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2019 (Eastland Center) | A-/NR | 1,000,000 | 1,046,020 | |||||||
Missouri Development Finance Board, 5.00% due 4/1/2021 (Eastland Center) | A-/NR | 2,000,000 | 2,072,420 | |||||||
Missouri Development Finance Board, 5.125% due 4/1/2022 (Eastland Center) | A-/NR | 2,000,000 | 2,163,880 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2019 (Webster University) | NR/A2 | 2,235,000 | 2,519,739 | |||||||
Missouri Health and Educational Facilities Authority, 5.00% due 4/1/2021 (Webster University) | NR/A2 | 2,520,000 | 2,920,705 | |||||||
Missouri Health and Educational Facilities Authority, 0.01% due 9/1/2030 put 10/1/2015 (Washington University; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 700,000 | 700,000 | |||||||
Missouri Health and Educational Facilities Authority, 0.01% due 9/1/2030 put 10/1/2015 (Washington University; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AAA/Aaa | 900,000 | 900,000 | |||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project-Public Improvements) (ETM) | NR/NR | 665,000 | 707,713 | |||||||
Tax Increment Financing Commission of Kansas City, 5.00% due 5/1/2022 (Union Hill Redevelopment Project) | NR/NR | 3,300,000 | 3,455,826 |
14 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
NEVADA — 0.97% | ||||||||||
Carson City, 5.00% due 9/1/2027 (Carson Tahoe Regional Medical Center) | BBB+/NR | $ | 2,450,000 | $ | 2,689,806 | |||||
Washoe County GO, 5.00% due 7/1/2026 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 5,000,000 | 5,697,450 | |||||||
Washoe County GO, 5.00% due 7/1/2029 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 2,000,000 | 2,268,900 | |||||||
Washoe County GO, 5.00% due 7/1/2032 (Reno Sparks Convention & Visitors Authority) | AA/Aa2 | 2,000,000 | 2,258,080 | |||||||
NEW HAMPSHIRE — 1.92% | ||||||||||
Manchester Housing & Redevelopment Authority, 0% due 1/1/2016 (Insured: Radian/ACA) | AA/Caa1 | 4,990,000 | 4,953,822 | |||||||
New Hampshire Health and Education Facilities Authority, 5.25% due 10/1/2023 (Southern New Hampshire Medical Center) | A-/NR | 1,000,000 | 1,075,830 | |||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2033 put 10/1/2015 (University System of New Hampshire; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | A+/Aa3 | 11,685,000 | 11,685,000 | |||||||
New Hampshire Health and Education Facilities Authority, 0.02% due 7/1/2035 put 10/1/2015 (University System of New Hampshire; SPA: U.S. Bank, N.A.) (daily demand notes) | A+/Aa3 | 1,010,000 | 1,010,000 | |||||||
New Hampshire Municipal Bond Bank, 5.00% due 8/15/2026 | AA+/Aa2 | 1,860,000 | 2,189,964 | |||||||
State of New Hampshire, 5.00% due 2/1/2022 (Turnpike System) | A+/A1 | 2,250,000 | 2,667,128 | |||||||
State of New Hampshire, 5.00% due 2/1/2024 (Turnpike System) | A+/A1 | 1,755,000 | 2,038,731 | |||||||
NEW JERSEY — 2.47% | ||||||||||
Burlington County Bridge Commission, 4.00% due 12/1/2017 (County Governmental Loan Program) | AA/Aa2 | 850,000 | 910,248 | |||||||
Cape May County Industrial Pollution Control Financing Authority, 6.80% due 3/1/2021 (Atlantic City Electric Company; Insured: Natl-Re) | AA-/A3 | 560,000 | 676,514 | |||||||
Essex County Improvement Authority, 5.50% due 10/1/2024 (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re) | NR/Aa2 | 2,500,000 | 3,140,250 | |||||||
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction) | A-/A3 | 2,000,000 | 2,098,040 | |||||||
New Jersey EDA, 5.50% due 9/1/2026 (School Facilities Construction; Insured: AMBAC) | A-/A3 | 3,000,000 | 3,296,310 | |||||||
New Jersey EDA, 5.50% due 9/1/2027 (School Facilities Construction; Insured: Natl-Re) | AA-/A3 | 1,700,000 | 1,919,708 | |||||||
New Jersey EDA, 5.00% due 6/15/2029 (School Facilities Construction) | A-/A3 | 12,890,000 | 13,264,970 | |||||||
New Jersey State Health Care Facilities Financing Authority, 5.00% due 7/1/2027 (Virtua Health) | A+/NR | 2,000,000 | 2,293,580 | |||||||
New Jersey State Health Care Facilities Financing Authority, 5.00% due 7/1/2028 (Virtua Health) | A+/NR | 1,000,000 | 1,138,540 | |||||||
New Jersey Water Supply Authority, 5.00% due 8/1/2019 (Manasquan Reservoir Water Supply System; Insured: Natl-Re) | AA/Aa3 | 635,000 | 637,546 | |||||||
Passaic Valley Sewage Commissioners GO, 5.75% due 12/1/2022 | NR/A3 | 3,000,000 | 3,597,510 | |||||||
NEW MEXICO — 0.58% | ||||||||||
City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) | A-/A2 | 3,000,000 | 3,304,740 | |||||||
City of Las Cruces, 5.00% due 6/1/2030 (NMFA Loan) | NR/Aa3 | 2,040,000 | 2,308,321 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group) | NR/NR | 2,130,000 | 2,177,584 | |||||||
NEW YORK — 9.79% | ||||||||||
City of New York GO, 0.40% due 8/1/2021 (Capital Projects) | AA/Aa2 | 2,700,000 | 2,694,006 | |||||||
City of New York GO, 0.01% due 10/1/2023 put 10/1/2015 (City Budget Financial Management; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 200,000 | 200,000 | |||||||
City of New York GO, 5.00% due 8/1/2027 (City Budget Financial Management) | AA/Aa2 | 4,530,000 | 5,344,585 | |||||||
City of New York GO, 5.00% due 8/1/2030 (City Budget Financial Management) | AA/Aa2 | 5,000,000 | 5,800,400 | |||||||
City of New York GO, 5.00% due 8/1/2031 (City Budget Financial Management) | AA/Aa2 | 4,000,000 | 4,623,480 | |||||||
City of New York GO, 0.01% due 1/1/2036 put 10/1/2015 (Gowanus Canal Site; SPA: JPMorgan Chase Bank, N.A) (daily demand notes) | AA/Aa2 | 4,800,000 | 4,800,000 | |||||||
County of Nassau GO, 5.00% due 4/1/2026 (Insured: BAM) | AA/NR | 1,300,000 | 1,519,180 | |||||||
Erie County Industrial Development Agency, 5.00% due 5/1/2019 (City of Buffalo School District) | AA/Aa2 | 3,000,000 | 3,407,280 | |||||||
Erie County Industrial Development Agency, 5.00% due 5/1/2027 (City of Buffalo School District) (State Aid Withholding) | AA/Aa2 | 5,000,000 | 5,903,050 | |||||||
Lake Placid Central School District GO, 5.00% due 6/15/2017 (Educational Facilities; Insured: Natl-Re) (State Aid Withholding) | NR/Aa3 | 305,000 | 326,804 | |||||||
New York City Municipal Water Finance Authority, 0% due 6/15/2035 put 10/1/2015 (Water & Sewer System; SPA: Bayerische Landesbank) (daily demand notes) | AAA/Aa1 | 26,000,000 | 26,000,000 | |||||||
New York City Municipal Water Finance Authority, 0% due 6/15/2043 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 4,050,000 | 4,050,000 | |||||||
New York City Municipal Water Finance Authority, 0% due 6/15/2050 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 17,200,000 | 17,200,000 | |||||||
New York City Municipal Water Finance Authority, 0% due 6/15/2050 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 5,100,000 | 5,100,000 | |||||||
New York City Transitional Finance Authority, 0% due 8/1/2031 put 10/1/2015 (City Capital Projects; SPA: Landesbank Hessen-Thuringen) (daily demand notes) | AAA/Aaa | 25,000,000 | 25,000,000 | |||||||
New York State Dormitory Authority, 5.625% due 7/1/2016 (City University System) | AA/Aa2 | 365,000 | 378,892 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2017 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 850,000 | 876,928 | |||||||
New York State Dormitory Authority, 5.25% due 5/15/2021 (State University Educational Facilities) | AA/Aa2 | 500,000 | 573,535 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2023 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 2,180,000 | 2,348,449 |
Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2027 (Metropolitan Transportation Authority & State Urban Development Corp.) | AAA/Aa1 | $ | 2,500,000 | $ | 2,971,825 | |||||
New York State Housing Finance Agency, 0.02% due 5/1/2048 put 10/1/2015 (605 West 42nd Street; LOC: Bank of China) (daily demand notes) | A/A1 | 1,000,000 | 1,000,000 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2030 (Multi-Year Highway and Bridge Capital Program) | A/A2 | 7,480,000 | 8,660,942 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza Project) | NR/A1 | 1,700,000 | 1,895,721 | |||||||
NORTH CAROLINA — 0.49% | ||||||||||
Charlotte-Mecklenburg Hospital Authority, 3.00% due 1/15/2018 (Carolinas HealthCare System) | AA-/Aa3 | 600,000 | 628,920 | |||||||
Charlotte-Mecklenburg Hospital Authority, 5.00% due 1/15/2028 (Carolinas HealthCare System) | AA-/Aa3 | 2,190,000 | 2,504,134 | |||||||
North Carolina Medical Care Commission, 5.00% due 6/1/2030 (Vidant Health) | A+/A1 | 3,000,000 | 3,376,800 | |||||||
NORTH DAKOTA — 0.16% | ||||||||||
County of Ward, 5.125% due 7/1/2021 (Trinity Health System) | BBB-/NR | 1,000,000 | 1,016,860 | |||||||
North Dakota Building Authority, 4.25% due 12/1/2015 (Various State Agency Capital Projects; Insured: Natl-Re) | AA+/Aa2 | 1,105,000 | 1,112,868 | |||||||
OHIO — 4.94% | ||||||||||
Akron, Bath and Copley Joint Township Hospital District, 5.00% due 11/15/2024 (Children’s Hospital Medical Center of Akron) | NR/A1 | 1,000,000 | 1,146,480 | |||||||
American Municipal Power, Inc., 5.25% due 2/15/2028 (AMP Fremont Energy Center) | A/A1 | 4,000,000 | 4,624,960 | |||||||
Cincinnati City School District COP, 5.00% due 12/15/2031 (School Improvement Project) | A+/Aa3 | 3,075,000 | 3,505,408 | |||||||
City of Cleveland, 2.00% due 10/1/2015 (Public Safety, Health and Welfare Facilities) | AA/A1 | 375,000 | 375,019 | |||||||
City of Cleveland, 2.00% due 10/1/2015 (Parks and Recreation Facilities) | AA/A1 | 475,000 | 475,024 | |||||||
City of Cleveland, 3.00% due 10/1/2017 (Parks and Recreation Facilities) | AA/A1 | 490,000 | 510,477 | |||||||
City of Cleveland, 5.00% due 11/15/2027 (Public Facilities Improvements) | AA/A1 | 1,285,000 | 1,493,825 | |||||||
City of Cleveland, 5.00% due 10/1/2028 (Bridges and Roadways) | AA/A1 | 2,420,000 | 2,794,180 | |||||||
City of Cleveland, 5.00% due 11/15/2028 (Public Facilities Improvements) | AA/A1 | 1,000,000 | 1,156,200 | |||||||
City of Cleveland, 5.00% due 10/1/2029 (Bridges and Roadways) | AA/A1 | 100,000 | 114,825 | |||||||
City of Cleveland, 5.00% due 11/15/2029 (Public Facilities Improvements) | AA/A1 | 1,415,000 | 1,627,575 | |||||||
City of Cleveland, 5.00% due 11/15/2030 (Public Facilities Improvements) | AA/A1 | 1,485,000 | 1,697,697 | |||||||
City of Cleveland GO, 5.00% due 12/1/2016 (Various Municipal Capital Improvements) | AA/A1 | 1,000,000 | 1,052,780 | |||||||
City of Cleveland GO, 5.00% due 12/1/2024 (Various Municipal Capital Improvements) | AA/A1 | 1,000,000 | 1,191,810 | |||||||
City of Cleveland GO, 5.00% due 12/1/2026 (Various Municipal Capital Improvements) | AA/A1 | 1,230,000 | 1,445,275 | |||||||
City of Hamilton, 5.25% due 10/1/2017 (Wastewater System; Insured: AGM) | NR/A1 | 1,500,000 | 1,506,375 | |||||||
Cleveland-Cuyahoga County Port Authority, 6.25% due 5/15/2016 (Council for Economic Opportunities in Greater Cleveland; LOC: FifthThird Bank) | BBB+/NR | 330,000 | 330,587 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 10/1/2021 (Cleveland Museum of Art) | AA+/NR | 2,040,000 | 2,365,258 | |||||||
Cleveland-Cuyahoga County Port Authority, 5.00% due 7/1/2025 (County Administration Offices) | AA-/Aa2 | 1,780,000 | 2,147,588 | |||||||
County of Allen, 5.00% due 5/1/2025 (Catholic Health Partners-Mercy Health West Facility) | AA-/A1 | 4,470,000 | 5,081,675 | |||||||
County of Allen, 5.00% due 5/1/2026 (Catholic Health Partners-Mercy Health West Facility) | AA-/A1 | 3,855,000 | 4,349,481 | |||||||
County of Cuyahoga COP, 5.00% due 12/1/2026 (Convention Center Hotel) | AA-/Aa3 | 2,910,000 | 3,393,962 | |||||||
County of Hamilton, 5.00% due 5/15/2028 (Cincinnati Children’s Hospital Medical Center) | AA/Aa2 | 2,665,000 | 3,104,752 | |||||||
County of Hamilton, 5.00% due 5/15/2029 (Cincinnati Children’s Hospital Medical Center) | AA/Aa2 | 1,000,000 | 1,154,550 | |||||||
County of Hamilton, 5.00% due 5/15/2031 (Cincinnati Children’s Hospital Medical Center) | AA/Aa2 | 4,420,000 | 5,058,336 | |||||||
County of Montgomery, 0.01% due 11/15/2039 put 10/1/2015 (Miami Valley Hospital; SPA: Barclays Bank plc) (daily demand notes) | NR/Aa3 | 100,000 | 100,000 | |||||||
County of Montgomery, 0.01% due 11/15/2045 put 10/1/2015 (Miami Valley Hospital; SPA: Barclays Bank plc) (daily demand notes) | NR/Aa3 | 800,000 | 800,000 | |||||||
Deerfield Township, 5.00% due 12/1/2016 | NR/A1 | 1,035,000 | 1,080,892 | |||||||
Deerfield Township, 5.00% due 12/1/2025 | NR/A1 | 1,000,000 | 1,035,050 | |||||||
Lucas County Health Care Facility, 5.00% due 8/15/2021 (Sunset Retirement Community) | NR/NR | 1,400,000 | 1,474,858 | |||||||
Lucas County Health Care Facility, 5.125% due 8/15/2025 (Sunset Retirement Community) | NR/NR | 1,250,000 | 1,364,362 | |||||||
Ohio Air Quality Development Authority, 5.70% due 8/1/2020 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 3,000,000 | 3,273,000 | |||||||
Ohio Air Quality Development Authority, 3.625% due 12/1/2033 put 6/1/2020 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 1,000,000 | 1,010,080 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2039 put 10/1/2015 (Cleveland Clinic Health System) (daily demand notes) | AA-/Aa2 | 900,000 | 900,000 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2043 put 10/1/2015 (Cleveland Clinic Health System; SPA: Barclays Bank plc) (daily demand notes) | AA-/Aa2 | 900,000 | 900,000 | |||||||
Ohio State Water Development Authority, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 1,000,000 | 1,028,270 | |||||||
State of Ohio Higher Educational Facility Commission, 5.05% due 7/1/2037 pre-refunded 7/1/2016 (Kenyon College) | A+/A1 | 1,200,000 | 1,243,104 | |||||||
OKLAHOMA — 0.82% | ||||||||||
Oklahoma DFA, 5.00% due 8/15/2026 (INTEGRIS Health) | AA-/Aa3 | 1,000,000 | 1,204,210 | |||||||
Oklahoma DFA, 5.00% due 8/15/2027 (INTEGRIS Health) | AA-/Aa3 | 1,000,000 | 1,196,250 | |||||||
a Oklahoma State Industries Authority, 5.50% due 7/1/2023 (Oklahoma Medical Research Foundation) | NR/A2 | 3,730,000 | 4,118,554 | |||||||
Oklahoma State Power Authority, 5.00% due 1/1/2018 (Insured: AGM) | AA/A2 | 1,000,000 | 1,092,390 |
16 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Oklahoma Turnpike Authority, 0.01% due 1/1/2028 put 10/1/2015 (Oklahoma Turnpike System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA-/Aa3 | $ | 2,100,000 | $ | 2,100,000 | |||||
Tulsa County Industrial Authority, 5.00% due 12/15/2024 (St. Francis Health System, Inc.) | AA+/Aa2 | 1,130,000 | 1,187,890 | |||||||
OREGON — 3.01% | ||||||||||
b State of Oregon GO, 2.00% due 9/15/2016 (Cash Management) | SP-1+/Mig1 | 30,000,000 | 30,497,400 | |||||||
State of Oregon GO, 0.01% due 12/1/2041 put 10/1/2015 (Veterans’ Loan Program; SPA: U.S. Bank, N.A.) (daily demand notes) | AA+/Aa1 | 9,700,000 | 9,700,000 | |||||||
PENNSYLVANIA — 6.85% | ||||||||||
Allegheny County Hospital Development Authority, 5.00% due 5/15/2019 (University of Pittsburgh Medical Center) | A+/Aa3 | 2,500,000 | 2,829,175 | |||||||
Allegheny County IDA, 5.90% due 8/15/2026 (Propel Charter School-McKeesport) | BBB-/NR | 970,000 | 1,036,057 | |||||||
Allegheny County IDA, 6.375% due 8/15/2035 (Propel Charter School-McKeesport) | BBB-/NR | 1,130,000 | 1,219,440 | |||||||
Bethlehem Area School District GO, 5.00% due 10/15/2020 pre-refunded 04/15/2019 (Northampton and Lehigh Counties District; Insured: AGM) (State Aid Withholding) | AA/NR | 95,000 | 108,138 | |||||||
Bethlehem Area School District GO, 5.00% due 10/15/2020 (Northampton and Lehigh Counties District; Insured: AGM) (State Aid Withholding) | AA/NR | 380,000 | 420,580 | |||||||
Bradford County IDA, 5.20% due 12/1/2019 (International Paper Company) (AMT) | BBB/Baa2 | 2,620,000 | 2,634,279 | |||||||
Chartiers Valley Industrial & Commercial Development Authority, 5.75% due 12/1/2022 (Asbury Health Center) | NR/NR | 900,000 | 920,250 | |||||||
City of Philadelphia, 5.00% due 8/1/2032 (Pennsylvania Gas Works) | A-/Baa1 | 1,000,000 | 1,129,200 | |||||||
City of Philadelphia, 5.00% due 8/1/2033 (Pennsylvania Gas Works) | A-/Baa1 | 800,000 | 896,264 | |||||||
City of Philadelphia, 5.00% due 8/1/2034 (Pennsylvania Gas Works) | A-/Baa1 | 500,000 | 557,965 | |||||||
a Commonwealth of Pennsylvania GO, 5.00% due 3/15/2022 (Capital Facilities) | AA-/Aa3 | 12,485,000 | 14,674,120 | |||||||
County of Lehigh GO, 5.00% due 11/15/2016 | NR/Aa1 | 5,725,000 | 6,025,791 | |||||||
County of Luzerne GO, 5.00% due 11/15/2029 (Insured: AGM) | AA/NR | 3,000,000 | 3,350,910 | |||||||
Dallastown Area School District GO, 4.00% due 5/1/2021 (State Aid Withholding) | AA/NR | 460,000 | 511,239 | |||||||
Geisinger Authority, 0.01% due 6/1/2041 put 10/1/2015 (Geisinger Health System; SPA: U.S. Bank, N.A.) (daily demand notes) | AA/Aa2 | 1,500,000 | 1,500,000 | |||||||
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.01% due 2/15/2021 put 10/1/2015 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AA/Aa2 | 200,000 | 200,000 | |||||||
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.01% due 7/1/2041 put 10/1/2015 (The Children’s Hospital of Philadelphia; SPA: Wells Fargo Bank, N.A.) (daily demand notes) | AA/Aa2 | 4,200,000 | 4,200,000 | |||||||
Lancaster County Solid Waste Management Authority, 5.25% due 12/15/2030 (Acquisition of Susquehanna Resource Management Facility) | AA-/NR | 3,000,000 | 3,443,070 | |||||||
Monroeville Financing Authority, 5.00% due 2/15/2026 (University of Pittsburgh Medical Center) | A+/Aa3 | 3,490,000 | 4,237,558 | |||||||
Pennsylvania Economic DFA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 7,470,000 | 7,514,372 | |||||||
Pennsylvania Higher Education Facilities Authority, 0% due 7/1/2020 (Insured: AMBAC) | NR/NR | 2,032,839 | 1,437,197 | |||||||
Pennsylvania State Public School Building Authority GO, 5.00% due 6/1/2027 (Philadelphia District; Insured: AGM) (State Aid Withholding) | AA/A2 | 5,000,000 | 5,776,000 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) | A-/A3 | 4,000,000 | 4,311,160 | |||||||
Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2030 (Water and Sewer System; Insured: AGM) | A/A2 | 5,000,000 | 5,700,150 | |||||||
Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2031 (Water and Sewer System; Insured: AGM) | A/A2 | 3,740,000 | 4,246,770 | |||||||
a Pittsburgh Water & Sewer Authority, 5.00% due 9/1/2031 (Water and Sewer System; Insured: AGM) | A/A2 | 3,665,000 | 4,161,607 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) | AA/NR | 405,000 | 448,104 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2017 (Insured: BAM) (State Aid Withholding) | AA/NR | 365,000 | 386,666 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2018 (Insured: BAM) (State Aid Withholding) | AA/NR | 355,000 | 383,805 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2020 (Insured: BAM) (State Aid Withholding) | AA/NR | 385,000 | 425,976 | |||||||
Plum Borough School District GO, 4.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) | AA/NR | 425,000 | 471,729 | |||||||
Plum Borough School District GO, 5.00% due 9/15/2021 (Insured: BAM) (State Aid Withholding) | AA/NR | 430,000 | 501,294 | |||||||
School District of Philadelphia GO, 5.00% due 9/1/2018 (School Reform Commission) (State Aid Withholding) | A+/A2 | 5,250,000 | 5,797,627 | |||||||
RHODE ISLAND — 0.39% | ||||||||||
State of Rhode Island and Providence Plantations COP, 5.00% due 10/1/2024 (Training School Project) | AA-/Aa3 | 3,595,000 | 4,287,038 | |||||||
State of Rhode Island and Providence Plantations GO, 4.00% due 10/15/2023 (Consolidated Capital Development Loan) | AA/Aa2 | 800,000 | 902,544 | |||||||
SOUTH CAROLINA — 1.12% | ||||||||||
City of Myrtle Beach, 5.00% due 6/1/2028 (Municipal Sports Complex) | AA-/A1 | 1,000,000 | 1,155,500 | |||||||
City of Myrtle Beach, 5.00% due 6/1/2030 (Municipal Sports Complex) | AA-/A1 | 1,000,000 | 1,140,170 | |||||||
Greenwood Fifty School Facilities, Inc., 5.00% due 12/1/2025 (School District No. 50; Insured: AGM) | AA/A1 | 2,400,000 | 2,605,488 | |||||||
Lexington County Health Services District, Inc., 5.00% due 11/1/2016 (Lexington Medical Center) | AA-/A1 | 250,000 | 262,112 | |||||||
Lexington One School Facilities Corp., 5.00% due 12/1/2019 pre-refunded 12/1/2016 (School District No. 1) | NR/Aa3 | 1,000,000 | 1,053,220 | |||||||
Lexington One School Facilities Corp., 5.25% due 12/1/2021 pre-refunded 12/1/2015 (School District No. 1 Project) | NR/Aa3 | 1,700,000 | 1,714,790 | |||||||
Scago Educational Facilities Corp., 5.00% due 12/1/2017 pre-refunded 12/1/2016 (Colleton School District; Insured: AGM) | AA/A3 | 1,000,000 | 1,053,220 | |||||||
Securing Assets For Education, 5.00% due 12/1/2019 pre-refunded 12/1/2016 (School District of Berkeley County Project) | AA-/Aa3 | 2,000,000 | 2,106,440 | |||||||
South Carolina Housing Finance & Development Authority, 5.30% due 7/1/2023 (AMT) | NR/Aa1 | 765,000 | 786,726 | |||||||
Sumter Two School Facilities, Inc., 5.00% due 12/1/2021 (School District No. 2 Project; Insured: AGM) | AA/A3 | 2,855,000 | 3,030,640 |
Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
SOUTH DAKOTA — 0.28% | ||||||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2023 (Avera Health) | AA-/A1 | $ | 1,575,000 | $ | 1,818,038 | |||||
South Dakota Health & Educational Facilities Authority, 5.00% due 11/1/2024 (Sanford Health) | A+/A1 | 1,700,000 | 1,900,413 | |||||||
TENNESSEE — 0.82% | ||||||||||
Tennessee Energy Acquisition Corp., 5.00% due 2/1/2023 (Prepaid Gas Purchase Agreement) | A-/A3 | 2,500,000 | 2,825,200 | |||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2023 (Prepaid Gas Purchase Agreement) | A-/A3 | 7,000,000 | 8,097,390 | |||||||
TEXAS — 6.25% | ||||||||||
Austin Community College District, 5.50% due 8/1/2023 pre-refunded 8/1/2018 (Round Rock Campus) | AA/Aa2 | 2,180,000 | 2,464,294 | |||||||
Bexar County Health Facilities Development Corp., 5.00% due 7/1/2027 (Army Retirement Residence) | BBB/NR | 1,630,000 | 1,679,552 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2021 (Waterworks System; Insured: Syncora) | A+/A1 | 1,300,000 | 1,387,204 | |||||||
Bexar Metropolitan Water District, 5.00% due 5/1/2022 (Waterworks System; Insured: Syncora) | A+/A1 | 2,300,000 | 2,452,030 | |||||||
Cities of Dallas and Fort Worth, 5.00% due 11/1/2015 (DFW International Airport Development Plan) | A+/A2 | 1,000,000 | 1,004,260 | |||||||
City of Brownsville, 5.00% due 9/1/2017 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | 500,000 | 538,580 | |||||||
City of Brownsville, 5.00% due 9/1/2020 (Water, Wastewater & Electric Utilities Systems) | A+/A2 | 1,000,000 | 1,151,330 | |||||||
City of Galveston, 5.00% due 9/1/2021 (Galveston Island Convention Center; Insured: AGM) | NR/A2 | 545,000 | 625,769 | |||||||
City of Galveston, 5.00% due 9/1/2024 (Galveston Island Convention Center; Insured: AGM) | NR/A2 | 1,115,000 | 1,305,754 | |||||||
City of Houston, 5.00% due 9/1/2032 (Convention & Entertainment Facilities) | A-/A2 | 3,560,000 | 4,036,008 | |||||||
City of Pharr Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) | BBB/NR | 5,050,000 | 5,573,735 | |||||||
City of San Antonio, 5.00% due 7/1/2024 (Airport System Capital Improvements) (AMT) | A/A2 | 2,065,000 | 2,364,549 | |||||||
City of San Antonio, 5.00% due 7/1/2025 (Airport System Capital Improvements) (AMT) | A/A2 | 1,160,000 | 1,315,231 | |||||||
City of Texas City Industrial Development Corp., 7.375% due 10/1/2020 (ARCO Pipe Line Co. Project) | A/A2 | 2,705,000 | 3,402,322 | |||||||
Dallas County Utilities & Reclamation District, 5.15% due 2/15/2022 (Insured: AMBAC) | A-/A3 | 3,000,000 | 3,147,510 | |||||||
Harris County Cultural Education Facilities Finance Corp., 5.00% due 12/1/2028 (Memorial Hermann Health System) | A+/A1 | 3,000,000 | 3,491,040 | |||||||
Harris County Cultural Education Facilities Finance Corp., 0.01% due 9/1/2031 put 10/1/2015 (Texas Medical Center; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 16,880,000 | 16,880,000 | |||||||
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 pre-refunded 5/15/2021 (Cosmos Foundation, Inc.) | NR/NR | 415,000 | 527,971 | |||||||
Houston Higher Education Finance Corp., 6.50% due 5/15/2031 (Cosmos Foundation, Inc.) | BBB/NR | 360,000 | 426,823 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2017 | NR/NR | 510,000 | 539,172 | |||||||
Kimble County Hospital District GO, 5.00% due 8/15/2018 | NR/NR | 525,000 | 565,079 | |||||||
La Vernia Higher Education Finance Corp., 5.75% due 8/15/2024 pre-refunded 8/15/2019 (Kipp, Inc.) | BBB/NR | 3,000,000 | 3,515,310 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2026 pre-refunded 5/15/2022 | NR/NR | 55,000 | 66,101 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2026 | A/A2 | 9,415,000 | 10,830,922 | |||||||
North Central Texas Health Facilities Development Corp., 5.00% due 8/15/2019 (Children’s Medical Center of Dallas) | NR/Aa2 | 270,000 | 305,308 | |||||||
North Texas Tollway Authority, 5.00% due 9/1/2017 (DOT-President George Bush Turnpike Western Extension) | AA+/NR | 450,000 | 487,301 | |||||||
San Juan Higher Education Finance Authority, 5.75% due 8/15/2024 (IDEA Public Schools) | BBB/NR | 1,590,000 | 1,794,569 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA) | BBB/NR | 3,000,000 | 3,242,820 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.00% due 2/15/2030 pre-refunded 2/15/2020 (Cosmos Foundation, Inc.) | BBB/NR | 1,750,000 | 2,100,542 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA) | BBB/NR | 2,000,000 | 2,161,880 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2024 (Central Texas Turnpike System) | BBB+/Baa1 | 1,500,000 | 1,768,215 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2025 (Central Texas Turnpike System) | BBB+/Baa1 | 750,000 | 877,178 | |||||||
Uptown Development Authority, 5.50% due 9/1/2029 (Infrastructure Improvements) | BBB/NR | 1,250,000 | 1,373,937 | |||||||
U.S. VIRGIN ISLANDS — 0.42% | ||||||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | 5,000,000 | 5,592,750 | |||||||
UTAH — 0.76% | ||||||||||
City of Murray, 0.01% due 5/15/2037 put 10/1/2015 (IHC Health Services, Inc.; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa1 | 2,300,000 | 2,300,000 | |||||||
Local Building Authority of Salt Lake Valley Fire Service Area, 5.25% due 4/1/2020 | NR/Aa2 | 1,250,000 | 1,366,338 | |||||||
Weber County, 0.01% due 2/15/2031 put 10/1/2015 (IHC Health Services, Inc.; SPA: The Bank of NY Mellon) (daily demand notes) | AA+/Aa1 | 3,700,000 | 3,700,000 | |||||||
Weber County, 0.01% due 2/15/2035 put 10/1/2015 (IHC Health Services, Inc.; SPA: The Bank of NY Mellon) (daily demand notes) | AA+/Aa1 | 2,750,000 | 2,750,000 | |||||||
VIRGINIA — 0.78% | ||||||||||
County of Hanover IDA, 6.00% due 10/1/2021 (FirstHealth Richmond Memorial Hospital) (ETM) | AA-/NR | 690,000 | 742,433 | |||||||
Fairfax County GO, 4.00% due 10/1/2015 (Public Facilities and Improvements) (State Aid Withholding) | AAA/Aaa | 2,850,000 | 2,850,314 | |||||||
Pittsylvania County GO, 3.00% due 7/15/2017 (Educational Capital Projects) (State Aid Withholding) | AA-/Aa3 | 280,000 | 280,596 | |||||||
Virginia Housing Development Authority GO, 4.85% due 4/1/2019 (Multi-Family Housing Development) (AMT) | AAA/Aaa | 3,100,000 | 3,264,114 |
18 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Virginia Housing Development Authority GO, 4.85% due 10/1/2019 (Multi-Family Housing Development) (AMT) | AAA/Aaa | $ | 3,100,000 | $ | 3,250,257 | |||||
WASHINGTON — 2.43% | ||||||||||
City of Seattle, 5.00% due 2/1/2019 (Light and Power Improvements) | AA/Aa2 | 3,000,000 | 3,391,260 | |||||||
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2028 (EvergreenHealth Medical Center) | NR/Aa3 | 1,015,000 | 1,188,179 | |||||||
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2029 (EvergreenHealth Medical Center) | NR/Aa3 | 2,930,000 | 3,401,701 | |||||||
King County Public Hospital District No. 2 GO, 5.00% due 12/1/2030 (EvergreenHealth Medical Center) | NR/Aa3 | 250,000 | 287,865 | |||||||
a King County Public Hospital District No. 2 GO, 5.00% due 12/1/2031 (EvergreenHealth Medical Center) | NR/Aa3 | 2,040,000 | 2,333,209 | |||||||
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 | 1,915,105 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2025 (Skagit Regional Health) | NR/A1 | 4,860,000 | 5,609,947 | |||||||
Skagit County Public Hospital District No. 1 GO, 5.00% due 12/1/2028 (Skagit Regional Health) | NR/A1 | 3,000,000 | 3,394,860 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2027 (Island Hospital) | NR/A1 | 2,445,000 | 2,749,011 | |||||||
Skagit County Public Hospital District No. 2 GO, 5.00% due 12/1/2028 (Island Hospital) | NR/A1 | 2,195,000 | 2,455,305 | |||||||
Washington Health Care Facilities Authority, 5.25% due 8/15/2024 per-refunded 8/15/2018 (Multi-Care Systems; Insured: AGM) | AA/Aa3 | 1,000,000 | 1,121,820 | |||||||
Washington Health Care Facilities Authority, 6.25% due 8/1/2028 pre-refunded 8/1/2018 (Highline Medical Centers; Insured: FHA 242) | NR/NR | 3,985,000 | 4,576,135 | |||||||
WEST VIRGINIA — 0.12% | ||||||||||
West Virginia Hospital Finance Authority, 5.00% due 6/1/2020 (United Hospital Center; Insured: AMBAC) | A/A2 | 1,530,000 | 1,566,965 | |||||||
WISCONSIN — 1.54% | ||||||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 7/1/2021 (Agnesian Healthcare, Inc.) | A/A3 | 2,170,000 | 2,429,206 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2023 (ProHealth Care, Inc.) | A+/A1 | 1,980,000 | 2,259,794 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2024 (ProHealth Care, Inc.) | A+/A1 | 2,460,000 | 2,801,276 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.50% due 7/1/2025 (Agnesian Healthcare, Inc.) | A/A3 | 5,000,000 | 5,671,700 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2025 (ProHealth Care, Inc.) | A+/A1 | 3,180,000 | 3,635,885 | |||||||
Wisconsin Health & Educational Facilities Authority, 5.00% due 8/15/2026 (ProHealth Care, Inc.) | A+/A1 | 3,305,000 | 3,758,148 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.76% (Cost $1,259,414,395) | $ | 1,318,034,921 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.24% | 16,606,040 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 1,334,640,961 | ||||||||
|
|
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 | |
BAM | Insured by Build America Mutual Insurance Co. | |
CIFG | Insured by CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
DFA | Development Finance Authority | |
EDA | Economic Development Authority | |
ETM | Escrowed to Maturity | |
FHA | Insured by Federal Housing Administration | |
GNMA | Collateralized by Government National Mortgage Association |
GO | General Obligation | |
HFA | Health Facilities Authority | |
HFFA | Health Facilities Financing Authority | |
IBC | Insured Bond Certificate | |
IDA | Industrial Development Authority | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
Q-SBLF | Insured by Qualified School Bond Loan Fund | |
Radian | Insured by Radian Asset Assurance | |
SONYMA | State of New York Mortgage Authority | |
Syncora | Insured by Syncora Guarantee Inc. | |
USD | Unified School District |
See notes to financial statements.
Annual Report 19
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $1,259,414,395) (Note 2) | $ | 1,318,034,921 | ||
Cash | 32,896,937 | |||
Receivable for investments sold | 14,149,563 | |||
Receivable for fund shares sold | 2,859,556 | |||
Interest receivable | 13,605,905 | |||
Prepaid expenses and other assets | 48,641 | |||
|
| |||
Total Assets | 1,381,595,523 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 43,281,513 | |||
Payable for fund shares redeemed | 2,541,594 | |||
Payable to investment advisor and other affiliates (Note 3) | 748,858 | |||
Accounts payable and accrued expenses | 126,073 | |||
Dividends payable | 256,524 | |||
|
| |||
Total Liabilities | 46,954,562 | |||
|
| |||
NET ASSETS | $ | 1,334,640,961 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (3,781 | ) | |
Net unrealized appreciation on investments | 58,620,526 | |||
Accumulated net realized gain (loss) | (178,704 | ) | ||
Net capital paid in on shares of beneficial interest | 1,276,202,920 | |||
|
| |||
$ | 1,334,640,961 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($423,112,899 applicable to 29,853,287 shares of beneficial interest outstanding - Note 4) | $ | 14.17 | ||
Maximum sales charge, 2.00% of offering price | 0.29 | |||
|
| |||
Maximum offering price per share | $ | 14.46 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($160,042,086 applicable to 11,277,545 shares of beneficial interest outstanding - Note 4) | $ | 14.19 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($751,485,976 applicable to 53,091,230 shares of beneficial interest outstanding - Note 4) | $ | 14.15 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
20 Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg Intermediate Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $9,894,165) | $ | 38,864,005 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 5,917,014 | |||
Administration fees (Note 3) | ||||
Class A Shares | 527,551 | |||
Class C Shares | 200,635 | |||
Class I Shares | 354,602 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 1,055,102 | |||
Class C Shares | 963,866 | |||
Transfer agent fees | ||||
Class A Shares | 207,006 | |||
Class C Shares | 76,955 | |||
Class I Shares | 545,620 | |||
Registration and filing fees | ||||
Class A Shares | 32,375 | |||
Class C Shares | 25,185 | |||
Class I Shares | 48,476 | |||
Custodian fees (Note 3) | 135,438 | |||
Professional fees | 54,812 | |||
Accounting fees (Note 3) | 43,495 | |||
Trustee fees | 45,310 | |||
Other expenses | 91,000 | |||
|
| |||
Total Expenses | 10,324,442 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (56,472 | ) | ||
Fees paid indirectly (Note 3) | (8,203 | ) | ||
|
| |||
Net Expenses | 10,259,767 | |||
|
| |||
Net Investment Income | 28,604,238 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (178,705 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (6,311,268 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (6,489,973 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 22,114,265 | ||
|
|
See notes to financial statements.
Annual Report 21
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Intermediate Municipal Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 28,604,238 | $ | 27,643,381 | ||||
Net realized gain (loss) on investments | (178,705 | ) | 778,096 | |||||
Net unrealized appreciation (depreciation) on investments | (6,311,268 | ) | 36,212,520 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,114,265 | 64,633,997 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (8,826,286 | ) | (10,299,388 | ) | ||||
Class C Shares | (2,839,671 | ) | (3,239,656 | ) | ||||
Class I Shares | (16,938,281 | ) | (14,104,337 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 7,597,943 | (26,755,780 | ) | |||||
Class C Shares | 3,649,607 | (7,732,072 | ) | |||||
Class I Shares | 137,108,465 | 151,102,715 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 141,866,042 | 153,605,479 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 1,192,774,919 | 1,039,169,440 | ||||||
|
|
|
| |||||
End of Year | $ | 1,334,640,961 | $ | 1,192,774,919 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (3,781 | ) | $ | (3,781 | ) |
See notes to financial statements.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
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 twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 1,318,034,921 | $ | — | $ | 1,318,034,921 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,318,034,921 | $ | — | $ | 1,318,034,921 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $43,495 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $5,580 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $13,909 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $56,472 for Class C shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to
Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2015, fees paid indirectly were $8,203.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $1,103,028 in purchases.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 4,268,461 | $ | 60,729,148 | 5,171,963 | $ | 72,039,550 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 567,704 | 8,071,945 | 672,690 | 9,418,779 | ||||||||||||
Shares repurchased | (4,303,842 | ) | (61,203,150 | ) | (7,761,608 | ) | (108,214,109 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 532,323 | $ | 7,597,943 | (1,916,955 | ) | $ | (26,755,780 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,735,534 | $ | 24,731,966 | 1,721,415 | $ | 24,111,270 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 169,292 | 2,410,060 | 195,955 | 2,747,333 | ||||||||||||
Shares repurchased | (1,651,624 | ) | (23,492,419 | ) | (2,483,360 | ) | (34,590,675 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 253,202 | $ | 3,649,607 | (565,990 | ) | $ | (7,732,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 20,039,316 | $ | 284,969,358 | 22,132,781 | $ | 308,646,550 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,036,238 | 14,709,303 | 846,289 | 11,848,035 | ||||||||||||
Shares repurchased | (11,476,359 | ) | (162,570,196 | ) | (12,188,664 | ) | (169,391,870 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,599,195 | $ | 137,108,465 | 10,790,406 | $ | 151,102,715 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $246,512,422 and $148,178,437, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 1,259,414,395 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 61,853,246 | ||
Gross unrealized depreciation on a tax basis | (3,232,720 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 58,620,526 | ||
|
|
26 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, of $177,883. For tax purposes, such losses will be reflected in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $823, (of which $0 are short-term and $823 are long-term) generated after September 30, 2011, 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.
In order to account for permanent book to tax differences, the Fund increased net capital paid in on shares of beneficial interest by $32,271 and increased accumulated net realized loss by $32,271. Reclassifications have no impact upon the net asset value of the Fund and resulted primarily from long-term capital gains retained by the Fund.
At September 30, 2015, the Fund had $252,742 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income and no undistributed tax basis capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 28,499,857 | $ | 27,511,901 | ||||
Ordinary income | 104,381 | 131,480 | ||||||
|
|
|
| |||||
Total | $ | 28,604,238 | $ | 27,643,381 | ||||
|
|
|
|
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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 27
Thornburg Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net (Loss)+ | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | 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 Return (%)(a) | Portfolio (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 14.23 | 0.30 | (0.06 | ) | 0.24 | (0.30 | ) | — | (0.30 | ) | $14.17 | 2.09 | 0.92 | 0.92 | 0.92 | 1.68 | 13.49 | $ | 423,113 | ||||||||||||||||||||||||||||||||
2014(b) | $ | 13.76 | 0.34 | 0.47 | 0.81 | (0.34 | ) | — | (0.34 | ) | $14.23 | 2.43 | 0.92 | 0.92 | 0.92 | 5.95 | 14.85 | $ | 417,369 | |||||||||||||||||||||||||||||||||
2013(b) | $ | 14.22 | 0.33 | (0.46 | ) | (0.13 | ) | (0.33 | ) | — | (0.33 | ) | $13.76 | 2.37 | 0.92 | 0.92 | 0.92 | (0.91 | ) | 29.18 | $ | 429,941 | ||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.25 | 0.25 | (0.06 | ) | 0.19 | (0.25 | ) | — | (0.25 | ) | $14.19 | 1.77 | 1.24 | 1.24 | 1.28 | 1.35 | 13.49 | $ | 160,042 | ||||||||||||||||||||||||||||||||
2014 | $ | 13.78 | 0.30 | 0.47 | 0.77 | (0.30 | ) | — | (0.30 | ) | $14.25 | 2.11 | 1.24 | 1.24 | 1.29 | 5.61 | 14.85 | $ | 157,126 | |||||||||||||||||||||||||||||||||
2013 | $ | 14.24 | 0.29 | (0.46 | ) | (0.17 | ) | (0.29 | ) | — | (0.29 | ) | $13.78 | 2.05 | 1.24 | 1.24 | 1.30 | (1.22 | ) | 29.18 | $ | 159,727 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 14.22 | 0.34 | (0.07 | ) | 0.27 | (0.34 | ) | — | (0.34 | ) | $14.15 | 2.39 | 0.62 | 0.62 | 0.62 | 1.91 | 13.49 | $ | 751,486 | ||||||||||||||||||||||||||||||||
2014 | $ | 13.75 | 0.38 | 0.47 | 0.85 | (0.38 | ) | — | (0.38 | ) | $14.22 | 2.73 | 0.62 | 0.61 | 0.62 | 6.28 | 14.85 | $ | 618,280 | |||||||||||||||||||||||||||||||||
2013 | $ | 14.20 | 0.38 | (0.45 | ) | (0.07 | ) | (0.38 | ) | — | (0.38 | ) | $13.75 | 2.68 | 0.61 | 0.61 | 0.61 | (0.53 | ) | 29.18 | $ | 449,501 | ||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
28 Annual Report | Annual Report 29 |
Report of Independent Registered Public Accounting Firm | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
30 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.60 | $ | 4.64 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.43 | $ | 4.68 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.00 | $ | 6.22 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.85 | $ | 6.28 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.00 | $ | 3.22 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.86 | $ | 3.24 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.92%; C: 1.24%; I: 0.64%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 31
TRUSTEES AND OFFICERS | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | �� | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
32 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 33
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
34 Annual Report
OTHER INFORMATION | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $28,499,857 (or the maximum allowed) are tax exempt dividends and $104,381 are taxable ordinary investment income dividends for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 35
OTHER INFORMATION | ||
Thornburg Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the index and the average return for the fund category considered, that the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the index in seven of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in eight of nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the second quartile of performance of the first fund category for the one-year period ended with the second quarter of the current year, and fell in the first quartile of performance of the category for the three-year, five-year and ten-year periods. The data also showed that the Fund’s annualized returns fell in the second quartile of performance of the second fund category for the one-year period ended with the second quarter and fell in the first quartile of performance of the category for the three-year, five-year and ten-year periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee was slightly higher than the median and average fee levels for the fund category, the level of total expense for one representative share class was slightly higher than the median and average expense levels for the category, and that the total level of expense for a second share class was slightly lower than the median and average levels for the category. Peer group data showed that the Fund’s advisory fee level for one representative share class was comparable to the median fee level for its peer group, the advisory fee level for the second representative share class was comparable to its peer group, the Fund’s total expense level for the first representative share class fell above the median of its peer group, and that the total expense level for the second share class was comparable to the peer group median. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund,
36 Annual Report
OTHER INFORMATION | ||
Thornburg Intermediate Municipal Fund | September 30, 2012 (Unaudited) |
and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 37
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
38 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 39
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH079 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg Strategic Municipal Income Fund
September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class A | TSSAX | 885-216-101 | ||
Class C | TSSCX | 885-216-200 | ||
Class I | TSSIX | 885-216-309 |
Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 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 bank deposits or guaranteed by a bank or any other entity.
Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Strategic Municipal Income Fund. The net asset value (NAV) of the Class A shares decreased by three cents to $15.16 per share during the fiscal year ended September 30, 2015. If you were with us for the entire period, you received net investment income dividends of 34.6 cents per share. If you reinvested your dividends, you received 35.0 cents per share. Dividends 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 underperformed the index, with a 2.18% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 3.16% total return for the BofA Merrill Lynch Municipal Master Index. The Fund generated 1.05% more price return and 2.03% less income than the index.
The drivers of the Fund’s total price return relative to its benchmark are as follows. Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve subtracted 0.13% of relative price performance. Our sector allocations added 0.90% of relative price performance, and our overweight to lower credit quality securities added 1.33% of relative price performance compared to its benchmark. Other risk factors and accounting differences subtracted 1.05% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates, and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech that:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds (as of September 30, 2015)
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Table I | Status of Select Municipal Bankruptcy Cases
Entity | Bankruptcy Proceedings | Pension Recovery | Bondholder Recovery | |||
San Bernardino, CA | Pending | Unimpaired | 1-100%A | |||
Stockton, CA | Concluded | UnimpairedC | 0.25%-100%B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s opportunistic investment approach diversify exposures across both the yield curve and credit spectrum. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
Christopher Ryon,CFA Portfolio Manager Managing Director |
Josh Gonze Portfolio Manager Managing Director |
Nicholos Venditti 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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | Since Incep. | |||||||||||||
A Shares (Incep: 4/1/09) | ||||||||||||||||
Without sales charge | 2.18 | % | 2.86 | % | 4.70 | % | 7.66 | % | ||||||||
With sales charge | 0.13 | % | 2.17 | % | 4.28 | % | 7.33 | % | ||||||||
C Shares (Incep: 4/1/09) | ||||||||||||||||
Without sales charge | 1.87 | % | 2.56 | % | 4.39 | % | 7.35 | % | ||||||||
With sales charge | 1.27 | % | 2.56 | % | 4.39 | % | 7.35 | % | ||||||||
I Shares (Incep: 4/1/09) | 2.50 | % | 3.18 | % | 5.01 | % | 7.97 | % |
30-Day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 2.46 | % | ||
SEC Yield | 1.42 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. Class C shares include a 0.60% CDSC for the first year only. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.31%; C shares, 1.72%; I shares, 0.93%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.25%; C shares, 1.55%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Without the fee waivers and expense reimbursements described above, the Annualized Distribution yield would have been 2.37%, and the SEC yield would have been 1.33%.
Glossary
BofA Merrill Lynch Municipal Master Index – Tracks the performance of the investment-grade U.S. tax-exempt bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and an investment grade rating (based on average of Moody’s, S&P, and Fitch).
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
FUND SUMMARY | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks a high level of current income exempt from federal individual income tax (may be subject to Alternative Minimum Tax).
Not more than 50% of the portfolio is invested in bonds rated below investment grade (or of equivalent quality as determined in accordance with the prospectus) at the time of purchase. Also, the portfolio is typically diversified among sectors, issuers, credit qualities, geographic regions, and segments of the yield curve. The flexible nature of the Fund allows the team to adapt the portfolio’s duration and credit quality to our perception of future market conditions.
Key Portfolio Attributes
Number of Bonds | 210 | |||
Effective Duration | 6.3 Yrs | |||
Average Maturity | 12.3 Yrs |
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ALABAMA — 0.41% | ||||||||||
City of Mobile Industrial Development Board, 1.65% due 6/1/2034 put 3/20/2017 (Alabama Power Company Barry Plant Project) | A-/A1 | $ | 1,000,000 | $ | 1,012,390 | |||||
ARIZONA — 1.43% | ||||||||||
Arizona HFA, 5.00% due 12/1/2031 (Scottsdale Lincoln Hospitals) | NR/A2 | 2,500,000 | 2,804,350 | |||||||
Pima County IDA, 5.125% due 12/1/2040 (Providence Day School) | BBB+/NR | 710,000 | 744,904 | |||||||
ARKANSAS — 0.46% | ||||||||||
University of Arkansas Board of Trustees, 5.00% due 11/1/2036 (Fayetteville Campus) | NR/Aa2 | 1,000,000 | 1,137,540 | |||||||
CALIFORNIA — 12.72% | ||||||||||
ABAG Finance Authority for Nonprofit Corporations, 5.00% due 7/1/2047 (Episcopal Senior Communities) | NR/NR | 1,635,000 | 1,752,802 | |||||||
Benicia USD GO, 0% due 8/1/2026 (Benicia High School; Insured: AGM) | AA/A2 | 830,000 | 577,531 | |||||||
California HFFA, 6.25% due 2/1/2026 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | AA-/NR | 1,500,000 | 1,818,105 | |||||||
California HFFA, 5.00% due 11/15/2034 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 420,000 | 444,461 | |||||||
California Housing Finance Agency, 4.625% due 8/1/2016 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) | A/A3 | 1,175,000 | 1,200,051 | |||||||
California Housing Finance Agency, 4.625% due 8/1/2026 (Low-Moderate Income Housing Loans; Insured: FGIC) (AMT) | A/A3 | 545,000 | 548,793 | |||||||
California Municipal Finance Authority, 8.50% due 11/1/2039 pre-refunded 11/1/2019 (Harbor Regional Center) | NR/A3 | 1,000,000 | 1,286,350 | |||||||
California Pollution Control Financing Authority, 5.00% due 11/21/2045 (Poseidon Resources (Channelside) LP Desalination Project) (AMT) | NR/Baa3 | 3,000,000 | 3,167,640 | |||||||
California State Public Works Board, 5.00% due 4/1/2028 (Corrections & Rehabilitation and Judicial Council) | A+/A1 | 1,000,000 | 1,162,710 | |||||||
California State Public Works Board, 6.25% due 4/1/2034 (Department of General Services-Offices Renovation) | A+/A1 | 100,000 | 117,404 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) | NR/NR | 150,000 | 156,290 | |||||||
California Statewide Communities Development Authority, 6.125% due 7/1/2046 (Aspire Public Schools) | NR/NR | 995,000 | 1,055,695 | |||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA) | NR/NR | 2,315,000 | 1,525,979 | |||||||
Carson Redevelopment Agency, 7.00% due 10/1/2036 (Project Area 1) | A-/NR | 500,000 | 585,095 | |||||||
Chico Redevelopment Agency, 5.00% due 4/1/2030 (Chico Amended & Merged Redevelopment; Insured: AMBAC) | A+/NR | 1,500,000 | 1,525,845 | |||||||
City of Moorpark Mobile Home Park, 6.15% due 5/15/2031 (Villa Del Arroyo) | A/NR | 1,000,000 | 1,120,110 | |||||||
City of Palm Springs Financing Authority, 5.25% due 6/1/2027 (Downtown Revitalization Project) | AA/NR | 1,620,000 | 1,866,353 | |||||||
Corona-Norco USD COP, 5.00% due 4/15/2031 (Insured: AGM) | AA/A1 | 1,750,000 | 1,975,767 | |||||||
County of El Dorado, 5.00% due 9/1/2026 (El Dorado Hills Development-Community Facilities) | A/NR | 630,000 | 715,630 | |||||||
Daly County Housing Development Finance Agency, 5.25% due 12/15/2023 (Franciscan Country Club Mobile Home Park Acquisition) | A/NR | 650,000 | 686,627 | |||||||
Los Angeles County Public Works Financing Authority, 3.625% due 9/1/2016 (Lynwood Regional Justice Center and Central Jail Expansion; Insured: Natl-Re) | AA-/A3 | 200,000 | 206,180 | |||||||
M-S-R Energy Authority, 6.50% due 11/1/2039 | A-/NR | 1,000,000 | 1,335,270 | |||||||
Oakland USD GO, 5.00% due 8/1/2035 (County of Alameda Educational Facilities) | NR/NR | 1,000,000 | 1,105,450 | |||||||
Redwood City Redevelopment Agency, 0% due 7/15/2021 (Redevelopment Project Area 2; Insured: AMBAC) | A-/NR | 1,285,000 | 1,086,943 | |||||||
Riverside County Asset Leasing Corp., 0% due 6/1/2021 (Riverside County Hospital; Insured: Natl-Re) | AA-/A2 | 535,000 | 465,065 | |||||||
San Francisco City & County Redevelopment Financing Authority, 0% due 8/1/2023 (Redevelopment Project; Insured: Natl-Re) | AA-/A2 | 1,025,000 | 819,723 | |||||||
San Francisco City & County Redevelopment Financing Authority, 6.50% due 8/1/2039 (Mission Bay North Redevelopment) | A-/NR | 250,000 | 286,467 | |||||||
San Francisco City & County Redevelopment Financing Authority, 6.75% due 8/1/2041 (Mission Bay North Redevelopment) | A-/NR | 500,000 | 601,015 | |||||||
San Jose Redevelopment Agency, 5.50% due 8/1/2035 (Merged Area Redevelopment) | A/A2 | 1,000,000 | 1,100,840 | |||||||
Sonoma County Community Redevelopment Agency, 6.50% due 8/1/2034 (The Springs Redevelopment; Insured: AGM) | AA/NR | 100,000 | 100,476 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2016 (Insured: AMBAC) | A+/A2 | 500,000 | 502,090 | |||||||
Union Elementary School District, 0% due 9/1/2027 (Santa Clara County District Schools; Insured: Natl-Re) | AA+/NR | 905,000 | 623,527 | |||||||
COLORADO — 2.62% | ||||||||||
Denver Convention Center Hotel Authority, 5.125% due 12/1/2026 (Insured: Syncora) | BBB-/Baa3 | 2,450,000 | 2,543,247 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2030 (Insured: Syncora) | BBB-/Baa3 | 450,000 | 459,585 | |||||||
Denver Convention Center Hotel Authority, 5.00% due 12/1/2035 (Insured: Syncora) | BBB-/Baa3 | 605,000 | 616,453 | |||||||
Eagle River Fire District, 6.625% due 12/1/2024 pre-refunded 12/1/2019 | NR/NR | 225,000 | 274,522 | |||||||
Eagle River Fire District, 6.875% due 12/1/2030 pre-refunded 12/1/2019 | NR/NR | 400,000 | 492,096 | |||||||
Public Authority for Colorado Energy, 5.75% due 11/15/2018 (Natural Gas Purchase) | A-/Baa1 | 520,000 | 564,112 | |||||||
Public Authority for Colorado Energy, 6.50% due 11/15/2038 (Natural Gas Purchase) | A-/Baa1 | 260,000 | 342,355 | |||||||
Regional Transportation District COP, 5.375% due 6/1/2031 (FasTracks Transportation System) | A/Aa3 | 500,000 | 569,370 | |||||||
Regional Transportation District COP, 5.00% due 6/1/2044 (FasTracks Transportation System) | A/Aa3 | 565,000 | 623,946 | |||||||
CONNECTICUT — 0.83% | ||||||||||
Connecticut Health & Educational Facilities Authority, 6.00% due 7/1/2039 (Ethel Walker School) | BBB/NR | 1,000,000 | 1,055,070 | |||||||
State of Connecticut GO Floating Rate Note, 0.54% due 9/15/2017 (Public Facility Improvements) | AA/Aa3 | 1,000,000 | 995,520 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
DELAWARE — 0.44% | ||||||||||
Delaware HFA, 5.00% due 7/1/2021 (Nanticoke Memorial Hospital) | BBB-/NR | $ | 1,000,000 | $ | 1,095,500 | |||||
DISTRICT OF COLUMBIA — 0.38% | ||||||||||
Metropolitan Washington Airports Authority, 0% due 10/1/2027 (Dulles Toll Road; Insured: AGM) | AA/A3 | 1,500,000 | 943,515 | |||||||
FLORIDA — 7.83% | ||||||||||
City of Gainesville, 0.01% due 10/1/2026 put 10/1/2015 (Utilities System; SPA: Union Bank) (daily demand notes) | AA/Aa2 | 7,280,000 | 7,280,000 | |||||||
City of Hollywood Community Redevelopment Agency, 5.625% due 3/1/2024 (Beach Community Redevelopment Project) | NR/A3 | 315,000 | 315,888 | |||||||
City of Miami GO, 5.00% due 1/1/2017 (Homeland Defense/Neighborhood Capital Improvements) | A/A2 | 1,245,000 | 1,306,192 | |||||||
City of Miami GO, 5.00% due 1/1/2018 (Homeland Defense/Neighborhood Capital Improvements) | A/A2 | 1,790,000 | 1,936,529 | |||||||
Florida Higher Educational Facilities Financing Authority, 5.00% due 4/1/2027 (Nova Southeastern University) | BBB/Baa1 | 1,000,000 | 1,104,470 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2022 (Toll System Five-Year Work Program) | A-/A3 | 625,000 | 741,800 | |||||||
Miami-Dade County Expressway Authority, 5.00% due 7/1/2024 (Toll System Five-Year Work Program) | A-/A3 | 625,000 | 755,600 | |||||||
Miami-Dade County School Board COP, 5.00% due 8/1/2027 (District School Facilities and Infrastructure) | A/A1 | 1,100,000 | 1,231,472 | |||||||
Orange County, 0% due 10/1/2016 (County Correctional Facilities and Communications System; Insured: AMBAC) | NR/NR | 410,000 | 405,593 | |||||||
Pinellas County Educational Facilities Authority, 5.25% due 10/1/2030 (Barry University) | BBB/NR | 500,000 | 549,045 | |||||||
Sarasota County Public Hospital Board, 4.659% due 10/1/2021 (Sarasota Memorial Hospital; Insured: Natl-Re) | AA-/A1 | 1,000,000 | 1,001,650 | |||||||
Tampa Sports Authority, 5.75% due 10/1/2020 (Tampa Bay Arena; Insured: Natl-Re) | AA-/NR | 1,000,000 | 1,097,650 | |||||||
Volusia County Educational Facilities Authority, 5.00% due 10/15/2030 (Embry-Riddle Aeronautical University, Inc.) | NR/Baa1 | 1,500,000 | 1,687,635 | |||||||
GEORGIA — 5.28% | ||||||||||
City of Atlanta, 6.25% due 11/1/2034 pre-refunded 11/1/2019 (Water and Wastewater Capital Improvement Program) | AA-/Aa3 | 500,000 | 602,965 | |||||||
Development Authority of Burke County, 0.07% due 7/1/2049 put 10/1/2015 (Georgia Power Company Plant Vogtle Project) (daily demand notes) | A-/A3 | 10,000,000 | 10,000,000 | |||||||
Development Authority of Fulton County, 5.00% due 10/1/2019 (Georgia Tech Athletic Assoc.) | NR/A2 | 1,000,000 | 1,144,270 | |||||||
Main Street Natural Gas, Inc., 5.00% due 3/15/2018 (Georgia Gas) | A/A3 | 515,000 | 557,431 | |||||||
Main Street Natural Gas, Inc., 5.50% due 9/15/2023 (Georgia Gas) | A-/Baa1 | 350,000 | 410,480 | |||||||
Municipal Gas Authority of Georgia GO, 5.00% due 4/1/2016 (Public Gas Partners, Inc.-Gas Portfolio III Project) | AA-/A1 | 350,000 | 358,382 | |||||||
GUAM — 4.10% | ||||||||||
Government of Guam, 5.00% due 11/15/2031 (Economic Development) | A/NR | 2,000,000 | 2,226,760 | |||||||
Government of Guam, 5.00% due 11/15/2032 (Economic Development) | A/NR | 3,000,000 | 3,324,060 | |||||||
Government of Guam, 5.75% due 12/1/2034 (Layon Solid Waste Disposal Facility) | BBB+/NR | 500,000 | 554,730 | |||||||
Government of Guam Department of Education COP, 6.875% due 12/1/2040 (John F. Kennedy High School) | B+/NR | 1,000,000 | 1,095,350 | |||||||
Government of Guam GO, 7.00% due 11/15/2039 pre-refunded 11/15/2019 (Economic Development) | BB-/NR | 520,000 | 641,966 | |||||||
Guam Power Authority, 5.00% due 10/1/2027 (Electric Power System; Insured: AGM) | AA/A2 | 1,000,000 | 1,167,200 | |||||||
Guam Waterworks Authority, 5.25% due 7/1/2024 (Water and Wastewater System) | A-/Baa2 | 500,000 | 580,850 | |||||||
Guam Waterworks Authority, 5.00% due 7/1/2028 (Water and Wastewater System) | A-/Baa2 | 500,000 | 558,430 | |||||||
ILLINOIS — 8.02% | ||||||||||
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 | 371,117 | |||||||
a Chicago Park District GO, 5.00% due 1/1/2035 (Various Capital Projects) | AA+/NR | 2,000,000 | 2,106,220 | |||||||
City of Chicago, 5.00% due 11/1/2029 (Water System Improvements) | A-/Baa2 | 200,000 | 211,974 | |||||||
City of Chicago, 5.00% due 1/1/2031 (Riverwalk Expansion Project; Insured: AGM) | AA+/A2 | 500,000 | 531,205 | |||||||
City of Chicago GO, 5.00% due 1/1/2020 (Insured: AGM) | AA/A2 | 475,000 | 476,810 | |||||||
City of Chicago GO, 5.25% due 1/1/2035 (Various Infrastructure Projects) | BBB+/Ba1 | 500,000 | 492,810 | |||||||
Cook County GO, 5.25% due 11/15/2033 | AA/A2 | 1,000,000 | 1,039,500 | |||||||
Illinois Finance Authority, 5.00% due 8/1/2029 (Advocate Health Care Network) | AA/Aa2 | 2,195,000 | 2,513,275 | |||||||
Illinois Finance Authority, 5.00% due 8/15/2035 (Silver Cross Hospital & Medical Centers) | NR/Baa1 | 2,355,000 | 2,545,472 | |||||||
Illinois Finance Authority, 5.75% due 11/15/2037 pre-refunded 11/15/2017 (OSF Healthcare System) | A/A2 | 330,000 | 365,013 | |||||||
Illinois Finance Authority, 6.00% due 5/15/2039 (OSF Healthcare System) | A/A2 | 1,545,000 | 1,782,667 | |||||||
Illinois Toll Highway Authority, 5.00% due 1/1/2037 (Move Illinois Program) | AA-/Aa3 | 1,000,000 | 1,114,230 | |||||||
Kane, Cook, & DuPage Counties School District No. 46 GO, 5.00% due 1/1/2028 | AA-/NR | 1,000,000 | 1,141,280 | |||||||
Kane, Cook, & DuPage Counties School District No. 46 GO, 5.00% due 1/1/2031 | AA-/NR | 2,255,000 | 2,528,126 | |||||||
Metropolitan Pier & Exposition Authority, 5.00% due 6/15/2050 (McCormick Place) | BBB+/Baa1 | 1,500,000 | 1,516,815 | |||||||
Metropolitan Water Reclamation District of Greater Chicago GO, 5.25% due 12/1/2032 (Various Capital Improvement Projects) | AAA/Aa2 | 40,000 | 47,375 | |||||||
Village of Melrose Park GO, 6.75% due 12/15/2016 (Redevelopment Project Costs; Insured: Natl-Re) | A/A3 | 175,000 | 179,986 | |||||||
Village of Melrose Park GO, 6.75% due 12/15/2021 (Redevelopment Project Costs; Insured: Natl-Re) | A/A3 | 410,000 | 492,332 | |||||||
Will County School District No. 114 GO, 0% due 12/1/2023 (Educational Facilities; Insured: Natl-Re) | NR/A3 | 570,000 | 414,778 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
INDIANA — 2.15% | ||||||||||
City of Carmel Redevelopment District COP, 6.50% due 7/15/2035 (Performing Arts Center) | NR/NR | $ | 1,000,000 | $ | 1,090,150 | |||||
Indiana Finance Authority, 6.00% due 12/1/2019 (U.S. Steel Corp.) | BB-/B1 | 3,000,000 | 3,152,250 | |||||||
Indiana Finance Authority, 6.375% due 9/15/2041 (Marian University) | BBB-/NR | 1,000,000 | 1,096,750 | |||||||
IOWA — 0.71% | ||||||||||
Iowa Finance Authority, 5.25% due 12/1/2025 (Iowa Fertilizer Company Project) | BB-/NR | 1,615,000 | 1,752,307 | |||||||
KANSAS — 1.39% | ||||||||||
City of Wichita, 5.90% due 12/1/2016 (Brentwood Apartments) | B/NR | 175,000 | 174,865 | |||||||
City of Wichita, 5.85% due 12/1/2025 (Brentwood Apartments) | B/NR | 895,000 | 829,495 | |||||||
Kansas City Community College COP, 3.00% due 4/1/2016 (Higher Education Campus Facilities) | AA-/NR | 150,000 | 151,899 | |||||||
Unified Government of Wyandotte County/Kansas City, 5.00% due 9/1/2031 (Utility System Improvement) | A+/A3 | 1,000,000 | 1,150,410 | |||||||
Unified Government of Wyandotte County/Kansas City, 5.00% due 9/1/2032 (Utility System Improvement) | A+/A3 | 1,000,000 | 1,145,370 | |||||||
KENTUCKY — 1.36% | ||||||||||
County of Owen, 6.25% due 6/1/2039 (Kentucky-American Water Co. Project) | A/A3 | 540,000 | 609,514 | |||||||
Kentucky Economic DFA, 0% due 10/1/2021 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 715,000 | 607,600 | |||||||
Kentucky Economic DFA, 0% due 10/1/2022 (Norton Healthcare, Inc.; Insured: Natl-Re) | AA-/A3 | 2,650,000 | 2,161,632 | |||||||
LOUISIANA — 2.32% | ||||||||||
City of New Orleans, 5.00% due 12/1/2034 (Water System Facilities Improvement) | BBB+/NR | 400,000 | 446,364 | |||||||
Louisiana Energy and Power Authority, 5.25% due 6/1/2038 (LEPA Unit No. 1; Insured: AGM) | AA/A2 | 2,000,000 | 2,272,420 | |||||||
Louisiana Public Facilities Authority, 5.00% due 7/1/2032 (Black & Gold Facilities; Insured: CIFG) | AA/A3 | 120,000 | 123,648 | |||||||
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 pre-refunded 5/15/2017 (Ochsner Clinic Foundation) | NR/NR | 140,000 | 150,553 | |||||||
Louisiana Public Facilities Authority, 5.375% due 5/15/2043 (Ochsner Clinic Foundation) | NR/Baa1 | 360,000 | 377,251 | |||||||
Parish of St. Charles, 4.00% due 12/1/2040 put 6/1/2022 (Valero Energy Corp. Refinery) | BBB/Baa2 | 2,250,000 | 2,382,233 | |||||||
MASSACHUSETTS — 0.36% | ||||||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2032 (Jordan Hospital and Milton Hospital) | A-/A3 | 355,000 | 396,173 | |||||||
Massachusetts Development Finance Agency, 5.00% due 7/1/2033 (Jordan Hospital and Milton Hospital) | A-/A3 | 200,000 | 222,324 | |||||||
Massachusetts Educational Financing Authority, 6.00% due 1/1/2028 | AA/NR | 265,000 | 280,131 | |||||||
MICHIGAN — 8.90% | ||||||||||
Board of Governors of Wayne State University, 5.00% due 11/15/2033 (Educational Facilities and Equipment) | AA-/Aa3 | 1,250,000 | 1,409,912 | |||||||
City of Kalamazoo Hospital Finance Authority, 5.00% due 5/15/2036 (Bronson Methodist Hospital) | NR/A2 | 1,000,000 | 1,083,040 | |||||||
City of Kalamazoo Hospital Finance Authority, 5.25% due 5/15/2041 (Bronson Nursing and Rehabilitation Center) | NR/A2 | 1,000,000 | 1,078,550 | |||||||
City of Troy GO, 5.25% due 11/1/2032 (Downtown Development Authority-Community Center Facilities) | AAA/NR | 1,025,000 | 1,204,375 | |||||||
County of Genesee GO, 5.375% due 11/1/2038 (Water Supply System; Insured: BAM) | AA/A2 | 1,000,000 | 1,117,240 | |||||||
Detroit City School District, 5.00% due 5/1/2025 (School Building & Site; Insured: Q-SBLF) | AA-/Aa1 | 1,000,000 | 1,126,990 | |||||||
Detroit City School District GO, 5.25% due 5/1/2027 (School Building & Site; Insured: AGM) | AA/Aa1 | 1,000,000 | 1,171,410 | |||||||
Livonia Public School District GO, 5.00% due 5/1/2036 (School Building & Site) | AA/A2 | 225,000 | 250,479 | |||||||
Michigan Finance Authority, 5.00% due 4/1/2031 (State Dept. of Human Services Office Buildings) | A+/NR | 1,000,000 | 1,080,020 | |||||||
b Michigan Finance Authority, 5.00% due 8/1/2032 (Beaumont Health Credit Group) | A/A1 | 5,000,000 | 5,537,500 | |||||||
Michigan Housing Development Authority, 3.375% due 11/1/2016 (AMT) | AA/NR | 655,000 | 656,310 | |||||||
Michigan Public School Academy, 8.00% due 8/1/2035 (Will Carleton Charter School) | NR/NR | 1,015,000 | 1,077,717 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 11/15/2015 (Edward W. Sparrow Hospital Assoc.) | A+/A1 | 200,000 | 201,156 | |||||||
Michigan State Hospital Finance Authority, 5.00% due 7/15/2025 pre-refunded 7/15/2017 (Oakwood Southshore Medical Center) | A/A1 | 650,000 | 701,019 | |||||||
Michigan State Hospital Finance Authority, 5.75% due 11/15/2039 (Henry Ford Health System) | A-/A3 | 1,000,000 | 1,131,210 | |||||||
Michigan Strategic Fund, 7.00% due 5/1/2021 (Detroit Edison Company; Insured: Natl-Re/AMBAC) | NR/NR | 250,000 | 313,855 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2031 (Detroit Metropolitan Wayne County Airport) | A/A2 | 650,000 | 731,309 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2033 (Detroit Metropolitan Wayne County Airport) | A/A2 | 825,000 | 921,995 | |||||||
Wayne County Airport Authority, 5.00% due 12/1/2034 (Detroit Metropolitan Wayne County Airport) | A/A2 | 1,140,000 | 1,270,245 | |||||||
MINNESOTA — 0.22% | ||||||||||
St. Paul Housing & Redevelopment Authority, 5.25% due 5/15/2023 pre-refunded 11/15/2016 | A/Aaa | 115,000 | 121,297 | |||||||
Washington County Housing Redevelopment Authority, 5.625% due 6/1/2037 (Birchwood and Woodbury Healthcare Facility Projects) | NR/NR | 415,000 | 434,945 | |||||||
MISSISSIPPI — 0.06% | ||||||||||
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 | 140,363 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
MISSOURI — 1.42% | ||||||||||
Tax Increment Financing Commission of Kansas City, 5.25% due 3/1/2018 (Maincor Project-Public Improvements) (ETM) | NR/NR | $ | 840,000 | $ | 893,953 | |||||
Tax Increment Financing Commission of Kansas City, 6.00% due 5/1/2030 (Union Hill Redevelopment Project) | NR/NR | 2,505,000 | 2,619,404 | |||||||
NEBRASKA — 0.79% | ||||||||||
Douglas County Health Facilities, 5.00% due 11/1/2029 (Nebraska Methodist Health System) | A-/NR | 950,000 | 1,066,755 | |||||||
Douglas County Health Facilities, 5.00% due 11/1/2030 (Nebraska Methodist Health System) | A-/NR | 800,000 | 894,000 | |||||||
NEW JERSEY — 3.77% | ||||||||||
Higher Education Student Assistance Authority, 5.75% due 12/1/2039 (NJCLASS Student Loan Program) (AMT) | A/A2 | 750,000 | 805,905 | |||||||
New Jersey EDA, 5.00% due 3/1/2026 (School Facilities Construction) | A-/A3 | 1,000,000 | 1,049,020 | |||||||
New Jersey EDA, 5.50% due 9/1/2027 (School Facilities Construction; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,129,240 | |||||||
New Jersey EDA, 5.00% due 6/15/2029 (School Facilities Construction) | A-/A3 | 2,000,000 | 2,058,180 | |||||||
New Jersey Transit Corp., 5.00% due 9/15/2020 (Federal Transit Administration Section 5307 Urbanized Area Formula Funds) | A/A3 | 1,000,000 | 1,133,730 | |||||||
New Jersey Transportation Trust Fund Authority, 5.00% due 6/15/2042 (Transportation System Improvements) | A-/A3 | 1,000,000 | 1,007,860 | |||||||
Salem County Pollution Control Financing Authority, 5.00% due 12/1/2023 (Chambers Project) (AMT) | BBB-/Baa3 | 2,000,000 | 2,159,500 | |||||||
NEW MEXICO — 1.48% | ||||||||||
City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) | A-/A2 | 1,000,000 | 1,101,580 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group) | NR/NR | 2,500,000 | 2,555,850 | |||||||
NEW YORK — 2.56% | ||||||||||
b City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management) | AA/Aa2 | 3,000,000 | 3,623,310 | |||||||
City of New York GO, 5.00% due 8/1/2031 (City Budget Financial Management) | AA/Aa2 | 2,000,000 | 2,311,740 | |||||||
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 | 401,576 | |||||||
NORTH CAROLINA — 0.86% | ||||||||||
North Carolina Eastern Municipal Power Agency, 5.00% due 1/1/2020 pre-refunded 1/1/2016 (Progress Energy Carolinas, Inc. Initial Project Acquisition; Insured: AMBAC) | A-/NR | 410,000 | 414,990 | |||||||
North Carolina Medical Care Commission, 5.00% due 6/1/2029 (Vidant Health) | A+/A1 | 1,500,000 | 1,704,240 | |||||||
OHIO — 3.59% | ||||||||||
American Municipal Power, Inc., 5.25% due 2/15/2018 (AMP Combined Hydroelectric Projects) | A/A3 | 500,000 | 550,400 | |||||||
City of Akron, 5.00% due 12/1/2031 (Community Learning Centers) | AA+/NR | 625,000 | 709,319 | |||||||
Cleveland-Cuyahoga County Port Authority, 6.25% due 5/15/2016 (Council for Economic Opportunities in Greater Cleveland Project; LOC: FifthThird Bank) | BBB+/NR | 125,000 | 125,222 | |||||||
Cleveland-Cuyahoga County Port Authority, 7.00% due 5/15/2040 (Flats East Development Project; LOC: FifthThird Bank) | BBB+/NR | 980,000 | 1,119,003 | |||||||
County of Montgomery, 0.01% due 11/15/2045 put 10/1/2015 (Miami Valley Hospital; SPA: Barclays Bank plc) (daily demand notes) | NR/Aa3 | 4,100,000 | 4,100,000 | |||||||
Ohio State Air Quality Development Authority, 3.625% due 10/1/2033 put 4/1/2020 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa3 | 1,000,000 | 1,013,490 | |||||||
Ohio State Water Development Authority, 5.875% due 6/1/2033 put 6/1/2016 (FirstEnergy Nuclear Generation Corp.) | BBB-/Baa2 | 1,000,000 | 1,028,270 | |||||||
Wyoming City School District GO, 5.00% due 12/1/2018 (Educational Facilities; Insured: AGM) | NR/A2 | 250,000 | 252,060 | |||||||
OREGON — 2.87% | ||||||||||
a State of Oregon GO, 2.00% due 9/15/2016 (Cash Management) | SP-1+/Mig1 | 6,000,000 | 6,099,480 | |||||||
Western Generation Agency, 5.00% due 1/1/2016 (Wauna Cogeneration Project; Insured: ACA) | NR/NR | 1,000,000 | 1,003,620 | |||||||
PENNSYLVANIA — 5.03% | ||||||||||
Allegheny County IDA, 6.75% due 8/15/2035 (Propel Charter School) | BBB-/NR | 925,000 | 1,011,978 | |||||||
City of Philadelphia, 5.00% due 6/15/2027 (Philadelphia International and Northeast Philadelphia Airports) (AMT) | A/A2 | 2,000,000 | 2,237,680 | |||||||
County of Luzerne GO, 5.00% due 11/15/2029 (Insured: AGM) | AA/NR | 1,000,000 | 1,116,970 | |||||||
Lancaster County Hospital Authority, 5.00% due 11/1/2019 (Masonic Villages Project) | A/NR | 2,675,000 | 3,034,413 | |||||||
Pennsylvania Economic DFA, 4.625% due 12/1/2018 (Colver Project; Insured: AMBAC) (AMT) | BBB-/Ba1 | 1,800,000 | 1,810,692 | |||||||
Pennsylvania Turnpike Commission, 0% due 12/1/2030 (PennDOT-Mass Transit Agencies) | A-/A3 | 2,000,000 | 2,155,580 | |||||||
Philadelphia IDA, 6.00% due 8/1/2035 (Mast Charter School) | BBB+/NR | 1,000,000 | 1,106,530 | |||||||
RHODE ISLAND — 0.32% | ||||||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2022 (Public Housing Development) | A+/NR | 315,000 | 373,820 | |||||||
Housing Authority of the City of Pawtucket, 5.50% due 9/1/2024 (Public Housing Development) | A+/NR | 350,000 | 410,466 |
12 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
SOUTH CAROLINA — 0.32% | ||||||||||
County of Oconee, 0.02% due 2/1/2017 put 10/1/2015 (Duke Energy Corporation) (daily demand notes) | A-/A1 | $ | 800,000 | $ | 800,000 | |||||
SOUTH DAKOTA — 0.52% | ||||||||||
South Dakota Health & Educational Facilities Authority, 5.00% due 7/1/2027 (Avera Health) | AA-/A1 | 400,000 | 449,040 | |||||||
South Dakota Health & Educational Facilities Authority, 5.50% due 11/1/2040 (Sanford Health) | A+/A1 | 750,000 | 832,245 | |||||||
TENNESSEE — 0.23% | ||||||||||
Tennessee Energy Acquisition Corp., 5.25% due 9/1/2024 | A-/A3 | 500,000 | 580,240 | |||||||
TEXAS — 10.01% | ||||||||||
Austin Convention Enterprises, Inc., 5.25% due 1/1/2024 (Austin Convention Center; Insured: Syncora) | BBB-/NR | 720,000 | 744,185 | |||||||
Austin Convention Enterprises, Inc., 5.00% due 1/1/2034 (Austin Convention Center; Insured: Syncora) | BBB-/NR | 795,000 | 803,459 | |||||||
City of Houston, 5.00% due 9/1/2025 (Convention & Entertainment Facilities Department) | A-/A2 | 1,000,000 | 1,194,910 | |||||||
City of Houston, 5.00% due 9/1/2028 (Convention & Entertainment Facilities Department) | A-/A2 | 325,000 | 377,091 | |||||||
City of Houston, 5.00% due 11/15/2028 (Combined Utility System) | AA/Aa2 | 2,500,000 | 2,977,275 | |||||||
City of Houston, 5.00% due 9/1/2034 (Convention & Entertainment Facilities Department) | A-/A2 | 1,550,000 | 1,735,597 | |||||||
City of Kerrville Health Facilities Development Corp., 5.45% due 8/15/2035 (Sid Peterson Memorial Hospital) | BBB+/NR | 2,530,000 | 2,551,480 | |||||||
City of Texas City Industrial Development Corp., 7.375% due 10/1/2020 (ARCO Pipe Line Co. Project) | A/A2 | 1,165,000 | 1,465,325 | |||||||
Harris County-Houston Sports Authority, 5.00% due 11/15/2030 | A-/A2 | 2,000,000 | 2,272,700 | |||||||
Kimble County Hospital District, 6.25% due 8/15/2033 | NR/NR | 500,000 | 562,910 | |||||||
La Vernia Higher Education Finance Corp., 6.25% due 8/15/2039 pre-refunded 8/15/2019 (Kipp, Inc.) | BBB/NR | 1,000,000 | 1,190,650 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2026 pre-refunded 5/15/2022 | NR/NR | 20,000 | 24,036 | |||||||
Lower Colorado River Authority, 5.00% due 5/15/2026 | A/A2 | 2,980,000 | 3,428,162 | |||||||
San Antonio Energy Acquisition Public Facilities Corp., 5.50% due 8/1/2021 | A-/Baa3 | 40,000 | 46,078 | |||||||
San Juan Higher Education Finance Authority, 6.70% due 8/15/2040 (IDEA Public Schools) | BBB/NR | 1,000,000 | 1,162,660 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 4.15% due 8/15/2016 (IDEA Public Schools; Insured: ACA) | BBB/NR | 100,000 | 102,586 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2023 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA) | BBB/NR | 155,000 | 167,546 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 5.00% due 8/15/2030 pre-refunded 8/15/2017 (IDEA Public Schools; Insured: ACA) | BBB/NR | 1,550,000 | 1,675,457 | |||||||
Texas Public Finance Authority Charter School Finance Corp., 6.20% due 2/15/2040 pre-refunded 2/15/2020 (Cosmos Foundation, Inc.) | BBB/NR | 1,000,000 | 1,208,800 | |||||||
Texas Transportation Commission, 5.00% due 8/15/2034 (Central Texas Turnpike System) | BBB+/Baa1 | 1,000,000 | 1,103,910 | |||||||
U.S. VIRGIN ISLANDS — 0.23% | ||||||||||
Virgin Islands Public Finance Authority, 6.75% due 10/1/2037 | NR/Baa3 | 500,000 | 562,930 | |||||||
UTAH — 0.91% | ||||||||||
Herriman City, 4.75% due 11/1/2022 (Towne Center Access and Utility Improvements) | AA-/NR | 1,000,000 | 1,123,490 | |||||||
Utah Transit Authority, 5.00% due 6/15/2033 (Integrated Mass Transit System) | A+/A1 | 1,000,000 | 1,141,970 | |||||||
VIRGINIA — 1.01% | ||||||||||
City of Lexington IDA, 5.25% due 1/1/2021 (Kendal at Lexington Residential Care Facility) | NR/NR | 395,000 | 405,582 | |||||||
City of Lexington IDA, 5.375% due 1/1/2022 (Kendal at Lexington Residential Care Facility) | NR/NR | 630,000 | 646,115 | |||||||
City of Lexington IDA, 5.375% due 1/1/2023 (Kendal at Lexington Residential Care Facility) | NR/NR | 425,000 | 434,975 | |||||||
City of Lexington IDA, 5.375% due 1/1/2028 (Kendal at Lexington Residential Care Facility) | NR/NR | 1,000,000 | 1,017,920 | |||||||
WASHINGTON — 2.04% | ||||||||||
Skagit County Public Hospital District No. 1, 5.75% due 12/1/2028 (Skagit Valley Hospital) | NR/Baa2 | 1,510,000 | 1,624,911 | |||||||
Washington Health Care Facilities Authority, 5.70% due 7/1/2038 (Overlake Hospital Medical Center) | A/A2 | 1,000,000 | 1,142,230 | |||||||
b Washington Health Care Facilities Authority, 5.75% due 1/1/2045 (Catholic Health Initiatives) | A/A2 | 2,000,000 | 2,292,820 | |||||||
WISCONSIN — 0.41% | ||||||||||
Wisconsin Health & Educational Facilities Authority, 1.25% due 8/15/2025 put 8/15/2017 (Aurora Health Care, Inc.) | NR/A2 | 1,000,000 | 1,004,870 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.36% (Cost $233,742,683) | $ | 248,682,399 | ||||||||
LIABILITIES NET OF OTHER ASSETS — (0.36)% | (894,976 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 247,787,423 | ||||||||
|
|
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Footnote Legend
† | Credit ratings are unaudited. Rating changes may have occurred subsequent to the reporting period end. Bonds issued with a maturity of one year or less are assigned Moody’s ratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | When-issued security. |
b | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ABAG | Association of Bay Area Governments | |
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 | |
BAM | Insured by Build America Mutual Insurance Co. | |
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. | |
GO | General Obligation | |
HFA | Health Facilities Authority | |
HFFA | Health Facilities Financing Authority | |
IDA | Industrial Development Authority | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
Q-SBLF | Insured by Qualified School Bond Loan Fund | |
Syncora | Insured by Syncora Guarantee Inc. | |
USD | Unified School District |
See notes to financial statements.
14 Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $233,742,683) (Note 2) | $ | 248,682,399 | ||
Cash | 5,755,107 | |||
Receivable for investments sold | 185,000 | |||
Receivable for fund shares sold | 548,249 | |||
Interest receivable | 2,778,172 | |||
Prepaid expenses and other assets | 29,138 | |||
|
| |||
Total Assets | 257,978,065 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 8,192,480 | |||
Payable for fund shares redeemed | 1,708,030 | |||
Payable to investment advisor and other affiliates (Note 3) | 187,627 | |||
Accounts payable and accrued expenses | 40,441 | |||
Dividends payable | 62,064 | |||
|
| |||
Total Liabilities | 10,190,642 | |||
|
| |||
NET ASSETS | $ | 247,787,423 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 3,353 | ||
Net unrealized appreciation on investments | 14,939,716 | |||
Accumulated net realized gain (loss) | (64,450 | ) | ||
Net capital paid in on shares of beneficial interest | 232,908,804 | |||
|
| |||
$ | 247,787,423 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($66,722,312 applicable to 4,401,428 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* ($29,073,333 applicable to 1,915,929 shares of beneficial interest outstanding - Note 4) | $ | 15.17 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($151,991,778 applicable to 10,016,838 shares of beneficial interest outstanding - Note 4) | $ | 15.17 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 15
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Municipal Income Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income | $ | 9,153 | ||
Interest income (net of premium amortized of $1,206,038) | 8,637,929 | |||
|
| |||
Total Income | 8,647,082 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 1,837,182 | |||
Administration fees (Note 3) | ||||
Class A Shares | 83,734 | |||
Class C Shares | 35,818 | |||
Class I Shares | 74,659 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 167,467 | |||
Class C Shares | 171,947 | |||
Transfer agent fees | ||||
Class A Shares | 57,396 | |||
Class C Shares | 19,813 | |||
Class I Shares | 88,795 | |||
Registration and filing fees | ||||
Class A Shares | 28,295 | |||
Class C Shares | 29,532 | |||
Class I Shares | 28,960 | |||
Custodian fees (Note 3) | 48,478 | |||
Professional fees | 47,409 | |||
Accounting fees (Note 3) | 5,590 | |||
Trustee fees | 8,853 | |||
Other expenses | 24,309 | |||
|
| |||
Total Expenses | 2,758,237 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (81,787 | ) | ||
Fees paid indirectly (Note 3) | (1,609 | ) | ||
|
| |||
Net Expenses | 2,674,841 | |||
|
| |||
Net Investment Income | 5,972,241 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (64,450 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (459,355 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (523,805 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 5,448,436 | ||
|
|
See notes to financial statements.
16 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Strategic Municipal Income Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 5,972,241 | $ | 5,399,995 | ||||
Net realized gain (loss) on investments | (64,450 | ) | 174,212 | |||||
Net unrealized appreciation (depreciation) on investments | (459,355 | ) | 10,351,044 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,448,436 | 15,925,251 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (1,527,762 | ) | (1,584,898 | ) | ||||
Class C Shares | (567,402 | ) | (568,645 | ) | ||||
Class I Shares | (3,877,077 | ) | (3,246,452 | ) | ||||
From realized gains | ||||||||
Class A Shares | (46,826 | ) | (189,519 | ) | ||||
Class C Shares | (20,477 | ) | (79,000 | ) | ||||
Class I Shares | (107,131 | ) | (342,071 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 5,512,992 | 6,109,965 | ||||||
Class C Shares | 2,985,965 | 3,609,685 | ||||||
Class I Shares | 15,285,881 | 42,182,323 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 23,086,599 | 61,816,639 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 224,700,824 | 162,884,185 | ||||||
|
|
|
| |||||
End of Year | $ | 247,787,423 | $ | 224,700,824 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 3,353 | $ | 3,622 |
See notes to financial statements.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
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 twenty 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’s investment advisor is Thornburg Investment Management, Inc.
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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 248,682,399 | $ | — | $ | 248,682,399 | $ | — | ||||||||
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Total Investments in Securities | $ | 248,682,399 | $ | — | $ | 248,682,399 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $5,590 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $382 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,192 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $38,346 for Class A shares and $43,441 for Class C shares.
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Fund’s cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees are adjusted to
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
reflect amounts that would have been paid without this agreement, with a corresponding adjustment reflected as fees paid indirectly in the Statement of Operations. For the year ended September 30, 2015, fees paid indirectly were $1,609.
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.
The percentage of direct investments in the Fund held by affiliated Trustees, the Officers identified in the Trustees and Officers section of this report, and the Advisor is approximately 10.37%.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $1,103,028 in sales.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2015 | September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,498,078 | $ | 22,857,138 | 2,214,705 | $ | 32,669,985 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 95,940 | 1,458,653 | 115,738 | 1,703,678 | ||||||||||||
Shares repurchased | (1,237,044 | ) | (18,802,799 | ) | (1,917,594 | ) | (28,263,698 | ) | ||||||||
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Net increase (decrease) | 356,974 | $ | 5,512,992 | 412,849 | $ | 6,109,965 | ||||||||||
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Class C Shares | ||||||||||||||||
Shares sold | 571,928 | $ | 8,720,448 | 584,844 | $ | 8,670,364 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 34,108 | 519,034 | 39,009 | 573,997 | ||||||||||||
Shares repurchased | (411,444 | ) | (6,253,517 | ) | (383,694 | ) | (5,634,676 | ) | ||||||||
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Net increase (decrease) | 194,592 | $ | 2,985,965 | 240,159 | $ | 3,609,685 | ||||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 3,149,898 | $ | 48,040,749 | 4,322,972 | $ | 64,055,109 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 235,896 | 3,590,289 | 225,879 | 3,331,595 | ||||||||||||
Shares repurchased | (2,388,594 | ) | (36,345,157 | ) | (1,724,127 | ) | (25,204,381 | ) | ||||||||
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Net increase (decrease) | 997,200 | $ | 15,285,881 | 2,824,724 | $ | 42,182,323 | ||||||||||
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NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $62,134,816 and $25,779,926, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 233,742,683 | ||
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Gross unrealized appreciation on a tax basis | $ | 15,607,465 | ||
Gross unrealized depreciation on a tax basis | (667,749 | ) | ||
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Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 14,939,716 | ||
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Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 |
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $63,616. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $834, (of which $0 are short-term and $834 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital loss carryforwards do not expire.
In order to account for permanent book to tax differences, the Fund decreased undistributed net investment income by $269 and decreased accumulated net realized loss by $269. Reclassifications have no impact on the net asset value of the fund and resulted primarily from a tax redesignation of distributions.
At September 30, 2015, the Fund had $65,417 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 5,869,818 | $ | 5,304,242 | ||||
Ordinary income | 161,156 | 95,753 | ||||||
Capital gains | 115,701 | 610,590 | ||||||
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Total | $ | 6,146,675 | $ | 6,010,585 | ||||
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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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
22 Annual Report
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Annual Report 23
Thornburg Strategic Municipal Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends | Total Dividends | Net Value End | 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 | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 15.19 | 0.35 | (0.02 | ) | 0.33 | (0.35 | ) | (0.01) | (0.36 | ) | $15.16 | 2.28 | 1.25 | 1.25 | 1.31 | 2.18 | 12.13 | $ | 66,722 | ||||||||||||||||||||||||||||||||
2014(b) | $ | 14.40 | 0.41 | 0.85 | 1.26 | (0.42 | ) | (0.05) | (0.47 | ) | $15.19 | 2.82 | 1.25 | 1.25 | 1.31 | 8.93 | 21.89 | $ | 61,424 | |||||||||||||||||||||||||||||||||
2013(b) | $ | 15.17 | 0.41 | (0.74 | ) | (0.33 | ) | (0.41 | ) | (0.03) | (0.44 | ) | $14.40 | 2.74 | 1.25 | 1.25 | 1.31 | (2.21 | ) | 37.42 | $ | 52,278 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 15.20 | 0.30 | (0.02 | ) | 0.28 | (0.30 | ) | (0.01) | (0.31 | ) | $15.17 | 1.98 | 1.55 | 1.55 | 1.70 | 1.87 | 12.13 | $ | 29,073 | ||||||||||||||||||||||||||||||||
2014 | $ | 14.41 | 0.37 | 0.84 | 1.21 | (0.37 | ) | (0.05) | (0.42 | ) | $15.20 | 2.53 | 1.55 | 1.55 | 1.72 | 8.60 | 21.89 | $ | 26,168 | |||||||||||||||||||||||||||||||||
2013 | $ | 15.18 | 0.37 | (0.74 | ) | (0.37 | ) | (0.37 | ) | (0.03) | (0.40 | ) | $14.41 | 2.44 | 1.55 | 1.55 | 1.73 | (2.50 | ) | 37.42 | $ | 21,344 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 15.20 | 0.39 | (0.01 | ) | 0.38 | (0.40 | ) | (0.01) | (0.41 | ) | $15.17 | 2.60 | 0.93 | 0.93 | 0.93 | 2.50 | 12.13 | $ | 151,992 | ||||||||||||||||||||||||||||||||
2014 | $ | 14.41 | 0.46 | 0.85 | 1.31 | (0.47 | ) | (0.05) | (0.52 | ) | $15.20 | 3.12 | 0.94 | 0.93 | 0.94 | 9.27 | 21.89 | $ | 137,109 | |||||||||||||||||||||||||||||||||
2013 | $ | 15.18 | 0.45 | (0.73 | ) | (0.28 | ) | (0.46 | ) | (0.03) | (0.49 | ) | $14.41 | 3.04 | 0.95 | 0.95 | 0.96 | (1.92 | ) | 37.42 | $ | 89,262 | ||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
24 Annual Report | Annual Report 25 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Strategic Municipal Income Fund
To the Trustees and Shareholders of
Thornburg Strategic Municipal Income Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Strategic Municipal Income Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
26 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.60 | $ | 6.28 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.40 | $ | 7.77 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.30 | $ | 7.84 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.40 | $ | 4.78 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.29 | $ | 4.82 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.25%; C: 1.55%; I: 0.95%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 27
TRUSTEES AND OFFICERS | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES(1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
28 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
30 Annual Report
OTHER INFORMATION | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $5,869,818 (or the maximum allowed) are tax exempt dividends, $161,156 are taxable ordinary investment income dividends, and $115,701 are designated as taxable long-term capital gain dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Strategic Municipal Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s
Annual Report 31
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the five calendar years since the inception of the Fund’s investment operations, comparing the Fund’s annual investment returns to a fund category composed by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories composed by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the five calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the securities index considered and lower than the return for the fund category, the Fund’s returns exceeded or were comparable to the returns of the index in all of the preceding four years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in three of the four preceding years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the fourth quartile of performance of the first fund category for the one-year period ended with the second quarter of the current year, and fell in the third quartile of performance of the category for the three-year and five-year periods. Noted data also showed that the Fund’s annualized investment returns fell in the third quartile of performance of the second fund category for the one-year period ended with the second quarter, fell in the second quartile of performance of the category for the three-year period, and fell near the top decile of performance for the five-year period. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. The Trustees noted the significant differences between the Fund and the available fund category and the limited size of the peer groups used for comparisons and the potential reduction in the utility of those comparatives in evaluating the Fund’s fee and expense levels. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was somewhat higher than the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was somewhat higher than the median and average expense levels for the category, and that the level of total expense for a second representative share class was comparable to the median and average levels for the category. Data for the peer groups showed that the Fund’s advisory fee was somewhat higher than the median levels for the two peer groups, and that the total expense levels of the representative share classes were higher than the medians of their respective peer groups. The Trustees did not find the differences significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall
32 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Municipal Income Fund | September 30, 2015 (Unaudited) |
profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 33
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
34 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 35
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH1978 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg California Limited Term Municipal Fund
September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class A | LTCAX | 885-215-426 | ||
Class C | LTCCX | 885-215-418 | ||
Class I | LTCIX | 885-215-392 |
Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Shareholder:
We are pleased to present the annual report for the Thornburg California Limited Term Municipal Fund. The net asset value (NAV) of the Class A shares was flat for the fiscal year ended September 30, beginning and ending the fiscal year at $13.84. If you were with us for the entire period, you received dividends of 19.2 cents per share. If you reinvested your dividends, you received 19.3 cents per share. Dividends 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 under-performed the index with a 1.40% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 1.81% total return for the BofA Merrill Lynch 1-10 Year U.S. Municipal Securities Index. The Fund generated 2.46% more price return and 2.87% less income than the index.
The drivers of the Fund’s total price return relative to its benchmark are as follows. Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve added 0.11% of relative price performance. Our sector allocations added 0.99% of relative price performance, and our overweight to lower credit-quality securities subtracted 0.02% of relative price performance compared to its benchmark. Other risk factors and accounting differences added up to another 1.38% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech that:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds (as of September 30, 2015)
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
California in particular has been doing quite well; total tax revenues are up almost 13.8% from the second calendar quarter of 2014 to the second of 2015. Employment is up 2.96% from June 2014 through June 2015. Personal income is higher by 5.50%, and home prices are higher by 6.70% for the same period.
Table I | Status of Select Municipal Bankruptcy Cases
Entity | Bankruptcy Proceedings | Pension Recovery | Bondholder Recovery | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Bloomberg recently reported that the 2014 median funding levels of state pension plans improved to 70% from 69.2% in 2013. California’s state pensions are funded at 72.3% of liabilities, according to Bloomberg, which is just above the national median. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, two of which have taken place in California, and Puerto Rico’s financial troubles continue to garner headlines. One of them, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research—what we view as a Thornburg strength.
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best—provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
Christopher Ryon,CFA
Portfolio Manager
Managing Director
Josh Gonze
Portfolio Manager
Managing Director
Nicholos Venditti
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 5-Yr | 10-Yr | Since Incep. | |||||||||||||
A Shares (Incep: 2/19/87) | ||||||||||||||||
Without sales charge | 1.40 | % | 2.66 | % | 3.45 | % | 4.47 | % | ||||||||
With sales charge | -0.12 | % | 2.36 | % | 3.30 | % | 4.41 | % | ||||||||
C Shares (Incep: 9/1/94) | ||||||||||||||||
Without sales charge | 1.15 | % | 2.38 | % | 3.18 | % | 3.44 | % | ||||||||
With sales charge | 0.65 | % | 2.38 | % | 3.18 | % | 3.44 | % | ||||||||
I Shares (Incep: 4/1/97) | 1.72 | % | 2.98 | % | 3.79 | % | 3.96 | % |
30-Day Yields, a Shares
(with sales charge)
Annualized Distribution Yield | 1.38 | % | ||
SEC Yield | 0.43 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. Class C shares include a 0.50% CDSC for the first year only. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.94%; C shares, 1.20%; I shares, 0.62%.
Glossary
BofA Merrill Lynch 1-10 Year 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. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income taxes as is consistent, in the view of the Fund’s investment advisor, with preservation of capital.
The secondary goal of the Fund is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
The Fund offers California investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally less than five years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard this strategy as a good compromise for managing different types of risk.
Long Term Stability of Principal
Net Asset Value History of A Shares
Key Portfolio Attributes
Number of Bonds | 354 | |||
Effective Duration | 3.6 Yrs | |||
Average Maturity | 4.6 Yrs |
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Portfolio Ladder
Percent of portfolio maturing in each year. Cash includes cash equivalents.
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
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 | $ | 1,939,342 | |||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2018 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 400,000 | 450,320 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2019 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 750,000 | 866,430 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2020 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 725,000 | 852,288 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2021 (Public Facilities Capital Projects) | AA/Aa3 | 1,000,000 | 1,177,500 | |||||||
Alameda County Joint Powers Authority, 5.00% due 12/1/2024 (Alameda County Medical Center Highland Hospital) | AA/Aa3 | 2,500,000 | 3,038,775 | |||||||
Anaheim Public Financing Authority, 0% due 9/1/2022 (Public Improvements Project; Insured: AGM) | AA/A2 | 3,000,000 | 2,527,290 | |||||||
Bay Area Toll Authority, 5.00% due 4/1/2016 (San Francisco Bay Area Toll Bridge) | AA/Aa3 | 2,075,000 | 2,126,149 | |||||||
Bay Area Toll Authority, 0.72% due 4/1/2047 put 10/1/2019 (San Francisco Bay Area Toll Bridge) | AA/Aa3 | 5,000,000 | 5,005,450 | |||||||
Bay Area Toll Authority, 1.50% due 4/1/2047 (San Francisco Bay Area Toll Bridge) put 4/2/2018 | AA/Aa3 | 1,000,000 | 1,010,480 | |||||||
Bay Area Water Supply & Conservation Agency, 2.00% due 10/1/2015 (Regional Water System Improvements) | AA-/Aa3 | 1,000,000 | 1,000,050 | |||||||
Bay Area Water Supply & Conservation Agency, 3.00% due 10/1/2016 (Regional Water System Improvements) | AA-/Aa3 | 3,965,000 | 4,073,720 | |||||||
Bonita USD GO, 5.00% due 8/1/2024 (Educational Facilities) | AA-/NR | 1,000,000 | 1,201,320 | |||||||
Brea Redevelopment Agency, 5.00% due 8/1/2019 (Redevelopment Project AB) | AA-/NR | 2,000,000 | 2,281,900 | |||||||
Brentwood Infrastructure Financing Authority, 3.00% due 9/2/2016 (Residential Single Family Development; Insured: AGM) | AA/NR | 315,000 | 322,604 | |||||||
Brentwood Infrastructure Financing Authority, 4.00% due 9/2/2017 (Residential Single Family Development; Insured: AGM) | AA/NR | 920,000 | 977,840 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2020 (Residential Single Family Development; Insured: AGM) | AA/NR | 1,760,000 | 2,047,778 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2021 (Residential Single Family Development; Insured: AGM) | AA/NR | 925,000 | 1,090,325 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2022 (Residential Single Family Development; Insured: AGM) | AA/NR | 850,000 | 1,012,622 | |||||||
Brentwood Infrastructure Financing Authority, 5.00% due 9/2/2023 (Residential Single Family Development; Insured: AGM) | AA/NR | 2,690,000 | 3,227,516 | |||||||
Calexico USD COP, 6.75% due 9/1/2017 | A-/NR | 1,630,000 | 1,713,048 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2018 (Pitzer College) | NR/A2 | 1,540,000 | 1,693,507 | |||||||
California Educational Facilities Authority, 0% due 10/1/2019 (Loyola Marymount University; Insured: Natl-Re) | NR/A2 | 2,025,000 | 1,906,639 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2020 (Pitzer College) | NR/A2 | 1,445,000 | 1,663,917 | |||||||
California Educational Facilities Authority, 5.00% due 4/1/2022 (Chapman University) | NR/A2 | 2,000,000 | 2,351,400 | |||||||
California HFFA, 4.00% due 2/1/2016 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | AA-/NR | 2,475,000 | 2,506,680 | |||||||
California HFFA, 5.50% due 10/1/2017 (Providence Health and Services) | AA-/Aa3 | 1,100,000 | 1,206,436 | |||||||
California HFFA, 5.50% due 2/1/2018 (Community Program Developmental Disabilities; Insured: California Mtg Insurance) | AA-/NR | 2,715,000 | 3,006,564 | |||||||
California HFFA, 6.00% due 10/1/2018 (Providence Health and Services) | AA-/Aa3 | 1,000,000 | 1,150,270 | |||||||
California HFFA, 5.00% due 11/15/2018 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,235,000 | 1,346,965 | |||||||
California HFFA, 5.10% due 2/1/2019 (Episcopal Home; Insured: California Mtg Insurance) (ETM) | AA-/NR | 1,000,000 | 1,075,380 | |||||||
California HFFA, 5.00% due 11/15/2020 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,190,000 | 1,330,575 | |||||||
a California HFFA, 5.25% due 3/1/2022 (Dignity Health) | A/A3 | 1,000,000 | 1,179,860 | |||||||
California HFFA, 1.45% due 8/15/2023 put 3/15/2017 (Lucile Salter Packard Children’s Hospital) | AA-/Aa3 | 2,710,000 | 2,744,634 | |||||||
California HFFA, 5.00% due 11/15/2023 (Children’s Hospital Los Angeles) | BBB+/Baa2 | 1,000,000 | 1,122,050 | |||||||
California HFFA, 5.00% due 7/1/2024 (St. Joseph Health System) | AA-/A1 | 1,000,000 | 1,198,940 | |||||||
California HFFA, 5.00% due 7/1/2034 put 10/18/2022 (St. Joseph Health System) | AA-/A1 | 2,000,000 | 2,396,260 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/17/2017 (St. Joseph Health System) | AA-/A1 | 3,000,000 | 3,266,820 | |||||||
California HFFA, 5.00% due 7/1/2043 put 10/15/2020 (St. Joseph Health System) | AA-/A1 | 5,000,000 | 5,865,250 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2021 (Biola University Residential Hall and Parking Structure) | NR/Baa1 | 150,000 | 171,231 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2022 (Biola University Residential Hall and Parking Structure) | NR/Baa1 | 160,000 | 184,136 | |||||||
California Municipal Finance Authority, 5.00% due 10/1/2023 (Biola University Residential Hall and Parking Structure) | NR/Baa1 | 125,000 | 144,764 | |||||||
California Pollution Control Financing Authority, 5.25% due 6/1/2023 put 12/1/2017 (Solid Waste Disposal-Republic Services, Inc.) (AMT) | BBB+/Baa3 | 2,820,000 | 2,997,265 | |||||||
California Pollution Control Financing Authority, 0.01% due 11/1/2026 put 10/1/2015 (Pacific Gas & Electric Co.; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/NR | 28,900,000 | 28,900,000 | |||||||
California State Department of Transportation COP, 5.25% due 3/1/2016 (Insured: Natl-Re) | AA-/A1 | 660,000 | 662,845 | |||||||
California State Department of Veterans Affairs, 2.75% due 12/1/2018 (Farm and Home Purchase Program) | AA/Aa3 | 1,000,000 | 1,057,720 | |||||||
California State Department of Veterans Affairs, 3.00% due 12/1/2019 (Farm and Home Purchase Program) | AA/Aa3 | 500,000 | 537,080 | |||||||
California State Department of Veterans Affairs GO, 4.40% due 12/1/2022 (Farm and Home Purchase Program) (AMT) | AA/Aa2 | 550,000 | 553,608 | |||||||
California State Housing Finance Agency, 3.05% due 12/1/2019 (Multi-Family Housing; Insured: FHA) | NR/Aa1 | 735,000 | 736,793 | |||||||
California State Infrastructure & Economic Development Bank, 5.25% due 8/15/2020 (King City High School) | AA-/NR | 1,000,000 | 1,145,900 | |||||||
California State Public Works Board, 5.00% due 11/1/2016 (California State University-J. Paul Leonard & Sutro Library) | A+/Aa3 | 1,000,000 | 1,050,390 | |||||||
California State Public Works Board, 5.00% due 6/1/2020 (University of California; Insured: Natl-Re) (ETM) | AA+/Aaa | 1,185,000 | 1,395,468 | |||||||
California State Public Works Board, 5.125% due 3/1/2021 (Various State Participating Agency Capital Projects) | A+/A1 | 1,635,000 | 1,884,043 | |||||||
California State Public Works Board, 5.00% due 12/1/2021 (Judicial Council Projects) | A+/A1 | 3,100,000 | 3,694,301 | |||||||
California State Public Works Board, 5.00% due 4/1/2022 (California School for the Deaf Riverside Campus) | A+/A1 | 565,000 | 673,774 | |||||||
California State Public Works Board, 5.00% due 6/1/2022 (Yuba City Courthouse) | A+/A1 | 1,950,000 | 2,332,141 | |||||||
California State Public Works Board, 5.00% due 9/1/2022 (Correctional and Rehabilitation Facilities) | A+/A1 | 3,250,000 | 3,903,412 | |||||||
California State Public Works Board, 5.00% due 11/1/2022 (Correctional and Rehabilitation Facilities) | A+/A1 | 1,500,000 | 1,806,510 | |||||||
California State Public Works Board, 5.00% due 12/1/2022 (Judicial Council Projects) | A+/A1 | 1,200,000 | 1,414,668 | |||||||
California State Public Works Board, 5.00% due 3/1/2023 (Judicial Council Projects) | A+/A1 | 1,400,000 | 1,684,368 | |||||||
California State Public Works Board, 5.00% due 6/1/2023 (Coalinga State Hospital) | A+/A1 | 7,200,000 | 8,693,568 | |||||||
California State Public Works Board, 5.00% due 9/1/2023 (Correctional and Rehabilitation Facilities) | A+/A1 | 3,600,000 | 4,361,868 | |||||||
California State Public Works Board, 5.00% due 11/1/2023 (Laboratory Facility and San Diego Courthouse) | A+/A1 | 3,000,000 | 3,642,990 | |||||||
California State Public Works Board, 5.00% due 3/1/2024 (Judicial Council Projects) | A+/A1 | 1,000,000 | 1,190,210 |
Annual Report 9
Schedule of Investments, Continued | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
California State Public Works Board, 5.00% due 4/1/2024 (Correctional and Rehabilitation Facilities) | A+/A1 | $ | 3,350,000 | $ | 4,008,476 | |||||
California State Public Works Board, 5.00% due 9/1/2024 (Correctional and Rehabilitation Facilities) | A+/A1 | 3,580,000 | 4,369,318 | |||||||
California State Public Works Board, 5.00% due 11/1/2024 (Laboratory Facility and San Diego Courthouse) | A+/A1 | 4,000,000 | 4,801,320 | |||||||
California Statewide Communities Development Authority, 5.00% due 4/1/2019 (Kaiser Foundation Hospitals) | A+/NR | 3,715,000 | 4,222,543 | |||||||
California Statewide Communities Development Authority, 5.00% due 7/1/2020 (Aspire Public Schools; LOC: PCSD Guaranty Pool I, LLC) | NR/NR | 1,085,000 | 1,130,494 | |||||||
California Statewide Communities Development Authority, 5.00% due 11/1/2020 (Cottage Health System) | A+/NR | 100,000 | 116,328 | |||||||
California Statewide Communities Development Authority, 4.00% due 11/1/2021 (Cottage Health System) | A+/NR | 150,000 | 167,897 | |||||||
California Statewide Communities Development Authority, 5.00% due 11/1/2022 (Cottage Health System) | A+/NR | 125,000 | 148,824 | |||||||
California Statewide Communities Development Authority, 5.00% due 11/1/2023 (Cottage Health System) | A+/NR | 150,000 | 180,398 | |||||||
California Statewide Communities Development Authority, 5.00% due 11/1/2024 (Cottage Health System) | A+/NR | 200,000 | 241,190 | |||||||
California Statewide Communities Development Authority, 5.00% due 11/1/2025 (Cottage Health System) | A+/NR | 135,000 | 161,690 | |||||||
Calipatria USD GO, 0% due 8/1/2025 (Educational Facilities; Insured: ACA) | NR/NR | 4,770,000 | 3,144,241 | |||||||
Carson Redevelopment Agency, 6.00% due 10/1/2019 (Project Area 1) | A-/NR | 1,050,000 | 1,229,980 | |||||||
Castaic USD GO, 0% due 5/1/2018 (Insured: Natl-Re) | AA-/NR | 1,760,000 | 1,604,680 | |||||||
Central Valley Financing Authority, 5.25% due 7/1/2020 (Carson Ice) | AA-/Aa3 | 500,000 | 587,580 | |||||||
Chabot-Las Positas Community College District GO, 0% due 8/1/2018 (Capital Improvements; Insured: AMBAC) | A+/Aa3 | 2,465,000 | 2,233,389 | |||||||
City and County of San Francisco COP, 5.00% due 11/1/2016 (525 Golden Gate Avenue-Public Utilities Commission Office Project) | AA/Aa3 | 200,000 | 210,242 | |||||||
City and County of San Francisco COP, 5.00% due 9/1/2018 (City Office Buildings-Multiple Properties Project; Insured: Natl-Re) | AA/Aa3 | 300,000 | 301,197 | |||||||
City and County of San Francisco COP, 5.00% due 11/1/2022 (525 Golden Gate Avenue-Public Utilities Commission Office Project) | AA/Aa3 | 700,000 | 791,203 | |||||||
City and County of San Francisco Redevelopment Agency, 5.00% due 6/1/2020 (San Francisco Redevelopment Projects; Insured: AGM) | AA/A1 | 1,730,000 | 2,000,710 | |||||||
City of Antioch Public Financing Authority, 5.00% due 5/1/2022 (Municipal Facilities Project) | AA-/NR | 500,000 | 591,465 | |||||||
City of Antioch Public Financing Authority, 5.00% due 5/1/2024 (Municipal Facilities Project) | AA-/NR | 900,000 | 1,083,168 | |||||||
City of Burbank, 5.00% due 6/1/2016 (Burbank Water and Power System) | AA-/A1 | 500,000 | 515,645 | |||||||
City of Burbank, 5.00% due 6/1/2017 (Burbank Water and Power System) | AA-/A1 | 1,000,000 | 1,072,270 | |||||||
City of Burbank, 5.00% due 6/1/2018 (Burbank Water and Power System) | AA-/A1 | 360,000 | 398,891 | |||||||
City of Burbank, 5.00% due 6/1/2020 (Burbank Water and Power System) | AA-/A1 | 625,000 | 727,244 | |||||||
City of Chula Vista, 1.65% due 7/1/2018 (San Diego Gas & Electric Co.) | A+/Aa2 | 3,300,000 | 3,302,805 | |||||||
City of Chula Vista COP, 5.25% due 3/1/2020 (Capital Facilities Project) | AA-/NR | 1,300,000 | 1,507,220 | |||||||
City of Chula Vista COP, 5.00% due 10/1/2024 (Police Facility Project) | AA-/A1 | 1,700,000 | 2,035,036 | |||||||
City of Clovis, 5.00% due 3/1/2021 (Water System Facilities; Insured: BAM) | AA/A2 | 550,000 | 638,248 | |||||||
City of Clovis, 5.00% due 3/1/2022 (Water System Facilities; Insured: BAM) | AA/A2 | 720,000 | 845,042 | |||||||
City of Clovis, 5.00% due 3/1/2023 (Water System Facilities; Insured: BAM) | AA/A2 | 1,000,000 | 1,184,720 | |||||||
City of Folsom, 5.00% due 12/1/2016 (Community Facilities District No. 2) | A+/NR | 1,100,000 | 1,153,471 | |||||||
City of Folsom, 5.00% due 12/1/2018 (Community Facilities District No. 2) | A+/NR | 965,000 | 1,070,185 | |||||||
City of Los Angeles Community Facilities District No. 4, 4.00% due 9/1/2016 (Playa Vista - Phase 1) | BBB+/NR | 650,000 | 670,774 | |||||||
City of Los Angeles Community Facilities District No. 4, 4.00% due 9/1/2017 (Playa Vista - Phase 1) | BBB+/NR | 500,000 | 529,875 | |||||||
City of Los Angeles COP, 3.00% due 11/1/2030 put 2/1/2018 (American Academy of Dramatic Arts; LOC: TD Bank, N.A.) | NR/Aa2 | 2,625,000 | 2,697,502 | |||||||
City of Los Angeles GO, 2.00% due 6/30/2016 (Cash Flow Management) | SP-1+/Mig1 | 4,000,000 | 4,053,920 | |||||||
City of Manteca, 3.00% due 12/1/2015 (Wastewater Quality Control Facility) | AA-/Aa3 | 280,000 | 281,316 | |||||||
City of Manteca, 4.00% due 7/1/2016 (Water Supply System) | AA-/A1 | 300,000 | 308,502 | |||||||
City of Manteca, 3.00% due 12/1/2016 (Wastewater Quality Control Facility) | AA-/Aa3 | 520,000 | 535,517 | |||||||
City of Manteca, 4.00% due 7/1/2018 (Water Supply System) | AA-/A1 | 550,000 | 596,877 | |||||||
City of Manteca, 4.00% due 12/1/2018 (Wastewater Quality Control Facility) | AA-/Aa3 | 375,000 | 409,020 | |||||||
City of Manteca, 5.00% due 7/1/2019 (Water Supply System) | AA-/A1 | 400,000 | 457,192 | |||||||
City of Manteca, 5.00% due 7/1/2021 (Water Supply System) | AA-/A1 | 1,000,000 | 1,182,230 | |||||||
City of Manteca, 5.00% due 7/1/2023 (Water Supply System) | AA-/A1 | 650,000 | 767,644 | |||||||
City of Moorpark Mobile Home Park, 4.90% due 5/15/2017 (Villa Del Arroyo) | A/NR | 415,000 | 432,090 | |||||||
City of Porterville COP, 6.30% due 10/1/2018 (Public Service Capital Projects; Insured: AMBAC) | NR/NR | 685,000 | 740,273 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2019 (Civic Center Project) | AA/Aa3 | 650,000 | 743,054 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2020 (Civic Center Project) | AA/Aa3 | 600,000 | 699,192 | |||||||
City of San Jose Financing Authority, 4.00% due 6/1/2021 (Civic Center Project) | AA/Aa3 | 1,000,000 | 1,126,640 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2022 (Civic Center Project) | AA/Aa3 | 745,000 | 891,988 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2023 (Civic Center Project) | AA/Aa3 | 1,000,000 | 1,206,650 | |||||||
City of San Jose Financing Authority, 5.00% due 6/1/2024 (Civic Center Project) | AA/Aa3 | 750,000 | 906,652 | |||||||
City of Torrance, 5.00% due 9/1/2020 (Torrance Memorial Medical Center) | BBB+/A3 | 1,155,000 | 1,316,538 | |||||||
City of Torrance, 6.00% due 6/1/2022 (Torrance Memorial Medical Center) | BBB+/A3 | 2,600,000 | 2,643,862 | |||||||
City of Vallejo, 5.00% due 5/1/2017 (Water Improvement Project; Insured: Natl-Re) | AA-/A3 | 1,240,000 | 1,272,711 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2017 (Electric Generation Facility Project) | NR/A2 | 530,000 | 556,553 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2018 (Electric Generation Facility Project) | NR/A2 | 550,000 | 591,822 | |||||||
Colton Public Financing Authority, 4.00% due 4/1/2019 (Electric Generation Facility Project) | NR/A2 | 400,000 | 439,104 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2020 (Electric Generation Facility Project) | NR/A2 | 410,000 | 473,566 | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2021 (Electric Generation Facility Project) | NR/A2 | 650,000 | 760,760 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Colton Public Financing Authority, 5.00% due 4/1/2022 (Electric Generation Facility Project) | NR/A2 | $ | 970,000 | $ | 1,150,051 | |||||
Community Development Commission of the City of Santa Fe Springs, 5.00% due 9/1/2018 (Redevelopment Project; Insured: Natl-Re) | AA-/A3 | 1,235,000 | 1,327,588 | |||||||
Community Facilities District No. 86-1 of the Irvine USD, 5.25% due 9/1/2017 (Educational Facilities; Insured: AGM) | AA/NR | 250,000 | 269,728 | |||||||
Community Redevelopment Agency of the City of Union City, 4.50% due 10/1/2020 (Redevelopment Project; Insured: AMBAC) | NR/Baa1 | 460,000 | 460,598 | |||||||
Corona-Norco USD GO, 0% due 9/1/2017 (Insured: AGM) | AA/Aa2 | 1,595,000 | 1,567,422 | |||||||
Coronado Community Development Agency, 0% due 9/1/2016 (Insured: AGM) | AA/A2 | 225,000 | 224,132 | |||||||
County of El Dorado Community Facilities District, 5.00% due 9/1/2019 (El Dorado Hills Development) | A/NR | 1,700,000 | 1,918,212 | |||||||
County of Los Angeles, 5.00% due 6/30/2016 (General Fund Expenditures) | SP-1+/Mig1 | 12,000,000 | 12,424,560 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2020 (Bunker Hill Project) | A+/NR | 1,000,000 | 1,160,890 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2021 (Bunker Hill Project) | A+/NR | 2,500,000 | 2,940,400 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2022 (Bunker Hill Project) | A+/NR | 1,000,000 | 1,188,320 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2023 (Bunker Hill Project) | A+/NR | 1,000,000 | 1,196,470 | |||||||
County of Los Angeles Redevelopment Refunding Authority, 5.00% due 6/1/2024 (Bunker Hill Project) | A+/NR | 500,000 | 602,780 | |||||||
County of Monterey COP, 5.25% due 8/1/2021 (Natividad Medical Center; Insured: AGM) | AA/A1 | 3,700,000 | 4,251,929 | |||||||
County of San Diego and San Diego County School District, 2.00% due 6/30/2016 | SP-1+/NR | 7,430,000 | 7,528,522 | |||||||
Delano Financing Authority, 5.00% due 12/1/2017 (Police Station and Capital Improvements) | A-/NR | 1,085,000 | 1,162,111 | |||||||
Delano Financing Authority, 5.00% due 12/1/2018 (Police Station and Capital Improvements) | A-/NR | 1,135,000 | 1,241,894 | |||||||
Delano Financing Authority, 5.00% due 12/1/2019 (Police Station and Capital Improvements) | A-/NR | 1,195,000 | 1,329,330 | |||||||
Desert Sands USD COP, 4.00% due 3/1/2019 (Educational Facilities; Insured: BAM) | AA/A1 | 1,000,000 | 1,089,680 | |||||||
Desert Sands USD COP, 5.00% due 3/1/2020 (Educational Facilities; Insured: BAM) | AA/A1 | 700,000 | 801,542 | |||||||
Desert Sands USD COP, 5.00% due 3/1/2021 (Educational Facilities; Insured: BAM) | AA/A1 | 1,080,000 | 1,253,480 | |||||||
Elk Grove Finance Authority, 4.00% due 9/1/2020 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1) | A-/NR | 575,000 | 635,996 | |||||||
Elk Grove Finance Authority, 5.00% due 9/1/2021 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1) | A-/NR | 450,000 | 525,726 | |||||||
Elk Grove Finance Authority, 5.00% due 9/1/2025 (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1) | A-/NR | 750,000 | 896,332 | |||||||
Emeryville Redevelopment Agency, 5.00% due 9/1/2022 (Emeryville and Shellmound Park Projects; Insured: AGM) | AA/NR | 2,775,000 | 3,339,546 | |||||||
Emeryville Redevelopment Agency, 5.00% due 9/1/2023 (Emeryville and Shellmound Park Projects; Insured: AGM) | AA/NR | 2,420,000 | 2,934,758 | |||||||
Emeryville Redevelopment Agency, 5.00% due 9/1/2024 (Emeryville and Shellmound Park Projects; Insured: AGM) | AA/NR | 3,900,000 | 4,779,879 | |||||||
Fillmore Public Financing Authority, 5.00% due 5/1/2016 (Water Recycling Financing Project; Insured: CIFG) | AA/A3 | 735,000 | 753,287 | |||||||
Fresno County USD GO, 5.90% due 8/1/2017 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 590,000 | 645,047 | |||||||
Fresno County USD GO, 5.90% due 8/1/2018 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 630,000 | 714,767 | |||||||
Fresno County USD GO, 5.90% due 8/1/2019 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 675,000 | 789,514 | |||||||
Fresno County USD GO, 5.00% due 2/1/2020 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 2,510,000 | 2,881,179 | |||||||
Fresno County USD GO, 5.90% due 8/1/2020 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 720,000 | 864,749 | |||||||
Fullerton Public Financing Authority, 5.00% due 9/1/2016 (Insured: AMBAC) | A/NR | 1,775,000 | 1,808,015 | |||||||
Government of Guam, 5.00% due 11/15/2025 (Economic Development) | A/NR | 4,175,000 | 4,879,990 | |||||||
Grossmont Union High School District GO, 0.17% due 2/1/2017 put 10/7/2015 (Educational Facilities) (weekly demand notes) | A+/NR | 1,000,000 | 1,000,000 | |||||||
Guam Power Authority, 5.00% due 10/1/2021 (Electric Power System; Insured: AGM) | AA/A2 | 1,275,000 | 1,499,413 | |||||||
Hacienda La Puente USD COP, 2.00% due 6/1/2016 (Educational Facilities; Insured: AGM) | AA/A1 | 850,000 | 859,154 | |||||||
Hacienda La Puente USD COP, 3.00% due 6/1/2017 (Educational Facilities; Insured: AGM) | AA/A1 | 160,000 | 165,982 | |||||||
Hacienda La Puente USD COP, 4.00% due 6/1/2018 (Educational Facilities; Insured: AGM) | AA/A1 | 705,000 | 760,082 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2019 (Educational Facilities; Insured: AGM) | AA/A1 | 675,000 | 764,843 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2020 (Educational Facilities; Insured: AGM) | AA/A1 | 740,000 | 854,138 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2022 (Educational Facilities; Insured: AGM) | AA/A1 | 575,000 | 678,558 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2023 (Educational Facilities; Insured: AGM) | AA/A1 | 1,535,000 | 1,824,654 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2024 (Educational Facilities; Insured: AGM) | AA/A1 | 880,000 | 1,054,794 | |||||||
Hacienda La Puente USD COP, 5.00% due 6/1/2025 (Educational Facilities; Insured: AGM) | AA/A1 | 1,300,000 | 1,571,700 | |||||||
Hemet USD GO, 4.00% due 8/1/2018 (Insured: AGM) | AA/NR | 1,335,000 | 1,447,861 | |||||||
Jurupa Public Financing Authority, 4.50% due 9/1/2018 (Community Services District-Eastvale Area; Insured: AGM) | AA/NR | 870,000 | 949,039 | |||||||
Jurupa Public Financing Authority, 4.50% due 9/1/2019 (Community Services District-Eastvale Area; Insured: AGM) | AA/NR | 905,000 | 1,006,966 | |||||||
Jurupa Public Financing Authority, 4.50% due 9/1/2020 (Community Services District-Eastvale Area; Insured: AGM) | AA/NR | 945,000 | 1,065,525 | |||||||
Kern High School District GO, 4.00% due 8/1/2016 (Insured: AGM) | A+/Aa2 | 500,000 | 515,635 | |||||||
Kern High School District GO, 4.00% due 8/1/2017 (Insured: AGM) | A+/Aa2 | 500,000 | 531,150 | |||||||
Kern High School District GO, 4.00% due 8/1/2018 (Insured: AGM) | A+/Aa2 | 500,000 | 543,445 | |||||||
La Quinta Redevelopment Agency, 5.00% due 9/1/2021 (Redevelopment Project Areas No. 1 and 2) | A+/NR | 1,000,000 | 1,165,850 | |||||||
La Quinta Redevelopment Agency, 5.00% due 9/1/2022 (Redevelopment Project Areas No. 1 and 2) | A+/NR | 2,000,000 | 2,356,160 | |||||||
La Quinta Redevelopment Agency, 5.00% due 9/1/2023 (Redevelopment Project Areas No. 1 and 2) | A+/NR | 1,500,000 | 1,769,835 | |||||||
Lodi Public Financing Authority, 3.00% due 10/1/2016 (City Police Building and Jail) | A+/NR | 830,000 | 847,986 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2020 (City Police Building and Jail) | A+/NR | 965,000 | 1,101,171 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2021 (City Police Building and Jail) | A+/NR | 1,020,000 | 1,176,060 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2022 (City Police Building and Jail) | A+/NR | 1,040,000 | 1,198,350 | |||||||
Lodi Public Financing Authority, 5.00% due 10/1/2023 (City Police Building and Jail) | A+/NR | 1,120,000 | 1,279,141 | |||||||
Los Alamitos USD GO, 0% due 9/1/2016 (Educational Facilities) (ETM) | SP-1+/Aa2 | 2,000,000 | 1,994,720 | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2016 | A+/A1 | 2,100,000 | 2,184,630 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Los Angeles Convention & Exhibition Center Authority, 5.00% due 8/15/2017 | A+/A1 | $ | 1,660,000 | $ | 1,792,003 | |||||
Los Angeles County Public Works Financing Authority, 5.00% due 8/1/2018 (Multiple Capital Projects) | AA/A1 | 2,060,000 | 2,297,786 | |||||||
Los Angeles County Schools Regionalized Business Services Corp. COP, 0% due 8/1/2021 (Insured: AMBAC) | NR/NR | 2,135,000 | 1,845,430 | |||||||
Los Angeles Department of Airports, 5.50% due 5/15/2018 (Los Angeles International Airport) (AMT) | AA/Aa3 | 2,000,000 | 2,227,960 | |||||||
Los Angeles Department of Water & Power, 0.01% due 7/1/2034 put 10/1/2015 (Electric Power Plant; SPA: Royal Bank of Canada) (daily demand notes) | AA-/Aa3 | 31,500,000 | 31,500,000 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 11/1/2017 (Capital Improvements) | A+/A2 | 3,235,000 | 3,527,218 | |||||||
Los Angeles Municipal Improvement Corp., 5.00% due 3/1/2018 (Capital Improvements) | A+/A2 | 4,765,000 | 5,239,594 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2015 (Educational Facilities and Information Technology Infrastructure; Insured: AMBAC) | A+/A1 | 2,000,000 | 2,000,280 | |||||||
Los Angeles USD COP, 5.00% due 10/1/2016 (Educational Facilities and Information Technology Infrastructure; Insured: AMBAC) | A+/A1 | 425,000 | 445,005 | |||||||
Los Angeles USD COP, 5.50% due 12/1/2018 (Educational Facilities and Information Technology Infrastructure) | A+/A1 | 2,000,000 | 2,288,140 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2022 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 2,750,000 | 3,334,457 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2023 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 3,000,000 | 3,674,760 | |||||||
Los Angeles USD GO, 5.00% due 7/1/2024 (Educational Facilities and Information Technology Infrastructure) | AA-/Aa2 | 3,000,000 | 3,715,230 | |||||||
Lynwood USD GO, 5.00% due 8/1/2023 (Insured: AGM) | AA/A2 | 1,000,000 | 1,209,440 | |||||||
Manteca USD Community Facilities District No. 1989-2, 3.00% due 9/1/2016 (Educational Facilities; Insured: AGM) | AA/A2 | 410,000 | 418,774 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2018 (Educational Facilities; Insured: AGM) | AA/A2 | 500,000 | 538,285 | |||||||
Manteca USD Community Facilities District No. 1989-2, 4.00% due 9/1/2019 (Educational Facilities; Insured: AGM) | AA/A2 | 870,000 | 951,536 | |||||||
a Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2020 (Educational Facilities; Insured: AGM) | AA/A2 | 1,425,000 | 1,640,161 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2021 (Educational Facilities; Insured: AGM) | AA/A2 | 750,000 | 874,387 | |||||||
Manteca USD Community Facilities District No. 1989-2, 5.00% due 9/1/2023 (Educational Facilities; Insured: AGM) | AA/A2 | 500,000 | 594,030 | |||||||
Mark West Union School District GO, 4.125% due 8/1/2020 (Educational Facilities; Insured: Natl-Re) | AA/A3 | 1,275,000 | 1,279,016 | |||||||
Milpitas Redevelopment Agency, 3.00% due 9/1/2016 (Redevelopment Project Area No. 1) | AA-/NR | 1,000,000 | 1,025,110 | |||||||
Milpitas Redevelopment Agency, 4.00% due 9/1/2017 (Redevelopment Project Area No. 1) | AA-/NR | 1,000,000 | 1,063,970 | |||||||
Milpitas Redevelopment Agency, 5.00% due 9/1/2025 (Redevelopment Project Area No. 1) | AA-/NR | 2,300,000 | 2,824,998 | |||||||
Modesto Irrigation District, 5.00% due 7/1/2022 (San Joaquin Valley Electric System) | A+/A2 | 1,000,000 | 1,205,790 | |||||||
Moreno Valley Public Financing Authority, 5.00% due 11/1/2024 (Public Improvements) | A+/NR | 1,455,000 | 1,733,094 | |||||||
Murrieta Valley USD Public Financing Authority GO, 5.00% due 9/1/2023 (Educational Facilities; Insured: BAM) | AA/NR | 1,080,000 | 1,307,675 | |||||||
Natomas USD GO, 5.00% due 8/1/2024 (Insured: BAM) | AA/A1 | 2,425,000 | 2,939,051 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2021 (Carmel Valley; Insured: AGM) | AA/NR | 2,155,000 | 2,534,776 | |||||||
North City West School Facilities Financing Authority, 5.00% due 9/1/2022 (Carmel Valley; Insured: AGM) | AA/NR | 2,260,000 | 2,692,270 | |||||||
Northern California Power Agency, 5.00% due 7/1/2016 (Hydroelectric Project) | A+/A1 | 500,000 | 518,275 | |||||||
Northern California Power Agency, 5.00% due 7/1/2017 (Hydroelectric Project) | A+/A1 | 100,000 | 107,843 | |||||||
Northern California Power Agency, 5.00% due 7/1/2018 (Hydroelectric Project) | A+/A1 | 1,250,000 | 1,394,100 | |||||||
Northern California Power Agency, 5.00% due 6/1/2019 (Lodi Energy Center) | A-/A2 | 2,340,000 | 2,676,820 | |||||||
Oakland USD GO, 5.00% due 8/1/2022 (County of Alameda Educational Facilities) | NR/NR | 745,000 | 858,024 | |||||||
Oakland USD GO, 5.00% due 8/1/2023 (County of Alameda Educational Facilities) | NR/NR | 700,000 | 809,571 | |||||||
Oakland USD GO, 5.00% due 8/1/2025 (County of Alameda Educational Facilities) | NR/NR | 1,300,000 | 1,512,472 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2019 (Insured: AGM) | AA/A2 | 2,000,000 | 1,877,560 | |||||||
Palomar Pomerado Health GO, 0% due 8/1/2021 (Insured: Natl-Re) | AA-/A2 | 2,850,000 | 2,484,601 | |||||||
Pomona USD GO, 6.10% due 2/1/2020 (Educational Facilities; Insured: Natl-Re) | AA-/A3 | 465,000 | 555,173 | |||||||
Redding Electrical Systems COP, 5.00% due 6/1/2020 (Insured: AGM) | NR/A2 | 2,500,000 | 2,772,500 | |||||||
Redevelopment Agency of the City of Rialto, 5.00% due 9/1/2023 (Merged Project Area; Insured: BAM) | AA/NR | 550,000 | 655,188 | |||||||
Redevelopment Agency of the City of Rialto, 5.00% due 9/1/2024 (Merged Project Area; Insured: BAM) | AA/NR | 500,000 | 602,620 | |||||||
Regents of the University of California, 4.00% due 5/15/2017 (Campus Housing and Facilities) | AA-/Aa3 | 1,250,000 | 1,321,312 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2016 (Redevelopment Project) | A-/NR | 1,055,000 | 1,089,593 | |||||||
Ridgecrest Redevelopment Agency, 5.00% due 6/30/2017 (Redevelopment Project) | A-/NR | 1,055,000 | 1,127,447 | |||||||
Ridgecrest Redevelopment Agency, 5.25% due 6/30/2018 (Redevelopment Project) | A-/NR | 1,050,000 | 1,162,581 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2019 (Redevelopment Project) | A-/NR | 1,050,000 | 1,203,006 | |||||||
Ridgecrest Redevelopment Agency, 5.50% due 6/30/2020 (Redevelopment Project) | A-/NR | 1,040,000 | 1,217,559 | |||||||
Riverside County Palm Desert Financing Authority, 6.00% due 5/1/2022 (Palm Desert Sheriff’s Station Facilities) | AA-/A2 | 2,600,000 | 2,915,276 | |||||||
Riverside County Public Financing Authority, 4.00% due 11/1/2017 (Capital Facilities Project) | AA-/NR | 550,000 | 586,405 | |||||||
Riverside County Public Financing Authority, 5.00% due 11/1/2019 (Capital Facilities Project) | AA-/NR | 2,000,000 | 2,288,040 | |||||||
Riverside County Public Financing Authority, 4.00% due 11/1/2020 (Capital Facilities Project) | AA-/NR | 465,000 | 516,643 | |||||||
Riverside County Public Financing Authority, 5.00% due 11/1/2021 (Capital Facilities Project) | AA-/NR | 1,000,000 | 1,173,150 | |||||||
Riverside County Public Financing Authority, 5.00% due 11/1/2025 (Capital Facilities Project) | AA-/NR | 1,000,000 | 1,196,480 | |||||||
Riverside USD Financing Authority, 3.00% due 9/1/2016 (Educational Facilities; Insured: BAM) | AA/NR | 500,000 | 511,945 | |||||||
Riverside USD Financing Authority, 4.00% due 9/1/2017 (Educational Facilities; Insured: BAM) | AA/NR | 285,000 | 302,368 | |||||||
Riverside USD Financing Authority, 5.00% due 9/1/2019 (Educational Facilities; Insured: BAM) | AA/NR | 950,000 | 1,085,299 | |||||||
Riverside USD Financing Authority, 5.00% due 9/1/2022 (Educational Facilities; Insured: BAM) | AA/NR | 215,000 | 255,411 | |||||||
Riverside USD Financing Authority, 5.00% due 9/1/2024 (Educational Facilities; Insured: BAM) | AA/NR | 680,000 | 815,538 | |||||||
Riverside USD Financing Authority, 5.00% due 9/1/2025 (Educational Facilities; Insured: BAM) | AA/NR | 350,000 | 418,800 | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2015 (Redevelopment Project Area No. 1; Insured: AMBAC) | A+/NR | 1,015,000 | 1,015,132 |
12 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
Rosemead Community Development Commission, 5.00% due 10/1/2016 (Redevelopment Project Area No. 1; Insured: AMBAC) | A+/NR | $ | 700,000 | $ | 730,128 | |||||
Roseville Natural Gas Financing Authority, 5.00% due 2/15/2017 | A-/Baa1 | 1,390,000 | 1,456,331 | |||||||
Sacramento City Financing Authority, 0% due 11/1/2016 (Merged Downtown Sacramento, Alkali Flat, Del Paso Heights and Oak Park Redevelopment Project Areas; Insured: Nat’l-Re) | AA-/A3 | 3,200,000 | 3,170,016 | |||||||
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2021 (Sacramento City USD Educational Facility Sublease; Insured: BAM) | AA/NR | 830,000 | 961,323 | |||||||
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2022 (Sacramento City USD Educational Facility Sublease; Insured: BAM) | AA/NR | 775,000 | 907,564 | |||||||
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2023 (Sacramento City USD Educational Facility Sublease; Insured: BAM) | AA/NR | 815,000 | 963,110 | |||||||
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2024 (Sacramento City USD Educational Facility Sublease; Insured: BAM) | AA/NR | 765,000 | 912,913 | |||||||
Sacramento City Schools Joint Power Financing Authority, 5.00% due 3/1/2025 (Sacramento City USD Educational Facility Sublease; Insured: BAM) | AA/NR | 2,175,000 | 2,577,397 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2018 (Educational Facilities Improvements; Insured: AGM) | AA/NR | 360,000 | 401,080 | |||||||
Sacramento City USD GO, 4.00% due 7/1/2019 (Educational Facilities Improvements) | A+/A1 | 5,455,000 | 6,030,721 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2019 (Educational Facilities Improvements; Insured: AGM) | AA/NR | 635,000 | 727,558 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2020 (Educational Facilities Improvements; Insured: AGM) | AA/NR | 500,000 | 584,995 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements; Insured: AGM) | AA/NR | 400,000 | 475,308 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2021 (Educational Facilities Improvements) | A+/A1 | 3,600,000 | 4,256,064 | |||||||
Sacramento City USD GO, 5.00% due 7/1/2022 (Educational Facilities Improvements; Insured: AGM) | AA/NR | 700,000 | 844,053 | |||||||
Sacramento Cogeneration Authority, 5.00% due 7/1/2019 (Procter & Gamble Project) | AA-/Aa3 | 625,000 | 713,119 | |||||||
Sacramento Municipal Utility District, 5.00% due 7/1/2020 pre-refunded 7/1/2016 (Cosumnes Project; Insured: Natl-Re) | NR/A3 | 3,000,000 | 3,108,960 | |||||||
Salinas Valley Solid Waste Authority, 5.00% due 8/1/2023 (Insured: AGM) (AMT) | AA/A2 | 1,530,000 | 1,778,656 | |||||||
San Diego Redevelopment Agency, 5.00% due 9/1/2018 (Centre City Redevelopment; Insured: AMBAC) | NR/A2 | 3,215,000 | 3,303,059 | |||||||
San Diego Redevelopment Agency, 0% due 9/1/2019 (Centre City Redevelopment; Insured: AGM) | AA/A2 | 1,910,000 | 1,782,737 | |||||||
San Diego Redevelopment Agency, 5.80% due 11/1/2021 (Horton Plaza) | A-/Baa1 | 2,635,000 | 2,643,116 | |||||||
San Diego USD GO, 5.50% due 7/1/2020 (Educational System Capital Projects; Insured: Natl-Re) | AA-/Aa3 | 1,390,000 | 1,658,214 | |||||||
San Diego USD GO, 5.00% due 7/1/2023 (Educational System Capital Projects) | AA-/Aa3 | 5,000,000 | 6,140,800 | |||||||
San Diego USD GO, 5.00% due 7/1/2024 (Educational System Capital Projects) | AA-/Aa3 | 3,000,000 | 3,659,820 | |||||||
San Francisco City and County Airports Commission, 5.00% due 5/1/2024 (San Francisco International Airport; Insured: Natl-Re) | AA-/A1 | 5,000,000 | 5,134,500 | |||||||
San Francisco City and County Redevelopment Agency, 5.00% due 8/1/2019 (San Francisco Redevelopment Projects) | A+/NR | 2,050,000 | 2,344,749 | |||||||
San Francisco City and County Redevelopment Agency, 5.00% due 8/1/2020 (San Francisco Redevelopment Projects) | A+/NR | 1,685,000 | 1,965,586 | |||||||
San Francisco City and County Redevelopment Agency, 5.00% due 8/1/2021 (San Francisco Redevelopment Projects) | A+/NR | 1,000,000 | 1,182,900 | |||||||
San Joaquin Delta Community College District GO, 0% due 8/1/2019 (Insured: AGM) | AA/Aa2 | 5,000,000 | 4,597,150 | |||||||
San Juan USD GO, 1.00% due 8/1/2016 (Educational Facilities) | NR/Aa2 | 3,000,000 | 3,019,200 | |||||||
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2017 (Maple Street Correctional Center) | AA+/Aa2 | 750,000 | 807,937 | |||||||
San Mateo County Joint Powers Financing Authority, 5.00% due 7/15/2018 (County Capital Projects) | AA+/Aa2 | 800,000 | 887,424 | |||||||
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2021 (Maple Street Correctional Center) | AA+/Aa2 | 410,000 | 488,039 | |||||||
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2022 (Maple Street Correctional Center) | AA+/Aa2 | 1,000,000 | 1,208,500 | |||||||
San Mateo County Joint Powers Financing Authority, 5.00% due 6/15/2023 (Maple Street Correctional Center) | AA+/Aa2 | 585,000 | 713,987 | |||||||
San Mateo Union High School District GO, 0% due 9/1/2019 (Educational Facilities; Insured: Natl-Re) | AA+/Aa1 | 2,000,000 | 1,904,140 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) (ETM) | AA-/A3 | 1,000,000 | 1,150,150 | |||||||
Santa Ana Financing Authority, 6.25% due 7/1/2018 (Police Administration & Holding Facility; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,130,490 | |||||||
Santa Ana USD GO, 0% due 8/1/2020 (Insured: Natl-Re) | AA-/A3 | 2,035,000 | 1,859,217 | |||||||
Santa Clara County Financing Authority, 4.00% due 5/15/2017 (Multiple Facilities Projects) | AA+/A1 | 1,000,000 | 1,054,410 | |||||||
Santa Clara County Financing Authority, 5.00% due 5/15/2025 (Multiple Facilities Projects) | AA+/NR | 6,755,000 | 8,343,303 | |||||||
Semitropic Water Storage Improvement District, 5.00% due 12/1/2022 (Irrigation Water System; Insured: AGM) | AA/A2 | 400,000 | 475,720 | |||||||
Semitropic Water Storage Improvement District, 5.00% due 12/1/2023 (Irrigation Water System; Insured: AGM) | AA/A2 | 500,000 | 598,770 | |||||||
Semitropic Water Storage Improvement District, 5.00% due 12/1/2024 (Irrigation Water System; Insured: AGM) | AA/A2 | 500,000 | 604,955 | |||||||
Semitropic Water Storage Improvement District, 5.00% due 12/1/2025 (Irrigation Water System; Insured: AGM) | AA/A2 | 1,110,000 | 1,354,156 | |||||||
Solano County COP, 5.00% due 11/15/2016 (Health & Social Services Headquarters) | AA-/A1 | 1,000,000 | 1,049,570 | |||||||
South San Francisco USD GO, 4.00% due 6/15/2018 (Educational Facilities) | SP-1+/NR | 5,000,000 | 5,415,000 | |||||||
Southeast Resource Recovery Facilities Authority, 5.25% due 12/1/2017 (Insured: AMBAC) | A+/A2 | 1,000,000 | 1,004,160 | |||||||
Southeast Resource Recovery Facilities Authority, 5.375% due 12/1/2018 (Insured: AMBAC) (AMT) | A+/A2 | 2,000,000 | 2,008,540 | |||||||
Southern California Public Power Authority, 5.00% due 7/1/2016 (Southern Transmission Project) | AA-/NR | 2,000,000 | 2,072,480 | |||||||
State of California Department of Water Resources, 5.00% due 12/1/2016 (Central Valley Project Water System) | AAA/Aa1 | 1,000,000 | 1,055,550 | |||||||
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM) | AA+/Aaa | 2,330,000 | 2,598,602 | |||||||
State of California Economic Recovery GO, 5.00% due 7/1/2018 (ETM) | AA+/Aaa | 670,000 | 747,238 | |||||||
State of California GO, 4.00% due 8/1/2016 (Various Capital Projects) | AA-/Aa3 | 500,000 | 515,770 | |||||||
State of California GO, 5.00% due 3/1/2017 (Various Capital Projects; Insured: Syncora) pre-refunded 3/1/2016 | AA-/Aa3 | 2,860,000 | 2,918,315 | |||||||
State of California GO, 4.75% due 9/1/2018 (Various Capital Projects; Insured: AGM) | AA/Aa3 | 220,000 | 224,178 | |||||||
State of California GO, 5.00% due 9/1/2020 (Various Capital Projects) | AA-/Aa3 | 2,000,000 | 2,354,980 |
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
State of California GO, 0.01% due 5/1/2033 put 10/1/2015 (Kindergarten-University Facilities; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | $ | 250,000 | $ | 250,000 | |||||
State of California GO, 0.01% due 5/1/2034 put 10/1/2015 (Kindergarten-University Facilities; LOC: Citibank N.A.) (daily demand notes) | AAA/Aa1 | 450,000 | 450,000 | |||||||
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2021 (Downtown Area No. 1 and No. 2, Cooley Ranch, Santa Ana River, West Valley, Mount Vernon Corridor, Rancho/Mill; Insured: BAM) | AA/NR | 940,000 | 1,090,287 | |||||||
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2023 (Downtown Area No. 1 and No. 2, Cooley Ranch, Santa Ana River, West Valley, Mount Vernon Corridor, Rancho/Mill; Insured: BAM) | AA/NR | 925,000 | 1,090,482 | |||||||
Successor Agency to the City Colton Redevelopment Agency, 5.00% due 8/1/2025 (Downtown Area No. 1 and No. 2, Cooley Ranch, Santa Ana River, West Valey, Mount Vernon Corridor, Rancho/Mill; Insured: BAM) | AA/NR | 950,000 | 1,134,670 | |||||||
Successor Agency to the City of Riverside Redevelopment Agency, 5.00% due 9/1/2023 | AA-/NR | 1,735,000 | 2,090,935 | |||||||
Successor Agency to the City of Riverside Redevelopment Agency, 5.00% due 9/1/2024 | AA-/NR | 1,250,000 | 1,522,975 | |||||||
b Successor Agency to the City of Sacramento Redevelopment Agency, 2.00% due 12/1/2016 (Redevelopment Project) | A/NR | 1,000,000 | 1,016,300 | |||||||
b Successor Agency to the City of Sacramento Redevelopment Agency, 3.00% due 12/1/2017 (Redevelopment Project) | A/NR | 1,315,000 | 1,371,624 | |||||||
Successor Agency to the Poway Redevelopment Agency, 5.00% due 6/15/2025 (Paguay Redevelopment Project) | AA-/NR | 4,665,000 | 5,707,254 | |||||||
Successor Agency to the Rancho Cucamonga Redevelopment Project, 5.00% due 9/1/2023 (Insured: AGM) | AA/NR | 1,000,000 | 1,215,150 | |||||||
Successor Agency to the Rancho Cucamonga Redevelopment Project, 5.00% due 9/1/2024 (Insured: AGM) | AA/NR | 2,000,000 | 2,456,680 | |||||||
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2022 (Insured: BAM) | AA/NR | 400,000 | 471,232 | |||||||
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2023 (Insured: BAM) | AA/NR | 400,000 | 471,956 | |||||||
Successor Agency to the Richmond County Redevelopment Agency, 5.00% due 9/1/2024 (Insured: BAM) | AA/NR | 450,000 | 531,797 | |||||||
Temecula Valley USD Financing Authority, 3.00% due 9/1/2016 (Educational Facilities; Insured: BAM) | AA/NR | 580,000 | 593,856 | |||||||
Temecula Valley USD Financing Authority, 4.00% due 9/1/2017 (Educational Facilities; Insured: BAM) | AA/NR | 400,000 | 424,640 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2018 (Educational Facilities; Insured: BAM) | AA/NR | 325,000 | 362,005 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2019 (Educational Facilities; Insured: BAM) | AA/NR | 375,000 | 428,408 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2020 (Educational Facilities; Insured: BAM) | AA/NR | 400,000 | 464,696 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2021 (Educational Facilities; Insured: BAM) | AA/NR | 515,000 | 607,551 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2022 (Educational Facilities; Insured: BAM) | AA/NR | 275,000 | 327,080 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2023 (Educational Facilities; Insured: BAM) | AA/NR | 300,000 | 359,373 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2024 (Educational Facilities; Insured: BAM) | AA/NR | 300,000 | 362,463 | |||||||
Temecula Valley USD Financing Authority, 5.00% due 9/1/2025 (Educational Facilities; Insured: BAM) | AA/NR | 300,000 | 359,802 | |||||||
Tuolumne Wind Project Authority, 5.00% due 1/1/2018 | AA-/A2 | 1,690,000 | 1,845,345 | |||||||
Turlock Irrigation District, 5.00% due 1/1/2019 | AA-/A2 | 1,000,000 | 1,127,000 | |||||||
Ukiah USD GO, 0% due 8/1/2019 (Insured: Natl-Re) | AA-/A1 | 2,000,000 | 1,891,800 | |||||||
Upper Lake Union High School District GO, 0% due 8/1/2020 (Insured: Natl-Re) | NR/A3 | 1,050,000 | 881,170 | |||||||
Ventura County Public Financing Authority, 5.00% due 11/1/2023 (Office Building Purchase and Improvements) | AA+/Aa3 | 500,000 | 602,215 | |||||||
Ventura County Public Financing Authority, 5.00% due 11/1/2024 (Office Building Purchase and Improvements) | AA+/Aa3 | 1,060,000 | 1,276,547 | |||||||
Virgin Islands Public Finance Authority, 5.00% due 10/1/2017 | BBB-/Baa2 | 1,440,000 | 1,525,997 | |||||||
Vista Redevelopment Agency, 5.00% due 9/1/2019 (Vista Redevelopment Project; Insured: AGM) | AA/NR | 300,000 | 342,435 | |||||||
Vista Redevelopment Agency, 5.00% due 9/1/2020 (Vista Redevelopment Project; Insured: AGM) | AA/NR | 275,000 | 319,432 | |||||||
Vista Redevelopment Agency, 5.00% due 9/1/2021 (Vista Redevelopment Project; Insured: AGM) | AA/NR | 265,000 | 312,679 | |||||||
Vista Redevelopment Agency, 5.00% due 9/1/2022 (Vista Redevelopment Project; Insured: AGM) | AA/NR | 335,000 | 399,156 | |||||||
Vista Redevelopment Agency, 5.00% due 9/1/2023 (Vista Redevelopment Project; Insured: AGM) | AA/NR | 400,000 | 480,016 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2016 (City of Walnut Improvement Plan; Insured: BAM) | AA/NR | 500,000 | 507,145 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2017 (City of Walnut Improvement Plan; Insured: BAM) | AA/NR | 1,000,000 | 1,042,810 | |||||||
Walnut Improvement Agency, 4.00% due 3/1/2018 (City of Walnut Improvement Plan; Insured: BAM) | AA/NR | 1,000,000 | 1,066,170 | |||||||
Walnut Improvement Agency, 5.00% due 3/1/2019 (City of Walnut Improvement Plan; Insured: BAM) | AA/NR | 400,000 | 447,496 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2017 (West Sacramento High School; Insured: AMBAC) | A/NR | 725,000 | 783,870 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2021 (West Sacramento High School; Insured: AMBAC) | A/NR | 910,000 | 968,622 | |||||||
Washington USD Yolo County COP, 5.00% due 8/1/2022 (West Sacramento High School; Insured: AMBAC) | A/NR | 2,010,000 | 2,139,484 | |||||||
Westminster Redevelopment Agency, 5.00% due 8/1/2024 (Commercial Redevelopment Project No. 1; Insured: AGM) | AA/A2 | 1,205,000 | 1,317,884 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.10% (Cost $588,481,985) | $ | 611,310,302 | ||||||||
OTHER ASSETS LESS LIABILITIES — 4.90% | 31,806,968 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 643,117,270 | ||||||||
|
|
14 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
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 | |
BAM | Insured by Build America Mutual Insurance Co. | |
CIFG | Insured by CIFG Assurance North America Inc. | |
COP | Certificates of Participation | |
ETM | Escrowed to Maturity |
FHA | Insured by Federal Housing Administration | |
GO | General Obligation | |
HFFA | Health Facilities Financing Authority | |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
Syncora | Insured by Syncora Guarantee Inc. | |
USD | Unified School District |
See notes to financial statements.
Annual Report 15
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $588,481,985) (Note 2) | $ | 611,310,302 | ||
Cash | 18,796,588 | |||
Receivable for investments sold | 9,208,278 | |||
Receivable for fund shares sold | 1,899,652 | |||
Interest receivable | 5,393,613 | |||
Prepaid expenses and other assets | 105 | |||
|
| |||
Total Assets | 646,608,538 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 2,384,672 | |||
Payable for fund shares redeemed | 463,130 | |||
Payable to investment advisor and other affiliates (Note 3) | 353,943 | |||
Accounts payable and accrued expenses | 77,396 | |||
Dividends payable | 212,127 | |||
|
| |||
Total Liabilities | 3,491,268 | |||
|
| |||
NET ASSETS | $ | 643,117,270 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 2,404 | ||
Net unrealized appreciation on investments | 22,828,317 | |||
Accumulated net realized gain (loss) | (206,139 | ) | ||
Net capital paid in on shares of beneficial interest | 620,492,688 | |||
|
| |||
$ | 643,117,270 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($171,344,158 applicable to 12,381,789 shares of beneficial interest outstanding - Note 4) | $ | 13.84 | ||
Maximum sales charge, 1.50% of offering price | 0.21 | |||
|
| |||
Maximum offering price per share | $ | 14.05 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($64,215,640 applicable to 4,636,565 shares of beneficial interest outstanding - Note 4) | $ | 13.85 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($407,557,472 applicable to 29,422,682 shares of beneficial interest outstanding - Note 4) | $ | 13.85 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
16 Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg California Limited Term Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $7,293,603) | $ | 14,496,014 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 2,987,018 | |||
Administration fees (Note 3) | ||||
Class A Shares | 210,260 | |||
Class C Shares | 80,129 | |||
Class I Shares | 194,722 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 420,520 | |||
Class C Shares | 320,933 | |||
Transfer agent fees | ||||
Class A Shares | 92,111 | |||
Class C Shares | 28,620 | |||
Class I Shares | 244,041 | |||
Custodian fees (Note 3) | 87,831 | |||
Professional fees | 50,619 | |||
Accounting fees (Note 3) | 21,103 | |||
Trustee fees | 23,574 | |||
Other expenses | 33,521 | |||
|
| |||
Total Expenses | 4,795,002 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (3,452 | ) | ||
|
| |||
Net Expenses | 4,791,550 | |||
|
| |||
Net Investment Income | 9,704,464 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (102,451 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | 94,220 | |||
|
| |||
Net Realized and Unrealized Loss | (8,231 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 9,696,233 | ||
|
|
See notes to financial statements.
Annual Report 17
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg California Limited Term Municipal Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 9,704,464 | $ | 9,465,710 | ||||
Net realized gain (loss) on investments | (102,451 | ) | (13,106 | ) | ||||
Net unrealized appreciation (depreciation) on investments | 94,220 | 11,340,158 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,696,233 | 20,792,762 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (2,333,303 | ) | (2,723,413 | ) | ||||
Class C Shares | (735,680 | ) | (844,479 | ) | ||||
Class I Shares | (6,635,481 | ) | (5,897,818 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 11,239,731 | (2,493,202 | ) | |||||
Class C Shares | 1,372,807 | 1,968,650 | ||||||
Class I Shares | 46,488,377 | 99,709,790 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 59,092,684 | 110,512,290 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 584,024,586 | 473,512,296 | ||||||
|
|
|
| |||||
End of Year | $ | 643,117,270 | $ | 584,024,586 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 2,404 | $ | 2,404 |
See notes to financial statements.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
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 twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to longer intermediate and long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class C, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 611,310,302 | $ | — | $ | 611,310,302 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 611,310,302 | $ | — | $ | 611,310,302 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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 pay-
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
ment 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $21,103 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $3,583 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $7,299 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, 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 year ended September 30, 2015, fees paid indirectly were $3,452.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,968,706 | $ | 41,089,831 | 4,298,157 | $ | 58,771,859 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 142,066 | 1,965,359 | 166,312 | 2,280,039 | ||||||||||||
Shares repurchased | (2,302,492 | ) | (31,815,459 | ) | (4,639,726 | ) | (63,545,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 808,280 | $ | 11,239,731 | (175,257 | ) | $ | (2,493,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 839,501 | $ | 11,635,591 | 987,026 | $ | 13,537,477 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 41,674 | 576,985 | 47,999 | 658,735 | ||||||||||||
Shares repurchased | (783,398 | ) | (10,839,769 | ) | (893,839 | ) | (12,227,562 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 97,777 | $ | 1,372,807 | 141,186 | $ | 1,968,650 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 11,038,248 | $ | 152,815,141 | 12,907,105 | $ | 177,105,776 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 340,247 | 4,711,496 | 288,996 | 3,969,249 | ||||||||||||
Shares repurchased | (8,019,859 | ) | (111,038,260 | ) | (5,939,982 | ) | (81,365,235 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,358,636 | $ | 46,488,377 | 7,256,119 | $ | 99,709,790 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $131,691,325 and $75,845,402, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 588,481,985 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 22,973,738 | ||
Gross unrealized depreciation on a tax basis | (145,421 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 22,828,317 | ||
|
|
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $103,776. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $102,362, (of which $34,205 are short-term and $68,157 are long-term) generated after September 30, 2011, 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.
At September 30, 2015, the Fund had $214,531 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 |
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 9,704,450 | $ | 9,465,697 | ||||
Ordinary income | 14 | 13 | ||||||
|
|
|
| |||||
Total | $ | 9,704,464 | $ | 9,465,710 | ||||
|
|
|
|
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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 23
Thornburg California Limited Term Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends | Total Dividends | Net Asset Value End of Year | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total | Portfolio (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||
CLASS A SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 13.84 | 0.19 | — | (c) | 0.19 | (0.19 | ) | — | (0.19 | ) | $ | 13.84 | 1.39 | 0.94 | 0.94 | 0.94 | 1.40 | 14.43 | $ | 171,344 | |||||||||||||||||||||||||||||||
2014(b) | $ | 13.54 | 0.23 | 0.30 | 0.53 | (0.23 | ) | — | (0.23 | ) | $ | 13.84 | 1.67 | 0.95 | 0.94 | 0.95 | 3.93 | 16.85 | $ | 160,151 | ||||||||||||||||||||||||||||||||
2013(b) | $ | 13.75 | 0.24 | (0.20 | ) | 0.04 | (0.24 | ) | (0.01) | (0.25 | ) | $ | 13.54 | 1.75 | 0.94 | 0.94 | 0.94 | 0.28 | 17.57 | $ | 159,058 | |||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||
CLASS C SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.85 | 0.16 | — | (c) | 0.16 | (0.16 | ) | — | (0.16 | ) | $ | 13.85 | 1.15 | 1.18 | 1.18 | 1.18 | 1.15 | 14.43 | $ | 64,216 | |||||||||||||||||||||||||||||||
2014 | $ | 13.55 | 0.19 | 0.30 | 0.49 | (0.19 | ) | — | (0.19 | ) | $ | 13.85 | 1.41 | 1.21 | 1.20 | 1.21 | 3.66 | 16.85 | $ | 62,858 | ||||||||||||||||||||||||||||||||
2013 | $ | 13.76 | 0.20 | (0.20 | ) | — | (0.20 | ) | (0.01) | (0.21 | ) | $ | 13.55 | 1.48 | 1.21 | 1.21 | 1.21 | 0.02 | 17.57 | $ | 59,585 | |||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
CLASS I SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.85 | 0.24 | – | (c) | 0.24 | (0.24 | ) | — | (0.24 | ) | $ | 13.85 | 1.70 | 0.63 | 0.63 | 0.63 | 1.72 | 14.43 | $ | 407,557 | |||||||||||||||||||||||||||||||
2014 | $ | 13.55 | 0.27 | 0.30 | 0.57 | (0.27 | ) | — | (0.27 | ) | $ | 13.85 | 1.99 | 0.62 | 0.62 | 0.62 | 4.27 | 16.85 | $ | 361,015 | ||||||||||||||||||||||||||||||||
2013 | $ | 13.76 | 0.28 | (0.19 | ) | 0.09 | (0.29 | ) | (0.01) | (0.30 | ) | $ | 13.55 | 2.08 | 0.61 | 0.61 | 0.61 | 0.62 | 17.57 | $ | 254,869 | |||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Net realized and unrealized gain (loss) on investments was less than $0.01 per share. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
24 Annual Report | Annual Report 25 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg California Limited Term Municipal Fund
To the Trustees and Shareholders of
Thornburg California Limited Term Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg California Limited Term Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
26 Annual Report
EXPENSE EXAMPLE | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.70 | $ | 4.79 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.29 | $ | 4.83 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.50 | $ | 5.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.15 | $ | 5.98 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.20 | $ | 3.24 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.84 | $ | 3.27 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.95%; C: 1.18%; I: 0.64%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 27
TRUSTEES AND OFFICERS | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees (3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997 (5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52 (7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
28 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held BY Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013 (6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 29
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
30 Annual Report
OTHER INFORMATION | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $9,704,450 (or the maximum allowed) are tax exempt dividends, and $14 are being reported as taxable ordinary investment income dividends for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg California Limited Term Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 31
OTHER INFORMATION, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the securities index and the average return for the fund category considered, that the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the index in seven of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in all nine years. Noted quantitative data showed that the Fund’s annualized investment returns fell in the first quartile of investment performance of the first of two fund categories for the one-year period ended with the second quarter of the current year and fell in the top decile of performance for the three-year, five-year and ten-year periods, and that the Fund’s annualized investment returns fell in the top quartile of performance of the second fund category for the three-year period ended with the second quarter and fell in the top decile of performance for the one-year, five-year and ten-year periods ended with the second quarter. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee was comparable to the median fee level and slightly higher than the average fee level for the fund category, that the level of total expense for a representative share class was slightly higher than the median and average levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Peer group data showed that the advisory fee level was comparable to the median of one peer group and higher than the median level of the second peer group, and that the total expense level of one representative share class was at the top of the range of levels for its peer group and the total expense level of the second representative share class was comparable to the median level of its peer group. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund,
32 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg California Limited Term Municipal Fund | September 30, 2015 (Unaudited) |
and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 33
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
34 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-Up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 35
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH859 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg New Mexico Intermediate Municipal Fund
Annual Report | September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class A | THNMX | 885-215-301 | ||
Class D | THNDX | 885-215-624 | ||
Class I | THNIX | 885-215-285 |
Minimum investments for Class I shares may be higher than those for other classes. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg New Mexico Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by five cents to $13.55 for the fiscal year ended September 30, 2015. If you were with us for the entire period, you received dividends of 34.0 cents per share. If you reinvested your dividends, you received 34.3 cents per share. Dividends 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 2.15% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 2.60% total return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index. The Fund generated 1.28% more price return and 1.73% less income than the index.
The drivers of the Fund’s price return relative to its benchmark are as follows: Our interest-rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve added 0.09% of relative price performance. Our sector allocations added 0.17% of relative price performance, and our overweight to lower credit-quality securities subtracted 0.04% of relative price performance compared to its benchmark. Other risk factors and accounting differences added up to another 1.06% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates, and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds
(as of September 30, 2015)
Source: Bloomberg.
Past performance is no guarantee of future results.
4 Annual Report
LETTER TO SHAREHOLDERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
New Mexico in particular has been doing quite well; total tax revenues are up almost 6.9% from the second quarter of 2014 to the second quarter of 2015. Employment is up 1.7%, personal income is higher by 3.8%, and home prices are higher by 2.5% for the same period.
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Table I | Status of Select Municipal Bankruptcy Cases
Entity | Bankruptcy Proceedings | Pension Recovery | Bondholder Recovery | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best – provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
![]() | ![]() | ![]() | ||
Christopher Ryon,CFA | Josh Gonze | Nicholos Venditti | ||
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
A Shares (Incep: 6/18/91) | ||||||||||||||||||||
Without sales charge | 2.15 | % | 1.75 | % | 2.59 | % | 3.49 | % | 4.54 | % | ||||||||||
With sales charge | 0.09 | % | 1.08 | % | 2.18 | % | 3.28 | % | 4.46 | % | ||||||||||
D Shares (Incep: 6/1/99) | 1.84 | % | 1.48 | % | 2.34 | % | 3.21 | % | 3.44 | % | ||||||||||
I Shares (Incep: 2/1/07) | 2.48 | % | 2.06 | % | 2.93 | % | — | 3.94 | % |
30-Day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 2.15 | % | ||
SEC Yield | 0.82 | % |
Growth of a Hypothetical $10,000 Investment
Final Value | ||||||
Thornburg New Mexico Intermediate Municipal Fund, A Shares (with sales charge) | $ | 13,804 | ||||
BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index | $ | 15,902 | ||||
Consumer Price Index | $ | 11,969 |
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. There is no sales charge for Class D and Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 0.97%; D shares, 1.23%; I shares, 0.64%.
Glossary
BofA Merrill Lynch 3-15 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 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. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
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 taxes as is consistent, in the view of the investment advisor, with preservation of capital.
The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.
This Fund offers New Mexico investors double tax-free yields (may be subject to Alternative Minimum Tax) in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally three to ten years. Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Key Portfolio Attributes
Number of Bonds | 138 | |||
Effective Duration | 4.9 Yrs | |||
Average Maturity | 8.2 Yrs |
Long Term Stability of Principal
Net Asset Value History of A Shares
Security 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Portfolio Ladder
Percent of portfolio maturing in each year. Cash includes cash equivalents.
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
MUNICIPAL BONDS — 88.27% | ||||||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2021 pre-refunded 7/1/2019 (New Mexico Utilities, Inc. Water System) | AA+/Aa2 | $ | 1,760,000 | $ | 2,015,130 | |||||
Albuquerque Bernalillo County Water Utility Authority, 5.50% due 7/1/2025 pre-refunded 7/1/2019 (New Mexico Utilities, Inc. Water System) | AA+/Aa2 | 1,000,000 | 1,163,310 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 pre-refunded 7/1/2018 (San Juan-Chama Drinking Water Project) | AA+/Aa2 | 1,420,000 | 1,582,036 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 (2005 NMFA Loan and Joint Water and Sewer System Improvements) | AA+/Aa2 | 2,000,000 | 2,417,940 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2026 pre-refunded 7/1/2016 (San Juan-Chama Drinking Water Project; Insured: AMBAC) | AA+/Aa2 | 500,000 | 517,695 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2031 (2007 NMFA Loan and Joint Water and Sewer System Improvements) | AA+/Aa2 | 500,000 | 592,820 | |||||||
Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2032 (2007 NMFA Loan and Joint Water and Sewer System Improvements) | AA+/Aa2 | 1,000,000 | 1,180,030 | |||||||
a Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2016 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 3,700,000 | 3,846,927 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2017 pre-refunded 8/1/2016 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 345,000 | 358,621 | |||||||
Albuquerque Municipal School District No. 12 GO, 5.00% due 8/1/2019 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 3,585,000 | 4,110,633 | |||||||
Albuquerque Municipal School District No. 12 GO, 4.00% due 8/1/2029 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) | AA/Aa1 | 1,300,000 | 1,400,503 | |||||||
Bernalillo County, 5.00% due 4/1/2021 (Government Services; Insured: Natl-Re) | AAA/Aa2 | 3,000,000 | 3,314,040 | |||||||
Bernalillo County, 5.25% due 10/1/2022 (Government Services; Insured: AMBAC) | AAA/Aa2 | 3,170,000 | 3,885,944 | |||||||
Bernalillo County, 5.25% due 10/1/2023 (Government Services; Insured: AMBAC) | AAA/Aa2 | 1,275,000 | 1,577,902 | |||||||
Bernalillo County, 5.25% due 10/1/2025 (Government Services; Insured: AMBAC) | AAA/Aa2 | 3,850,000 | 4,815,734 | |||||||
Bernalillo County, 5.25% due 4/1/2027 (Government Services) | AAA/Aa2 | 300,000 | 353,493 | |||||||
Bernalillo County, 5.70% due 4/1/2027 (Government Services) | AAA/Aa2 | 3,000,000 | 3,651,720 | |||||||
Bernalillo County, 5.70% due 4/1/2027 (Government Services; Insured: Natl-Re) | AAA/Aa2 | 815,000 | 992,051 | |||||||
Bernalillo County GO, 4.00% due 8/15/2019 (Capital Improvements) | AAA/Aaa | 1,505,000 | 1,672,100 | |||||||
Central New Mexico Community College GO, 5.00% due 8/15/2020 (Campus Buildings Acquisition & Improvements) | AA+/Aa1 | 1,375,000 | 1,612,641 | |||||||
Central New Mexico Community College GO, 5.00% due 8/15/2021 (Campus Buildings Acquisition & Improvements) | AA+/Aa1 | 1,435,000 | 1,712,816 | |||||||
Central New Mexico Community College GO, 5.00% due 8/15/2022 (Campus Buildings Acquisition & Improvements) | AA+/Aa1 | 1,100,000 | 1,331,121 | |||||||
Central New Mexico Community College GO, 4.00% due 8/15/2023 (Campus Buildings Acquisition & Improvements) | AA+/Aa1 | 1,920,000 | 2,125,690 | |||||||
Cibola County, 3.00% due 6/1/2016 (County Building Improvements) | NR/A2 | 185,000 | 188,295 | |||||||
b Cibola County, 3.00% due 6/1/2016 (County Building Improvements) | NR/NR | 245,000 | 249,363 | |||||||
Cibola County, 5.00% due 6/1/2025 (County Building Improvements) | NR/A2 | 360,000 | 429,520 | |||||||
Cibola County, 5.00% due 6/1/2025 (County Building Improvements) | NR/NR | 355,000 | 423,554 | |||||||
City of Albuquerque, 5.00% due 7/1/2021 (Lodgers’ Tax Obligations Surplus Fund) | AAA/Aa2 | 1,340,000 | 1,510,234 | |||||||
City of Albuquerque, 5.00% due 7/1/2021 (Lodgers’ Tax Obligations Surplus Fund) | AAA/Aa2 | 3,000,000 | 3,381,120 | |||||||
City of Albuquerque, 5.00% due 7/1/2025 (I-25/Paseo del Norte Interchange) | AAA/Aa2 | 540,000 | 644,458 | |||||||
City of Albuquerque, 5.00% due 7/1/2027 (I-25/Paseo del Norte Interchange) | AAA/Aa2 | 555,000 | 650,937 | |||||||
City of Albuquerque, 5.00% due 7/1/2033 (City Infrastructure Improvements) | AAA/Aa2 | 1,100,000 | 1,289,860 | |||||||
City of Albuquerque, 5.00% due 7/1/2034 (City Infrastructure Improvements) | AAA/Aa2 | 1,200,000 | 1,401,576 | |||||||
a City of Albuquerque GO, 4.00% due 7/1/2016 (City Infrastructure Improvements) | AAA/Aa1 | 275,000 | 282,876 | |||||||
City of Farmington, 5.00% due 6/1/2017 (San Juan Regional Medical Center) | NR/A3 | 1,035,000 | 1,086,025 | |||||||
City of Farmington, 5.125% due 6/1/2018 (San Juan Regional Medical Center) | NR/A3 | 570,000 | 572,206 | |||||||
City of Farmington, 5.125% due 6/1/2019 (San Juan Regional Medical Center) | NR/A3 | 645,000 | 647,348 | |||||||
City of Farmington, 5.00% due 6/1/2022 (San Juan Regional Medical Center) | NR/A3 | 2,825,000 | 2,985,121 | |||||||
City of Farmington, 4.70% due 5/1/2024 (Arizona Public Service Co.-Four Corners Project) | A-/A2 | 965,000 | 1,064,665 | |||||||
b City of Farmington, 4.70% due 9/1/2024 (Arizona Public Service Co.-Four Corners Project) | A-/A2 | 4,000,000 | 4,406,320 | |||||||
City of Farmington, 1.875% due 4/1/2029 (Southern California Edison Co.-Four Corners Project) | A/Aa3 | 3,000,000 | 3,008,400 | |||||||
City of Gallup, 5.00% due 8/15/2017 (Tri-State Generation & Transmission Assoc., Inc. Project; Insured: AMBAC) | A/A3 | 3,540,000 | 3,551,470 | |||||||
City of Las Cruces, 4.00% due 6/1/2021 (Joint Utility System) | NR/Aa2 | 100,000 | 112,915 | |||||||
City of Las Cruces, 5.00% due 6/1/2021 (NMFA Loan) | NR/Aa3 | 730,000 | 836,368 | |||||||
City of Las Cruces, 4.00% due 6/1/2022 (Joint Utility System) | NR/Aa2 | 670,000 | 760,470 | |||||||
City of Las Cruces, 5.00% due 6/1/2022 (NMFA Loan) | NR/Aa3 | 765,000 | 876,491 | |||||||
City of Las Cruces, 4.00% due 6/1/2023 (Joint Utility System) | NR/Aa2 | 695,000 | 792,314 | |||||||
City of Las Cruces, 5.00% due 6/1/2023 (NMFA Loan) | NR/Aa3 | 800,000 | 914,496 | |||||||
City of Las Cruces, 5.00% due 6/1/2024 (NMFA Loan) | NR/Aa3 | 840,000 | 957,793 | |||||||
City of Las Cruces, 4.00% due 6/1/2025 (Joint Utility System) | NR/Aa2 | 750,000 | 860,722 | |||||||
City of Las Cruces, 5.00% due 6/1/2030 (NMFA Loan) | NR/Aa3 | 2,000,000 | 2,263,060 | |||||||
City of Las Cruces, 5.00% due 6/1/2037 (NMFA Loan) | NR/Aa3 | 5,000,000 | 5,620,450 | |||||||
City of Rio Rancho, 2.00% due 5/15/2016 (Water and Wastewater System) | AA-/Aa3 | 260,000 | 262,592 | |||||||
City of Rio Rancho, 2.00% due 5/15/2017 (Water and Wastewater System) | AA-/Aa3 | 100,000 | 102,029 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of Santa Fe, 4.50% due 5/15/2027 (El Castillo Retirement Residences) | BBB-/NR | $ | 3,275,000 | $ | 3,378,555 | |||||
City of Santa Fe, 5.00% due 5/15/2034 (El Castillo Retirement Residences) | BBB-/NR | 1,465,000 | 1,498,900 | |||||||
City of Santa Fe GRT, 4.00% due 6/1/2017 (Public Facility Capital Projects) | AA+/NR | 100,000 | 105,670 | |||||||
Colfax County, 5.00% due 9/1/2019 (Government Center Facility) | A-/NR | 465,000 | 509,226 | |||||||
Colfax County, 5.50% due 9/1/2029 (Government Center Facility) | A-/NR | 2,510,000 | 2,720,991 | |||||||
County of Los Alamos, 5.75% due 6/1/2016 (Public Facilities Projects) | AA+/A1 | 1,315,000 | 1,363,142 | |||||||
County of Los Alamos, 4.875% due 6/1/2018 (Public Facilities Projects) | AA+/A1 | 500,000 | 552,440 | |||||||
County of Los Alamos, 5.625% due 6/1/2023 pre-refunded 6/1/2018 (Public Facilities Projects) | AA+/A1 | 1,000,000 | 1,127,220 | |||||||
County of Los Alamos, 5.75% due 6/1/2024 pre-refunded 6/1/2018 (Public Facilities Projects) | AA+/A1 | 3,000,000 | 3,391,530 | |||||||
County of Los Alamos, 5.75% due 6/1/2025 pre-refunded 6/1/2018 (Public Facilities Projects) | AA+/A1 | 1,000,000 | 1,130,510 | |||||||
County of Taos, 3.00% due 4/1/2018 (County Educational Improvements; Insured: BAM) | AA/NR | 1,000,000 | 1,034,970 | |||||||
Farmington Municipal School District No. 5 GO, 5.00% due 9/1/2019 (Educational Facilities) (State Aid Withholding) | NR/Aa1 | 600,000 | 689,172 | |||||||
Grant County, 5.50% due 7/1/2020 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,565,000 | 1,741,767 | |||||||
Grant County, 5.50% due 7/1/2021 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,655,000 | 1,841,932 | |||||||
Grant County, 5.50% due 7/1/2022 (State Dept. of Health-Ft. Bayard Project) | AA/Aa1 | 1,745,000 | 1,942,098 | |||||||
Las Cruces School District No. 2 GO, 2.00% due 8/1/2018 (New Mexico SD Credit Enhancement Program) (State Aid Withholding) | NR/Aa1 | 630,000 | 650,040 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2016 (Student Loans) | NR/Aaa | 690,000 | 713,005 | |||||||
New Mexico Educational Assistance Foundation, 4.00% due 9/1/2017 (Student Loans) | NR/Aaa | 1,150,000 | 1,222,588 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2019 (Student Loans) | AAA/Aaa | 1,000,000 | 1,151,710 | |||||||
New Mexico Educational Assistance Foundation, 5.00% due 12/1/2022 (Student Loans) | AAA/Aaa | 3,000,000 | 3,427,800 | |||||||
New Mexico Finance Authority, 5.00% due 12/15/2017 (State Highway Infrastructure) | AA/Aa2 | 250,000 | 273,570 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2019 (UNM Health Sciences Center; Insured: Natl-Re) | NR/Aa2 | 1,215,000 | 1,219,836 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2020 (The Public Project Revolving Fund Program; Insured: AMBAC) | AAA/Aa1 | 365,000 | 376,574 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2022 (The Public Project Revolving Fund Program; Insured: Natl-Re) | AA+/Aa2 | 1,300,000 | 1,389,011 | |||||||
New Mexico Finance Authority, 5.00% due 6/1/2024 (The Public Project Revolving Fund Program) | AAA/Aa1 | 4,185,000 | 5,133,572 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2024 (The Public Project Revolving Fund Program; Insured: Natl-Re) | AA+/Aa2 | 7,000,000 | 7,479,290 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2026 (State Highway Infrastructure) | AA/Aa2 | 1,220,000 | 1,470,905 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2027 (State Highway Infrastructure) | AA/Aa2 | 1,195,000 | 1,427,643 | |||||||
New Mexico Finance Authority, 5.00% due 6/15/2031 (The Public Project Revolving Fund Program) | AA+/Aa2 | 1,000,000 | 1,182,110 | |||||||
New Mexico Hospital Equipment Loan Council, 6.00% due 8/1/2023 pre-refunded 8/1/2018 (Presbyterian Healthcare Services) | AA/Aa3 | 6,000,000 | 6,862,740 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2031 (Presbyterian Healthcare Services) | AA/Aa3 | 600,000 | 687,222 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 7/1/2032 (Haverland Carter Lifestyle Group) | NR/NR | 2,000,000 | 2,044,680 | |||||||
New Mexico Hospital Equipment Loan Council, 5.00% due 8/1/2039 (Presbyterian Healthcare Services) | AA/Aa3 | 3,000,000 | 3,274,920 | |||||||
New Mexico Housing Authority, 5.30% due 12/1/2022 (El Paseo Apartments; Insured: AMBAC) (AMT) | NR/NR | 665,000 | 665,466 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2020 | A+/A1 | 590,000 | 672,305 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2023 | A+/A1 | 685,000 | 769,187 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2024 | A+/A1 | 525,000 | 601,109 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2025 | A+/A1 | 505,000 | 573,695 | |||||||
New Mexico Institute of Mining and Technology, 5.00% due 7/1/2028 | A+/A1 | 1,500,000 | 1,672,890 | |||||||
New Mexico Mortgage Finance Authority, 5.25% due 7/1/2023 (HERO SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT) | AA+/NR | 410,000 | 429,155 | |||||||
New Mexico Mortgage Finance Authority, 5.375% due 7/1/2023 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT) | AA+/NR | 275,000 | 276,895 | |||||||
New Mexico Mortgage Finance Authority, 4.625% due 3/1/2028 (NIBP SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) | AA+/NR | 1,260,000 | 1,356,743 | |||||||
New Mexico Mortgage Finance Authority, 5.50% due 7/1/2028 (HERO SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT) | AA+/NR | 900,000 | 935,442 | |||||||
New Mexico Mortgage Finance Authority, 5.60% due 7/1/2028 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) (AMT) | AA+/NR | 245,000 | 255,670 | |||||||
New Mexico Mortgage Finance Authority, 5.40% due 9/1/2029 (Saver SFM Loan Program; Collateralized: GNMA/FNMA/ FHLMC) | AA+/NR | 480,000 | 509,678 | |||||||
Regents of the University of New Mexico, 6.00% due 6/1/2021 (Campus Buildings Acquisition & Improvements) | AA/Aa2 | 435,000 | 490,406 | |||||||
b San Juan County, 3.00% due 6/15/2016 (County Capital Improvements) | A+/A2 | 410,000 | 417,536 | |||||||
San Juan County, 4.00% due 6/15/2017 (County Capital Improvements) | A+/A2 | 500,000 | 527,315 | |||||||
San Juan County, 5.00% due 6/15/2028 (County Capital Improvements) | A+/A1 | 1,280,000 | 1,478,810 | |||||||
San Juan County, 5.00% due 6/15/2030 (County Capital Improvements) | A+/A1 | 1,365,000 | 1,555,950 | |||||||
Santa Fe County, 5.00% due 2/1/2018 (County Correctional System; Insured: AGM) | AA/A2 | 580,000 | 606,320 | |||||||
Santa Fe County, 5.00% due 6/1/2025 (County Courthouse and Other Public Facilities) | AA+/Aa2 | 1,400,000 | 1,541,652 | |||||||
Santa Fe County, 5.00% due 6/1/2026 (County Courthouse and Other Public Facilities) | AA+/Aa2 | 1,535,000 | 1,677,126 | |||||||
Santa Fe County, 6.00% due 2/1/2027 (County Correctional System; Insured: AGM) | AA/A2 | 1,520,000 | 1,850,098 | |||||||
Santa Fe County GO, 4.00% due 7/1/2019 pre-refunded 7/1/2016 (County Road and Water System Improvement Projects; Insured: Natl-Re) | NR/Aaa | 750,000 | 771,195 | |||||||
Santa Fe Public School District GO, 5.00% due 8/1/2022 (Santa Fe County School Facilities) (State Aid Withholding) | AA/Aa1 | 2,205,000 | 2,658,348 | |||||||
State of New Mexico, 5.00% due 7/1/2020 (Capital Improvements) | AA/Aa1 | 4,000,000 | 4,677,960 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† | Principal Amount | Value | |||||||
b State of New Mexico, 5.00% due 7/1/2022 (Capital Improvements) | AA/Aa1 | $ | 350,000 | $ | 397,607 | |||||
State of New Mexico, 5.00% due 7/1/2023 (Capital Improvements) | AA/Aa1 | 2,000,000 | 2,440,140 | |||||||
State of New Mexico, 5.00% due 7/1/2025 (Capital Improvements) | AA/Aa1 | 2,000,000 | 2,496,060 | |||||||
Taos Municipal School District No. 1 GO, 5.00% due 9/1/2016 (Educational Facilities) (State Aid Withholding) | NR/Aa1 | 200,000 | 208,692 | �� | ||||||
Taos Municipal School District No. 1 GO, 5.00% due 9/1/2021 (Educational Facilities) (State Aid Withholding) | NR/Aa1 | 520,000 | 619,460 | |||||||
a Town of Silver City, 2.00% due 12/1/2016 (Joint Utility System Improvement; Insured: BAM) | AA/NR | 125,000 | 127,078 | |||||||
a Town of Silver City, 2.00% due 12/1/2018 (Joint Utility System Improvement; Insured: BAM) | AA/NR | 260,000 | 267,004 | |||||||
a Town of Silver City, 2.00% due 12/1/2019 (Joint Utility System Improvement; Insured: BAM) | AA/NR | 265,000 | 272,009 | |||||||
Town of Silver City, 4.00% due 6/1/2029 (Public Facility Capital Projects) | A+/NR | 1,000,000 | 1,057,410 | |||||||
Town of Silver City, 4.25% due 6/1/2032 (Public Facility Capital Projects) | A+/NR | 1,050,000 | 1,110,616 | |||||||
Ventana West Public Improvement District, 6.625% due 8/1/2023 | NR/NR | 1,495,000 | 1,497,691 | |||||||
Village of Los Ranchos de Albuquerque, 4.50% due 9/1/2040 (Albuquerque Academy) | A/NR | 3,000,000 | 3,130,290 | |||||||
Zuni Public School District, 5.00% due 8/1/2028 (Teacher Housing Projects) | A/NR | 1,600,000 | 1,762,512 | |||||||
OTHER STATES — 8.23% | ||||||||||
Athens-Clarke County Unified Government Development Authority, 0.01% due 7/1/2035 put 10/1/2015 (University of Georgia Athletic Association; LOC: Wells Fargo Bank, N.A.) (daily demand notes) | NR/Aa1 | 100,000 | 100,000 | |||||||
California HFFA, 0.13% due 7/1/2020 put 10/7/2015 (Dignity Health; LOC: JPMorgan Chase Bank, N.A.) (weekly demand notes) | AAA/Aa1 | 100,000 | 100,000 | |||||||
City of Syracuse Industrial Development Agency, 0.01% due 12/1/2037 put 10/1/2015 (Syracuse University; LOC: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aa1 | 750,000 | 750,000 | |||||||
Connecticut Housing Finance Authority, 0.01% due 5/15/2039 put 10/1/2015 (Housing Mortgage Financing Program; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AAA/Aaa | 400,000 | 400,000 | |||||||
Geisinger Authority, 0.01% due 6/1/2041 put 10/1/2015 (Geisinger Health System; SPA: U.S. Bank, N.A.) (daily demand notes) | AA/Aa2 | 3,500,000 | 3,500,000 | |||||||
Grossmont Union High School District GO, 0.17% due 2/1/2017 put 10/7/2015 (Educational Facilities) (weekly demand notes) | A+/NR | 3,000,000 | 3,000,000 | |||||||
Government of Guam, 5.375% due 12/1/2024 (Layon Solid Waste Disposal Facility) | BBB+/NR | 2,000,000 | 2,218,500 | |||||||
Government of Guam, 5.00% due 11/15/2031 (Economic Development) | A/NR | 2,500,000 | 2,783,450 | |||||||
Government of Guam, 5.00% due 11/15/2033 (Economic Development) | A/NR | 2,500,000 | 2,765,600 | |||||||
Guam Power Authority, 5.00% due 10/1/2026 (Electric Power System; Insured: AGM) | AA/A2 | 2,000,000 | 2,351,320 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2033 put 10/1/2015 (Water & Sewer System; SPA: Bank of America, N.A.) (daily demand notes) | AA+/Aa2 | 400,000 | 400,000 | |||||||
Ohio Higher Educational Facility Commission, 0.01% due 1/1/2039 put 10/1/2015 (Cleveland Clinic Health System) (daily demand notes) | AA-/Aa2 | 4,000,000 | 4,000,000 | |||||||
Virgin Islands Public Finance Authority, 6.625% due 10/1/2029 | NR/Baa3 | 2,500,000 | 2,796,375 | |||||||
U.S. TREASURY SECURITIES — 2.42% | ||||||||||
United States Treasury Bill, 0.01% due 10/8/2015 | NR/NR | 5,500,000 | 5,499,980 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.92% (Cost $213,333,961) | $ | 224,402,029 | ||||||||
OTHER ASSETS LESS LIABILITIES — 1.08% | 2,448,366 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 226,850,395 | ||||||||
|
|
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’sratings from MIG-1 to MIG-4 and Standard and Poor’s ratings from SP-1+ to SP-3 with MIG-1 and SP-1+ being the strongest ratings. |
a | When-issued security. |
b | Segregated as collateral for a when-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
AGM | Insured by Assured Guaranty Municipal Corp. | |
AMBAC | Insured by American Municipal Bond Assurance Corp. | |
AMT | Alternative Minimum Tax | |
BAM | Insured by Build America Mutual Insurance Co. | |
FHLMC | Insured by Federal Home Loan Mortgage Corp. |
FNMA | Collateralized by Federal National Mortgage Association | |
GNMA | Collateralized by Government National Mortgage Association | |
GO | General Obligation | |
HFFA | Health Facilities Financing Authority | |
Natl-Re | Insured by National Public Finance Guarantee Corp. |
See notes to financial statements
Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $213,333,961) (Note 2) | $ | 224,402,029 | ||
Cash | 7,097,860 | |||
Receivable for fund shares sold | 101,957 | |||
Interest receivable | 2,545,066 | |||
Prepaid expenses and other assets | 1,568 | |||
|
| |||
Total Assets | 234,148,480 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 6,468,768 | |||
Payable for fund shares redeemed | 583,506 | |||
Payable to investment advisor and other affiliates (Note 3) | 153,549 | |||
Accounts payable and accrued expenses | 51,278 | |||
Dividends payable | 40,984 | |||
|
| |||
Total Liabilities | 7,298,085 | |||
|
| |||
NET ASSETS | $ | 226,850,395 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (25,896 | ) | |
Net unrealized appreciation on investments | 11,068,068 | |||
Accumulated net realized gain (loss) | (1,145,874 | ) | ||
Net capital paid in on shares of beneficial interest | 216,954,097 | |||
|
| |||
$ | 226,850,395 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($139,938,880 applicable to 10,330,918 shares of beneficial interest outstanding - Note 4) | $ | 13.55 | ||
Maximum sales charge, 2.00% of offering price | 0.28 | |||
|
| |||
Maximum offering price per share | $ | 13.83 | ||
|
| |||
Class D Shares: | ||||
Net asset value, offering and redemption price per share ($28,953,083 applicable to 2,136,467 shares of beneficial interest outstanding - Note 4) | $ | 13.55 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($57,958,432 applicable to 4,280,864 shares of beneficial interest outstanding - Note 4) | $ | 13.54 | ||
|
|
See notes to financial statements.
12 Annual Report
STATEMENT OF OPERATIONS | ||
Thornburg New Mexico Intermediate Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $1,429,106) | $ | 7,728,086 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 1,113,623 | |||
Administration fees (Note 3) | ||||
Class A Shares | 175,692 | |||
Class D Shares | 37,327 | |||
Class I Shares | 26,155 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 351,383 | |||
Class D Shares | 148,729 | |||
Transfer agent fees | ||||
Class A Shares | 64,388 | |||
Class D Shares | 10,067 | |||
Class I Shares | 27,438 | |||
Custodian fees (Note 3) | 44,885 | |||
Professional fees | 47,289 | |||
Accounting fees (Note 3) | 6,874 | |||
Trustee fees | 7,603 | |||
Other expenses | 11,513 | |||
|
| |||
Total Expenses | 2,072,966 | |||
Less: | ||||
Fees paid indirectly (Note 3) | (2,083 | ) | ||
|
| |||
Net Expenses | 2,070,883 | |||
|
| |||
Net Investment Income | 5,657,203 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (9,565 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (890,859 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (900,424 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 4,756,779 | ||
|
|
See notes to financial statements.
Annual Report 13
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New Mexico Intermediate Municipal Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 5,657,203 | $ | 6,002,378 | ||||
Net realized gain (loss) on investments | (9,565 | ) | (113,232 | ) | ||||
Net unrealized appreciation (depreciation) on investments | (890,859 | ) | 3,934,421 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,756,779 | 9,823,567 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (3,516,957 | ) | (4,318,586 | ) | ||||
Class D Shares | (676,838 | ) | (741,974 | ) | ||||
Class I Shares | (1,463,408 | ) | (941,818 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (3,515,955 | ) | (17,279,143 | ) | ||||
Class D Shares | 637,262 | (943,388 | ) | |||||
Class I Shares | 20,817,817 | 11,265,574 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 17,038,700 | (3,135,768 | ) | |||||
NET ASSETS | ||||||||
Beginning of Year | 209,811,695 | 212,947,463 | ||||||
|
|
|
| |||||
End of Year | $ | 226,850,395 | $ | 209,811,695 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (25,896 | ) | $ | (25,896 | ) |
See notes to financial statements.
14 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
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 twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital. The Fund’s secondary objective is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund currently offers three classes of shares of beneficial interest: Class A, Class D, and Institutional Class (“Class I”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class D shares are sold at net asset value without a sales charge at the time of purchase or redemption, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, and (iv) the respective classes may have different reinvestment privileges and conversion rights. Additionally, the Fund may allocate among its classes certain expenses, to the extent allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB
Annual Report 15
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 193,736,804 | $ | — | $ | 193,736,804 | $ | — | ||||||||
Other States | 25,165,245 | — | 25,165,245 | — | ||||||||||||
U.S. Treasury Securities | 5,499,980 | — | 5,499,980 | — | ||||||||||||
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Total Investments in Securities | $ | 224,402,029 | $ | — | $ | 224,402,029 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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
16 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $6,874 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $1,277 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, 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 year ended September 30, 2015, fees paid indirectly were $2,083.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no transactions with affiliated funds.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 745,966 | $ | 10,124,128 | 597,314 | $ | 8,041,850 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 223,380 | 3,036,783 | 278,451 | 3,754,060 | ||||||||||||
Shares repurchased | (1,226,723 | ) | (16,676,866 | ) | (2,159,552 | ) | (29,075,053 | ) | ||||||||
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Net increase (decrease) | (257,377 | ) | $ | (3,515,955 | ) | (1,283,787 | ) | $ | (17,279,143 | ) | ||||||
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Class D Shares | ||||||||||||||||
Shares sold | 381,666 | $ | 5,181,343 | 209,729 | $ | 2,824,940 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 48,673 | 661,799 | 54,490 | 735,025 | ||||||||||||
Shares repurchased | (383,942 | ) | (5,205,880 | ) | (334,633 | ) | (4,503,353 | ) | ||||||||
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Net increase (decrease) | 46,397 | $ | 637,262 | (70,414 | ) | $ | (943,388 | ) | ||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 1,680,477 | $ | 22,851,550 | 1,102,218 | $ | 14,871,619 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 99,465 | 1,350,685 | 61,670 | 831,948 | ||||||||||||
Shares repurchased | (248,971 | ) | (3,384,418 | ) | (331,495 | ) | (4,437,993 | ) | ||||||||
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Net increase (decrease) | 1,530,971 | $ | 20,817,817 | 832,393 | $ | 11,265,574 | ||||||||||
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NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $43,025,315 and $38,080,000, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 213,333,961 | ||
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| |||
Gross unrealized appreciation on a tax basis | $ | 11,223,877 | ||
Gross unrealized depreciation on a tax basis | (155,809 | ) | ||
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| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 11,068,068 | ||
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At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $7,848. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $1,138,025, (of which $87,413 are short-term and $1,050,612 are long-term) generated after September 30, 2011, which may be carried forward to offset future capital gains. To the extent such carry-forwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards do not expire.
At September 30, 2015, the Fund had $15,089 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
Distributions from tax exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for Federal income tax purposes.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 5,657,159 | $ | 6,002,378 | ||||
Ordinary income | 44 | — | ||||||
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Total | $ | 5,657,203 | $ | 6,002,378 | ||||
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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, liquidity risk, diversification 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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 19
Thornburg New Mexico Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, Periods are Fiscal Years Ended Sept. 30, | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends | Total Dividends | Net Asset Value End of Year | Net Investment Income (Loss) (%) | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions Net of Credits (%) | Expenses, Before Expense Reductions (%) | Total Return (%)(a) | Portfolio Turnover Rate (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||||
CLASS A SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 13.60 | 0.34 | (0.05 | ) | 0.29 | (0.34 | ) | — | (0.34 | ) | $ | 13.55 | 2.50 | 0.98 | 0.98 | 0.98 | 2.15 | 19.01 | $ | 139,939 | |||||||||||||||||||||||||||||||||
2014(b) | $ | 13.35 | 0.39 | 0.25 | 0.64 | (0.39 | ) | — | (0.39 | ) | $ | 13.60 | 2.87 | 0.97 | 0.97 | 0.97 | 4.83 | 10.79 | $ | 143,994 | ||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.95 | 0.38 | (0.60 | ) | (0.22 | ) | (0.38 | ) | — | (0.38 | ) | $ | 13.35 | 2.76 | 0.96 | 0.95 | 0.96 | (1.61 | ) | 11.78 | $ | 148,499 | |||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | |||||||||||||||||||||||||||||||||
CLASS D SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.61 | 0.31 | (0.06 | ) | 0.25 | (0.31 | ) | — | (0.31 | ) | $ | 13.55 | 2.27 | 1.20 | 1.20 | 1.20 | 1.84 | 19.01 | $ | 28,953 | |||||||||||||||||||||||||||||||||
2014 | $ | 13.36 | 0.35 | 0.25 | 0.60 | (0.35 | ) | — | (0.35 | ) | $ | 13.61 | 2.60 | 1.23 | 1.23 | 1.23 | 4.55 | 10.79 | $ | 28,438 | ||||||||||||||||||||||||||||||||||
2013 | $ | 13.96 | 0.34 | (0.59 | ) | (0.25 | ) | (0.35 | ) | — | (0.35 | ) | $ | 13.36 | 2.51 | 1.21 | 1.21 | 1.22 | (1.85 | ) | 11.78 | $ | 28,858 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
CLASS I SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.59 | 0.38 | (0.05 | ) | 0.33 | (0.38 | ) | — | (0.38 | ) | $ | 13.54 | 2.80 | 0.65 | 0.65 | 0.65 | 2.48 | 19.01 | $ | 57,958 | |||||||||||||||||||||||||||||||||
2014 | $ | 13.35 | 0.43 | 0.24 | 0.67 | (0.43 | ) | — | (0.43 | ) | $ | 13.59 | 3.19 | 0.65 | 0.64 | 0.65 | 5.09 | 10.79 | $ | 37,380 | ||||||||||||||||||||||||||||||||||
2013 | $ | 13.95 | 0.43 | (0.61 | ) | (0.18 | ) | (0.42 | ) | — | (0.42 | ) | $ | 13.35 | 3.09 | 0.61 | 0.61 | 0.61 | (1.29 | ) | 11.78 | $ | 25,590 | |||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
20 Annual Report | Annual Report 21 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg New Mexico Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New Mexico Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
22 Annual Report
EXPENSE EXAMPLE | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
CLASS A SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.30 | $ | 4.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.15 | $ | 4.97 | ||||||
CLASS D SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.30 | $ | 5.95 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.12 | $ | 6.00 | ||||||
CLASS I SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.90 | $ | 3.31 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.77 | $ | 3.34 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.98%; D: 1.19%; I: 0.66%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 23
TRUSTEES AND OFFICERS | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
24 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 25
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
26 Annual Report
OTHER INFORMATION | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $5,657,159 (or the maximum allowed) are tax exempt dividends and $44 are taxable ordinary investment income dividends for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg New Mexico Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 27
OTHER INFORMATION, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the index and the average return for the fund category considered, that the Fund’s returns for the preceding nine calendar years were comparable to the returns of the index in five of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in seven of nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell near the midpoint of performance of the first fund category for the one-year period ended with the second quarter of the current year, fell in the third quartile of performance for the three-year and ten-year periods, and fell in the fourth quartile of performance for the five-year period. The data further showed that the Fund’s annualized returns fell in the top quartile of performance of the second fund category for the one-year period ended with the second quarter, fell in the second quartile of performance for the three-year period, and fell in the third quartile of performance for the five-year and ten-year periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was slightly higher than the median and average fee levels for the fund category, that the level of total expense for a representative share class was slightly higher than the median and comparable to the average expense levels for the category, and that the level of total expense for a second representative share class was slightly lower than the median and average total expense levels for the category. Peer group data showed that the Fund’s advisory fee level was comparable to the fee levels for the two peer groups, the total expense level for a representative share class fell above the median level for its peer group, and that the total expense level for a second representative share class was comparable to the median level of its peer group. The Trustees did not find the differences significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and
28 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg New Mexico Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 29
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
30 Annual Report
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 31
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH080 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg New York Intermediate Municipal Fund
September 30, 2015
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Share Class | Nasdaq Symbol | Cusip | ||
Class A | THNYX | 885-215-665 | ||
Class I | TNYIX | 885-216-705 |
Minimum investments for Class I shares may be higher than those for Class A. Class I shares may not be available to all investors.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Shareholder:
We are pleased to present the annual report for the Thornburg New York Intermediate Municipal Fund. The net asset value (NAV) of the Class A shares decreased by four cents to $13.18 for the fiscal year ended September 30, 2015. If you were with us for the entire period, you received dividends of 28.5 cents per share. If you reinvested your dividends, you received 28.8 cents per share. Dividends 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 1.87% total return (without sales charge) for the fiscal year ended September 30, 2015, compared to the 2.60% total return for the BofA Merrill Lynch 3-15 Year U.S. Municipal Securities Index. The Fund generated 1.35% more price return and 2.08% less income than the index.
The drivers of the Fund’s price return relative to its benchmark are as follows: Our interest rate sensitivity as measured by the Fund’s duration and differing allocations along the yield curve subtracted 0.23% of relative price performance. Our sector allocations added 0.67% of relative price performance, and our overweight to lower credit quality securities subtracted 0.45% of relative price performance compared to its benchmark. Other risk factors and accounting differences added up to another 1.36% of relative price performance.
The market’s returns were a result of increasing short-term interest rates, declining intermediate interest rates, and largely unchanged long-term interest rates. Chart I illustrates the change in interest rates for all maturities from one to 30 years for the 12 months ended September 30, 2015.
The U.S. Economy and the Federal Reserve Board
The U.S. economy grew at an average rate of 2.2% for the last three quarters ended June 30, 2015, (information for the quarter ended September 30, 2015, is not available as of this writing). If we go back four quarters, the average growth rate is 2.7%. The unemployment rate declined to 5.1% in September 2015, although the September nonfarm payroll number did give the markets a bit of a scare, by falling way short of expectations at 142,000. John C. Williams, the President and CEO of The Federal Reserve Bank of San Francisco, noted in a recent speech that:
“My estimate of the natural rate of unemployment today is 5 percent, consistent with pre-recession estimates. With the current rate at 5.1 percent, we are very close.”
Job vacancies are at the highest levels since the time series has been tracked since 2000. So how do we square this circle? It might be that as we reach the “natural rate of unemployment,” employers are finding it harder and harder to find qualified employees. If this were to be the case, the economy might begin to see wage pressures build. Inflation, by any measure, has been consistently below the Fed’s target of 2.00%.
The Federal Reserve Board has put off raising short-term interest rates yet again. Zero short-term interest rates are an appropriate policy response for an economy losing more than 500,000 jobs a month, with an unemployment rate of 10%, which is what the U.S. economy experienced during the Great Recession. But in the seventh year of zero short-term interest rates, market participants question whether it is an appropriate policy for an economy that has added an average of 229,000 jobs for the last 12 months, with a 5.1% unemployment rate. In a recent news conference, Federal Reserve Chair Janet L. Yellen stated, “The recovery from the Great Recession has advanced sufficiently far and domestic spending has been sufficiently robust that an argument can be made for a rise in interest rates at this time.” This is true. Retail sales are up 2.2% year-over-year, as of August 31, 2015. Auto sales topped expectations in September, reaching an annual rate of 18.07 million cars and trucks. But Ms. Yellen, in the same news conference, went on to say, “heightened uncertainties abroad” have kept the Fed on hold as it awaits more data. Regardless, waiting for the Fed to raise short-term interest rates is akin to “Waiting for Godot.”
Real yields, which are nominal interest rates less an inflation measure, are still quite low, and credit spreads (the incremental yield an investor is promised to buy a lower-rated credit) are still very narrow. In this environment, we believe investors are not getting paid to take risk, and consequently we are taking less risk in terms of both maturity and lower-quality credit risk.
Chart I | 12-Month Change in Rates for AAA Rated General Obligation Municipal Bonds (as of September 30, 2015)
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
The Municipal Bond Market Credit Picture
The credit picture for the municipal bond market is generally pretty good, unless you happen to be a state whose economy is based on energy production. On September 17, 2015, the Nelson A. Rockefeller Institute of Government at the State University of New York released its 100th state tax revenue report:
“State tax revenues grew by 5.8 percent in the first quarter of 2015, according to the 100th State Revenue Report of the Rockefeller Institute. All major sources of tax revenues showed solid growth during this period: personal tax collections grew by 7.1 percent, corporate tax revenues at 3.3 percent, sales taxes at 5.2 percent, and motor fuels at 4.4 percent. Preliminary figures for the second quarter of calendar year 2015 (the final quarter of fiscal year 2015 in most states) indicate growth in total state tax collections of 7.6 percent and particularly strong growth in personal income tax collections of 14.3 percent. State revenue forecasts call for a slowdown in total personal income tax growth to 2.7 percent in FY [fiscal year] 2016, from 5.1 percent estimated by states for FY 2015.”
New York’s economy has performed well in the last year; total tax revenues are up almost 10.4% from the second quarter of 2014 to the second quarter of 2015. Employment is up 1.78% for the same period. Personal income is higher by 3.90% and home prices are higher by 3.88% for the same period.
Bloomberg recently reported that the 2014 median funding level of state pension plans improved to 70% from 69.2% in 2013. An 80% funding level is often seen as the line of demarcation between a well-funded state pension and one that’s not well funded, as suggested by the Pew Research Center.
We have seen some well-chronicled defaults in the municipal bond market in the last few years, and Puerto Rico’s financial troubles continue to garner headlines, one of which, penned by Morningstar, states that the island’s pension is only funded to 8.4% of its $34.0 billion liability level. Let us add here that none of the Thornburg municipal funds own any Puerto Rico debt! Table I highlights the results of several of the municipal bankruptcy proceedings around the country. There are a few lessons to be learned from this table. First, given the choice between pensioners and bondholders, pensioners win almost every time! In Detroit’s case (we did not have any direct exposure to the city of Detroit in any of the Thornburg municipal funds), the pensioner’s limited impairment resulted in a 95.5% benefit for non-uniform workers and a 100% benefit for uniform workers (both sustained a 50% cost of living reduction) while bondholders received between 74% and 11% (plus miscellaneous other assets) of what they were owed, highlighting again the value of sound, fundamental, bottom-up credit research – what we view as a Thornburg strength.
Table I | Status of Select Municipal Bankruptcy Cases
Entity | Bankruptcy Proceedings | Pension Recovery | Bondholder Recovery | |||
San Bernardino, CA | Pending | Unimpaired | 1-100% A | |||
Stockton, CA | Concluded | Unimpaired C | 0.25%-100% B | |||
Detroit, MI | Concluded | Limited Impairment | 74% for GOULT 2 | |||
Jefferson County, AL | Concluded | Unimpaired | 88% for GOLT 3 | |||
Central Falls, RI (Statutory Liens on Local GOs) 1 | Concluded | Haircuts up to 55% | Unimpaired |
Source: Morgan Stanley Muni Monday Morning newsletter, July 27, 2015.
A. | San Bernardino City Council – approved plan proposes 1% recovery Pension Obligation Bonds (unsecured) but full payments for Lease Revenue COP Bonds secured by the police station as collateral. |
B. | Stockton paid 0.25% on leases backing a golf course. |
C. | Retiree health plan was canceled. |
1. | GOs – general obligation bonds. |
2. | GOULT – general obligation unlimited tax. |
3. | GOLT – general obligation limited tax. |
Market Liquidity and Federal Regulations
It has been our contention for some time that the fixed-income markets are growing less and less liquid. This is a result of the consolidation that took place after the financial crisis and the federal laws and regulation (The Dodd-Frank Act and the Volcker Rule) enacted to reduce the likelihood of a repeat. This is evidenced by the amount of inventory broker/dealers commit to the various markets. From 2000 through 2008, the period prior to the financial crisis, broker/dealer inventory levels averaged 7.9% of the municipal bond assets in mutual funds (excluding money market funds), exchange traded funds (ETFs), and closed-end funds. Today that number stands at 2.5%. The corporate bond market numbers are even more staggering! Inventory levels prior to the financial crisis stood at 34.5% and today are at 4.7%.
This reduced commitment to the fixed income markets is coupled with a significant increase in ownership of corporate bonds by retail investors in mutual funds, exchange-traded funds, and closed-end funds. The average for the period from 2000 through 2008 was 8.5%, and now that figure is 22.4%. This ratio has remained fairly constant for municipal bonds, at around 20%. Why is this important? This reduced liquidity may mean that investors should be ready for increased price volatility if and when interest rates increase.*
The U.S. Securities and Exchange Commission is concerned about this risk. On September 22, 2015, it released for
* | Source for bond inventory data: U.S. Federal Reserve: Financial Accounts of the United States. |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
comment proposed new liquidity rules. This proposal centers around three recommendations for mutual funds and ETFs:
• | institute a liquidity management program |
• | enhance disclosure regarding fund liquidity and redemption practices |
• | allow mutual funds to elect “swing pricing” to effectively pass on the costs stemming from shareholder purchase or redemption activity |
This sounds like some pretty good regulation until one couples it with a letter Thornburg received from State Street Bank, the Fund’s custodian, in which the bank informed us that due to “the evolving regulatory environment” and “implementation of the Basel III accord” they will be charging us 0.20% for cash reserves held in excess of 5% of assets under management in a given Thornburg fund. Reserves are an important tool to manage overall interest-rate sensitivity, shareholder withdrawals (as we saw in 2013 with the “taper tantrum”), and also provide dry powder for periods of market disruption. So we are caught between one regulator directing us to be more liquid and the unintended consequences of other regulation forcing us to be less liquid.
We are managing this new environment by utilizing four levels of liquidity reserves in the municipal bond mutual funds:
1. | Maintain maximum liquidity at the custodian bank before the change is implemented. |
2. | Buy variable-rate demand notes (VRDNs) with short-term liquidity features. |
3. | Buy U.S. Treasury bills if VRDNs are not available, which will be a temporary position. The bad news is that we may incur some taxable income with these; the good news is not a lot of taxable income may be incurred with an average rate of 0.01%. |
4. | Buy securities eligible for money market funds to purchase. The thought here is that if we see a market disruption, shareholders may flee to the safety of municipal money market funds. Being able to sell these securities to money market funds as their demand increases should decrease the liquidity risk of the Fund. |
Conclusion
We are in a trying environment; investors have a great desire for income, and the unintended consequences of the Fed’s zero interest-rate policy are forcing them into riskier investments. That could mean buying securities or funds with longer maturities or lower credit quality. Add to this a market in which broker/dealer liquidity is at a premium. Interest rates are at multi-decade lows, even when adjusting for low levels of inflation. Credit spreads are narrow, back to 2007 levels, when AAA municipal bond insurers insured 50% of the new-issue municipal market. Overall, credit in the municipal market has recovered from the financial crisis, despite several high-profile bankruptcies.
We are taking less risk in your portfolio and concentrating on fundamental, bottom-up credit research. We believe the best way to manage this environment is to have a long-term investment horizon, to ready oneself for increased price volatility, and to let the Fund’s ladder structure do what it does best – provide a disciplined approach to reinvestment. As the equity market events of August 2015 highlighted, there is a place for bonds in a well-diversified portfolio, even when they are slightly overvalued.
Sincerely,
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Christopher Ryon, CFA Portfolio Manager Managing Director | Josh Gonze Portfolio Manager Managing Director | Nicholos Venditti 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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
PERFORMANCE SUMMARY | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
A Shares (Incep: 9/5/97) | ||||||||||||||||||||
Without sales charge | 1.87 | % | 1.69 | % | 3.21 | % | 3.76 | % | 4.06 | % | ||||||||||
With sales charge | -0.17 | % | 1.01 | % | 2.80 | % | 3.55 | % | 3.94 | % | ||||||||||
I Shares (Incep: 2/1/10) | 2.19 | % | 2.01 | % | 3.54 | % | — | 4.05 | % |
30-day Yields, A Shares
(with sales charge)
Annualized Distribution Yield | 2.15 | % | ||
SEC Yield | 0.79 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 2.00%. There is no sales charge for Class I shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.05%; I shares, 0.73%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for all share classes, resulting in net expense ratios of the following: A shares, 0.99%; I shares, 0.67%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Without the fee waivers and expense reimbursements described above, the Annualized Distribution yield would have been 2.10%, and the SEC yield would have been 0.74%.
Glossary
BofA Merrill Lynch 3-15 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 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. The performance of any index is not indicative of the performance of any particular investment.
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.
Bond Credit Ratings (Credit Quality) – 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.
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. Effective duration incorporates 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.
Laddering – Involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
SEC Yield – SEC yield is computed in accordance with SEC standards measuring the net investment income per share over a specified 30-day period expressed as a percentage of the maximum offering price of the Fund’s shares at the end of the period.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Variable Rate Demand Note (VRDN) – VRDNs are long-term, floating-rate municipal securities. These highly liquid securities are payable on demand, typically either daily or weekly, meaning the investor can request repayment of the entire debt amount. The coupon rate will adjust on a periodic basis, either daily or weekly.
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.
Annual Report 7
FUND SUMMARY | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal, New York State and New York City individual income taxes as is consistent, in the view of the Fund’s investment advisor, with preservation of capital.
The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund offers New York investors double (or for New York City residents triple) tax-free yields in a laddered municipal bond portfolio with a dollar-weighted average maturity of normally three to ten years (may be subject to Alternative Minimum Tax). Laddering involves building a portfolio of bonds with staggered maturities so that a portion of the portfolio matures each year. Cash from maturing bonds, if not needed for other purposes, is typically invested in bonds with longer maturities at the far end of the ladder. We regard the strategy as a good compromise for managing different types of risk.
Key Portfolio Attributes
Number of Bonds | 77 | |||
Effective Duration | 5.1 Yrs | |||
Average Maturity | 8.2 Yrs |
Long Term Stability of Principal
Net Asset Value History of A Shares
SECURITY 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. Credit quality ratings for Thornburg’s municipal portfolios used the highest rating available from either Standard & Poor’s or Moody’s Investors Service.
Portfolio Ladder
Percent of portfolio maturing in each year. Cash includes cash equivalents.
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
City of New York GO, 5.00% due 6/1/2019 pre-refunded 6/1/2016 (City Budget Financial Management; Insured: AGM) | AA/Aa2 | $ | 255,000 | $ | 263,055 | |||||
City of New York GO, 5.00% due 8/1/2019 (City Budget Financial Management) | AA/Aa2 | 1,000,000 | 1,141,690 | |||||||
City of New York GO, 5.00% due 8/1/2023 (City Budget Financial Management) | AA/Aa2 | 1,000,000 | 1,207,770 | |||||||
City of New York GO, 5.00% due 8/1/2025 (City Budget Financial Management) | AA/Aa2 | 400,000 | 431,016 | |||||||
City of New York GO, 5.00% due 8/1/2030 (City Budget Financial Management) | AA/Aa2 | 1,000,000 | 1,152,080 | |||||||
County of Nassau GO, 5.00% due 4/1/2026 (Insured: BAM) | AA/NR | 1,000,000 | 1,168,600 | |||||||
Dutchess County Local Development Corp., 5.00% due 7/1/2021 (Health Quest Systems, Inc.; Insured: AGM) | AA/A2 | 535,000 | 607,680 | |||||||
Dutchess County Local Development Corp., 5.00% due 7/1/2022 (Health Quest Systems, Inc.; Insured: AGM) | AA/A2 | 510,000 | 574,464 | |||||||
Erie County Industrial Development Agency, 5.25% due 5/1/2025 (Buffalo City School District) | AA/Aa2 | 1,000,000 | 1,119,980 | |||||||
Government of Guam, 5.375% due 12/1/2024 (Layon Solid Waste Disposal Facility) | BBB+/NR | 1,000,000 | 1,109,250 | |||||||
Government of Guam, 5.00% due 11/15/2033 (Business Privelege Tax) | A/NR | 2,000,000 | 2,212,480 | |||||||
Guam Waterworks Authority, 5.00% due 7/1/2028 (Water and Wastewater System) | A-/Baa2 | 500,000 | 558,430 | |||||||
Hempstead Town Local Development Corp., 5.00% due 7/1/2028 (Hofstra University) | A/A3 | 500,000 | 557,630 | |||||||
Long Island Power Authority, 5.25% due 9/1/2029 | A-/Baa1 | 645,000 | 782,037 | |||||||
Monroe County Industrial Development Corp., 4.00% due 6/1/2016 (St. John Fisher College) | BBB+/NR | 880,000 | 898,339 | |||||||
Monroe County Industrial Development Corp., 5.00% due 1/15/2028 (Monroe Community College Association, Inc.; Insured: AGM) | AA/A2 | 250,000 | 282,280 | |||||||
Monroe County Industrial Development Corp., 5.00% due 1/15/2029 (Monroe Community College Association, Inc.; Insured: AGM) | AA/A2 | 300,000 | 335,793 | |||||||
Nassau County IDA, 4.75% due 3/1/2026 (New York Institute of Technology) | BBB+/Baa2 | 1,000,000 | 1,062,680 | |||||||
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2021 (Sewerage and Storm Water Resource Facilities) | AAA/Aa3 | 275,000 | 329,750 | |||||||
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2028 (Sewerage and Storm Water Resource Facilities) | AAA/Aa3 | 400,000 | 478,920 | |||||||
Nassau County Sewer & Storm Water Finance Authority, 5.00% due 10/1/2031 (Sewerage and Storm Water Resource Facilities) | AAA/Aa3 | 1,000,000 | 1,174,870 | |||||||
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2020 (Healthcare Facilities Improvements) | A+/Aa3 | 770,000 | 885,600 | |||||||
New York City Health and Hospitals Corp. GO, 5.00% due 2/15/2025 (Healthcare Facilities Improvements) | A+/Aa3 | 1,000,000 | 1,121,210 | |||||||
New York City Metropolitan Transportation Authority, 6.25% due 11/15/2023 | AA-/A1 | 1,000,000 | 1,162,780 | |||||||
New York City Municipal Water Finance Authority, 5.00% due 6/15/2032 (Water and Sewer System) | AA+/Aa2 | 1,000,000 | 1,171,920 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2035 put 10/1/2015 (Water & Sewer System; SPA: Bayerische Landesbank) (daily demand notes) | AAA/Aa1 | 1,300,000 | 1,300,000 | |||||||
New York City Municipal Water Finance Authority, 0.01% due 6/15/2050 put 10/1/2015 (Water & Sewer System; SPA: JPMorgan Chase Bank, N.A.) (daily demand notes) | AA+/Aa2 | 500,000 | 500,000 | |||||||
New York City Transitional Finance Authority, 5.00% due 1/15/2020 (Educational Facilities) (State Aid Withholding) | AA/Aa2 | 1,000,000 | 1,122,080 | |||||||
New York City Transitional Finance Authority, 5.00% due 11/1/2020 (City Capital Projects) | AAA/Aaa | 1,000,000 | 1,004,240 | |||||||
New York City Transitional Finance Authority, 0.01% due 11/1/2022 put 10/1/2015 (City Capital Projects; SPA: Royal Bank of Canada) (daily demand notes) | AAA/Aa1 | 1,980,000 | 1,980,000 | |||||||
New York City Transitional Finance Authority, 0.01% due 11/1/2042 put 10/1/2015 (City Capital Projects; SPA: Barclays Bank plc) (daily demand notes) | AAA/Aa1 | 800,000 | 800,000 | |||||||
New York City Trust for Cultural Resources, 5.25% due 12/1/2018 (Lincoln Center for the Performing Arts) | A+/A2 | 175,000 | 197,547 | |||||||
New York Convention Center Development Corp., 5.00% due 11/15/2017 (Jacob K. Javits Convention Center; Insured: AMBAC) | NR/A1 | 1,000,000 | 1,005,520 | |||||||
New York Municipal Bond Bank Agency, 5.00% due 4/15/2018 (Insured: AGM) | AA/A2 | 1,000,000 | 1,097,550 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2023 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA/A2 | 400,000 | 434,256 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2016 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 600,000 | 620,718 | |||||||
New York State Dormitory Authority, 5.50% due 2/15/2017 (Mental Health Services Facilities) | AA/NR | 1,000,000 | 1,069,140 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2018 (School District Financing Program; Insured: AGM) | AA/Aa3 | 1,000,000 | 1,065,320 | |||||||
New York State Dormitory Authority, 5.25% due 10/1/2018 (School District Financing Program; Insured: AGM) | AA/Aa3 | 775,000 | 873,906 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2020 (NYSARC, Inc. Developmental Disability Programs) | NR/Aa2 | 1,175,000 | 1,351,015 | |||||||
New York State Dormitory Authority, 4.00% due 10/1/2020 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA/A1 | 325,000 | 363,019 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2022 (St. John’s University; Insured: Natl-Re) | AA-/A3 | 1,000,000 | 1,208,900 | |||||||
New York State Dormitory Authority, 5.00% due 1/15/2023 (Municipal Health Facilities) | AA-/Aa3 | 1,000,000 | 1,094,490 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2023 (School District Financing Program) (State Aid Withholding) | AA-/NR | 575,000 | 689,517 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Bishop Henry B. Hucles Nursing Home; Insured: SONYMA) | NR/Aa1 | 1,000,000 | 1,019,280 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2024 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 1,540,000 | 1,664,401 | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2024 (School District Financing Program; Insured: AGM) (State Aid Withholding) | AA/Aa3 | 1,000,000 | 1,166,430 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2025 (Miriam Osborn Memorial Home Assoc.) | NR/NR | 1,105,000 | 1,185,886 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Interagency Council Pooled Loan Program) | NR/Aa2 | 1,000,000 | 1,103,850 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2027 (Columbia University Teachers College) | A+/A1 | 750,000 | 861,548 | |||||||
New York State Dormitory Authority, 5.25% due 7/1/2027 (Health Quest Systems; Insured: AGM) | AA/A3 | 500,000 | 534,770 | |||||||
New York State Dormitory Authority, 5.00% due 12/15/2027 (Metropolitan Transportation Authority & State Urban Development Corp.) | AAA/Aa1 | 2,500,000 | 2,971,825 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
New York State Dormitory Authority, 5.00% due 10/1/2028 (School District Financing Program; Insured: AGM) | AA/NR | $ | 200,000 | $ | 235,016 | |||||
New York State Dormitory Authority, 5.25% due 5/1/2030 (North Shore Long Island Jewish Medical) | A-/A3 | 1,000,000 | 1,143,020 | |||||||
New York State Dormitory Authority, 5.00% due 7/1/2034 (Pratt Institute) | NR/A3 | 1,000,000 | 1,127,460 | |||||||
New York State Energy Research & Development Authority, 2.25% due 12/1/2015 (New York Electric & Gas Corp.) | BBB+/A3 | 1,000,000 | 1,002,820 | |||||||
New York State Thruway Authority, 5.00% due 5/1/2019 (New NY Bridge Project) | A-/A3 | 2,000,000 | 2,260,980 | |||||||
New York State Thruway Authority, 5.00% due 4/1/2022 (Multi-Year Highway and Bridge Capital Program) | AA/NR | 1,000,000 | 1,083,080 | |||||||
New York State Thruway Authority, 5.00% due 1/1/2028 (Multi-Year Highway and Bridge Capital Program) | A/A2 | 500,000 | 590,440 | |||||||
New York State Urban Development Corp., 5.25% due 1/1/2021 | AA/NR | 1,000,000 | 1,126,750 | |||||||
Onondaga Civic Development Corp., 5.00% due 7/1/2021 (Le Moyne College) | NR/Baa2 | 1,000,000 | 1,094,440 | |||||||
Onondaga Civic Development Corp., 5.50% due 12/1/2031 (State University of New York Upstate Medical University) | A+/NR | 1,000,000 | 1,141,620 | |||||||
Port Authority New York & New Jersey, 5.00% due 8/15/2022 (Insured: AGM) | AA/Aa3 | 1,000,000 | 1,080,700 | |||||||
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2029 (New York Local Government Assistance Corp.) | AAA/Aa1 | 250,000 | 300,520 | |||||||
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2030 (New York Local Government Assistance Corp.) | AAA/Aa1 | 1,000,000 | 1,193,150 | |||||||
Sales Tax Asset Receivable Corp., 5.00% due 10/15/2031 (New York Local Government Assistance Corp.) | AAA/Aa1 | 1,000,000 | 1,186,060 | |||||||
Syracuse Industrial Development Agency, 5.25% due 5/1/2026 (Syracuse City School District) | AA/Aa2 | 2,150,000 | 2,474,198 | |||||||
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 | 1,150,880 | |||||||
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 | 1,538,916 | |||||||
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2028 (MTA Bridges and Tunnels) | AA-/Aa3 | 1,000,000 | 1,194,890 | |||||||
Triborough Bridge & Tunnel Authority GO, 5.00% due 11/15/2029 (MTA Bridges and Tunnels) | AA-/Aa3 | 1,000,000 | 1,179,260 | |||||||
Triborough Bridge & Tunnel Authority, 0.01% due 1/1/2033 put 10/1/2015 (MTA Bridges & Tunnels; LOC: Wells Fargo Bank, N.A.) (daily demand notes) | AA-/Aa1 | 600,000 | 600,000 | |||||||
United Nations Development Corp., 5.00% due 7/1/2019 (One, Two and Three U.N. Plaza Project) | NR/A1 | 230,000 | 261,248 | |||||||
United Nations Development Corp., 5.00% due 7/1/2025 (One, Two and Three U.N. Plaza Project) | NR/A1 | 710,000 | 791,742 | |||||||
Utility Debt Securitization Authority, 5.00% due 12/15/2029 (Long Island Power Authority-Electric Service) | AAA/Aaa | 1,000,000 | 1,187,710 | |||||||
Utility Debt Securitization Authority, 5.00% due 12/15/2030 (Long Island Power Authority-Electric Service) | AAA/Aaa | 1,000,000 | 1,181,190 | |||||||
West Seneca Central School District GO, 5.00% due 11/15/2023 (Facilities Improvements; Insured: BAM) (State Aid Withholding) | AA/A2 | 1,300,000 | 1,575,651 | |||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.12% (Cost $73,481,956) | $ | 77,777,253 | ||||||||
OTHER ASSETS LESS LIABILITIES — 2.88% | 2,309,952 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 80,087,205 | ||||||||
|
|
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. | |
BAM | Insured by Build America Mutual Insurance Co. | |
GO | General Obligation | |
IDA | Industrial Development Authority | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
SONYMA | State of New York Mortgage Authority |
See notes to financial statements.
10 Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $73,481,956) (Note 2) | $ | 77,777,253 | ||
Cash | 718,942 | |||
Receivable for investments sold | 680,000 | |||
Receivable for fund shares sold | 31,095 | |||
Interest receivable | 1,043,669 | |||
Prepaid expenses and other assets | 518 | |||
|
| |||
Total Assets | 80,251,477 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares redeemed | 66,037 | |||
Payable to investment advisor and other affiliates (Note 3) | 34,426 | |||
Accounts payable and accrued expenses | 43,487 | |||
Dividends payable | 20,322 | |||
|
| |||
Total Liabilities | 164,272 | |||
|
| |||
NET ASSETS | $ | 80,087,205 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (16,847 | ) | |
Net unrealized appreciation on investments | 4,295,297 | |||
Accumulated net realized gain (loss) | (479,339 | ) | ||
Net capital paid in on shares of beneficial interest | 76,288,094 | |||
|
| |||
$ | 80,087,205 | |||
|
| |||
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($49,844,838 applicable to 3,781,416 shares of beneficial interest outstanding - Note 4) | $ | 13.18 | ||
Maximum sales charge, 2.00% of offering price | 0.27 | |||
|
| |||
Maximum offering price per share | $ | 13.45 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($30,242,367 applicable to 2,294,274 shares of beneficial interest outstanding - Note 4) | $ | 13.18 | ||
|
|
See notes to financial statements.
Annual Report 11
STATEMENT OF OPERATIONS | ||
Thornburg New York Intermediate Municipal Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Interest income (net of premium amortized of $617,285) | $ | 2,507,790 | ||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 399,402 | |||
Administration fees (Note 3) | ||||
Class A Shares | 64,998 | |||
Class I Shares | 13,941 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 129,996 | |||
Transfer agent fees | ||||
Class A Shares | 36,911 | |||
Class I Shares | 26,727 | |||
Registration and filing fees | ||||
Class I Shares | 341 | |||
Custodian fees (Note 3) | 25,842 | |||
Professional fees | 46,373 | |||
Accounting fees (Note 3) | 2,798 | |||
Trustee fees | 3,042 | |||
Other expenses | 10,196 | |||
|
| |||
Total Expenses | 760,567 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (64,064 | ) | ||
Fees paid indirectly (Note 3) | (259 | ) | ||
|
| |||
Net Expenses | 696,244 | |||
|
| |||
Net Investment Income | 1,811,546 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on investments | (51,436 | ) | ||
Net change in unrealized appreciation (depreciation) on investments | (179,372 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (230,808 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,580,738 | ||
|
|
See notes to financial statements.
12 Annual Report
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg New York Intermediate Municipal Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 1,811,546 | $ | 1,691,774 | ||||
Net realized gain (loss) on investments | (51,436 | ) | (249,977 | ) | ||||
Net unrealized appreciation (depreciation) on investments | (179,372 | ) | 1,999,926 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,580,738 | 3,441,723 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (1,122,691 | ) | (1,289,806 | ) | ||||
Class I Shares | (688,855 | ) | (401,968 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (4,324,129 | ) | (1,094,618 | ) | ||||
Class I Shares | 6,419,536 | 16,446,386 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 1,864,599 | 17,101,717 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 78,222,606 | 61,120,889 | ||||||
|
|
|
| |||||
End of Year | $ | 80,087,205 | $ | 78,222,606 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (16,847 | ) | $ | (16,847 | ) |
See notes to financial statements.
Annual Report 13
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
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 twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the preservation of capital.
The Fund currently offers two classes of shares of beneficial interest: 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
14 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Municipal Bonds | $ | 77,777,253 | $ | — | $ | 77,777,253 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 77,777,253 | $ | — | $ | 77,777,253 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
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 net realized gains on investments (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 September 30, 2015, management has not identified any such position for which an asset or 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
Annual Report 15
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Fund paid $2,798 to the Advisor for these accounting services. The Trust also has entered into administrative service 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.
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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $208 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 year ended September 30, 2015, 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 and shareholder services.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and service fees of $37,358 for Class A shares and $26,706 for Class I 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 year ended September 30, 2015, fees paid indirectly were $259.
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.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $3,500,019 in sales.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 419,229 | $ | 5,533,635 | 1,643,317 | $ | 21,214,647 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 67,191 | 887,864 | 80,732 | 1,052,930 | ||||||||||||
Shares repurchased | (813,285 | ) | (10,745,628 | ) | (1,797,961 | ) | (23,362,195 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (326,865 | ) | $ | (4,324,129 | ) | (73,912 | ) | $ | (1,094,618 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 858,058 | $ | 11,351,074 | 1,745,619 | $ | 22,738,797 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 51,871 | 685,089 | 29,671 | 388,253 | ||||||||||||
Shares repurchased | (425,508 | ) | (5,616,627 | ) | (511,478 | ) | (6,680,664 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 484,421 | $ | 6,419,536 | 1,263,812 | $ | 16,446,386 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $9,167,606 and $5,458,278, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 73,481,956 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 4,313,326 | ||
Gross unrealized depreciation on a tax basis | (18,029 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,295,297 | ||
|
|
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $53,522. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $425,816, (of which $127,505 are short-term and $298,311 are long-term) generated after September 30, 2011, 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.
At September 30, 2015, the Fund had $3,475 of undistributed net tax-exempt income, no undistributed tax basis net ordinary income, and no undistributed tax basis capital gains.
Distributions from tax-exempt income paid by the Fund for the years ended September 30, 2015, and September 30, 2014, are excludable by shareholders from gross income for federal income tax purposes.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 |
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Tax exempt income | $ | 1,811,546 | $ | 1,691,774 | ||||
Ordinary income | — | — | ||||||
|
|
|
| |||||
Total | $ | 1,811,546 | $ | 1,691,774 | ||||
|
|
|
|
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, diversification 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 September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
18 Annual Report
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Annual Report 19
Thornburg New York Intermediate Municipal Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends | Total Dividends | Net Asset Value End of Year | 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 | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 13.22 | 0.29 | (0.04 | ) | 0.25 | (0.29 | ) | — | (0.29 | ) | $ | 13.18 | 2.16 | 0.98 | 0.98 | 1.05 | 1.87 | 7.72 | $ | 49,845 | |||||||||||||||||||||||||||||||||
2014(b) | $ | 12.93 | 0.30 | 0.29 | 0.59 | (0.30 | ) | — | (0.30 | ) | $ | 13.22 | 2.27 | 0.99 | 0.99 | 1.05 | 4.59 | 14.12 | $ | 54,301 | ||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.44 | 0.34 | (0.51 | ) | (0.17 | ) | (0.34 | ) | — | (0.34 | ) | $ | 12.93 | 2.54 | 0.99 | 0.99 | 1.05 | (1.32 | ) | 11.31 | $ | 54,061 | |||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.22 | 0.33 | (0.04 | ) | 0.29 | (0.33 | ) | — | (0.33 | ) | $ | 13.18 | 2.47 | 0.67 | 0.67 | 0.76 | 2.19 | 7.72 | $ | 30,242 | |||||||||||||||||||||||||||||||||
2014 | $ | 12.93 | 0.33 | 0.30 | 0.63 | (0.34 | ) | — | (0.34 | ) | $ | 13.22 | 2.57 | 0.67 | 0.67 | 0.73 | 4.93 | 14.12 | $ | 23,922 | ||||||||||||||||||||||||||||||||||
2013 | $ | 13.44 | 0.38 | (0.51 | ) | (0.13 | ) | (0.38 | ) | — | (0.38 | ) | $ | 12.93 | 2.86 | 0.67 | 0.67 | 0.74 | (1.00 | ) | 11.31 | $ | 7,060 | |||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
20 Annual Report | Annual Report 21 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg New York Intermediate Municipal Fund
To the Trustees and Shareholders of
Thornburg New York Intermediate Municipal Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg New York Intermediate Municipal Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
22 Annual Report
EXPENSE EXAMPLE | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.90 | $ | 4.88 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.20 | $ | 4.92 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.40 | $ | 3.35 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.73 | $ | 3.38 |
† | Expenses are equal to the annualized expense ratio for each class (A: 0.97%; I: 0.67%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 23
TRUSTEES AND OFFICERS | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES(1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
24 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 25
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
26 Annual Report
OTHER INFORMATION | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Fund of $1,811,546 (or the maximum allowed) are tax exempt dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg New York Intermediate Municipal Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Annual Report 27
OTHER INFORMATION, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the index and the average return for the fund category considered, that the Fund’s returns for the preceding nine calendar years were comparable to the returns of the index in six of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in eight of nine years. Noted quantitative data showed that the Fund’s annualized investment returns fell in the third quartile of investment performance of the first of two fund categories for the one-year period ended with the second quarter of the current year, fell at the midpoint of performance for the three-year period, and fell in the second quartile of performance for the category in the five-year and ten-year periods. The data further showed that the Fund’s annualized investment returns fell in the third quartile of performance for the second fund category for the one-year period ended with the second quarter of the current year, fell in the second quartile of performance of the second fund category for the three-year period, and fell in the top quartile of performance of the category for the five-year and ten-year periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for a representative share class of a fund peer group selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee was comparable to the median and average fee levels for the fund category, and that the level of total expense for a representative share class of the Fund was slightly higher than the median and comparable to the average expense levels for the category. Peer group data showed that the Fund’s advisory fee level was higher than the median of the peer group and within the range of fee levels in the group, and showed that the total expense level for the representative share class fell above the median of the fund peer group and at the top of the range of levels for the group. The Trustees did not find the differences significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund,
28 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg New York Intermediate Municipal Fund | September 30, 2015 (Unaudited) |
and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 29
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
30 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 31
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH860 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely, |
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Garrett Thornburg |
Chairman of Trustees |
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Reports
Thornburg Limited Term U.S. Government Fund
Thornburg Limited Term Income Fund
Thornburg Low Duration Income Fund
Annual Reports | September 30, 2015
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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 R4 | LTUGX | 885-216-747 | ||
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 R4 | THRIX | 885-216-762 | ||
Class R5 | THRRX | 885-216-853 | ||
Low Duration Income Fund | ||||
Class A | TLDAX | 885-216-812 | ||
Class I | TLDIX | 885-216-796 |
Class I, R3, R4, R5 shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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. Investments in mortgage backed securities (MBS) may bear additional risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Reports 3
September 30, 2015 (Unaudited)
October 23, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Limited Term U.S. Government Fund, the Thornburg Limited Term Income Fund, and the Thornburg Low Duration Income Fund for the fiscal year ended September 30, 2015. The net asset value (NAV) of a Class A share of the Limited Term U.S. Government Fund decreased by one cent in the period to $13.26, and if you were invested for the entire period you received dividends of 22.4 cents per share. If you reinvested your dividends, you received 22.6 cents per share. The NAV of a Class A share of the Limited Term Income Fund decreased seventeen cents in the period to $13.32. If you were invested for the entire period, you received dividends of 27.0 cents per share. If you reinvested your dividends, you received 27.2 cents per share. The NAV of a Class A share of the Low Duration Income Fund remained flat in the period, and if you were invested for the entire period you received dividends of 8.36 cents per share. If you reinvested your dividends, you received 8.38 cents per share. Dividends per share varied for other share classes to account for varying class-specific expenses.
Combining income and change in price, Class A shares of the Thornburg Limited Term U.S. Government Fund produced a total return of 1.62% (without sales charge) over the 12-month period. The Barclays Intermediate Government Bond Index produced a total return of 3.00% over the same period. The average return for the Lipper Short-Intermediate U.S. Government category was 1.38%. Class A shares of the Thornburg Limited Term Income Fund produced a total return of 1.27% (without sales charge) over the year ended September 30, 2015. The Barclays Intermediate Government/Credit Bond Index produced a 2.68% total return over the same time period. The average return for the Lipper Short-Intermediate Investment-Grade Debt category was 1.00%. Class A shares of the Thornburg Low Duration Income Fund produced a total return of 0.68% (without sales charge) over the year ended September 30, 2015. The Barclays U.S. Aggregate Bond 1-3 Year Index produced a 1.21% total return over the same time period. The average return for the Lipper Short Investment-Grade Debt category was 0.45%. The indices reflect no deduction for fees, expenses, or taxes.
From the end of its quantitative easing program (QE) in December 2014 to its decision to keep rates unchanged at 0% to 0.25% in September 2015, the Federal Reserve Board (the Fed) and its Federal Open Market Committee dominated the headlines and drove much of the activity in fixed income markets over the past year. Chairwoman Yellen and many Fed governors spoke many times throughout the year about rate decisions being “data dependent” without being particularly clear as to which data they were referencing. Unemployment continues to fall, and inflation, while below its target rate of 2%, is solidly positive. The overall U.S. economy continues to grow despite the occasional slow patch. A historically low federal funds rate is probably still prudent, but an essentially zero rate seems incongruous. The Fed may have missed the “ideal” window to raise rates and perhaps now fears what might happen to financial markets and the real economy if it were to withdraw the unprecedented monetary stimulus. From our perspective, it is hard to believe that seven years of near 0% interest rates have not distorted monetary/capital flows, asset prices, and the real economy in meaningfully, and potentially dangerous, ways. Raising rates above 0% sooner than later seems appropriate. Also, while some temporary pain would likely accompany a rate hike, it might give us all more interesting investment opportunities for more income from our portfolios.
Of course, the Fed and its activity, or lack thereof, was not the only influence on the portfolios this past year. The European Central Bank started its own QE program, and central banks in other countries such as China and Japan continued to intervene in their markets in an attempt to stimulate their economies. These actions caused interest rates around the developed world to fall or remain low, which made U.S. interest rates relatively attractive. As such, while Fed talk of potential rate hikes caused the U.S. Treasury two-year rate to rise slightly from 0.57% on September 30, 2014, to 0.63% on September 30, 2015, foreign buying, among other reasons, caused the U.S. Treasury five-year rate to fall from 1.76% to 1.36% and the U.S. Treasury 10-year rate to fall from 2.49% to 2.04% over the same period. We had kept the Funds’ durations short relative to a more neutral position, which meant they didn’t fully participate in the rally. And yet, because we continued to employ a maturity ladder in each Fund, the Funds did benefit to varying degrees.
Commodity price volatility and the substantial supply of new debt, particularly corporate debt, also impacted the market. Commodity prices, especially oil prices, declined significantly in the fourth quarter of 2014, bounced a bit higher in spring 2015, and fell again in the third quarter of 2015. After several years of massive capital spending to increase the supply of various metals and oil, specifically U.S. shale oil, the market began to fear the world was becoming oversupplied given that Chinese growth, and thus aggregate demand, was slowing. Investors as a result began to demand more compensation to own commodity company bonds. Credit spreads overall
4 Annual Reports
LETTER TO SHAREHOLDERS, | ||
CONTINUED
September 30, 2015 (Unaudited) |
increased a bit in sympathy, but it wasn’t until this generalized fear over risk assets met with a wave of new debt issuance that credit spreads moved substantially wider. From September 2014 to March 2015, the Barclays U.S. Corporate Bond Index option adjusted spread (OAS) increased from 112 basis points (bps) to 129 bps and then increased to 169 bps in September 2015. The metals sector OAS moved the most, increasing from 172 bps to 394 bps over the past 12 months.
Both the Limited Term Income Fund and the Low Duration Income Fund have sizable allocations to corporate bonds, and while we had increased the quality of the portfolios coming into the year and throughout the first half, this exposure had a negative impact on the Funds’ performance relative to the benchmark. However, as we have said in the past, when we believe fixed income investors are well compensated for assuming additional risk, we will position each portfolio to seek additional return. The higher spreads created some opportunities for both the Limited Term Income Fund and the Low Duration Income Fund to add a bit of additional credit risk at attractive levels. That said, with benchmark U.S. Treasuries still at such low rates, the market is not exceedingly cheap. We will remain patient and continue to be highly selective in the current environment.
As we look forward, we are cautious about the impact Fed action may have on financial markets. We are hopeful that the normalization of rates will cause minimal market disruption; however, as stewards of your capital, we have felt it prudent to take the necessary precautions in Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, and Thornburg Low Duration Income Fund to prepare for a potentially more volatile period ahead. Given the Funds’ lower durations and laddered portfolio structure, investors could benefit from a gradual return to higher rates. All three Funds now hold a higher cash and cash-equivalents balance, which we view as defensive as well as opportunistic. This capital can buffer market liquidity events and/or be deployed in periods of rising volatility to acquire quality assets at attractive prices.
While the timing of the normalization of Federal Reserve policy remains highly difficult to predict, an eventual rise in the yield curve and global economic uncertainties make significant price increases in high-quality fixed income unlikely. Furthermore, volatility is likely to remain elevated across asset classes, high-quality fixed income included. We have taken many measures to help shield investors from this volatility, but the Funds are likely to be affected. Nevertheless, we believe your Funds are well positioned to achieve their longer-term goals of price stability and a reasonably attractive income stream, no matter what environment we may be entering. For investors with an appropriate medium-term investment horizon, we believe the Funds remain appropriate vehicles for investors seeking core bond investments.
Thank you very much for investing in the Funds.
Sincerely, | ||||
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Jason H. Brady, CFA | Lon R. Erickson, CFA | Jeff Klingelhofer, 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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Reports 5
September 30, 2015 (Unaudited)
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
LIMITED TERM U.S. GOVERNMENT FUND | ||||||||||||||||||||
A Shares (Incep: 11/16/87) | ||||||||||||||||||||
Without sales charge | 1.62 | % | 0.50 | % | 1.29 | % | 3.18 | % | 5.13 | % | ||||||||||
With sales charge | 0.11 | % | 0.00 | % | 0.99 | % | 3.03 | % | 5.07 | % | ||||||||||
B Shares (Incep: 11/1/02) | ||||||||||||||||||||
Without sales charge | 0.35 | % | -0.87 | % | -0.08 | % | 2.09 | % | 2.13 | % | ||||||||||
With sales charge | -4.65 | % | -2.02 | % | -0.47 | % | 2.09 | % | 2.13 | % | ||||||||||
C Shares (Incep: 9/1/94) | ||||||||||||||||||||
Without sales charge | 1.34 | % | 0.24 | % | 1.00 | % | 2.89 | % | 4.04 | % | ||||||||||
With sales charge | 0.84 | % | 0.24 | % | 1.00 | % | 2.89 | % | 4.04 | % | ||||||||||
I Shares (Incep: 7/5/96) | 1.93 | % | 0.82 | % | 1.61 | % | 3.50 | % | 4.54 | % | ||||||||||
R3 Shares (Incep: 7/1/03) | 1.55 | % | 0.43 | % | 1.20 | % | 3.11 | % | 2.71 | % | ||||||||||
R4 Shares (Incep: 2/1/14) | 1.55 | % | — | — | — | 1.41 | % | |||||||||||||
R5 Shares (Incep: 5/1/12) | 1.95 | % | 0.80 | % | — | — | 1.05 | % | ||||||||||||
LIMITED TERM INCOME FUND | ||||||||||||||||||||
A Shares (Incep: 10/1/92) | ||||||||||||||||||||
Without sales charge | 1.27 | % | 1.85 | % | 3.14 | % | 4.49 | % | 5.21 | % | ||||||||||
With sales charge | -0.28 | % | 1.34 | % | 2.83 | % | 4.33 | % | 5.14 | % | ||||||||||
C Shares (Incep: 9/1/94) | ||||||||||||||||||||
Without sales charge | 1.04 | % | 1.62 | % | 2.90 | % | 4.24 | % | 4.91 | % | ||||||||||
With sales charge | 0.55 | % | 1.62 | % | 2.90 | % | 4.24 | % | 4.91 | % | ||||||||||
I Shares (Incep: 7/5/96) | 1.71 | % | 2.21 | % | 3.52 | % | 4.85 | % | 5.45 | % | ||||||||||
R3 Shares (Incep: 7/1/03) | 1.16 | % | 1.74 | % | 3.06 | % | 4.45 | % | 3.96 | % | ||||||||||
R4 Shares (Incep: 2/1/14) | 1.24 | % | — | — | — | 1.86 | % | |||||||||||||
R5 Shares (Incep: 5/1/12) | 1.50 | % | 2.09 | % | — | — | 2.77 | % | ||||||||||||
LOW DURATION INCOME FUND | ||||||||||||||||||||
A Shares (Incep: 12/30/13) | ||||||||||||||||||||
Without sales charge | 0.68 | % | — | — | — | 1.14 | % | |||||||||||||
With sales charge | -0.85 | % | — | — | — | 0.26 | % | |||||||||||||
I Shares (Incep: 12/30/13) | 0.80 | % | — | — | — | 1.30 | % |
30-Day Yields
(with sales charge)
Thornburg Limited Term U.S. Government Fund, A Shares
Annualized Distribution Yield | 1.51 | % | ||
SEC Yield | 0.92 | % |
Thornburg Limited Term Income Fund, A Shares
Annualized Distribution Yield | 1.99 | % | ||
SEC Yield | 1.52 | % |
Thornburg Low Duration Income Fund, A Shares
Annualized Distribution Yield | 0.68 | % | ||
SEC Yield | 0.59 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. Class A shares are sold with a maximum sales charge of 1.50%. 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 include a 0.50% CDSC for the first year only. There is no sales charge for Class I, Class R3, Class R4, and Class R5 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: Limited Term U.S. Government Fund A shares, 0.93%; B shares, 3.60%; C shares, 1.19%; I shares, 0.61%; R3 shares, 1.31%; R4 shares, 1.13%; R5 shares 2.87%; Limited Term Income Fund A shares, 0.89%; C shares, 1.11%; I shares, 0.54%; R3 shares, 1.12%; R4 shares, 1.17%; R5 shares 0.72%; and Low Duration Income Fund A shares, 3.14%; I shares, 3.19%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: For Limited Term U.S. Government Fund B shares, 2.50%; R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.67%. Limited Term Income Fund R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.67%. Low Duration Income Fund A shares, 0.70%; I shares, 0.50% For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Without the fee waivers and expense reimbursements described above, the Annualized Distribution yield for Low Duration Income Fund would have been negative 1.08%, and the SEC yield would have been negative 1.17%. Unsubsidized yields may be disproportionately negative due to the size of net assets and fixed expenses.
6 Annual Reports
Glossary
September 30, 2015 (Unaudited)
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.
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 U.S. Aggregate Bond 1-3 Year Index – Composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
Barclays U.S. Corporate Index – A broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements.
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).
Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.
Duration – A bond’s sensitivity to interest rates. Effective duration incorporates the embedded option features, such as call provisions. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
Laddering – Laddering involves building a portfolio of bonds with staggered maturities so that a portion matures each year. Money that comes in from maturing bonds is typically invested in bonds with longer maturities at the far end of the portfolio.
Lipper Short-Intermediate U.S. Government Funds – Funds that invest primarily in securities issued or guaranteed by the U.S. government, its agencies, or its instrumentalities, with dollar-weighted average maturities of one to five years.
Lipper Short-Intermediate Investment-Grade Debt Funds – Funds that invest primarily in investment-grade debt issues (rated in the top four grades) with dollar-weighted average maturities of one to five years.
Lipper Short Investment-Grade Debt Funds – Funds that invest primarily in investment-grade debt issues (rated in the top four grades) with dollar-weighted average maturities of less than three years.
OAS (Option Adjusted Spread) – The flat spread over the treasury yield curve required to discount a security payment to match its market price.
Quantitative Easing (QE) – An unconventional monetary policy in which a central bank purchases financial assets from the market in order to lower interest rates and increase the money supply.
Treasuries – U.S. Treasury securities, such as bills, notes and bonds, are negotiable debt obligations of the U.S. government. These debt obligations are backed by the “full faith and credit” of the government and issued at various schedules and maturities. Income from Treasury securities is exempt from state and local, but not federal, taxes.
Annual Reports 7
FUND SUMMARY | ||
September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary objective is to obtain as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with the safety of capital. As a secondary goal, the Fund seeks to reduce changes in its share price compared to longer term portfolios.
This Fund is a laddered portfolio primarily composed of short/ intermediate debt obligations at least 80% of which are issued by the U.S. Government, its agencies, or its instrumentalities, with a dollar-weighted average maturity of normally less than five years.
Long Term Stability of Principal
Net Asset Value History of A Shares
Key Portfolio Attributes
Number of Bonds | 140 | |||
Effective Duration | 2.5 Yrs | |||
Average Maturity | 3.3 Yrs |
Types of Holdings
Portfolio Ladder
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
8 Annual Reports
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term U.S. Government Fund | September 30, 2015 |
Issuer-Description | Principal Amount | Value | ||||||
U.S. TREASURY SECURITIES — 20.45% | ||||||||
United States Treasury Notes, 1.375%, 11/30/2015 | $ | 2,500,000 | $ | 2,505,359 | ||||
United States Treasury Notes, 2.625%, 2/29/2016 | 2,000,000 | 2,020,781 | ||||||
United States Treasury Notes, 4.875%, 8/15/2016 | 5,000,000 | 5,195,825 | ||||||
United States Treasury Notes, 4.625%, 2/15/2017 | 4,000,000 | 4,225,430 | ||||||
United States Treasury Notes, 2.25%, 11/30/2017 | 3,500,000 | 3,614,502 | ||||||
United States Treasury Notes, 2.625%, 1/31/2018 | 6,700,000 | 6,986,517 | ||||||
United States Treasury Notes, 1.125%, 6/15/2018 | 4,000,000 | 4,027,305 | ||||||
United States Treasury Notes, 3.625%, 2/15/2020 | 1,000,000 | 1,098,545 | ||||||
United States Treasury Notes, 1.375%, 2/29/2020 | 2,500,000 | 2,511,524 | ||||||
United States Treasury Notes, 1.625%, 6/30/2020 | 4,000,000 | 4,050,820 | ||||||
United States Treasury Notes Inflationary Index, 2.00%, 1/15/2016 | 6,012,100 | 5,994,427 | ||||||
United States Treasury Notes Inflationary Index, 0.125%, 4/15/2020 | 6,868,734 | 6,827,109 | ||||||
United States Treasury Notes Inflationary Index, 0.125%, 7/15/2022 | 5,188,950 | 5,062,709 | ||||||
United States Treasury Notes Inflationary Index, 0.375%, 7/15/2025 | 4,025,480 | 3,921,439 | ||||||
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TOTAL U.S. TREASURY SECURITIES (Cost $57,252,095) | 58,042,292 | |||||||
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U.S. GOVERNMENT AGENCIES — 17.98% | ||||||||
Federal Home Loan Bank, 5.00%, 12/8/2017 | 3,000,000 | 3,269,877 | ||||||
Federal Home Loan Mtg Corp., 4.875%, 6/13/2018 | 3,000,000 | 3,311,553 | ||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06%, 1/15/2022 | 658,444 | 669,176 | ||||||
New Valley Generation I, Tennessee Valley Authority, 7.299%, 3/15/2019 | 1,697,226 | 1,879,235 | ||||||
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70%, 12/20/2022 | 2,325,000 | 2,322,105 | ||||||
a Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 2.46%, 12/15/2025 | 2,500,000 | 2,539,468 | ||||||
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 5.45%, 9/15/2017 | 3,000,000 | 3,264,276 | ||||||
a Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.512%, 1/15/2026 | 3,500,000 | 3,562,380 | ||||||
Small Business Administration Participation Certificates, Series 2001-20D Class 1, 6.35%, 4/1/2021 | 1,235,298 | 1,351,596 | ||||||
Small Business Administration Participation Certificates, Series 2001-20F Class 1, 6.44%, 6/1/2021 | 727,468 | 796,470 | ||||||
Small Business Administration Participation Certificates, Series 2002-20A Class 1, 6.14%, 1/1/2022 | 464,089 | 507,319 | ||||||
Small Business Administration Participation Certificates, Series 2002-20K Class 1, 5.08%, 11/1/2022 | 491,197 | 528,066 | ||||||
Small Business Administration Participation Certificates, Series 2005-20H Class 1, 5.11%, 8/1/2025 | 395,022 | 430,973 | ||||||
Small Business Administration Participation Certificates, Series 2007-20D Class 1, 5.32%, 4/1/2027 | 990,333 | 1,100,543 | ||||||
Small Business Administration Participation Certificates, Series 2007-20F Class 1, 5.71%, 6/1/2027 | 554,147 | 624,359 | ||||||
Small Business Administration Participation Certificates, Series 2007-20I Class 1, 5.56%, 9/1/2027 | 1,764,455 | 1,985,543 | ||||||
Small Business Administration Participation Certificates, Series 2007-20K Class 1, 5.51%, 11/1/2027 | 1,116,567 | 1,253,344 | ||||||
Small Business Administration Participation Certificates, Series 2008-20G Class 1, 5.87%, 7/1/2028 | 2,749,787 | 3,114,486 | ||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74%, 7/1/2031 | 2,744,321 | 2,939,807 | ||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87%, 11/1/2031 | 3,015,092 | 3,107,285 | ||||||
Small Business Administration Participation Certificates, Series 2015-20G Class 1, 2.88%, 7/1/2035 | 2,500,000 | 2,540,584 | ||||||
Small Business Administration Participation Certificates, Series 2015-20I Class 1, 2.82%, 9/1/2035 | 2,750,000 | 2,776,271 | ||||||
b,c U.S. Department of Transportation, 5.594%, 12/7/2021 | 1,943,121 | 2,108,287 | ||||||
Union 13 Leasing LLC, (Guaranty: Export-Import Bank of the United States), 1.87%, 6/28/2024 | 2,255,170 | 2,246,264 | ||||||
a Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 0.756%, 6/26/2024 | 2,850,773 | 2,815,210 | ||||||
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TOTAL U.S. GOVERNMENT AGENCIES (Cost $49,397,710) | 51,044,477 | |||||||
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MORTGAGE BACKED — 48.22% | ||||||||
Federal Home Loan Mtg Corp., CMO Series 1321 Class TE, 7.00%, 8/15/2022 | 177,643 | 193,655 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2420 Class MC, 6.00%, 2/15/2017 | 43,859 | 45,050 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2527 Class BP, 5.00%, 11/15/2017 | 184,184 | 190,497 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2529 Class MB, 5.00%, 11/15/2017 | 187,637 | 193,025 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2553 Class GB, 5.00%, 1/15/2018 | 147,605 | 152,947 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2558 Class BD, 5.00%, 1/15/2018 | 675,800 | 700,380 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2622 Class PE, 4.50%, 5/15/2018 | 363,869 | 376,843 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2641 Class WE, 4.50%, 1/15/2033 | 82,826 | 85,813 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2642 Class JE, 5.00%, 9/15/2032 | 381,678 | 389,513 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2649 Class QH, 4.50%, 7/15/2018 | 186,616 | 194,092 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00%, 6/15/2019 | 50,032 | 51,774 | ||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50%, 7/15/2019 | 678,351 | 698,749 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50%, 3/15/2022 | 1,221,713 | 1,288,633 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00%, 10/15/2021 | 185,052 | 188,300 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3640 Class EL, 4.00%, 3/15/2020 | 807,504 | 842,480 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3704 Class DC, 4.00%, 11/15/2036 | 642,674 | 696,248 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3867 Class VA, 4.50%, 3/15/2024 | 2,072,367 | 2,299,171 | ||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00%, 4/15/2041 | 1,486,684 | 1,504,306 |
Annual Reports 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | September 30, 2015 |
Issuer-Description | Principal Amount | Value | ||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50%, 8/15/2023 | $ | 2,602,601 | $ | 2,783,154 | ||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75%, 5/15/2039 | 2,825,436 | 2,802,359 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50%, 10/15/2027 | 3,334,470 | 3,303,526 | ||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class UE, 2.00%, 10/15/2027 | 3,445,805 | 3,478,069 | ||||||
Federal Home Loan Mtg Corp., CMO Series K018 Class A1, 1.781%, 10/25/2020 | 1,751,727 | 1,778,261 | ||||||
Federal Home Loan Mtg Corp., CMO Series K035 Class A1, 2.615%, 3/25/2023 | 3,326,473 | 3,464,774 | ||||||
Federal Home Loan Mtg Corp., CMO Series K037 Class A1, 2.592%, 4/25/2023 | 1,852,105 | 1,929,057 | ||||||
Federal Home Loan Mtg Corp., CMO Series K038 Class A1, 2.604%, 10/25/2023 | 5,610,163 | 5,849,051 | ||||||
Federal Home Loan Mtg Corp., CMO Series K039 Class A1, 2.683%, 12/25/2023 | 2,535,819 | 2,652,871 | ||||||
Federal Home Loan Mtg Corp., CMO Series K042 Class A1, 2.267%, 6/25/2024 | 2,322,076 | 2,384,891 | ||||||
Federal Home Loan Mtg Corp., CMO Series K709 Class A2, 2.086%, 3/25/2019 | 3,000,000 | 3,051,509 | ||||||
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.413%, 1/25/2021 | 1,841,853 | 1,903,219 | ||||||
Federal Home Loan Mtg Corp., CMO Series KP02 Class A2, 2.355%, 4/25/2021 | 3,000,000 | 3,057,680 | ||||||
Federal Home Loan Mtg Corp., Pool AK6768, 3.00%, 3/1/2027 | 2,727,186 | 2,852,680 | ||||||
Federal Home Loan Mtg Corp., Pool B14155, 3.50%, 5/1/2019 | 188,002 | 198,357 | ||||||
Federal Home Loan Mtg Corp., Pool D37120, 7.00%, 7/1/2023 | 65 | 65 | ||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50%, 1/1/2032 | 1,716,314 | 1,817,215 | ||||||
Federal Home Loan Mtg Corp., Pool E96575, 4.50%, 6/1/2018 | 361,331 | 374,020 | ||||||
Federal Home Loan Mtg Corp., Pool G12079, 4.50%, 4/1/2019 | 385,702 | 401,245 | ||||||
Federal Home Loan Mtg Corp., Pool G12140, 4.00%, 2/1/2020 | 106,901 | 111,825 | ||||||
Federal Home Loan Mtg Corp., Pool G13804, 5.00%, 3/1/2025 | 698,752 | 756,634 | ||||||
Federal Home Loan Mtg Corp., Pool J11371, 4.50%, 12/1/2024 | 706,817 | 752,181 | ||||||
Federal Home Loan Mtg Corp., Pool J13583, 3.50%, 11/1/2025 | 1,164,490 | 1,235,360 | ||||||
Federal Home Loan Mtg Corp., Pool J14888, 3.50%, 4/1/2026 | 1,195,160 | 1,263,975 | ||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50%, 10/15/2023 | 2,270,367 | 2,429,260 | ||||||
Federal National Mtg Assoc., CMO Series 1993-32 Class H, 6.00%, 3/25/2023 | 21,729 | 23,788 | ||||||
Federal National Mtg Assoc., CMO Series 2003-15 Class CY, 5.00%, 3/25/2018 | 120,971 | 125,375 | ||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00%, 2/25/2018 | 322,876 | 335,392 | ||||||
Federal National Mtg Assoc., CMO Series 2003-49 Class YD, 5.50%, 6/25/2023 | 42,424 | 42,560 | ||||||
Federal National Mtg Assoc., CMO Series 2003-9 Class DB, 5.00%, 2/25/2018 | 138,412 | 143,452 | ||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.236%, 3/25/2039 | 484,122 | 435,097 | ||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00%, 2/25/2024 | 80,028 | 81,848 | ||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00%, 7/25/2024 | 333,182 | 346,679 | ||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50%, 8/25/2019 | 172,605 | 179,006 | ||||||
Federal National Mtg Assoc., CMO Series 2009-78 Class A, 4.50%, 8/25/2019 | 243,320 | 252,798 | ||||||
Federal National Mtg Assoc., CMO Series 2010-6 Class VA, 5.00%, 2/25/2021 | 66,619 | 66,607 | ||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00%, 12/25/2022 | 2,069,913 | 2,149,493 | ||||||
Federal National Mtg Assoc., CMO Series 2011-110 Class JV, 4.00%, 1/25/2023 | 2,314,061 | 2,401,199 | ||||||
Federal National Mtg Assoc., CMO Series 2011-118 Class V, 4.00%, 10/25/2029 | 1,933,989 | 1,968,583 | ||||||
Federal National Mtg Assoc., CMO Series 2011-124 Class QA, 2.00%, 12/25/2041 | 2,213,059 | 2,189,565 | ||||||
Federal National Mtg Assoc., CMO Series 2011-45 Class VA, 4.00%, 3/25/2024 | 2,846,926 | 3,050,062 | ||||||
Federal National Mtg Assoc., CMO Series 2011-63 Class MV, 3.50%, 7/25/2024 | 2,881,023 | 3,063,550 | ||||||
Federal National Mtg Assoc., CMO Series 2011-70 Class CA, 3.00%, 8/25/2026 | 5,147,353 | 5,217,489 | ||||||
Federal National Mtg Assoc., CMO Series 2011-72 Class KV, 3.50%, 11/25/2022 | 1,609,383 | 1,689,504 | ||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00%, 6/25/2023 | 2,925,071 | 3,129,954 | ||||||
Federal National Mtg Assoc., Pool 044003, 8.00%, 6/1/2017 | 1,017 | 1,064 | ||||||
Federal National Mtg Assoc., Pool 076388, 9.25%, 9/1/2018 | 5,555 | 5,790 | ||||||
Federal National Mtg Assoc., Pool 252648, 6.50%, 5/1/2022 | 31,324 | 34,847 | ||||||
Federal National Mtg Assoc., Pool 342947, 7.25%, 4/1/2024 | 69,488 | 78,991 | ||||||
Federal National Mtg Assoc., Pool 443909, 6.50%, 9/1/2018 | 13,586 | 15,536 | ||||||
Federal National Mtg Assoc., Pool 555207, 7.00%, 11/1/2017 | 2,776 | 2,963 | ||||||
Federal National Mtg Assoc., Pool 726308, 4.00%, 7/1/2018 | 225,522 | 236,181 | ||||||
Federal National Mtg Assoc., Pool 889906, 4.00%, 7/1/2023 | 260,420 | 275,984 | ||||||
Federal National Mtg Assoc., Pool 895572, 2.566%, 6/1/2036 | 332,111 | 354,742 | ||||||
Federal National Mtg Assoc., Pool 930986, 4.50%, 4/1/2019 | 420,598 | 436,255 | ||||||
Federal National Mtg Assoc., Pool AA2870, 4.00%, 3/1/2024 | 688,545 | 731,418 | ||||||
Federal National Mtg Assoc., Pool AB7997, 2.50%, 2/1/2023 | 1,329,957 | 1,371,206 | ||||||
Federal National Mtg Assoc., Pool AD8191, 4.00%, 9/1/2025 | 1,068,018 | 1,140,527 | ||||||
Federal National Mtg Assoc., Pool AJ1752, 3.50%, 9/1/2026 | 2,787,815 | 2,961,509 | ||||||
Federal National Mtg Assoc., Pool AK6518, 3.00%, 3/1/2027 | 2,630,268 | 2,747,602 | ||||||
Federal National Mtg Assoc., Pool MA0045, 4.00%, 4/1/2019 | 286,436 | 299,975 | ||||||
Federal National Mtg Assoc., Pool MA0071, 4.50%, 5/1/2019 | 205,478 | 213,127 | ||||||
Federal National Mtg Assoc., Pool MA0125, 4.50%, 7/1/2019 | 172,268 | 178,681 | ||||||
Federal National Mtg Assoc., Pool MA0380, 4.00%, 4/1/2020 | 434,799 | 455,350 | ||||||
Federal National Mtg Assoc., Pool MA1582, 3.50%, 9/1/2043 | 5,386,313 | 5,633,957 | ||||||
Federal National Mtg Assoc., Pool MA1585, 2.00%, 9/1/2023 | 2,868,068 | 2,896,300 |
10 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term U.S. Government Fund | September 30, 2015 |
Issuer-Description | Principal Amount | Value | ||||||
Federal National Mtg Assoc., Pool MA1625, 3.00%, 10/1/2023 | $ | 3,336,808 | $ | 3,491,917 | ||||
Federal National Mtg Assoc., Pool MA2322, 2.50%, 7/1/2025 | 2,422,077 | 2,496,442 | ||||||
Government National Mtg Assoc., CMO Series 2009-92 Class VA, 5.00%, 10/20/2020 | 740,416 | 747,871 | ||||||
Government National Mtg Assoc., CMO Series 2010-160 Class VY, 4.50%, 1/20/2022 | 629,457 | 687,209 | ||||||
Government National Mtg Assoc., Pool 000623, 8.00%, 9/20/2016 | 1,023 | 1,045 | ||||||
Government National Mtg Assoc., Pool 003550, 5.00%, 5/20/2019 | 185,617 | 195,450 | ||||||
Government National Mtg Assoc., Pool 714631, 5.691%, 10/20/2059 | 775,539 | 811,963 | ||||||
Government National Mtg Assoc., Pool 721652, 5.044%, 5/20/2061 | 3,837,786 | 4,102,278 | ||||||
Government National Mtg Assoc., Pool 751388, 5.307%, 1/20/2061 | 2,912,089 | 3,154,267 | ||||||
Government National Mtg Assoc., Pool 751392, 5.00%, 2/20/2061 | 4,858,927 | 5,448,757 | ||||||
Government National Mtg Assoc., Pool 757313, 4.307%, 12/20/2060 | 4,948,513 | 5,149,620 | ||||||
Government National Mtg Assoc., Pool 894205, 3.00%, 8/20/2039 | 800,948 | 830,075 | ||||||
Government National Mtg Assoc., Pool MA0100, 2.50%, 5/20/2042 | 2,036,158 | 2,104,032 | ||||||
|
| |||||||
TOTAL MORTGAGE BACKED (Cost $135,341,350) | 136,907,646 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 9.51% | ||||||||
Bank of New York Tri-Party Repurchase Agreement 0.17% dated 9/30/2015 due 10/1/2015, repurchase price $12,000,057 collateralized by 18 U.S. Government debt securities, having an average coupon of 3.14%, a minimum credit rating of BBB-, maturity dates from 4/25/2022 to 7/20/2042, and having an aggregate market value of $12,212,086 at 9/30/2015 | 12,000,000 | 12,000,000 | ||||||
Federal Home Loan Discount Note, 0.01%, 10/14/2015 | 5,000,000 | 5,000,000 | ||||||
United States Treasury Bill, 0.01%, 10/1/2015 | 5,000,000 | 5,000,000 | ||||||
United States Treasury Bill, 0.01%, 10/8/2015 | 5,000,000 | 4,999,984 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $26,999,984) | 26,999,984 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 96.16% (Cost $268,991,139) | $ | 272,994,399 | ||||||
OTHER ASSETS LESS LIABILITIES — 3.84% | 10,909,340 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 283,903,739 | ||||||
|
|
Footnote Legend
a | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2015, the aggregate value of these securities in the Fund’s portfolio was $2,108,287, representing 0.74% 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.
Annual Reports 11
FUND SUMMARY | ||
September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary objective is to obtain as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with the preservation of capital. As a secondary goal, the Fund seeks to reduce changes in its share price compared to longer term portfolios.
This Fund is a laddered portfolio primarily composed of short/ intermediate debt obligations which are investment grade or judged by the advisor to be of equivalent quality, with a dollar-weighted average maturity of normally less than five years.
Long-Term Stability of Principal
Net Asset Value History of A Shares
Key Portfolio Attributes
Number of Bonds | 531 | |||
Effective Duration | 3.0 Yrs | |||
Average Maturity | 3.9 Yrs |
Security Credit Ratings
Credit quality ratings for Thornburg’s global fixed income portfolios 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 other rating agencies.
Portfolio Ladder
There is no guarantee that the Fund will meet its investment objectives.
All data is subject to change. Charts may not add up to 100% due to rounding.
12 Annual Reports
SCHEDULE OF INVESTMENTS | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
U.S. TREASURY SECURITIES — 1.95% | ||||||||||
United States Treasury Notes, 5.125% due 5/15/2016 | NR/Aaa | $ | 1,000,000 | $ | 1,030,366 | |||||
United States Treasury Notes, 4.875% due 8/15/2016 | NR/Aaa | 2,000,000 | 2,078,330 | |||||||
United States Treasury Notes, 3.00% due 2/28/2017 | NR/Aaa | 2,000,000 | 2,070,615 | |||||||
United States Treasury Notes, 0.875% due 6/15/2017 | NR/Aaa | 14,900,000 | 14,973,337 | |||||||
United States Treasury Notes, 1.625% due 3/31/2019 | NR/Aaa | 15,000,000 | 15,277,002 | |||||||
United States Treasury Notes, 1.50% due 5/31/2019 | NR/Aaa | 10,000,000 | 10,133,594 | |||||||
United States Treasury Notes, 1.125% due 12/31/2019 | NR/Aaa | 14,900,000 | 14,814,587 | |||||||
United States Treasury Notes, 1.375% due 5/31/2020 | NR/Aaa | 5,000,000 | 5,009,326 | |||||||
United States Treasury Notes Inflationary Index, 0.125% due 4/15/2020 | NR/NR | 9,740,558 | 9,681,529 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $73,842,202) | 75,068,686 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 7.31% | ||||||||||
a Agribank FCB, 9.125% due 7/15/2019 | A-/A2 | 14,185,000 | 17,522,390 | |||||||
Alex Alpha, LLC, (Guaranty: Export-Import Bank of the United States), 1.617% due 8/15/2024 | NR/NR | 3,913,043 | 3,860,667 | |||||||
Altitude Investments 12, LLC, (Guaranty: Export-Import Bank of the United States), 2.454% due 12/9/2025 | NR/NR | 6,113,708 | 6,212,182 | |||||||
a CoBank ACB Floating Rate Note (Farm Credit Banks), 0.937% due 6/15/2022 | A-/NR | 27,800,000 | 26,255,766 | |||||||
b Durrah MSN 35603, (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025 | NR/NR | 12,093,263 | 11,917,257 | |||||||
DY8 Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 2.627% due 4/29/2026 | NR/NR | 4,591,146 | 4,706,632 | |||||||
Export Leasing (2009), LLC, (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021 | NR/NR | 5,405,560 | 5,452,783 | |||||||
b Gate Capital Cayman One Ltd., (Guaranty: Export-Import Bank of the United States), 1.839% due 3/27/2021 | NR/NR | 8,967,643 | 9,045,473 | |||||||
Helios Leasing I, LLC, (Guaranty: Export-Import Bank of the United States), 1.562% due 9/28/2024 | NR/NR | 4,609,250 | 4,521,356 | |||||||
b Micron Semiconductor Ltd., (Guaranty: Export-Import Bank of the United States), 1.258% due 1/15/2019 | NR/NR | 3,010,000 | 3,010,027 | |||||||
b MSN 41079 and 41084 Ltd., (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024 | NR/NR | 9,244,390 | 9,151,946 | |||||||
Mtg-Linked Amortizing Notes, Series 2012-1 Class A10, 2.06% due 1/15/2022 | AA+/NR | 905,360 | 920,117 | |||||||
b Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 1.70% due 12/20/2022 | NR/NR | 4,500,000 | 4,494,398 | |||||||
b Petroleos Mexicanos, (Guaranty: Export-Import Bank of the United States), 2.46% due 12/15/2025 | NR/NR | 7,500,000 | 7,618,402 | |||||||
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 5.45% due 9/15/2017 | A/Aaa | 3,000,000 | 3,264,276 | |||||||
Private Export Funding Corp., (Guaranty: Export-Import Bank of the United States), 3.55% due 1/15/2024 | A/Aaa | 10,000,000 | 10,764,090 | |||||||
b Reliance Industries Ltd., (Guaranty: Export-Import Bank of the United States), 2.512% due 1/15/2026 | NR/NR | 6,500,000 | 6,615,850 | |||||||
Sandalwood 2013, LLC, (Guaranty: Export-Import Bank of the United States), 2.821% due 2/12/2026 | NR/NR | 6,222,520 | 6,434,696 | |||||||
Santa Rosa Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.693% due 8/15/2024 | NR/NR | 4,597,039 | 4,548,567 | |||||||
Santa Rosa Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.472% due 11/3/2024 | NR/NR | 12,601,903 | 12,315,563 | |||||||
Small Business Administration Participation Certificates, Series 2001-20J Class 1, 5.76% due 10/1/2021 | NR/NR | 430,650 | 463,307 | |||||||
Small Business Administration Participation Certificates, Series 2008-20D Class 1, 5.37% due 4/1/2028 | NR/NR | 1,652,090 | 1,847,423 | |||||||
Small Business Administration Participation Certificates, Series 2009-20E Class 1, 4.43% due 5/1/2029 | NR/NR | 1,339,159 | 1,450,157 | |||||||
Small Business Administration Participation Certificates, Series 2009-20K Class 1, 4.09% due 11/1/2029 | NR/NR | 7,984,141 | 8,570,278 | |||||||
Small Business Administration Participation Certificates, Series 2011-20E Class 1, 3.79% due 5/1/2031 | NR/NR | 10,680,206 | 11,454,294 | |||||||
Small Business Administration Participation Certificates, Series 2011-20F Class 1, 3.67% due 6/1/2031 | NR/NR | 1,752,468 | 1,878,512 | |||||||
Small Business Administration Participation Certificates, Series 2011-20G Class 1, 3.74% due 7/1/2031 | NR/NR | 10,977,284 | 11,759,228 | |||||||
Small Business Administration Participation Certificates, Series 2011-20I Class 1, 2.85% due 9/1/2031 | NR/NR | 14,888,661 | 15,317,368 | |||||||
Small Business Administration Participation Certificates, Series 2011-20K Class 1, 2.87% due 11/1/2031 | NR/NR | 11,736,247 | 12,095,107 | |||||||
Small Business Administration Participation Certificates, Series 2012-20D Class 1, 2.67% due 4/1/2032 | NR/NR | 12,027,873 | 12,399,880 | |||||||
Small Business Administration Participation Certificates, Series 2012-20J Class 1, 2.18% due 10/1/2032 | NR/NR | 9,222,762 | 9,196,310 | |||||||
Small Business Administration Participation Certificates, Series 2012-20K Class 1, 2.09% due 11/1/2032 | NR/NR | 5,556,782 | 5,533,544 | |||||||
Southaven Combined Cycle Generation, LLC (Tennessee Valley Authority), 3.846% due 8/15/2033 | AA-/Aaa | 5,693,122 | 5,869,671 | |||||||
a,c U.S. Department of Transportation, 5.594% due 12/7/2021 | NR/NR | 1,781,195 | 1,932,596 | |||||||
a,c U.S. Department of Transportation, 6.001% due 12/7/2021 | NR/NR | 3,000,000 | 3,367,500 | |||||||
Union 13 Leasing, LLC, (Guaranty: Export-Import Bank of the United States), 1.682% due 12/19/2024 | NR/NR | 11,808,416 | 11,629,117 | |||||||
b Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 0.756% due 6/26/2024 | NR/NR | 7,887,138 | 7,788,746 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $278,843,358) | 281,185,476 | |||||||||
|
| |||||||||
OTHER GOVERNMENT — 2.62% | ||||||||||
a,b Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.004% due 9/18/2024 | NR/NR | 8,844,050 | 8,849,914 | |||||||
a,b Carpintero Finance Ltd., (Guaranty: Export Credits Guarantee Department of the United Kingdom), 2.581% due 11/11/2024 | NR/NR | 12,418,570 | 12,760,056 | |||||||
b Corp Andina de Fomento, 3.75% due 1/15/2016 | AA-/Aa3 | 10,900,000 | 11,006,351 | |||||||
a,b Eurasian Development Bank, 5.00% due 9/26/2020 | BBB/Baa1 | 8,000,000 | 7,904,080 | |||||||
a,b Government of Bermuda, 5.603% due 7/20/2020 | A+/A1 | 3,000,000 | 3,315,000 | |||||||
a,b Government of Bermuda, 4.138% due 1/3/2023 | A+/A1 | 4,000,000 | 3,985,500 | |||||||
a,b Khadrawy Ltd., (Guaranty: Export Credit Guarantee Department), 2.471% due 3/31/2025 | NR/NR | 5,901,425 | 5,864,246 | |||||||
a,b Korea National Oil Corp., 2.75% due 1/23/2019 | AA-/Aa3 | 5,000,000 | 5,066,255 | |||||||
b North American Development Bank, 4.375% due 2/11/2020 | NR/Aa1 | 15,500,000 | 17,099,925 | |||||||
a,b Seven and Seven Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of Korea), 1.539% due 9/11/2019 | NR/NR | 17,840,000 | 17,816,041 |
Annual Reports 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
a,b State of Qatar, 3.125% due 1/20/2017 | AA/Aa2 | $ | 4,000,000 | $ | 4,110,000 | |||||
a,b Turks and Caicos Islands, 3.20% due 2/22/2016 | AAA/NR | 2,930,000 | 2,953,000 | |||||||
|
| |||||||||
TOTAL OTHER GOVERNMENT (Cost $99,609,856) | 100,730,368 | |||||||||
|
| |||||||||
MORTGAGE BACKED — 4.51% | ||||||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K008 Class X1, 1.805% due 6/25/2020 | NR/NR | 37,057,538 | 2,157,846 | |||||||
Federal Home Loan Mtg Corp., CMO Interest Only Series K710 Class X1, 1.904% due 5/25/2019 | NR/NR | 48,455,337 | 2,624,467 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2528 Class HN, 5.00% due 11/15/2017 | NR/NR | 108,213 | 111,957 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2627 Class GY, 4.50% due 6/15/2018 | NR/NR | 715,111 | 741,697 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2628 Class AB, 4.50% due 6/15/2018 | NR/NR | 171,994 | 177,306 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2682 Class JG, 4.50% due 10/15/2023 | NR/NR | 966,942 | 1,028,256 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2814 Class GB, 5.00% due 6/15/2019 | NR/NR | 50,032 | 51,774 | |||||||
Federal Home Loan Mtg Corp., CMO Series 2827 Class BU, 3.50% due 7/15/2019 | NR/NR | 814,021 | 838,498 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3195 Class PD, 6.50% due 7/15/2036 | NR/NR | 1,437,424 | 1,598,943 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3291 Class BY, 4.50% due 3/15/2022 | NR/NR | 1,628,951 | 1,718,178 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3504 Class PC, 4.00% due 1/15/2039 | NR/NR | 161,765 | 169,364 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3589 Class CA, 4.00% due 10/15/2021 | NR/NR | 277,578 | 282,450 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3919 Class VB, 4.00% due 8/15/2024 | NR/NR | 4,454,927 | 4,878,468 | |||||||
Federal Home Loan Mtg Corp., CMO Series 3922 Class PQ, 2.00% due 4/15/2041 | NR/NR | 2,230,026 | 2,256,459 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4050 Class MV, 3.50% due 8/15/2023 | NR/NR | 2,973,552 | 3,179,838 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4079 Class WV, 3.50% due 3/15/2027 | NR/NR | 3,130,359 | 3,323,569 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4097 Class TE, 1.75% due 5/15/2039 | NR/NR | 8,476,308 | 8,407,078 | |||||||
Federal Home Loan Mtg Corp., CMO Series 4120 Class TC, 1.50% due 10/15/2027 | NR/NR | 4,329,838 | 4,289,656 | |||||||
Federal Home Loan Mtg Corp., CMO Series K038 Class A1, 2.604% due 10/25/2023 | NR/NR | 13,090,380 | 13,647,786 | |||||||
Federal Home Loan Mtg Corp., CMO Series K039 Class A1, 2.683% due 12/25/2023 | NR/NR | 6,598,785 | 6,903,381 | |||||||
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.413% due 1/25/2021 | NR/Aaa | 5,663,697 | 5,852,400 | |||||||
Federal Home Loan Mtg Corp., Pool D98887, 3.50% due 1/1/2032 | NR/NR | 5,745,354 | 6,083,118 | |||||||
Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026 | NR/NR | 2,713,734 | 2,838,503 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 3838 Class GV, 4.00% due 3/15/2024 | NR/NR | 8,698,248 | 9,448,585 | |||||||
Federal Home Loan Mtg Corp., REMIC Series 4072 Class VA, 3.50% due 10/15/2023 | NR/NR | 2,284,612 | 2,444,502 | |||||||
Federal National Mtg Assoc., CMO Series 2003-4 Class PE, 5.00% due 2/25/2018 | NR/NR | 325,371 | 337,983 | |||||||
Federal National Mtg Assoc., CMO Series 2003-74 Class KN, 4.50% due 8/25/2018 | NR/NR | 141,484 | 146,263 | |||||||
Federal National Mtg Assoc., CMO Series 2005-48 Class AR, 5.50% due 2/25/2035 | NR/NR | 401,598 | 430,546 | |||||||
Federal National Mtg Assoc., CMO Series 2007-42 Class PA, 5.50% due 4/25/2037 | NR/NR | 575,695 | 623,931 | |||||||
Federal National Mtg Assoc., CMO Series 2009-17 Class AH, 1.236% due 3/25/2039 | NR/NR | 806,869 | 725,162 | |||||||
Federal National Mtg Assoc., CMO Series 2009-49 Class KA, 5.00% due 2/25/2024 | NR/NR | 186,732 | 190,978 | |||||||
Federal National Mtg Assoc., CMO Series 2009-5 Class A, 4.50% due 12/25/2023 | NR/NR | 777,342 | 806,769 | |||||||
Federal National Mtg Assoc., CMO Series 2009-52 Class AJ, 4.00% due 7/25/2024 | NR/NR | 555,303 | 577,798 | |||||||
Federal National Mtg Assoc., CMO Series 2009-65 Class GA, 4.50% due 11/25/2023 | NR/NR | 36,693 | 36,970 | |||||||
Federal National Mtg Assoc., CMO Series 2009-70 Class NK, 4.50% due 8/25/2019 | NR/NR | 431,513 | 447,515 | |||||||
Federal National Mtg Assoc., CMO Series 2011-103 Class VA, 4.00% due 12/25/2022 | NR/NR | 2,050,594 | 2,129,431 | |||||||
Federal National Mtg Assoc., CMO Series 2011-15 Class VA, 4.00% due 4/25/2022 | NR/NR | 1,277,471 | 1,357,104 | |||||||
Federal National Mtg Assoc., CMO Series 2011-89 Class VA, 4.00% due 9/25/2023 | NR/NR | 841,598 | 844,612 | |||||||
Federal National Mtg Assoc., CMO Series 2012-129 Class LA, 3.50% due 12/25/2042 | NR/NR | 11,650,347 | 12,219,371 | |||||||
Federal National Mtg Assoc., CMO Series 2012-36 Class CV, 4.00% due 6/25/2023 | NR/NR | 2,668,396 | 2,855,301 | |||||||
Federal National Mtg Assoc., Pool 357384, 4.50% due 5/1/2018 | NR/NR | 100,432 | 104,171 | |||||||
Federal National Mtg Assoc., Pool 897936, 5.50% due 8/1/2021 | NR/NR | 681,686 | 735,256 | |||||||
Federal National Mtg Assoc., Pool AB7997, 2.50% due 2/1/2023 | NR/NR | 7,240,567 | 7,465,137 | |||||||
Federal National Mtg Assoc., Pool AK6518, 3.00% due 3/1/2027 | NR/NR | 3,668,889 | 3,832,555 | |||||||
Federal National Mtg Assoc., Pool MA1278, 2.50% due 12/1/2022 | NR/NR | 9,209,289 | 9,494,920 | |||||||
Federal National Mtg Assoc., Pool MA1585, 2.00% due 9/1/2023 | NR/NR | 10,862,806 | 10,969,736 | |||||||
Federal National Mtg Assoc., Pool MA1691, 3.00% due 12/1/2023 | NR/NR | 9,994,043 | 10,458,610 | |||||||
Government National Mtg Assoc., CMO Series 2009-68 Class DP, 4.50% due 11/16/2038 | NR/NR | 561,951 | 604,162 | |||||||
Government National Mtg Assoc., Pool 714631, 5.691% due 10/20/2059 | NR/NR | 2,093,955 | 2,192,300 | |||||||
Government National Mtg Assoc., Pool 721652, 5.044% due 5/20/2061 | NR/NR | 5,595,317 | 5,980,935 | |||||||
Government National Mtg Assoc., Pool 731491, 5.156% due 12/20/2060 | NR/NR | 3,262,549 | 3,545,370 | |||||||
Government National Mtg Assoc., Pool 751388, 5.307% due 1/20/2061 | NR/NR | 4,576,139 | 4,956,705 | |||||||
Government National Mtg Assoc., Pool 783299, 4.50% due 2/15/2022 | NR/NR | 2,161,365 | 2,242,439 | |||||||
Government National Mtg Assoc., Pool 827148, 1.75% due 2/20/2024 | NR/NR | 21,470 | 21,940 | |||||||
Government National Mtg Assoc., Pool MA0100, 2.50% due 5/20/2042 | NR/NR | 2,056,725 | 2,125,285 | |||||||
|
| |||||||||
TOTAL MORTGAGE BACKED (Cost $171,478,328) | 173,513,334 | |||||||||
|
|
14 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
ASSET BACKED SECURITIES — 20.29% | ||||||||||
ADVANCE RECEIVABLES — 1.49% | ||||||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A2, 1.495% due 1/16/2046 | AAA/NR | $ | 5,000,000 | $ | 4,998,438 | |||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T1 Class A3, 2.289% due 1/15/2048 | AAA/NR | 10,000,000 | 9,941,000 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T5 Class AT5, 1.979% due 8/15/2046 | AAA/NR | 10,500,000 | 10,519,687 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2013-T7 Class A7, 1.981% due 11/15/2046 | AAA/NR | 19,900,000 | 19,943,531 | |||||||
a HLSS Servicer Advance Receivables Trust, Series 2014-T2 Class AT2, 2.217% due 1/15/2047 | AAA/NR | 11,900,000 | 11,955,781 | |||||||
|
| |||||||||
57,358,437 | ||||||||||
|
| |||||||||
AUTO RECEIVABLES — 3.78% | ||||||||||
a Avis Budget Rental Car Funding AESOP, LLC, Series 2012-3A Class A, 2.10% due 3/20/2019 | NR/Aaa | 10,200,000 | 10,264,342 | |||||||
a Avis Budget Rental Car Funding AESOP, LLC, Series 2015-2A Class A, 2.63% due 12/20/2021 | NR/Aaa | 6,000,000 | 6,079,324 | |||||||
a Exeter Automobile Receivables Trust, Series 2014-1A Class A, 1.29% due 5/15/2018 | AA/NR | 1,549,126 | 1,550,724 | |||||||
Ford Credit Auto Lease Trust, Series 2015-A Class A3, 1.13% due 6/15/2018 | AAA/Aaa | 15,325,000 | 15,353,734 | |||||||
Ford Credit Auto Owner Trust, Series 2013-C Class A4, 1.25% due 10/15/2018 | AAA/NR | 1,200,000 | 1,204,050 | |||||||
a Ford Credit Auto Owner Trust, Series 2014-2 Class A, 2.31% due 4/15/2026 | NR/Aaa | 18,000,000 | 18,298,739 | |||||||
a Ford Credit Auto Owner Trust, Series 2015-1 Class A, 2.12% due 7/15/2026 | AAA/NR | 9,900,000 | 9,939,559 | |||||||
a GM Financial Automobile Leasing Trust, Series 2014-2A Class A4, 1.62% due 2/20/2018 | NR/Aaa | 13,400,000 | 13,535,562 | |||||||
a Hertz Vehicle Financing, LLC, Series 2013-1A Class A2, 1.83% due 8/25/2019 | NR/Aaa | 10,000,000 | 9,979,277 | |||||||
a,d Hertz Vehicle Financing, LLC, Series 2015-2A Class A, 2.02% due 9/25/2019 | NR/NR | 15,000,000 | 14,996,805 | |||||||
a,c OSCAR US Funding Trust, Series 2014-1A Class A3, 1.72% due 4/15/2019 | AA+/Aaa | 9,900,000 | 9,949,500 | |||||||
a,c OSCAR US Funding Trust, Series 2015-1A Class A2A, 1.30% due 2/15/2018 | AA+/Aaa | 15,000,000 | 15,015,000 | |||||||
Santander Drive Auto Receivables Trust, Series 2013-2 Class B, 1.33% due 3/15/2018 | AAA/Aaa | 6,766,488 | 6,772,332 | |||||||
Santander Drive Auto Receivables Trust, Series 2013-4 Class B, 2.16% due 1/15/2020 | AAA/Aaa | 4,000,000 | 4,017,543 | |||||||
World Omni Auto Receivables Trust, Series 2014-B Class A4, 1.68% due 12/15/2020 | AAA/NR | 8,400,000 | 8,477,724 | |||||||
|
| |||||||||
145,434,215 | ||||||||||
|
| |||||||||
COMMERCIAL MTG TRUST — 4.74% | ||||||||||
a BAMLL-DB Trust, Series 2012-OSI Class A2FX, 3.352% due 4/13/2029 | NR/Aaa | 14,893,068 | 15,181,619 | |||||||
Banc of America Commercial Mtg Inc., Series 2006-6 Class A3, 5.369% due 10/10/2045 | AAA/Aaa | 3,000,000 | 3,015,558 | |||||||
a Banc of America Merrill Lynch Large Loan, Inc., Series 2015-200P Class A, 3.218% due 4/14/2033 | AAA/NR | 5,000,000 | 5,097,079 | |||||||
a Bayview Commercial Asset Trust, Series 2004-3 Class A2 Floating Rate Note, 0.614% due 1/25/2035 | NR/Aa2 | 3,398,052 | 3,132,754 | |||||||
a BHMS Mtg Trust, Series 2014-ATLS Class AFL Floating Rate Note, 1.704% due 7/5/2033 | NR/NR | 10,000,000 | 9,973,826 | |||||||
a CFCRE Commercial Mtg Trust, Series 2011-C1 Class A4, 4.961% due 4/15/2044 | NR/Aaa | 11,877,000 | 13,261,529 | |||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.65% due 3/25/2034 | CCC/Caa2 | 249,484 | 203,116 | |||||||
a COMM Mtg Trust, Series 2012-MVP Class A Floating Rate Note, 2.146% due 11/17/2026 | AAA/NR | 5,269,721 | 5,294,658 | |||||||
Credit Suisse Commercial Mtg Capital Certificates, Series 2007-C2 Class A2, 5.448% due 1/15/2049 | AAA/Aaa | 8,184 | 8,168 | |||||||
a DBUBS Mtg Trust CMO, Series 2011-LC1A Class A1, 3.742% due 11/10/2046 | NR/Aaa | 2,986,933 | 3,000,572 | |||||||
a DBUBS Mtg Trust CMO, Series 2011-LC2A Class A1FL, 1.557% due 7/12/2044 | NR/Aaa | 5,739,924 | 5,821,480 | |||||||
a Extended Stay America Trust, Series 2013-ESH7 Class B7, 3.604% due 12/5/2031 | AA/NR | 11,380,000 | 11,698,201 | |||||||
a FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.794% due 10/25/2044 | NR/Aaa | 4,000,000 | 4,025,656 | |||||||
a FREMF Mtg Trust, Series 2013-KF02 Class B Floating Rate Note, 3.194% due 12/25/2045 | NR/Baa3 | 2,040,599 | 2,074,240 | |||||||
a GAHR Commercial Mtg Trust, Series 2015-NRF Class BFX, 3.495% due 12/15/2019 | AA-/NR | 19,900,000 | 20,160,658 | |||||||
a Hilton USA Trust, Series 2013-HLT Class BFX, 3.367% due 11/5/2030 | AA-/Aa3 | 18,500,000 | 18,608,443 | |||||||
a JPMorgan Chase Commercial Mtg, Series 2014-BXH Class A Floating Rate Note, 1.107% due 4/15/2027 | AAA/NR | 19,900,000 | 19,783,581 | |||||||
a Madison Avenue Trust, Series 2013-650M Class A, 3.843% due 10/12/2032 | NR/Aaa | 6,000,000 | 6,467,745 | |||||||
a Madison Avenue Trust, Series 2015-11MD Class A, 3.555% due 9/10/2035 | AAA/NR | 12,000,000 | 12,433,784 | |||||||
a Morgan Stanley Re-REMIC Trust, Series 2009-GG10 Class A4A, 5.989% due 8/12/2045 | NR/Aaa | 2,428,501 | 2,547,578 | |||||||
a Wells Fargo Commercial Mtg Trust, Series 2013-120B Class A, 2.80% due 3/18/2028 | AAA/NR | 15,000,000 | 15,270,759 | |||||||
WFRBS Commercial Mtg Trust, Series 2014-C22 Class A1, 1.479% due 9/15/2057 | NR/Aaa | 5,240,098 | 5,241,826 | |||||||
|
| |||||||||
182,302,830 | ||||||||||
|
| |||||||||
CREDIT CARD — 0.84% | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2014-1 Class A, 1.61% due 11/15/2020 | AAA/Aaa | 14,613,000 | 14,717,631 | |||||||
Synchrony Credit Card Master Note Trust, Series 2015-2 Class A, 1.60% due 4/15/2021 | AAA/NR | 7,400,000 | 7,429,503 | |||||||
a,b Turquoise Card Backed Securities plc, Series 2012-1A Class A Floating Rate Note, 1.007% due 6/17/2019 | NR/Aaa | 10,000,000 | 10,020,520 | |||||||
|
| |||||||||
32,167,654 | ||||||||||
|
| |||||||||
OTHER ASSET BACKED — 7.44% | ||||||||||
a 321 Henderson Receivables, LLC, Series 2014-1A Class A, 3.96% due 3/15/2063 | NR/Aaa | 18,581,822 | 19,746,572 | |||||||
a,c Alterna Funding I, LLC, Series 2014-1A, 1.639% due 2/15/2021 | NR/NR | 4,091,493 | 4,095,585 | |||||||
Appalachian Consumer Rate Relief Funding, LLC, Series 2013-1 Class A1, 2.008% due 2/1/2024 | AAA/Aaa | 12,720,508 | 12,867,608 | |||||||
a,e Ascentium Equipment Receivables, LLC, Series 2015-1A Class B, 2.26% due 6/10/2021 | NR/Aa3 | 5,920,000 | 5,977,393 | |||||||
a CLI Funding V, LLC, Series 2014-2A Class A, 3.38% due 10/18/2029 | A/NR | 9,083,333 | 9,214,960 | |||||||
a,b Cronos Containers Program Ltd., Series 2013-1A Class A, 3.08% due 4/18/2028 | A+/NR | 7,583,333 | 7,646,942 | |||||||
a Dominos Pizza Master Issuer, LLC, Series 2012-1A Class A2, 5.216% due 1/25/2042 | BBB+/ Baa1 | 12,435,638 | 12,852,066 | |||||||
Entergy New Orleans Storm Recovery Funding I, LLC, Series 2015-1 Class A, 2.67% due 6/1/2027 | AAA/Aa1 | 15,000,000 | 15,302,887 |
Annual Reports 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
a Fairway Outdoor Funding, LLC, Series 2012-1A Class A2, 4.212% due 10/15/2042 | NR/NR | $ | 6,426,506 | $ | 6,504,279 | |||||
GE Dealer Floorplan Master Note Trust, Series 2012-2 Class A Floating Rate Note, 0.966% due 4/22/2019 | NR/Aaa | 14,900,000 | 14,899,452 | |||||||
a GTP Cellular Sites, LLC, 3.721% due 3/15/2042 | NR/NR | 14,791,196 | 14,915,472 | |||||||
a HERO Funding Trust, Series 2015-1A Class A, 3.84% due 9/21/2040 | NR/NR | 19,057,596 | 19,087,869 | |||||||
a Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1 Class A Floating Rate Note, 0.944% due 10/25/2019 | NR/Aaa | 17,730,000 | 17,658,305 | |||||||
a Navistar Financial Dealer Note Master Owner Trust II, Series 2015-1 Class A Floating Rate Note, 1.594% due 6/25/2020 | NR/Aaa | 15,259,000 | 15,330,224 | |||||||
a Navitas Equipment Receivables, LLC, Series 2015-1 Class A2, 2.12% due 11/15/2018 | NR/A3 | 11,500,000 | 11,524,739 | |||||||
Northwest Airlines, Inc., 7.027% due 5/1/2021 | A/A3 | 4,163,063 | 4,641,815 | |||||||
a,c Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.109% due 12/1/2037 | A/Baa1 | 2,938,250 | 2,710,536 | |||||||
a PFS Financing Corp., Series 2015-AA Class A Floating Rate Note, 0.827% due 4/15/2020 | AAA/Aaa | 7,400,000 | 7,348,068 | |||||||
a PFS Financing Corp., Series 2013-AA Class A Floating Rate Note, 0.757% due 2/15/2018 | AAA/Aaa | 9,345,000 | 9,342,879 | |||||||
a PFS Financing Corp., Series 2014-BA Class A Floating Rate Note, 0.807% due 10/15/2019 | AAA/Aaa | 6,000,000 | 5,963,968 | |||||||
a,c PFS Tax Lien Trust, Series 2014-1, 1.44% due 4/15/2016 | AAA/NR | 2,630,018 | 2,630,018 | |||||||
a SBA Tower Trust, Series 2010-2 Class C, 5.101% due 4/15/2042 | NR/A2 | 7,671,000 | 7,846,497 | |||||||
a SBA Tower Trust, Series 2012-1 Class C, 2.933% due 12/15/2042 | NR/A2 | 1,548,000 | 1,571,638 | |||||||
a SBA Tower Trust, Series 2014-1A Class C, 2.898% due 10/15/2044 | NR/A2 | 17,900,000 | 17,957,101 | |||||||
a Sierra Receivables Funding Co., LLC, Series 2012-1A Class A, 2.84% due 11/20/2028 | A+/NR | 1,739,286 | 1,758,984 | |||||||
a Sierra Receivables Funding Co., LLC, Series 2012-2A Class A, 2.05% due 6/20/2031 | A/NR | 3,388,982 | 3,386,333 | |||||||
a Sierra Receivables Funding Co., LLC, Series 2014-1A Class A, 2.07% due 3/20/2030 | A/NR | 7,393,931 | 7,392,700 | |||||||
a Sierra Receivables Funding Co., LLC, Series 2015-1A Class A, 2.40% due 3/22/2032 | A/NR | 8,130,583 | 8,210,755 | |||||||
a Sonic Capital, LLC, Series 2011-1A Class A2, 5.438% due 5/20/2041 | BBB/Baa2 | 4,346,800 | 4,569,573 | |||||||
a Springleaf Funding Trust, Series 2015-AA Class A, 3.16% due 11/15/2024 | A+/NR | 13,000,000 | 13,111,800 | |||||||
|
| |||||||||
286,067,018 | ||||||||||
|
| |||||||||
RESIDENTIAL MTG TRUST — 0.73% | ||||||||||
Banc of America Mtg Securities, Inc., Series 2004-4 Class 1A2, 5.50% due 5/25/2034 | A+/NR | 8,876 | 8,846 | |||||||
a Citigroup Mtg Loan Trust, Inc., Series 2014-A Class A, 4.00% due 1/25/2035 | AA/NR | 5,603,213 | 5,794,341 | |||||||
Countrywide Home Loan, Series 2004-HYB2 Class 1A, 2.616% due 7/20/2034 | A/B1 | 354,256 | 356,358 | |||||||
a,c FDIC Trust, Series 2013-R1 Class A, 1.15% due 3/25/2033 | NR/NR | 4,124,634 | 4,083,388 | |||||||
Merrill Lynch Mtg Investors Trust, Series 2003-E Class B3, 2.444% due 10/25/2028 | CCC/Ca | 966,621 | 277,784 | |||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.56% due 8/25/2034 | CCC/NR | 708,319 | 658,049 | |||||||
Option One Mtg Loan Trust, Series 2005-5 Class A3 Floating Rate Note, 0.404% due 12/25/2035 | AA+/A2 | 719,340 | 713,325 | |||||||
Popular ABS Mtg Pass-Through Trust, Series 2005-4 Class AF5, 5.537% due 9/25/2035 | BB+/A1 | 2,592,304 | 2,689,343 | |||||||
Residential Asset Mtg Products, Inc., Series 2003-SL1 Class A31, 7.125% due 4/25/2031 | AA+/NR | 1,521,575 | 1,612,034 | |||||||
a Shellpoint Asset Funding Trust, Series 2013-1 Class A1, 3.75% due 7/25/2043 | AAA/NR | 8,646,849 | 8,975,456 | |||||||
Structured Asset Securities Corp., Series 2003-9A Class 2A2, 2.392% due 3/25/2033 | AA+/Ba1 | 1,866,559 | 1,821,874 | |||||||
Structured Asset Securities Corp., Series 2004-3 Class 3A1, 5.50% due 3/25/2019 | A+/Ba2 | 372,470 | 375,188 | |||||||
Washington Mutual Mtg, Series 2003-S13 Class 21A1, 4.50% due 12/25/2018 | A+/NR | 339,927 | 339,207 | |||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.622% due 2/25/2035 | D/C | 514,709 | 195,300 | |||||||
|
| |||||||||
27,900,493 | ||||||||||
|
| |||||||||
STUDENT LOAN — 1.27% | ||||||||||
Navient Student Loan Trust, Series 2014-1 Class A3 Floating Rate Note, 0.705% due 6/25/2031 | NR/Aaa | 6,750,000 | 6,630,438 | |||||||
a Navient Student Loan Trust, Series 2015-AA Class A2B Floating Rate Note, 1.407% due 12/15/2028 | NR/Aaa | 7,000,000 | 6,992,936 | |||||||
a Nelnet Student Loan Trust, Series 2013-1A Class A Floating Rate Note, 0.794% due 6/25/2041 | NR/Aaa | 10,432,700 | 10,225,243 | |||||||
a Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1 Floating Rate Note, 0.744% due 5/25/2027 | AA+/NR | 3,935,022 | 3,955,554 | |||||||
SLM Student Loan Trust, Series 2003-C Class A2 Floating Rate Note, 0.727% due 9/15/2020 | A-/Aaa | 1,396,963 | 1,385,813 | |||||||
a SLM Student Loan Trust, Series 2011-A Class A3 Floating Rate Note, 2.707% due 1/15/2043 | AAA/Aaa | 13,650,000 | 14,386,479 | |||||||
a SLM Student Loan Trust, Series 2011-B Class A2, 3.74% due 2/15/2029 | AAA/Aaa | 5,000,000 | 5,287,487 | |||||||
|
| |||||||||
48,863,950 | ||||||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $777,172,217) | 780,094,597 | |||||||||
|
| |||||||||
CORPORATE BONDS — 47.83% | ||||||||||
AUTOMOBILES & COMPONENTS — 1.67% | ||||||||||
Automobiles — 1.67% | ||||||||||
a American Honda Finance Corp., 2.60% due 9/20/2016 | A+/A1 | 5,000,000 | 5,091,365 | |||||||
a Daimler Finance North America, LLC, 3.875% due 9/15/2021 | A-/A3 | 5,000,000 | 5,057,245 | |||||||
a Daimler Finance North America, LLC, 2.45% due 5/18/2020 | A-/A3 | 9,850,000 | 9,628,818 | |||||||
a Daimler Finance North America, LLC, 1.25% due 1/11/2016 | A-/A3 | 7,000,000 | 7,007,973 | |||||||
a Daimler Finance North America, LLC, 1.60% due 8/3/2017 | A-/A3 | 3,000,000 | 2,981,421 | |||||||
a Hyundai Capital America, 2.00% due 3/19/2018 | A-/Baa1 | 4,950,000 | 4,928,789 | |||||||
a,b Hyundai Capital Services, Inc. Floating Rate Note, 1.14% due 3/18/2017 | A-/Baa1 | 5,000,000 | 4,988,260 | |||||||
a Nissan Motor Acceptance Corp., 1.95% due 9/12/2017 | A-/A3 | 14,900,000 | 15,069,458 | |||||||
a Volkswagen Group of America, Inc., 1.65% due 5/22/2018 | A/A2 | 10,000,000 | 9,485,370 | |||||||
|
| |||||||||
64,238,699 | ||||||||||
|
|
16 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
BANKS — 4.04% | ||||||||||
Banks — 4.04% | ||||||||||
a,b Banco BTG Pactual SA/Cayman Islands N.A., 4.00% due 1/16/2020 | NR/Baa3 | $ | 7,000,000 | $ | 5,530,000 | |||||
a,b Banco Latinoamericano de Comercio Exterior, S.A., 3.75% due 4/4/2017 | BBB/NR | 4,000,000 | 4,047,500 | |||||||
a,b Banco Santander Chile Floating Rate Note, 2.209% due 6/7/2018 | A/Aa3 | 21,000,000 | 21,157,500 | |||||||
Bank of America Corp. Floating Rate Note, 0.782% due 6/5/2017 | A/A1 | 7,000,000 | 6,982,129 | |||||||
Bank of America Corp. Floating Rate Note, 1.329% due 1/15/2019 | A-/Baa1 | 4,225,000 | 4,257,414 | |||||||
Bank of America Corp. Floating Rate Note, 1.154% due 4/1/2019 | A-/Baa1 | 8,000,000 | 8,005,464 | |||||||
a,b Bank of China Hong Kong, 3.75% due 11/8/2016 | A+/Aa3 | 4,000,000 | 4,107,000 | |||||||
Citigroup, Inc., 2.50% due 7/29/2019 | A-/Baa1 | 2,925,000 | 2,943,492 | |||||||
a,b DNB Bank ASA, 3.20% due 4/3/2017 | A+/Aa3 | 10,000,000 | 10,259,320 | |||||||
First Tennessee Bank, 2.95% due 12/1/2019 | BBB-/Baa3 | 7,000,000 | 7,075,341 | |||||||
Manufacturers & Traders Trust Co., 2.30% due 1/30/2019 | A/A2 | 10,000,000 | 10,075,950 | |||||||
a,b Mizuho Bank Ltd., 2.45% due 4/16/2019 | A/A1 | 7,000,000 | 7,047,551 | |||||||
National City Bank Floating Rate Note, 0.702% due 6/7/2017 | A-/A3 | 4,000,000 | 3,977,316 | |||||||
b Royal Bank of Scotland Group plc, 9.50% due 3/16/2022 | BB+/NR | 12,000,000 | 13,078,668 | |||||||
a,b Sberbank of Russia, 5.50% due 2/26/2024 | NR/NR | 10,640,000 | 9,017,400 | |||||||
a Sovereign Bank, 12.18% due 6/30/2020 | BBB/A3 | 2,945,211 | 3,931,857 | |||||||
a,b Standard Chartered plc, 3.20% due 5/12/2016 | A-/Aa3 | 4,900,000 | 4,964,102 | |||||||
b Sumitomo Mitsui Banking Corp. Floating Rate Note, 1.034% due 7/23/2018 | A/A1 | 14,700,000 | 14,675,451 | |||||||
U.S. Bank National Association, 2.125% due 10/28/2019 | AA-/A1 | 9,600,000 | 9,671,184 | |||||||
Wells Fargo Bank N.A., 0.531% due 5/16/2016 | A+/Aa3 | 4,629,000 | 4,624,107 | |||||||
|
| |||||||||
155,428,746 | ||||||||||
|
| |||||||||
CAPITAL GOODS — 1.52% | ||||||||||
Aerospace & Defense — 0.33% | ||||||||||
Exelis, Inc., 5.55% due 10/1/2021 | BBB-/Baa3 | 11,338,000 | 12,593,230 | |||||||
Construction & Engineering — 0.23% | ||||||||||
URS Corp., 3.85% due 4/1/2017 | BB-/NR | 8,895,000 | 8,895,000 | |||||||
Industrial Conglomerates — 0.53% | ||||||||||
a,b Hutchison Whampoa Ltd., 3.50% due 1/13/2017 | A-/A3 | 5,000,000 | 5,127,710 | |||||||
a,b Siemens Financieringsmaatschappij N.V., 2.90% due 5/27/2022 | A+/A1 | 12,000,000 | 12,048,252 | |||||||
a,b Smiths Group plc, 7.20% due 5/15/2019 | BBB+/Baa2 | 3,000,000 | 3,390,204 | |||||||
Machinery — 0.14% | ||||||||||
Aeroquip Vickers, Inc., 6.875% due 4/9/2018 | A-/NR | 1,500,000 | 1,622,137 | |||||||
Ingersoll Rand Co., 6.391% due 11/15/2027 | BBB/Baa2 | 3,000,000 | 3,631,911 | |||||||
Trading Companies & Distributors — 0.29% | ||||||||||
a Aviation Capital Group Corp., 6.75% due 4/6/2021 | BBB-/NR | 6,000,000 | 6,735,000 | |||||||
a Aviation Capital Group Corp., 7.125% due 10/15/2020 | BBB-/NR | 3,912,000 | 4,528,140 | |||||||
|
| |||||||||
58,571,584 | ||||||||||
|
| |||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.37% | ||||||||||
Professional Services — 0.37% | ||||||||||
Dun & Bradstreet, Inc., 4.00% due 6/15/2020 | BBB-/NR | 7,175,000 | 7,327,541 | |||||||
Verisk Analytics, Inc., 4.00% due 6/15/2025 | BBB-/Baa3 | 6,930,000 | 6,853,347 | |||||||
|
| |||||||||
14,180,888 | ||||||||||
|
| |||||||||
CONSUMER DURABLES & APPAREL — 0.06% | ||||||||||
Textiles, Apparel & Luxury Goods — 0.06% | ||||||||||
Nike, Inc., 5.15% due 10/15/2015 | AA-/A1 | 2,315,000 | 2,318,246 | |||||||
|
| |||||||||
2,318,246 | ||||||||||
|
| |||||||||
CONSUMER SERVICES — 0.54% | ||||||||||
Diversified Consumer Services — 0.41% | ||||||||||
George Washington University, 4.411% due 9/15/2017 | A+/A1 | 1,650,000 | 1,747,111 | |||||||
Rensselaer Polytechnic I, 5.60% due 9/1/2020 | A-/A3 | 10,925,000 | 12,475,705 | |||||||
University of Chicago, 3.065% due 10/1/2024 | AA/Aa2 | 1,470,000 | 1,496,003 | |||||||
Hotels, Restaurants & Leisure — 0.13% | ||||||||||
Marriott International, Inc., 3.125% due 10/15/2021 | BBB/Baa2 | 5,000,000 | 5,073,740 | |||||||
|
| |||||||||
20,792,559 | ||||||||||
|
|
Annual Reports 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
DIVERSIFIED FINANCIALS — 7.30% | ||||||||||
Capital Markets — 4.43% | ||||||||||
Ares Capital Corp., 4.875% due 11/30/2018 | BBB/NR | $ | 18,000,000 | $ | 18,596,556 | |||||
a Ares Finance Co., LLC, 4.00% due 10/8/2024 | BBB+/NR | 5,000,000 | 4,861,115 | |||||||
a,b BTG Investments LP, 4.50% due 4/17/2018 | NR/NR | 18,500,000 | 16,326,250 | |||||||
b Credit Suisse Group AG - New York, 1.70% due 4/27/2018 | A/A1 | 9,325,000 | 9,288,297 | |||||||
b Credit Suisse Group AG - New York, 3.00% due 10/29/2021 | A/A1 | 10,000,000 | 10,020,620 | |||||||
a,b Credit Suisse Group Fund, Ltd., 3.80% due 9/15/2022 | BBB+/Baa2 | 7,000,000 | 6,992,013 | |||||||
b Deutsche Bank AG, 2.95% due 8/20/2020 | BBB+/A3 | 8,600,000 | 8,638,270 | |||||||
FS Investment Corp., 4.00% due 7/15/2019 | BBB/NR | 12,000,000 | 12,161,412 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 1.421% due 11/15/2018 | A-/A3 | 14,900,000 | 14,989,400 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 1.314% due 10/23/2019 | A-/A3 | 14,545,000 | 14,572,941 | |||||||
a,b IPIC GMTN Ltd., 3.125% due 11/15/2015 | AA/Aa2 | 1,000,000 | 1,002,490 | |||||||
a,b IPIC GMTN Ltd., 5.00% due 11/15/2020 | AA/Aa2 | 1,000,000 | 1,117,500 | |||||||
a,b IPIC GMTN Ltd., 3.75% due 3/1/2017 | AA/Aa2 | 3,000,000 | 3,090,000 | |||||||
a,b IPIC GMTN Ltd., 5.50% due 3/1/2022 | AA/Aa2 | 3,500,000 | 3,985,625 | |||||||
Legg Mason, Inc., 2.70% due 7/15/2019 | BBB/Baa1 | 1,660,000 | 1,669,977 | |||||||
a,b Macquarie Bank Ltd., 1.60% due 10/27/2017 | A/A2 | 5,000,000 | 4,987,275 | |||||||
Merrill Lynch & Co., 0.85% due 5/2/2017 | BBB+/Baa3 | 2,500,000 | 2,476,882 | |||||||
Morgan Stanley, 2.80% due 6/16/2020 | A-/A3 | 1,350,000 | 1,357,640 | |||||||
State Street Corp. Floating Rate Note, 1.225% due 8/18/2020 | A+/A2 | 9,475,000 | 9,506,296 | |||||||
TD Ameritrade Holding Corp., 2.95% due 4/1/2022 | A/A3 | 2,550,000 | 2,567,937 | |||||||
The Bank of New York Mellon Corp. Floating Rate Note, 1.191% due 8/17/2020 | A+/A1 | 4,525,000 | 4,537,751 | |||||||
a,b UBS AG Jersey Floating Rate Note, 1.767% due 9/24/2020 | BBB+/Baa3 | 5,000,000 | 5,011,750 | |||||||
b UBS AG Stamford, 1.80% due 3/26/2018 | A/A2 | 3,000,000 | 2,998,476 | |||||||
b UBS AG Stamford, 2.375% due 8/14/2019 | A/A2 | 9,500,000 | 9,540,755 | |||||||
Consumer Finance — 0.70% | ||||||||||
American Express Credit Co., 2.80% due 9/19/2016 | A-/A2 | 8,000,000 | 8,139,016 | |||||||
Capital One Bank (USA), N.A., 2.30% due 6/5/2019 | BBB+/Baa1 | 3,000,000 | 2,976,285 | |||||||
Synchrony Financial, 3.00% due 8/15/2019 | BBB-/NR | 1,950,000 | 1,965,452 | |||||||
Western Union Co., 3.65% due 8/22/2018 | BBB/Baa2 | 2,000,000 | 2,066,038 | |||||||
Western Union Co., 3.35% due 5/22/2019 | BBB/Baa2 | 11,350,000 | 11,661,943 | |||||||
Diversified Financial Services — 2.17% | ||||||||||
b Barclays Bank plc, 2.50% due 2/20/2019 | A-/A2 | 3,000,000 | 3,051,324 | |||||||
General Electric Capital Corp. Floating Rate Note, 0.495% due 12/28/2018 | AA+/A1 | 4,850,000 | 4,795,394 | |||||||
General Electric Capital Corp. Floating Rate Note, 1.337% due 3/15/2023 | AA+/A1 | 7,725,000 | 7,734,726 | |||||||
JPMorgan Chase Bank N.A. Floating Rate Note, 0.666% due 6/13/2016 | A/A1 | 16,875,000 | 16,838,837 | |||||||
a McGraw Hill Financial, Inc., 4.00% due 6/15/2025 | NR/Baa1 | 8,000,000 | 7,962,472 | |||||||
a McGraw Hill Financial, Inc., 2.50% due 8/15/2018 | NR/Baa1 | 2,950,000 | 2,972,414 | |||||||
a McGraw Hill Financial, Inc., 3.30% due 8/14/2020 | NR/Baa1 | 2,450,000 | 2,492,848 | |||||||
Moody’s Corp., 2.75% due 7/15/2019 | BBB+/NR | 4,875,000 | 4,958,669 | |||||||
Moody’s Corp., 4.875% due 2/15/2024 | BBB+/NR | 17,000,000 | 17,972,077 | |||||||
a,b Mubadala GE Capital Ltd., 3.00% due 11/10/2019 | NR/Baa2 | 4,000,000 | 3,968,480 | |||||||
National Rural Utilities Cooperative Finance Corp., 10.375% due 11/1/2018 | A/A1 | 2,000,000 | 2,499,862 | |||||||
a USAA Capital Corp., 2.25% due 12/13/2016 | AA+/Aa1 | 8,000,000 | 8,137,552 | |||||||
|
| |||||||||
280,490,617 | ||||||||||
|
| |||||||||
ENERGY — 4.78% | ||||||||||
Energy Equipment & Services — 0.38% | ||||||||||
b Ensco plc, 4.70% due 3/15/2021 | BBB+/Baa1 | 5,000,000 | 4,210,490 | |||||||
Oceaneering International, Inc., 4.65% due 11/15/2024 | BBB/Baa2 | 10,000,000 | 9,514,060 | |||||||
a,b,f Schahin II Finance Co. (SPV) Ltd., 5.875% due 9/25/2023 | NR/Ca | 4,082,733 | 857,374 | |||||||
Oil, Gas & Consumable Fuels — 4.40% | ||||||||||
a,b BG Energy Capital plc, 2.875% due 10/15/2016 | A-/A2 | 5,000,000 | 5,083,220 | |||||||
Buckeye Partners LP, 4.15% due 7/1/2023 | BBB-/Baa3 | 7,000,000 | 6,427,253 | |||||||
a Chevron Phillips Chemical Co., LLC, Floating Rate Note, 1.05% due 5/1/2020 | A-/A2 | 24,900,000 | 25,054,430 | |||||||
a,b CNPC General Capital Ltd., 2.75% due 4/19/2017 | A+/A1 | 5,000,000 | 5,066,520 | |||||||
a,b CNPC General Capital Ltd., 1.45% due 4/16/2016 | A+/A1 | 3,000,000 | 2,999,340 | |||||||
a,b CNPC General Capital Ltd., 2.75% due 5/14/2019 | A+/A1 | 5,000,000 | 5,010,985 | |||||||
a,b CNPC General Capital Ltd. Floating Rate Note, 1.209% due 5/14/2017 | A+/A1 | 5,000,000 | 4,977,700 | |||||||
Energen Corp., 4.625% due 9/1/2021 | BB/Ba2 | 10,000,000 | 9,100,000 | |||||||
a Florida Gas Transmission Co., LLC, 3.875% due 7/15/2022 | BBB/Baa2 | 9,000,000 | 8,983,323 | |||||||
a Florida Gas Transmission Co., LLC, 4.35% due 7/15/2025 | BBB/Baa2 | 4,200,000 | 4,147,303 | |||||||
a,b Gazprom, 4.95% due 5/23/2016 | BB+/Ba1 | 4,000,000 | 4,050,912 |
18 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a,b Gazprom Neft OAO, 6.00% due 11/27/2023 | BB+/Ba1 | $ | 3,500,000 | $ | 3,229,450 | |||||
Gulf South Pipeline Co. LP, 4.00% due 6/15/2022 | BBB-/Baa2 | 13,690,000 | 12,889,135 | |||||||
a Gulfstream Natural Gas System, LLC, 4.60% due 9/15/2025 | BBB/Baa2 | 9,000,000 | 9,057,339 | |||||||
a,b Harvest Operations Corp., 2.125% due 5/14/2018 | AA-/Aa3 | 7,000,000 | 7,013,804 | |||||||
a,b Korea National Oil Corp., 4.00% due 10/27/2016 | AA-/Aa3 | 2,000,000 | 2,058,512 | |||||||
a Northern Natural Gas Co., 5.75% due 7/15/2018 | A-/A2 | 50,000 | 55,617 | |||||||
NuStar Logistics LP, 4.75% due 2/1/2022 | BB+/Ba1 | 5,000,000 | 4,400,000 | |||||||
a,b Odebrecht Offshore Drilling Finance Ltd., 6.75% due 10/1/2023 | B+/Caa1 | 10,306,888 | 2,715,865 | |||||||
b Petrobras Global Finance B.V. Floating Rate Note, 2.694% due 3/17/2017 | BB/Ba2 | 5,750,000 | 4,945,000 | |||||||
b Petroleos Mexicanos Floating Rate Note, 2.307% due 7/18/2018 | BBB+/A3 | 10,000,000 | 9,909,700 | |||||||
b Sasol Financing International plc, 4.50% due 11/14/2022 | BBB/Baa1 | 4,000,000 | 3,920,000 | |||||||
a Semco Energy, Inc., 5.15% due 4/21/2020 | A-/A2 | 3,000,000 | 3,374,136 | |||||||
a,b Sinopec Group Overseas Development Ltd., 2.75% due 5/17/2017 | AA-/Aa3 | 6,000,000 | 6,084,222 | |||||||
a Texas Gas Transmission, LLC, 4.50% due 2/1/2021 | BBB-/Baa2 | 4,480,000 | 4,471,380 | |||||||
Williams Partners LP, 4.50% due 11/15/2023 | BBB/Baa2 | 15,000,000 | 14,059,095 | |||||||
|
| |||||||||
183,666,165 | ||||||||||
|
| |||||||||
FOOD & STAPLES RETAILING — 0.32% | ||||||||||
Food & Staples Retailing — 0.32% | ||||||||||
CVS Health Corp., 3.50% due 7/20/2022 | BBB+/Baa1 | 5,000,000 | 5,164,120 | |||||||
CVS Health Corp., 3.875% due 7/20/2025 | BBB+/Baa1 | 7,000,000 | 7,215,656 | |||||||
|
| |||||||||
12,379,776 | ||||||||||
|
| |||||||||
FOOD, BEVERAGE & TOBACCO — 2.26% | ||||||||||
Beverages — 0.96% | ||||||||||
Coca Cola Enterprises, Inc., 5.71% due 3/18/2037 | AA/NR | 3,380,000 | 3,836,249 | |||||||
a,b Coca Cola Icecek Uretim A.S., 4.75% due 10/1/2018 | NR/Baa3 | 5,000,000 | 5,105,100 | |||||||
a,b JB y Compania, SA de C.V., 3.75% due 5/13/2025 | BBB/NR | 8,750,000 | 8,399,738 | |||||||
PepsiCo, Inc., 3.10% due 7/17/2022 | A/A1 | 19,250,000 | 19,715,638 | |||||||
Food Products — 0.56% | ||||||||||
Corn Products International, Inc., 3.20% due 11/1/2015 | BBB/Baa2 | 1,000,000 | 1,001,566 | |||||||
General Mills, Inc., 1.40% due 10/20/2017 | BBB+/A3 | 4,600,000 | 4,601,583 | |||||||
General Mills, Inc., 2.20% due 10/21/2019 | BBB+/A3 | 3,950,000 | 3,987,541 | |||||||
Ingredion, Inc., 1.80% due 9/25/2017 | BBB/Baa2 | 12,150,000 | 12,111,472 | |||||||
Tobacco — 0.74% | ||||||||||
Altria Group, Inc., 2.625% due 1/14/2020 | BBB+/Baa1 | 4,900,000 | 4,952,087 | |||||||
a,b B.A.T. International Finance plc, 2.125% due 6/7/2017 | A-/A3 | 8,000,000 | 8,082,944 | |||||||
a,b B.A.T. International Finance plc, 3.95% due 6/15/2025 | A-/A3 | 3,000,000 | 3,120,276 | |||||||
a Reynolds American, Inc., 6.875% due 5/1/2020 | BBB-/Baa3 | 5,000,000 | 5,855,580 | |||||||
a Reynolds American, Inc., 3.75% due 5/20/2023 | BBB-/Baa3 | 6,230,000 | 6,258,209 | |||||||
|
| |||||||||
87,027,983 | ||||||||||
|
| |||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.76% | ||||||||||
Health Care Providers & Services — 0.76% | ||||||||||
Catholic Health Initiatives, 1.60% due 11/1/2017 | A/NR | 1,900,000 | 1,894,832 | |||||||
Catholic Health Initiatives, 2.95% due 11/1/2022 | A/A2 | 7,000,000 | 6,919,605 | |||||||
UnitedHealth Group, Inc., 3.35% due 7/15/2022 | A+/A3 | 5,000,000 | 5,160,495 | |||||||
UnitedHealth Group, Inc., 3.75% due 7/15/2025 | A+/A3 | 5,000,000 | 5,168,185 | |||||||
Wellpoint, Inc., 2.25% due 8/15/2019 | A/Baa2 | 10,000,000 | 9,955,110 | |||||||
|
| |||||||||
29,098,227 | ||||||||||
|
| |||||||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.13% | ||||||||||
Household Products — 0.13% | ||||||||||
Energizer Holdings, Inc., 4.70% due 5/24/2022 | BB+/Ba1 | 2,000,000 | 2,047,434 | |||||||
a,b Kimberly-Clark de Mexico, 3.80% due 4/8/2024 | A-/NR | 3,000,000 | 3,063,120 | |||||||
|
| |||||||||
5,110,554 | ||||||||||
|
| |||||||||
INSURANCE — 3.40% | ||||||||||
Insurance — 3.40% | ||||||||||
a,b DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | A/Baa2 | 10,000,000 | 10,051,370 | |||||||
a Forethought Financial Group, Inc., 8.625% due 4/15/2021 | BBB-/Ba1 | 2,600,000 | 3,021,455 | |||||||
Hanover Insurance Group, Inc., 6.375% due 6/15/2021 | BBB/Baa3 | 2,480,000 | 2,865,677 | |||||||
Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | BBB/Baa2 | 3,000,000 | 3,166,056 | |||||||
Kemper Corp., 4.35% due 2/15/2025 | BBB-/Baa3 | 15,000,000 | 15,269,385 |
Annual Reports 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a,b Lancashire Holdings Ltd., 5.70% due 10/1/2022 | BBB/Baa2 | $ | 10,000,000 | $ | 10,897,310 | |||||
Marsh & McLennan Companies, Inc., 3.75% due 3/14/2026 | A-/Baa1 | 7,000,000 | 7,038,661 | |||||||
a MassMutual Global Funding, LLC, 2.00% due 4/5/2017 | AA+/Aa2 | 8,000,000 | 8,103,352 | |||||||
b Montpelier Re Holdings Ltd., 4.70% due 10/15/2022 | BBB+/NR | 5,000,000 | 5,128,815 | |||||||
a Pricoa Global Funding 1, 1.35% due 8/18/2017 | AA-/A1 | 10,000,000 | 9,971,660 | |||||||
a Principal Life Global Funding II, 2.20% due 4/8/2020 | A+/A1 | 7,000,000 | 6,992,993 | |||||||
a Principal Life Global Funding II, 1.00% due 12/11/2015 | A+/A1 | 7,000,000 | 7,005,264 | |||||||
a Principal Life Global Funding II, 1.50% due 9/11/2017 | A+/A1 | 6,950,000 | 6,955,852 | |||||||
a Principal Life Global Funding II, 2.375% due 9/11/2019 | A+/A1 | 2,450,000 | 2,481,899 | |||||||
a Reliance Standard Life Insurance Co., 2.50% due 1/15/2020 | A/A2 | 15,000,000 | 15,022,890 | |||||||
a Reliance Standard Life Insurance Co., 2.50% due 4/24/2019 | A/A2 | 9,900,000 | 10,003,188 | |||||||
a,b White Mountains Re Group Ltd., 6.375% due 3/20/2017 | BBB/Baa3 | 6,335,000 | 6,617,908 | |||||||
|
| |||||||||
130,593,735 | ||||||||||
|
| |||||||||
MATERIALS — 2.29% | ||||||||||
Chemicals — 0.69% | ||||||||||
Airgas, Inc., 3.05% due 8/1/2020 | BBB/Baa2 | 4,950,000 | 5,026,289 | |||||||
a Incitec Pivot Finance, LLC, 6.00% due 12/10/2019 | BBB/Baa3 | 4,538,000 | 4,966,215 | |||||||
a,b Incitec Pivot Ltd., 4.00% due 12/7/2015 | BBB/Baa3 | 4,325,000 | 4,344,800 | |||||||
a,b Office Cherifien des Phosphates, 5.625% due 4/25/2024 | BBB-/NR | 12,010,000 | 12,250,680 | |||||||
Construction Materials — 0.02% | ||||||||||
CRH America, Inc., 8.125% due 7/15/2018 | BBB+/Baa2 | 650,000 | 755,973 | |||||||
Metals & Mining — 1.58% | ||||||||||
a,b Anglo American Capital plc, 2.625% due 9/27/2017 | BBB-/Baa2 | 9,700,000 | 9,072,643 | |||||||
b Anglogold Holdings plc, 5.375% due 4/15/2020 | BB+/Baa3 | 9,100,000 | 8,565,375 | |||||||
b Anglogold Holdings plc, 5.125% due 8/1/2022 | BB+/Baa3 | 6,500,000 | 5,549,375 | |||||||
b ArcelorMittal, 5.25% due 2/25/2017 | BB/Ba1 | 3,000,000 | 2,970,000 | |||||||
a Glencore Funding, LLC Floating Rate Note, 1.649% due 1/15/2019 | BBB/Baa2 | 17,600,000 | 14,389,021 | |||||||
b Kinross Gold Corp., 3.625% due 9/1/2016 | BBB-/Ba1 | 7,000,000 | 6,950,104 | |||||||
a,b Newcrest Finance Property Ltd., 4.20% due 10/1/2022 | BBB-/Baa3 | 10,459,000 | 9,173,453 | |||||||
a,b Xstrata Finance Canada Ltd., 4.95% due 11/15/2021 | BBB/Baa2 | 5,000,000 | 4,146,875 | |||||||
|
| |||||||||
88,160,803 | ||||||||||
|
| |||||||||
MEDIA — 0.41% | ||||||||||
Media — 0.41% | ||||||||||
DirecTV Holdings, LLC/Financing Co., Inc., 4.45% due 4/1/2024 | BBB/Baa2 | 10,000,000 | 10,258,270 | |||||||
The Washington Post Co., 7.25% due 2/1/2019 | BB+/Ba1 | 5,000,000 | 5,275,000 | |||||||
Time Warner Cable, Inc., 8.05% due 1/15/2016 | BBB/Baa2 | 200,000 | 203,930 | |||||||
|
| |||||||||
15,737,200 | ||||||||||
|
| |||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.94% | ||||||||||
Biotechnology — 0.46% | ||||||||||
Biogen, Inc., 3.625% due 9/15/2022 | A-/Baa1 | 5,000,000 | 5,039,400 | |||||||
Gilead Sciences, Inc., 3.25% due 9/1/2022 | A-/A3 | 4,650,000 | 4,686,461 | |||||||
Gilead Sciences, Inc., 3.65% due 3/1/2026 | A-/A3 | 2,950,000 | 2,963,732 | |||||||
Gilead Sciences, Inc., 2.55% due 9/1/2020 | A-/A3 | 4,820,000 | 4,850,125 | |||||||
Pharmaceuticals — 0.48% | ||||||||||
b Actavis Funding SCS, 3.80% due 3/15/2025 | BBB-/Baa3 | 5,000,000 | 4,830,195 | |||||||
b Actavis Funding SCS, 1.85% due 3/1/2017 | BBB-/Baa3 | 2,000,000 | 2,004,610 | |||||||
b Actavis Funding SCS, 2.35% due 3/12/2018 | BBB-/Baa3 | 1,720,000 | 1,726,844 | |||||||
b Actavis Funding SCS, 3.45% due 3/15/2022 | BBB-/Baa3 | 5,000,000 | 4,942,685 | |||||||
b Actavis Funding SCS Floating Rate Note, 1.591% due 3/12/2020 | BBB-/Baa3 | 4,940,000 | 4,894,162 | |||||||
|
| |||||||||
35,938,214 | ||||||||||
|
| |||||||||
REAL ESTATE — 1.43% | ||||||||||
Real Estate Investment Trusts — 1.08% | ||||||||||
Alexandria Real Estate Equities, Inc., 3.90% due 6/15/2023 | BBB-/Baa2 | 11,700,000 | 11,655,832 | |||||||
Commonwealth REIT (HRPT Properties), 6.25% due 6/15/2017 | BBB-/Baa3 | 4,000,000 | 4,185,304 | |||||||
Digital Realty Trust, L.P., 3.95% due 7/1/2022 | BBB/Baa2 | 5,000,000 | 4,994,460 | |||||||
Washington REIT, 4.95% due 10/1/2020 | BBB/Baa2 | 19,100,000 | 20,644,598 | |||||||
Real Estate Management & Development — 0.35% | ||||||||||
a,b Deutsche Annington Finance B.V., 3.20% due 10/2/2017 | BBB+/NR | 10,000,000 | 10,229,240 | |||||||
Jones Lang LaSalle, Inc., 4.40% due 11/15/2022 | BBB+/Baa2 | 3,000,000 | 3,096,573 | |||||||
|
| |||||||||
54,806,007 | ||||||||||
|
|
20 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
RETAILING — 0.63% | ||||||||||
Multiline Retail — 0.63% | ||||||||||
Family Dollar Stores, Inc., 5.00% due 2/1/2021 | BB+/Ba1 | $ | 23,225,000 | $ | 24,235,357 | |||||
|
| |||||||||
24,235,357 | ||||||||||
|
| |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.26% | ||||||||||
Semiconductors & Semiconductor Equipment — 0.26% | ||||||||||
Intel Corp., 2.45% due 7/29/2020 | A+/A1 | 4,850,000 | 4,914,316 | |||||||
Intel Corp., 3.10% due 7/29/2022 | A+/A1 | 5,000,000 | 5,079,290 | |||||||
|
| |||||||||
9,993,606 | ||||||||||
|
| |||||||||
SOFTWARE & SERVICES — 2.52% | ||||||||||
Information Technology Services — 1.37% | ||||||||||
Automatic Data Processng, LLC, 3.375% due 9/15/2025 | AA/Aa3 | 14,175,000 | 14,395,875 | |||||||
Broadridge Financial Solutions, Inc., 3.95% due 9/1/2020 | BBB+/Baa1 | 8,000,000 | 8,370,904 | |||||||
Fiserv, Inc., 2.70% due 6/1/2020 | BBB/Baa2 | 6,900,000 | 6,954,372 | |||||||
SAIC, Inc., 4.45% due 12/1/2020 | BBB-/Ba1 | 2,000,000 | 1,989,546 | |||||||
Total System Services, Inc., 2.375% due 6/1/2018 | BBB+/Baa3 | 20,915,000 | 20,971,784 | |||||||
Internet Software & Services — 0.36% | ||||||||||
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc., 5.75% due 4/15/2023 | BBB/Baa3 | 8,175,000 | 8,655,281 | |||||||
a,b Tencent Holdings Ltd., 2.00% due 5/2/2017 | A/A2 | 5,000,000 | 4,996,620 | |||||||
Software — 0.79% | ||||||||||
Autodesk, Inc., 3.125% due 6/15/2020 | BBB/Baa2 | 1,945,000 | 1,972,148 | |||||||
Autodesk, Inc., 4.375% due 6/15/2025 | BBB/Baa2 | 1,000,000 | 1,002,728 | |||||||
CA Technologies, Inc., 2.875% due 8/15/2018 | BBB+/Baa2 | 2,925,000 | 2,973,889 | |||||||
CA Technologies, Inc., 3.60% due 8/1/2020 | BBB+/Baa2 | 10,000,000 | 10,223,390 | |||||||
CDK Global, Inc., 3.30% due 10/15/2019 | BBB-/Baa3 | 5,000,000 | 5,027,300 | |||||||
Oracle Corp., 2.50% due 5/15/2022 | AA-/A1 | 9,400,000 | 9,263,296 | |||||||
|
| |||||||||
96,797,133 | ||||||||||
|
| |||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.92% | ||||||||||
Communications Equipment — 0.69% | ||||||||||
Cisco Systems, Inc., 3.00% due 6/15/2022 | AA-/A1 | 1,700,000 | 1,732,443 | |||||||
b Ericsson LM, 4.125% due 5/15/2022 | BBB+/Baa1 | 19,215,000 | 20,073,468 | |||||||
Juniper Networks, Inc., 3.30% due 6/15/2020 | BBB/Baa2 | 4,825,000 | 4,897,800 | |||||||
Computers & Peripherals — 0.38% | ||||||||||
Hewlett-Packard Co., 3.30% due 12/9/2016 | BBB+/Baa2 | 2,000,000 | 2,040,826 | |||||||
Lexmark International, Inc., 5.125% due 3/15/2020 | BBB-/Baa3 | 12,000,000 | 12,533,112 | |||||||
Electronic Equipment, Instruments & Components — 0.59% | ||||||||||
Ingram Micro, Inc., 4.95% due 12/15/2024 | BBB-/Baa3 | 5,596,000 | 5,773,651 | |||||||
e Trimble Navigation, Ltd., 4.75% due 12/1/2024 | BBB-/Baa2 | 17,000,000 | 17,003,604 | |||||||
Technology, Hardware, Storage & Peripherals — 0.26% | ||||||||||
a,d Hewlett-Packard Enterprise Co., 3.60% due 10/15/2020 | NR/NR | 5,000,000 | 4,998,600 | |||||||
a,d Hewlett-Packard Enterprise Co. Floating Rate Note, 2.251% due 10/5/2018 | NR/NR | 4,900,000 | 4,900,000 | |||||||
|
| |||||||||
73,953,504 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES — 2.35% | ||||||||||
Diversified Telecommunication Services — 1.57% | ||||||||||
AT&T, Inc., 2.45% due 6/30/2020 | BBB+/Baa1 | 2,900,000 | 2,855,305 | |||||||
AT&T, Inc. Floating Rate Note, 1.237% due 11/27/2018 | BBB+/Baa1 | 11,350,000 | 11,351,930 | |||||||
a Hidden Ridge Facility, 5.65% due 1/1/2022 | NR/Baa2 | 3,280,660 | 3,446,166 | |||||||
Michigan Bell Telephone Co., 7.85% due 1/15/2022 | BBB+/NR | 3,000,000 | 3,675,342 | |||||||
a,b Qtel International Finance Ltd., 3.375% due 10/14/2016 | A-/A2 | 500,000 | 507,950 | |||||||
Qwest Corp., 6.75% due 12/1/2021 | BBB-/Baa3 | 3,000,000 | 3,174,375 | |||||||
b Telefonica Emisiones SAU, 6.421% due 6/20/2016 | BBB/Baa2 | 9,900,000 | 10,252,143 | |||||||
Verizon Communications, Inc., 3.00% due 11/1/2021 | BBB+/Baa1 | 5,000,000 | 4,986,270 | |||||||
Verizon Communications, Inc., 2.625% due 2/21/2020 | BBB+/Baa1 | 4,997,000 | 5,011,826 | |||||||
Verizon Communications, Inc., 3.45% due 3/15/2021 | BBB+/Baa1 | 9,600,000 | 9,830,198 | |||||||
Verizon Communications, Inc., 3.50% due 11/1/2024 | BBB+/Baa1 | 3,461,000 | 3,402,890 | |||||||
Verizon Communications, Inc. Floating Rate Note, 2.086% due 9/14/2018 | BBB+/Baa1 | 1,825,000 | 1,876,432 | |||||||
Wireless Telecommunication Services — 0.78% | ||||||||||
a Crown Castle Towers, LLC, 6.113% due 1/15/2040 | NR/A2 | 6,970,000 | 7,854,688 | |||||||
a Crown Castle Towers, LLC, 5.495% due 1/15/2037 | NR/A2 | 8,120,000 | 8,348,310 |
Annual Reports 21
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
a Unison Ground Lease Funding, LLC, 6.392% due 4/15/2040 | NR/NR | $ | 9,640,000 | $ | 11,108,885 | |||||
a Unison Ground Lease Funding, LLC, 5.349% due 4/15/2040 | NR/NR | 2,470,000 | 2,587,454 | |||||||
|
| |||||||||
90,270,164 | ||||||||||
|
| |||||||||
TRANSPORTATION — 2.02% | ||||||||||
Air Freight & Logistics — 0.05% | ||||||||||
a FedEx Corp. 2012 Pass Through Trust, 2.625% due 1/15/2018 | BBB/A3 | 2,115,435 | 2,133,726 | |||||||
Airlines — 0.60% | ||||||||||
American Airlines Group, Inc., 3.60% due 3/22/2029 | AA/Aa3 | 10,000,000 | 10,037,000 | |||||||
American Airlines Group, Inc., 4.95% due 7/15/2024 | A/NR | 6,319,535 | 6,746,104 | |||||||
US Airways, 6.25% due 10/22/2024 | A/A3 | 5,572,878 | 6,213,759 | |||||||
Road & Rail — 1.37% | ||||||||||
a,b Asciano Finance Ltd., 5.00% due 4/7/2018 | BBB/Baa2 | 2,000,000 | 2,120,338 | |||||||
a BNSF Railway Co., 3.442% due 6/16/2028 | A+/Aa2 | 15,000,000 | 14,550,000 | |||||||
a,b LeasePlan Corp. NV, 2.50% due 5/16/2018 | BBB/A3 | 10,000,000 | 10,024,380 | |||||||
a Penske Truck Leasing Co., LP/PTL Finance Corp., 3.375% due 2/1/2022 | BBB-/Baa3 | 20,000,000 | 19,546,860 | |||||||
a TTX Co., 4.15% due 1/15/2024 | A+/Baa1 | 6,000,000 | 6,361,434 | |||||||
|
| |||||||||
77,733,601 | ||||||||||
|
| |||||||||
UTILITIES — 5.91% | ||||||||||
Electric Utilities — 3.75% | ||||||||||
Appalachian Power Co., 3.40% due 6/1/2025 | BBB/Baa1 | 7,000,000 | 6,930,259 | |||||||
a,b Electricite de France S.A., 2.15% due 1/22/2019 | A+/A1 | 4,900,000 | 4,950,651 | |||||||
a,b Enel Finance International S.A., 6.25% due 9/15/2017 | BBB/Baa2 | 9,500,000 | 10,296,157 | |||||||
Entergy Louisiana, LLC, 4.80% due 5/1/2021 | A-/NR | 4,300,000 | 4,756,230 | |||||||
Entergy Texas, Inc., 7.125% due 2/1/2019 | A-/Baa1 | 2,000,000 | 2,314,756 | |||||||
Exelon Corp., 1.55% due 6/9/2017 | BBB-/Baa2 | 2,950,000 | 2,944,793 | |||||||
Exelon Corp., 2.85% due 6/15/2020 | BBB-/Baa2 | 2,950,000 | 2,975,836 | |||||||
Exelon Corp., 3.95% due 6/15/2025 | BBB-/Baa2 | 4,000,000 | 4,037,288 | |||||||
a Jersey Central Power & Light Co., 4.30% due 1/15/2026 | BBB-/Baa2 | 15,000,000 | 15,055,035 | |||||||
a,b Korea Western Power Co. Ltd., 2.875% due 10/10/2018 | A+/Aa3 | 10,000,000 | 10,215,020 | |||||||
a Monongahela Power Co., 5.70% due 3/15/2017 | BBB+/A3 | 4,785,000 | 5,055,008 | |||||||
a Monongahela Power Co., 4.10% due 4/15/2024 | BBB+/A3 | 5,000,000 | 5,204,375 | |||||||
NextEra Energy Capital Holdings, Inc., 1.586% due 6/1/2017 | BBB+/Baa1 | 6,715,000 | 6,717,236 | |||||||
Northern States Power Company-Wisconsin, 3.30% due 6/15/2024 | A/Aa3 | 10,000,000 | 10,270,050 | |||||||
Public Service Co. of New Mexico, 5.35% due 10/1/2021 | BBB/Baa2 | 3,000,000 | 3,297,000 | |||||||
a Rochester Gas & Electric, 5.90% due 7/15/2019 | A/A2 | 11,732,000 | 13,210,772 | |||||||
a,b State Grid Overseas Investment (2014) Ltd., 2.75% due 5/7/2019 | AA-/Aa3 | 9,000,000 | 9,144,909 | |||||||
a Steelriver Transmission Co., LLC, 4.71% due 6/30/2017 | NR/Baa2 | 3,128,991 | 3,245,753 | |||||||
The Southern Co., 2.45% due 9/1/2018 | BBB+/Baa1 | 4,825,000 | 4,878,461 | |||||||
Toledo Edison Co., 7.25% due 5/1/2020 | BBB/Baa1 | 167,000 | 196,095 | |||||||
a,b,e Transelec S.A., 4.25% due 1/14/2025 | BBB/Baa1 | 6,000,000 | 5,909,208 | |||||||
UIL Holdings Corp., 4.625% due 10/1/2020 | BBB-/Baa2 | 11,660,000 | 12,535,608 | |||||||
Gas Utilities — 1.06% | ||||||||||
AGL Capital Corp., 3.50% due 9/15/2021 | BBB+/Baa1 | 9,925,000 | 10,245,111 | |||||||
a,b APT Pipelines Ltd., 3.875% due 10/11/2022 | BBB/Baa2 | 5,500,000 | 5,355,900 | |||||||
a Southern Star Central Gas Pipeline, Inc., 6.00% due 6/1/2016 | BBB-/Baa2 | 5,715,000 | 5,866,550 | |||||||
The Laclede Group, Inc., 2.55% due 8/15/2019 | BBB+/Baa2 | 2,350,000 | 2,333,026 | |||||||
The Laclede Group, Inc. Floating Rate Note, 1.071% due 8/15/2017 | BBB+/Baa2 | 16,900,000 | 16,835,966 | |||||||
Independent Power & Renewable Electricity Producers — 0.19% | ||||||||||
a Midland Cogeneration Venture, 6.00% due 3/15/2025 | BBB-/NR | 6,800,576 | 7,442,836 | |||||||
Multi-Utilities — 0.73% | ||||||||||
Dominion Gas Holdings, LLC, 2.50% due 12/15/2019 | A-/A2 | 3,900,000 | 3,941,367 | |||||||
a Enable Oklahoma Intrastate Transmission, LLC, 6.25% due 3/15/2020 | BBB-/Baa3 | 3,640,000 | 4,014,272 | |||||||
a,b Korea Hydro & Nuclear Power Co. Ltd., 2.875% due 10/2/2018 | A+/Aa3 | 7,000,000 | 7,160,300 | |||||||
a Niagara Mohawk Power Corp., 4.881% due 8/15/2019 | A-/A2 | 10,000,000 | 10,951,830 | |||||||
SCANA Corp., 4.125% due 2/1/2022 | BBB/Baa3 | 2,000,000 | 2,032,476 | |||||||
Water Utilities — 0.18% | ||||||||||
American Water Capital Corp., 3.40% due 3/1/2025 | A/A3 | 6,880,000 | 6,971,869 | |||||||
|
| |||||||||
227,292,003 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $1,840,690,892) | 1,838,815,371 | |||||||||
|
|
22 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
CONVERTIBLE BONDS — 0.49% | ||||||||||
REAL ESTATE — 0.49% | ||||||||||
Real Estate Investment Trusts — 0.49% | ||||||||||
a IAS Operating Partnership LP, 5.00% due 3/15/2018 | NR/NR | $ | 19,950,000 | $ | 18,852,750 | |||||
|
| |||||||||
18,852,750 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $19,950,000) | 18,852,750 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 3.81% | ||||||||||
American Municipal Power Ohio, Inc., 5.072% due 2/15/2018 (Meldahl Hydroelectric) | A/A3 | 5,000,000 | 5,367,100 | |||||||
Anaheim California Public Financing Authority, 5.316% due 9/1/2017 (Anaheim Public Improvements; Insured: Natl-Re/FGIC) | AA-/A1 | 1,000,000 | 1,025,150 | |||||||
Anaheim California Public Financing Authority, 5.486% due 9/1/2020 (Anaheim Public Improvements; Insured: Natl-Re) | AA-/A1 | 3,270,000 | 3,525,289 | |||||||
Brentwood California Infrastructure Financing Authority, 6.16% due 10/1/2019 (Civic Center) | AA/NR | 2,110,000 | 2,328,765 | |||||||
California Health Facilities Financing Authority, 6.76% due 2/1/2019 (Community Program for Persons with Developmental Disabilities) | AA-/NR | 3,905,000 | 4,328,458 | |||||||
California School Finance Authority, 5.041% due 7/1/2020 (LOC: City National Bank) | AA+/NR | 4,000,000 | 4,479,320 | |||||||
Camden County Improvement Authority, 5.47% due 7/1/2018 (Cooper Medical School of Rowan University) | A/A2 | 2,140,000 | 2,321,665 | |||||||
Camden County Improvement Authority, 5.62% due 7/1/2019 (Cooper Medical School of Rowan University) | A/A2 | 3,025,000 | 3,334,669 | |||||||
Carson Redevelopment Agency, 4.511% due 10/1/2016 (Low and Moderate Income Housing) | A-/NR | 1,375,000 | 1,388,750 | |||||||
City and County of San Francisco Redevelopment Financing Authority, 8.00% due 8/1/2019 (San Francisco Redevelopment Projects) | AA-/A2 | 6,500,000 | 7,258,875 | |||||||
City of Fort Collins, Colorado Electric Utility Enterprise, 4.92% due 12/1/2020 (Fort Collins Smart Grid) | AA-/NR | 2,250,000 | 2,430,922 | |||||||
City of North Little Rock, Arkansas, 3.562% due 7/1/2022 (Electric System; Insured: AGM) | AA/NR | 7,280,000 | 7,288,008 | |||||||
City of Riverside, California, 5.61% due 8/1/2017 (City Sewer System) | A/A1 | 2,000,000 | 2,142,020 | |||||||
Connecticut Housing Finance Authority, 5.071% due 11/15/2019 (Housing Mtg Finance Program) | AAA/Aaa | 2,265,000 | 2,377,774 | |||||||
Denver Public Schools COP, 2.018% due 12/15/2019 (School District No. 1 Educational Facilities) | NR/Aa3 | 3,000,000 | 3,043,290 | |||||||
Florida Hurricane Catastrophe Fund Finance Corp., 1.298% due 7/1/2016 (Reimbursement Contracts for Covered Event Losses) | AA-/Aa3 | 7,500,000 | 7,528,500 | |||||||
Illinois Finance Authority, 5.629% due 7/1/2016 (Theory and Computing Sciences Building; Insured: Syncora) | AA-/NR | 390,000 | 400,039 | |||||||
JobsOhio Beverage System, 2.217% due 1/1/2019 (State Liquor Enterprise) | AA/Aa3 | 11,245,000 | 11,463,940 | |||||||
Kentucky Asset/Liability Commission, 2.099% due 4/1/2019 (Commonwealth of Kentucky and Teachers’ Retirement System Funding Obligations) | A/Aa3 | 3,000,000 | 3,048,240 | |||||||
Los Angeles County California Public Works Financing Authority, 5.591% due 8/1/2020 (Los Angeles County & USC Medical Center Projects) | AA/A1 | 3,000,000 | 3,437,490 | |||||||
Louisiana Local Government Environmental Facilities and Community Development Authority, 1.66% due 2/1/2022 (Louisiana Utilities Restoration) | AAA/Aaa | 7,227,640 | 7,308,373 | |||||||
Massachusetts Housing Finance Agency, 1.45% due 12/1/2015 (Multi-Family Residential Development) | A+/Aa3 | 3,065,000 | 3,066,716 | |||||||
a Midwest Family Housing, 5.168% due 7/1/2016 (Insured: CIFG) | AA-/Baa1 | 297,000 | 303,133 | |||||||
Municipal Improvement Corp. of Los Angeles, 6.165% due 11/1/2020 (Recovery Zone Economic Development) | A+/A2 | 10,000,000 | 11,119,900 | |||||||
New York City Transitional Finance Authority, 4.075% due 11/1/2020 (World Trade Center Recovery) | AAA/Aa1 | 2,500,000 | 2,699,325 | |||||||
Oakland California Redevelopment Agency, 8.00% due 9/1/2016 (Central District Redevelopment Project) | A-/NR | 4,200,000 | 4,421,592 | |||||||
Oklahoma Development Finance Authority, 8.00% due 5/1/2020 (Cleveland County Industrial Authority (CCIA) - Hitachi Norman, Oklahoma Project) | NR/NR | 5,640,000 | 5,758,948 | |||||||
Orleans Parish School Board GO, 4.40% due 2/1/2021 (Educational Facilities Improvements; Insured: AGM) | AA/A2 | 10,000,000 | 10,823,300 | |||||||
Redevelopment Agency of the City of Redlands, 5.818% due 8/1/2022 (Redlands Redevelopment Project; Insured: AMBAC) | A-/NR | 1,700,000 | 1,804,278 | |||||||
Redevelopment Agency of the County of San Benardino, 7.135% due 9/1/2020 (San Sevaine Redevelopment Project) | BBB/NR | 1,265,000 | 1,361,039 | |||||||
Rutgers State University GO, 2.342% due 5/1/2019 (New Brunswick, Newark and Camden Campus Facilities ) | A+/Aa3 | 3,485,000 | 3,520,477 | |||||||
Rutgers State University GO, 3.028% due 5/1/2021 (New Brunswick, Newark and Camden Campus Facilities) | A+/Aa3 | 1,500,000 | 1,532,115 | |||||||
Sandoval County, New Mexico, 1.452% due 6/1/2017 | A+/NR | 1,000,000 | 1,003,270 | |||||||
Tampa-Hillsborough County Florida Expressway Authority, 2.22% due 7/1/2018 (Electronic Tolling Program) | A/A3 | 2,000,000 | 2,016,520 | |||||||
Tampa-Hillsborough County Florida Expressway Authority, 2.49% due 7/1/2019 (Electronic Tolling Program) | A/A3 | 2,500,000 | 2,510,675 | |||||||
Tampa-Hillsborough County Florida Expressway Authority, 2.84% due 7/1/2020 (Electronic Tolling Program) | A/A3 | 1,750,000 | 1,776,478 | |||||||
Wallenpaupack Area School District GO, 3.80% due 9/1/2019 (Pike and Wayne Counties Educational Facilities) (State Aid Withholding) | AA/NR | 3,000,000 | 3,064,260 | |||||||
Wallenpaupack Area School District GO, 4.00% due 9/1/2020 (Pike and Wayne Counties Educational Facilities) (State Aid Withholding) | AA/NR | 2,750,000 | 2,812,837 | |||||||
Wisconsin Health & Educational Facilities Authority, 7.08% due 6/1/2016 (Richland Hospital) | NR/NR | 80,000 | 79,997 | |||||||
Yuba Levee Financing Authority, 6.375% due 9/1/2021 (Yuba County Levee Financing Project) | AA/NR | 1,000,000 | 1,074,760 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost $139,378,208) | 146,576,257 | |||||||||
|
| |||||||||
OTHER SECURITIES — 0.35% | ||||||||||
LOAN PARTICIPATIONS — 0.35% | ||||||||||
Freeport-McMoRan Copper & Gold, Inc., 1.93%, due 5/31/2018, 0% due 5/31/2018 | NR/NR | 15,250,000 | 13,420,000 | |||||||
|
| |||||||||
TOTAL OTHER SECURITIES (Cost $15,202,738) | 13,420,000 | |||||||||
|
|
Annual Reports 23
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Limited Term Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
SHORT TERM INVESTMENTS — 7.86% | ||||||||||
Bank of New York Tri-Party Repurchase Agreement 0.25% dated 9/30/2015 due 10/1/2015, repurchase price $62,000,431 collateralized by 11 U.S. Government debt securities and 26 corporate debt securities, having an average coupon of 4.21%, a minimum credit rating of BBB-, maturity dates from 10/1/2015 to 9/1/2045, and having an aggregate market value of $66,197,941 at 9/30/2015 | NR/NR | $ | 62,000,000 | $ | 62,000,000 | |||||
Intercontinental Exchange, Inc., 0.15% due 10/5/2015 | NR/NR | 13,000,000 | 12,999,783 | |||||||
Intercontinental Exchange, Inc., 0.15% due 10/6/2015 | NR/NR | 25,000,000 | 24,999,479 | |||||||
Kansas City Power & Light Co., 0.35% due 10/1/2015 | NR/NR | 6,100,000 | 6,100,000 | |||||||
McCormick & Co., Inc., 0.17% due 10/1/2015 | NR/NR | 50,000,000 | 50,000,000 | |||||||
McCormick & Co., Inc., 0.18% due 10/5/2015 | NR/NR | 15,000,000 | 14,999,700 | |||||||
Snap-on, Inc., 0.30% due 10/1/2015 | NR/NR | 8,000,000 | 8,000,000 | |||||||
St Jude Medical, Inc., 0.32% due 10/6/2015 | NR/NR | 25,000,000 | 24,998,889 | |||||||
Stanley Black and Decker, Inc., 0.30% due 10/1/2015 | NR/NR | 35,000,000 | 35,000,000 | |||||||
Sysco Corp., 0.23% due 10/1/2015 | NR/NR | 50,000,000 | 50,000,000 | |||||||
Wisconsin Public Service Corp., 0.23% due 10/5/2015 | NR/NR | 4,500,000 | 4,499,885 | |||||||
Wisconsin Public Service Corp., 0.24% due 10/6/2015 | NR/NR | 8,500,000 | 8,499,689 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $302,097,425) | 302,097,425 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.02% (Cost $3,718,265,224) | $ | 3,730,354,264 | ||||||||
OTHER ASSETS LESS LIABILITIES — 2.98% | 114,433,180 | |||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 3,844,787,444 | ||||||||
|
|
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 September 30, 2015, the aggregate value of these securities in the Fund’s portfolio was $1,565,212,791, representing 40.71% of the Fund’s net assets. |
b | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
c | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
d | When-issued security. |
e | Segregated as collateral for a when-issued security. |
f | Bond in default. |
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. | |
CIFG | Insured by CIFG Assurance North America Inc. | |
CMO | Collateralized Mortgage Obligation | |
COP | Certificates of Participation | |
FCB | Farm Credit Bank | |
FGIC | Insured by Financial Guaranty Insurance Co. | |
GO | General Obligation |
Mtg | Mortgage | |
Natl-Re | Insured by National Public Finance Guarantee Corp. | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SPV | Special Purpose Vehicle | |
Syncora | Insured by Syncora Guarantee Inc. | |
VA | Veterans Affairs |
See notes to financial statements.
24 Annual Reports
FUND SUMMARY | ||
September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s objective is to seek current income, consistent with preservation of capital. The Fund aims to reduce changes in its share value compared to longer duration fixed income portfolios by maintaining a laddered portfolio of investments with a dollar-weighted average duration of normally no more than three years.
Portfolio Ladder
SECURITY CREDIT RATINGS
We have used ratings from Moody’s Investors Service. Where Moody’s ratings are not available, we have used Standard & Poor’s ratings. Where neither rating is available, we have used ratings from other rating agencies.
Key Portfolio Attributes
Number of Bonds | 125 | |||
Effective Duration | 1.5 Yrs | |||
Average Maturity | 1.9 Yrs |
There is no guarantee that the Fund will meet its investment objective.
All data is subject to change. Charts may not add up to 100% due to rounding.
Annual Reports 25
SCHEDULE OF INVESTMENTS | ||
Thornburg Low Duration Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
U.S. TREASURY SECURITIES — 30.90% | ||||||||||
United States Treasury Notes, 0.25% due 10/31/2015 | NR/Aaa | $ | 100,000 | $ | 100,012 | |||||
United States Treasury Notes, 0.25% due 12/31/2015 | NR/Aaa | 100,000 | 100,047 | |||||||
United States Treasury Notes, 0.375% due 4/30/2016 | NR/Aaa | 100,000 | 100,098 | |||||||
United States Treasury Notes, 1.75% due 5/31/2016 | NR/Aaa | 615,000 | 621,171 | |||||||
United States Treasury Notes, 0.375% due 5/31/2016 | NR/Aaa | 565,000 | 565,530 | |||||||
United States Treasury Notes, 0.50% due 6/15/2016 | NR/Aaa | 100,000 | 100,173 | |||||||
United States Treasury Notes, 0.625% due 12/15/2016 | NR/Aaa | 100,000 | 100,203 | |||||||
United States Treasury Notes, 2.75% due 5/31/2017 | NR/Aaa | 1,250,000 | 1,294,898 | |||||||
United States Treasury Notes, 0.875% due 6/15/2017 | NR/Aaa | 100,000 | 100,492 | |||||||
United States Treasury Notes, 0.50% due 7/31/2017 | NR/Aaa | 400,000 | 399,234 | |||||||
United States Treasury Notes, 0.625% due 8/31/2017 | NR/Aaa | 200,000 | 200,008 | |||||||
United States Treasury Notes, 0.75% due 12/31/2017 | NR/Aaa | 800,000 | 800,312 | |||||||
United States Treasury Notes, 1.00% due 5/15/2018 | NR/Aaa | 420,000 | 421,678 | |||||||
a United States Treasury Notes, 1.00% due 8/15/2018 | NR/Aaa | 200,000 | 200,529 | |||||||
United States Treasury Notes, 0.125% due 4/15/2019 | NR/Aaa | 229,163 | 228,385 | |||||||
United States Treasury Notes Inflationary Index, 0.125% due 4/15/2020 | NR/Aaa | 229,298 | 227,908 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY SECURITIES (Cost $5,546,806) | 5,560,678 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 2.24% | ||||||||||
Export Leasing (2009), LLC, (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021 | NR/NR | 78,341 | 79,026 | |||||||
b Micron Semiconductor Ltd., (Guaranty: Export-Import Bank of the United States), 1.258% due 1/15/2019 | NR/NR | 70,000 | 70,000 | |||||||
Small Business Administration Participation Certificates, Series 2005-20K Class 1, 5.36% due 11/1/2025 | NR/NR | 61,223 | 67,107 | |||||||
b Washington Aircraft 2 Co. Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of the United States), 0.756% due 6/26/2024 | NR/NR | 190,052 | 187,681 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $403,901) | 403,814 | |||||||||
|
| |||||||||
OTHER GOVERNMENT — 1.12% | ||||||||||
b Corp Andina de Fomento, 3.75% due 1/15/2016 | AA-/Aa3 | 100,000 | 100,976 | |||||||
b,c Turks and Caicos Islands, 3.20% due 2/22/2016 | AAA/NR | 100,000 | 100,785 | |||||||
|
| |||||||||
TOTAL OTHER GOVERNMENT (Cost $201,423) | 201,761 | |||||||||
|
| |||||||||
MORTGAGE BACKED — 1.28% | ||||||||||
Federal Home Loan Mtg Corp., CMO Series K716 Class A1, 2.415% due 1/25/2021 | NR/Aaa | 92,093 | 95,161 | |||||||
Federal National Mtg Assoc. Pool AS3705, 2.50% due 11/1/2024 | NR/NR | 131,370 | 135,404 | |||||||
|
| |||||||||
TOTAL MORTGAGE BACKED (Cost $228,829) | 230,565 | |||||||||
|
| |||||||||
ASSET BACKED SECURITIES — 18.91% | ||||||||||
ADVANCE RECEIVABLES — 1.67% | ||||||||||
c HLSS Servicer Advance Receivables Trust, Series 2013-T5 Class AT5, 1.979% due 8/15/2046 | AAA/NR | 100,000 | 100,187 | |||||||
c HLSS Servicer Advance Receivables Trust, Series 2013-T7 Class A7, 1.981% due 11/15/2046 | AAA/NR | 100,000 | 100,219 | |||||||
c HLSS Servicer Advance Receivables Trust, Series 2014-T2 Class AT2, 2.217% due 1/15/2047 | AAA/NR | 100,000 | 100,469 | |||||||
|
| |||||||||
300,875 | ||||||||||
|
| |||||||||
AUTO RECEIVABLES — 5.34% | ||||||||||
Ally Auto Receivables Trust, Series 15-1 Class A3, 1.39% due 9/16/2019 | AAA/Aaa | 150,000 | 150,519 | |||||||
Ally Auto Receivables Trust, Series 15-2 Class A3, 1.49% due 11/15/2019 | AAA/Aaa | 100,000 | 100,257 | |||||||
c Avis Budget Rental Car Funding AESOP, LLC, Series 2012-3A Class A, 2.10% due 3/20/2019 | NR/Aaa | 100,000 | 100,631 | |||||||
c Exeter Automobile Receivables Trust, Series 2014-1A Class A, 1.29% due 5/15/2018 | AA/NR | 20,934 | 20,956 | |||||||
Ford Credit Auto Lease Trust, Series 2015-A Class A3, 1.13% due 6/15/2018 | AAA/Aaa | 100,000 | 100,187 | |||||||
c Ford Credit Auto Owner Trust, Series 2015-1 Class A, 2.12% due 7/15/2026 | AAA/NR | 100,000 | 100,399 | |||||||
c GM Financial Automobile Leasing Trust, Series 2014-2A Class A4, 1.62% due 2/20/2018 | NR/Aaa | 100,000 | 101,012 | |||||||
c,d OSCAR US Funding Trust, Series 2014-1A Class A3, 1.72% due 4/15/2019 | AA+/Aaa | 100,000 | 100,500 | |||||||
Santander Drive Auto Receivables Trust, Series 2013-2 Class B, 1.33% due 3/15/2018 | AAA/Aaa | 86,362 | 86,437 | |||||||
World Omni Auto Receivables Trust, Series 2014-B Class A4, 1.68% due 12/15/2020 | AAA/NR | 100,000 | 100,925 | |||||||
|
| |||||||||
961,823 | ||||||||||
|
| |||||||||
COMMERCIAL MTG TRUST — 3.56% | ||||||||||
c BAMLL-DB Trust, Series 2012-OSI Class A2FX, 3.352% due 4/13/2029 | NR/Aaa | 99,953 | 101,890 | |||||||
c DBUBS Mtg Trust CMO, Series 2011-LC1A Class A1, 3.742% due 11/10/2046 | NR/Aaa | 55,314 | 55,566 | |||||||
c DBUBS Mtg Trust CMO, Series 2011-LC2A Class A1FL, 1.557% due 7/12/2044 | NR/Aaa | 58,422 | 59,252 | |||||||
c FREMF Mtg Trust, Series 2013-KF02 Class B Floating Rate Note, 3.199% due 12/25/2045 | NR/Baa3 | 35,489 | 36,074 | |||||||
c GAHR Commercial Mtg Trust, Series 2015-NRF Class BFX, 3.495% due 12/15/2019 | AA-/NR | 100,000 | 101,310 | |||||||
c JPMorgan Chase Commercial Mtg, Series 2014-BXH Class A Floating Rate Note, 1.107% due 4/15/2027 | AAA/NR | 100,000 | 99,415 |
26 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/Moody’s | Principal Amount | Value | |||||||
Morgan Stanley BAML Trust, Series 2012-C6 Class A2, 1.868% due 11/15/2045 | NR/Aaa | $ | 100,000 | $ | 100,877 | |||||
WFRBS Commercial Mtg Trust, Series 2014-C22 Class A1, 1.479% due 9/15/2057 | NR/Aaa | 85,344 | 85,372 | |||||||
|
| |||||||||
639,756 | ||||||||||
|
| |||||||||
CREDIT CARD — 0.56% | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2014-1 Class A, 1.61% due 11/15/2020 | AAA/Aaa | 100,000 | 100,716 | |||||||
|
| |||||||||
100,716 | ||||||||||
|
| |||||||||
OTHER ASSET BACKED — 6.06% | ||||||||||
c,d Alterna Funding I, LLC, Series 2014-1A, 1.639% due 2/15/2021 | NR/NR | 59,297 | 59,356 | |||||||
c Ascentium Equipment Receivables, LLC, Series 2015-1A Class B, 2.26% due 6/10/2021 | NR/Aa3 | 50,000 | 50,485 | |||||||
c CLI Funding, LLC, Series 2014-1A Class A, 3.29% due 6/18/2029 | A/NR | 86,749 | 88,092 | |||||||
GE Dealer Floorplan Master Note Trust, Series 2012-2 Class A Floating Rate Note, 0.966% due 4/22/2019 | NR/Aaa | 100,000 | 99,996 | |||||||
c GTP Cellular Sites, LLC, 3.721% due 3/15/2042 | NR/NR | 96,047 | 96,854 | |||||||
c Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1 Class A Floating Rate Note, 0.944% due 10/25/2019 | NR/Aaa | 100,000 | 99,596 | |||||||
c Navistar Financial Dealer Note Master Owner Trust II, Series 2015-1 Class A Floating Rate Note, 1.594% due 6/25/2020 | NR/Aaa | 71,000 | 71,331 | |||||||
c PFS Financing Corp., Series 2015-AA Class A Floating Rate Note, 0.827% due 4/15/2020 | AAA/Aaa | 100,000 | 99,298 | |||||||
c PFS Financing Corp., Series 2013-AA Class A Floating Rate Note, 0.757% due 2/15/2018 | AAA/Aaa | 100,000 | 99,977 | |||||||
c,d PFS Tax Lien Trust, Series 2014-1, 1.44% due 4/15/2016 | AAA/NR | 53,674 | 53,674 | |||||||
c SBA Tower Trust, Series 2012-1 Class C, 2.933% due 12/15/2042 | NR/A2 | 100,000 | 101,527 | |||||||
c SBA Tower Trust, Series 2014-1A Class C, 2.898% due 10/15/2044 | NR/A2 | 100,000 | 100,319 | |||||||
c Sierra Receivables Funding Co., LLC, Series 2012-1A Class A, 2.84% due 11/20/2028 | A+/NR | 26,487 | 26,787 | |||||||
c Sierra Receivables Funding Co., LLC, Series 2014-1A Class A, 2.07% due 3/20/2030 | A/NR | 43,494 | 43,487 | |||||||
|
| |||||||||
1,090,779 | ||||||||||
|
| |||||||||
STUDENT LOAN — 1.72% | ||||||||||
c Navient Student Loan Trust, Series 2015-AA Class A1, 0.707% due 12/15/2021 | NR/Aaa | 59,296 | 59,103 | |||||||
c Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1 Floating Rate Note, 0.744% due 5/25/2027 | AA+/NR | 71,546 | 71,919 | |||||||
c SLM Student Loan Trust, Series 2011-A Class A3 Floating Rate Note, 2.707% due 1/15/2043 | AAA/Aaa | 100,000 | 105,395 | |||||||
SLM Student Loan Trust, Series 2013-4 Class A Floating Rate Note, 0.744% due 6/25/2027 | NR/Aaa | 74,591 | 73,221 | |||||||
|
| |||||||||
309,638 | ||||||||||
|
| |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $3,400,623) | 3,403,587 | |||||||||
|
| |||||||||
CORPORATE BONDS — 26.70% | ||||||||||
AUTOMOBILES & COMPONENTS — 1.65% | ||||||||||
Automobiles — 1.65% | ||||||||||
c Daimler Finance North America, LLC, 2.45% due 5/18/2020 | A-/A3 | 150,000 | 146,632 | |||||||
c Hyundai Capital America, 2.00% due 3/19/2018 | A-/Baa1 | 50,000 | 49,786 | |||||||
c Nissan Motor Acceptance Corp., 1.95% due 9/12/2017 | A-/A3 | 100,000 | 101,137 | |||||||
|
| |||||||||
297,555 | ||||||||||
|
| |||||||||
BANKS — 1.96% | ||||||||||
Banks — 1.96% | ||||||||||
Bank of America Corp. Floating Rate Note, 1.329% due 1/15/2019 | A-/Baa1 | 100,000 | 100,767 | |||||||
Citigroup, Inc., 2.50% due 7/29/2019 | A-/Baa1 | 75,000 | 75,474 | |||||||
Citigroup, Inc., 1.70% due 4/27/2018 | A-/Baa1 | 75,000 | 74,611 | |||||||
b,c Standard Chartered plc, 3.20% due 5/12/2016 | A-/Aa3 | 100,000 | 101,308 | |||||||
|
| |||||||||
352,160 | ||||||||||
|
| |||||||||
CAPITAL GOODS — 0.56% | ||||||||||
Construction & Engineering — 0.56% | ||||||||||
URS Corp., 3.85% due 4/1/2017 | BB-/NR | 100,000 | 100,000 | |||||||
|
| |||||||||
100,000 | ||||||||||
|
| |||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.99% | ||||||||||
Commercial Services & Supplies — 0.56% | ||||||||||
Cintas Corp. No. 2, 2.85% due 6/1/2016 | A-/A2 | 100,000 | 101,107 | |||||||
Professional Services — 0.43% | ||||||||||
Dun & Bradstreet, Inc., 4.00% due 6/15/2020 | BBB-/NR | 75,000 | 76,595 | |||||||
|
| |||||||||
177,702 | ||||||||||
|
|
Annual Reports 27
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
CONSUMER SERVICES — 0.59% | ||||||||||
Diversified Consumer Services — 0.59% | ||||||||||
George Washington University, 4.411% due 9/15/2017 | A+/A1 | $ | 100,000 | $ | 105,886 | |||||
|
| |||||||||
105,886 | ||||||||||
|
| |||||||||
DIVERSIFIED FINANCIALS — 3.50% | ||||||||||
Capital Markets — 2.37% | ||||||||||
b Deutsche Bank AG, 2.95% due 8/20/2020 | BBB+/A3 | 75,000 | 75,334 | |||||||
Goldman Sachs Group, Inc. Floating Rate Note, 1.421% due 11/15/2018 | A-/A3 | 100,000 | 100,600 | |||||||
Legg Mason, Inc., 2.70% due 7/15/2019 | BBB/Baa1 | 100,000 | 100,601 | |||||||
Morgan Stanley, 2.80% due 6/16/2020 | A-/A3 | 50,000 | 50,283 | |||||||
State Street Corp. Floating Rate Note, 1.225% due 8/18/2020 | A+/A2 | 100,000 | 100,330 | |||||||
Consumer Finance — 0.28% | ||||||||||
Synchrony Financial, 3.00% due 8/15/2019 | BBB-/NR | 50,000 | 50,396 | |||||||
Diversified Financial Services — 0.85% | ||||||||||
c McGraw Hill Financial, Inc., 2.50% due 8/15/2018 | NR/Baa1 | 50,000 | 50,380 | |||||||
c McGraw Hill Financial, Inc., 3.30% due 8/14/2020 | NR/Baa1 | 50,000 | 50,875 | |||||||
Moody’s Corp., 2.75% due 7/15/2019 | BBB+/NR | 50,000 | 50,858 | |||||||
|
| |||||||||
629,657 | ||||||||||
|
| |||||||||
ENERGY — 1.91% | ||||||||||
Oil, Gas & Consumable Fuels — 1.91% | ||||||||||
c Chevron Phillips Chemical Co., LLC, Floating Rate Note, 1.05% due 5/1/2020 | A-/A2 | 100,000 | 100,620 | |||||||
b,c Delek & Avner Tamar Bond Ltd., 2.803% due 12/30/2016 | BBB-/Baa3 | 100,000 | 99,875 | |||||||
c Kern River Funding Corp, 4.893% due 4/30/2018 | A-/A2 | 94,550 | 99,373 | |||||||
b Petrobras Global Finance B.V. Floating Rate Note, 2.694% due 3/17/2017 | BB/Ba2 | 50,000 | 43,000 | |||||||
|
| |||||||||
342,868 | ||||||||||
|
| |||||||||
FOOD & STAPLES RETAILING — 0.40% | ||||||||||
Food & Staples Retailing — 0.40% | ||||||||||
Smith’s 1994-A3 Pass Through Trust, 9.20% due 7/2/2018 | BBB/A3 | 64,766 | 72,229 | |||||||
|
| |||||||||
72,229 | ||||||||||
|
| |||||||||
FOOD, BEVERAGE & TOBACCO — 1.67% | ||||||||||
Food Products — 1.11% | ||||||||||
General Mills, Inc., 1.40% due 10/20/2017 | BBB+/A3 | 50,000 | 50,017 | |||||||
General Mills, Inc., 2.20% due 10/21/2019 | BBB+/A3 | 50,000 | 50,475 | |||||||
Ingredion, Inc., 1.80% due 9/25/2017 | BBB/Baa2 | 100,000 | 99,683 | |||||||
Tobacco — 0.56% | ||||||||||
Altria Group, Inc., 2.625% due 1/14/2020 | BBB+/Baa1 | 100,000 | 101,063 | |||||||
|
| |||||||||
301,238 | ||||||||||
|
| |||||||||
HEALTH CARE EQUIPMENT & SERVICES — 0.55% | ||||||||||
Health Care Providers & Services — 0.55% | ||||||||||
Catholic Health Initiatives, 1.60% due 11/1/2017 | A/NR | 100,000 | 99,728 | |||||||
|
| |||||||||
99,728 | ||||||||||
|
| |||||||||
INSURANCE — 1.12% | ||||||||||
Insurance — 1.12% | ||||||||||
c Principal Life Global Funding II, 1.50% due 9/11/2017 | A+/A1 | 50,000 | 50,042 | |||||||
c Principal Life Global Funding II, 2.375% due 9/11/2019 | A+/A1 | 50,000 | 50,651 | |||||||
c Reliance Standard Life Insurance Co., 2.50% due 4/24/2019 | A/A2 | 100,000 | 101,042 | |||||||
|
| |||||||||
201,735 | ||||||||||
|
| |||||||||
MATERIALS — 0.74% | ||||||||||
Chemicals — 0.28% | ||||||||||
Airgas, Inc., 3.05% due 8/1/2020 | BBB/Baa2 | 50,000 | 50,770 | |||||||
Metals & Mining — 0.46% | ||||||||||
c Glencore Funding, LLC Floating Rate Note, 1.649% due 1/15/2019 | BBB/Baa2 | 100,000 | 81,756 | |||||||
|
| |||||||||
132,526 | ||||||||||
|
|
28 Annual Reports
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 1.22% | ||||||||||
Biotechnology — 0.56% | ||||||||||
Gilead Sciences, Inc., 2.55% due 9/1/2020 | A-/A3 | $ | 100,000 | $ | 100,625 | |||||
Pharmaceuticals — 0.66% | ||||||||||
b Actavis Funding SCS, 2.35% due 3/12/2018 | BBB-/Baa3 | 60,000 | 60,239 | |||||||
b Actavis Funding SCS Floating Rate Note, 1.591% due 3/12/2020 | BBB-/Baa3 | 60,000 | 59,443 | |||||||
|
| |||||||||
220,307 | ||||||||||
|
| |||||||||
REAL ESTATE — 0.56% | ||||||||||
Real Estate Investment Trusts — 0.56% | ||||||||||
Select Income REIT, 2.85% due 2/1/2018 | BBB-/Baa2 | 100,000 | 100,362 | |||||||
|
| |||||||||
100,362 | ||||||||||
|
| |||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.56% | ||||||||||
Semiconductors & Semiconductor Equipment — 0.56% | ||||||||||
Intel Corp., 2.45% due 7/29/2020 | A+/A1 | 100,000 | 101,326 | |||||||
|
| |||||||||
101,326 | ||||||||||
|
| |||||||||
SOFTWARE & SERVICES — 1.68% | ||||||||||
Information Technology Services — 1.12% | ||||||||||
Fiserv, Inc., 2.70% due 6/1/2020 | BBB/Baa2 | 100,000 | 100,788 | |||||||
Total System Services, Inc., 2.375% due 6/1/2018 | BBB+/Baa3 | 100,000 | 100,271 | |||||||
Software — 0.56% | ||||||||||
Autodesk, Inc., 3.125% due 6/15/2020 | BBB/Baa2 | 100,000 | 101,396 | |||||||
|
| |||||||||
302,455 | ||||||||||
|
| |||||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.12% | ||||||||||
Communications Equipment — 0.56% | ||||||||||
Juniper Networks, Inc., 3.30% due 6/15/2020 | BBB/Baa2 | 100,000 | 101,509 | |||||||
Technology, Hardware, Storage & Peripherals — 0.56% | ||||||||||
c,e Hewlett-Packard Enterprise Co. Floating Rate Note, 2.251% due 10/5/2018 | Baa2/BBB | 100,000 | 100,000 | |||||||
|
| |||||||||
201,509 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES — 2.27% | ||||||||||
Diversified Telecommunication Services — 1.70% | ||||||||||
AT&T, Inc., 2.45% due 6/30/2020 | BBB+/Baa1 | 100,000 | 98,459 | |||||||
b Telefonica Emisiones SAU, 6.421% due 6/20/2016 | BBB/Baa2 | 100,000 | 103,557 | |||||||
Verizon Communications, Inc. Floating Rate Note, 2.086% due 9/14/2018 | BBB+/Baa1 | 100,000 | 102,818 | |||||||
Wireless Telecommunication Services — 0.57% | ||||||||||
c Crown Castle Towers, LLC, 5.495% due 1/15/2037 | NR/A2 | 100,000 | 102,812 | |||||||
|
| |||||||||
407,646 | ||||||||||
|
| |||||||||
TRANSPORTATION — 0.30% | ||||||||||
Air Freight & Logistics — 0.30% | ||||||||||
c FedEx Corp. 2012 Pass Through Trust, 2.625% due 1/15/2018 | BBB/A3 | 54,242 | 54,711 | |||||||
|
| |||||||||
54,711 | ||||||||||
|
| |||||||||
UTILITIES — 3.35% | ||||||||||
Electric Utilities — 2.24% | ||||||||||
b,c Electricite de France S.A., 2.15% due 1/22/2019 | A+/A1 | 100,000 | 101,034 | |||||||
Exelon Corp., 1.55% due 6/9/2017 | BBB-/Baa2 | 50,000 | 49,912 | |||||||
Exelon Corp., 2.85% due 6/15/2020 | BBB-/Baa2 | 50,000 | 50,438 | |||||||
NextEra Energy Capital Holdings, Inc., 1.586% due 6/1/2017 | BBB+/Baa1 | 100,000 | 100,033 | |||||||
The Southern Co., 2.45% due 9/1/2018 | BBB+/Baa1 | 100,000 | 101,108 | |||||||
Gas Utilities — 0.55% | ||||||||||
The Laclede Group, Inc. Floating Rate Note, 1.071% due 8/15/2017 | BBB+/Baa2 | 100,000 | 99,621 | |||||||
Multi-Utilities — 0.56% | ||||||||||
Dominion Gas Holdings, LLC, 2.50% due 12/15/2019 | A-/A2 | 100,000 | 101,061 | |||||||
|
| |||||||||
603,207 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $4,815,118) | 4,804,807 | |||||||||
|
|
Annual Reports 29
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Low Duration Income Fund | September 30, 2015 |
Issuer-Description | Credit Rating† S&P/ Moody’s | Principal Amount | Value | |||||||
CONVERTIBLE BONDS — 0.26% | ||||||||||
REAL ESTATE — 0.26% | ||||||||||
Real Estate Investment Trusts — 0.26% | ||||||||||
c IAS Operating Partnership LP, 5.00% due 3/15/2018 | NR/NR | $ | 50,000 | $ | 47,250 | |||||
|
| |||||||||
47,250 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS (Cost $47,462) | 47,250 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 1.81% | ||||||||||
JobsOhio Beverage System, 2.217% due 1/1/2019 (State Liquor Enterprise) | AA/Aa3 | 100,000 | 101,947 | |||||||
Louisiana Local Government Environmental Facilities and Community Development Authority, 1.66% due 2/1/2022 (Louisiana Utilities Restoration) | AAA/Aaa | 86,559 | 87,525 | |||||||
Massachusetts Housing Finance Agency, 1.45% due 12/1/2015 (Multi-Family Residential Development) | A+/Aa3 | 35,000 | 35,020 | |||||||
Sandoval County, New Mexico, 1.452% due 6/1/2017 | A+/NR | 100,000 | 100,327 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost $318,616) | 324,819 | |||||||||
|
| |||||||||
SHORT TERM INVESTMENTS — 17.11% | ||||||||||
f Thornburg Capital Management Fund | NR/NR | 307,812 | 3,078,123 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENTS (Cost $3,078,123) | 3,078,123 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.33% (Cost $18,040,901) | $ | 18,055,404 | ||||||||
LIABILITIES NET OF OTHER ASSETS — (0.33)% | (59,810 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.00% | $ | 17,995,594 | ||||||||
|
|
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 | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2015, the aggregate value of these securities in the Fund’s portfolio was $3,995,149, representing 22.2% of the Fund’s net assets. |
d | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
e | When-issued security. |
f | 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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 438,578 | 130,766 | 307,812 | $ | 3,078,123 | $ | 1,334 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total non-controlled affiliated issuers - 17.11% of net assets | $ | 3,078,123 | $ | 1,334 | $ | — | ||||||||||||||||||||||
|
|
|
|
|
|
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
CMO | Collateralized Mortgage Obligation | |
Mtg | Mortgage | |
REIT | Real Estate Investment Trust |
See notes to financial statements.
30 Annual Reports
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Annual Reports 31
STATEMENTS OF ASSETS AND LIABILITIES | ||
September 30, 2015 |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | Thornburg Low Duration Income Fund | ||||||||||
ASSETS | ||||||||||||
Investments at value (cost $268,991,139, $3,718,265,224, and $18,040,901, respectively) (Note 2) | $ | 272,994,399 | $ | 3,730,354,264 | $ | 18,055,404 | ||||||
Cash | 11,874,831 | 120,760,248 | — | |||||||||
Receivable for investments sold | — | 1,461,000 | — | |||||||||
Receivable for fund shares sold | 530,315 | 17,199,661 | 44 | |||||||||
Receivable from investment advisor | — | — | 20,146 | |||||||||
Dividends receivable | — | — | 626 | |||||||||
Dividend and interest reclaim receivable | — | 44,334 | — | |||||||||
Interest receivable | 979,300 | 22,175,356 | 56,581 | |||||||||
Prepaid expenses and other assets | 60,727 | 97,869 | 15,622 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 286,439,572 | 3,892,092,732 | 18,148,423 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for investments purchased | 7,088 | 37,281,963 | 100,626 | |||||||||
Payable for fund shares redeemed | 2,133,744 | 7,182,601 | 4,079 | |||||||||
Payable to investment advisor and other affiliates (Note 3) | 142,960 | 1,874,155 | — | |||||||||
Accounts payable and accrued expenses | 151,799 | 87,754 | 47,493 | |||||||||
Dividends payable | 100,242 | 878,815 | 631 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 2,535,833 | 47,305,288 | 152,829 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 283,903,739 | $ | 3,844,787,444 | $ | 17,995,594 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF | ||||||||||||
Undistributed (distribution in excess of) net investment income | $ | 40,558 | $ | (83,528 | ) | $ | 2,542 | |||||
Net unrealized appreciation on investments | 4,003,260 | 12,089,040 | 14,503 | |||||||||
Accumulated net realized gain (loss) | (8,765,251 | ) | (105,661 | ) | (3,198 | ) | ||||||
Net capital paid in on shares of beneficial interest | 288,625,172 | 3,832,887,593 | 17,981,747 | |||||||||
|
|
|
|
|
| |||||||
$ | 283,903,739 | $ | 3,844,787,444 | $ | 17,995,594 | |||||||
|
|
|
|
|
|
32 Annual Reports
STATEMENTS OF ASSETS AND LIABILITIES, CONTINUED | ||
September 30, 2015 |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | Thornburg Low Duration Income Fund | ||||||||||
NET ASSET VALUE | ||||||||||||
Class A Shares: | ||||||||||||
Net asset value and redemption price per share ($104,932,608, $977,470,189, and $9,939,785 applicable to 7,910,891, 73,360,585, and 803,065 shares of beneficial interest outstanding - Note 4) | $ | 13.26 | $ | 13.32 | $ | 12.38 | ||||||
Maximum sales charge, 1.50% of offering price | 0.20 | 0.20 | 0.19 | |||||||||
|
|
|
|
|
| |||||||
Maximum offering price per share | $ | 13.46 | $ | 13.52 | $ | 12.57 | ||||||
|
|
|
|
|
| |||||||
Class B Shares: | ||||||||||||
Net asset value per share* ($144,956 applicable to 10,952 shares of beneficial interest outstanding - Note 4) | $ | 13.24 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Class C Shares: | ||||||||||||
Net asset value and offering price per share* ($46,776,441 and $611,554,807 applicable to 3,505,334 and 45,972,432 shares of beneficial interest outstanding - Note 4) | $ | 13.34 | $ | 13.30 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class I Shares: | ||||||||||||
Net asset value, offering and redemption price per share ($112,853,337, $1,982,536,248, and $8,055,809 applicable to 8,508,493, 148,767,735, and 651,003 shares of beneficial interest outstanding - Note 4) | $ | 13.26 | $ | 13.33 | $ | 12.37 | ||||||
|
|
|
|
|
| |||||||
Class R3 Shares: | ||||||||||||
Net asset value, offering and redemption price per share ($16,320,185 and $172,991,935 applicable to 1,229,638 and 12,973,385 shares of beneficial interest outstanding - Note 4) | $ | 13.27 | $ | 13.33 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R4 Shares: | ||||||||||||
Net asset value, offering and redemption price per share ($706,075 and $3,907,852 applicable to 53,237 and 293,482 shares of beneficial interest outstanding - Note 4) | $ | 13.26 | $ | 13.32 | $ | — | ||||||
|
|
|
|
|
| |||||||
Class R5 Shares: | ||||||||||||
Net asset value, offering and redemption price per share ($2,170,137 and $96,326,413 applicable to 163,566 and 7,229,229 shares of beneficial interest outstanding - Note 4) | $ | 13.27 | $ | 13.32 | $ | — | ||||||
|
|
|
|
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Reports 33
STATEMENTS OF OPERATIONS | ||
Year Ended September 30, 2015 |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | Thornburg Low Duration Income Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividend income | $ | — | $ | — | $ | 1,334 | ||||||
Interest income (net of premium amortized of $852,346, $6,654,130, and $53,113 and net of paydown losses of $1,491,077, $2,022,214, and $0, respectively) | 5,490,596 | 98,627,977 | 191,216 | |||||||||
|
|
|
|
|
| |||||||
Total Income | 5,490,596 | 98,627,977 | 192,550 | |||||||||
EXPENSES | ||||||||||||
Investment advisory fees (Note 3) | 992,576 | 12,658,043 | 56,232 | |||||||||
Administration fees (Note 3) | ||||||||||||
Class A Shares | 148,831 | 1,188,248 | 11,622 | |||||||||
Class B Shares | 512 | — | — | |||||||||
Class C Shares | 59,913 | 762,145 | — | |||||||||
Class I Shares | 40,611 | 893,013 | 2,380 | |||||||||
Class R3 Shares | 17,279 | 165,570 | — | |||||||||
Class R4 Shares | 160 | 3,010 | — | |||||||||
Class R5 Shares | 1,054 | 15,405 | — | |||||||||
Distribution and Service fees (Note 3) | ||||||||||||
Class A Shares | 297,663 | 2,376,498 | 18,717 | |||||||||
Class B Shares | 4,067 | — | — | |||||||||
Class C Shares | 239,258 | 3,052,302 | — | |||||||||
Class R3 Shares | 69,127 | 660,879 | — | |||||||||
Class R4 Shares | 328 | 6,011 | — | |||||||||
Transfer agent fees | ||||||||||||
Class A Shares | 98,579 | 938,072 | 28,087 | |||||||||
Class B Shares | 2,913 | — | — | |||||||||
Class C Shares | 47,460 | 457,047 | — | |||||||||
Class I Shares | 77,215 | 1,307,001 | 2,775 | |||||||||
Class R3 Shares | 18,434 | 96,590 | — | |||||||||
Class R4 Shares | 1,333 | 1,461 | — | |||||||||
Class R5 Shares | 7,233 | 45,621 | — | |||||||||
Registration and filing fees | ||||||||||||
Class A Shares | 23,375 | 64,466 | 28,897 | |||||||||
Class B Shares | 19,693 | — | — | |||||||||
Class C Shares | 21,696 | 36,687 | — | |||||||||
Class I Shares | 26,511 | 95,035 | 28,975 | |||||||||
Class R3 Shares | 20,817 | 25,062 | — | |||||||||
Class R4 Shares | 19,886 | 19,983 | — | |||||||||
Class R5 Shares | 24,890 | 25,535 | — | |||||||||
Custodian fees (Note 3) | 87,449 | 366,333 | 28,106 | |||||||||
Professional fees | 53,409 | 133,393 | 74,668 | |||||||||
Accounting fees (Note 3) | 6,295 | 114,090 | 482 | |||||||||
Trustee fees | 6,774 | 116,430 | 436 | |||||||||
Other expenses | 28,505 | 361,363 | 3,296 | |||||||||
|
|
|
|
|
| |||||||
Total Expenses | 2,463,846 | 25,985,293 | 284,673 | |||||||||
Less: | ||||||||||||
Expenses reimbursed by investment advisor (Note 3) | (124,254 | ) | (181,622 | ) | (195,445 | ) | ||||||
Fees paid indirectly (Note 3) | (2,909 | ) | (4,683 | ) | (343 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 2,336,683 | 25,798,988 | 88,885 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | $ | 3,153,913 | $ | 72,828,989 | $ | 103,665 | ||||||
|
|
|
|
|
|
34 Annual Reports
STATEMENTS OF OPERATIONS, CONTINUED | ||
Year Ended September 30, 2015 |
Thornburg Limited Term U.S. Government Fund | Thornburg Limited Term Income Fund | Thornburg Low Duration Income Fund | ||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) on investments | $ | 185,164 | $ | 2,898,742 | $ | (1,200 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,226,277 | (26,307,541 | ) | (10,894 | ) | |||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | 1,411,441 | (23,408,799 | ) | (12,094 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations | $ | 4,565,354 | $ | 49,420,190 | $ | 91,571 | ||||||
|
|
|
|
|
|
See notes to financial statements.
Annual Reports 35
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Limited Term U.S. Government Fund
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,153,913 | $ | 4,111,583 | ||||
Net realized gain (loss) on investments | 185,164 | (263,393 | ) | |||||
Net unrealized appreciation (depreciation) on investments | 1,226,277 | (219,886 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,565,354 | 3,628,304 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (1,998,645 | ) | (2,819,935 | ) | ||||
Class B Shares | (1,634 | ) | (4,853 | ) | ||||
Class C Shares | (673,384 | ) | (1,014,665 | ) | ||||
Class I Shares | (1,613,526 | ) | (1,533,758 | ) | ||||
Class R3 Shares | (223,583 | ) | (280,108 | ) | ||||
Class R4 Shares | (2,013 | ) | (219 | ) | ||||
Class R5 Shares | (40,628 | ) | (22,390 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (28,020,798 | ) | (25,279,558 | ) | ||||
Class B Shares | (569,272 | ) | (663,906 | ) | ||||
Class C Shares | (4,206,537 | ) | (22,460,082 | ) | ||||
Class I Shares | 43,553,428 | (3,849,985 | ) | |||||
Class R3 Shares | 2,569,073 | (1,502,345 | ) | |||||
Class R4 Shares | 689,938 | 15,217 | ||||||
Class R5 Shares | 313,658 | 989,013 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 14,341,431 | (54,799,270 | ) | |||||
NET ASSETS | ||||||||
Beginning of Year | 269,562,308 | 324,361,578 | ||||||
|
|
|
| |||||
End of Year | $ | 283,903,739 | $ | 269,562,308 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 40,558 | $ | 64,362 |
See notes to financial statements.
36 Annual Reports
STATEMENTS OF CHANGES IN NET ASSETS | ||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 72,828,989 | $ | 68,224,679 | ||||
Net realized gain (loss) on investments | 2,898,742 | 22,349,977 | ||||||
Net unrealized appreciation (depreciation) on investments | (26,307,541 | ) | 19,198,183 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,420,190 | 109,772,839 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (19,108,273 | ) | (20,844,311 | ) | ||||
Class C Shares | (10,876,303 | ) | (11,944,153 | ) | ||||
Class I Shares | (42,187,380 | ) | (34,874,369 | ) | ||||
Class R3 Shares | (2,507,503 | ) | (2,227,898 | ) | ||||
Class R4 Shares | (45,910 | ) | (219 | ) | ||||
Class R5 Shares | (693,620 | ) | (295,723 | ) | ||||
From realized gains | ||||||||
Class A Shares | (4,830,351 | ) | (8,162,458 | ) | ||||
Class C Shares | (3,183,519 | ) | (5,067,874 | ) | ||||
Class I Shares | (8,807,696 | ) | (10,507,616 | ) | ||||
Class R3 Shares | (673,050 | ) | (758,459 | ) | ||||
Class R4 Shares | (477 | ) | — | |||||
Class R5 Shares | (93,460 | ) | (61,655 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 82,366,188 | (127,630,504 | ) | |||||
Class C Shares | 25,363,704 | (42,344,263 | ) | |||||
Class I Shares | 426,827,856 | 311,080,157 | ||||||
Class R3 Shares | 54,628,845 | 37,870,291 | ||||||
Class R4 Shares | 3,896,559 | 46,653 | ||||||
Class R5 Shares | 79,873,082 | 8,559,767 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 629,368,882 | 202,610,205 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 3,215,418,562 | 3,012,808,357 | ||||||
|
|
|
| |||||
End of Year | $ | 3,844,787,444 | $ | 3,215,418,562 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (83,528 | ) | $ | (141,972 | ) |
See notes to financial statements.
Annual Reports 37
STATEMENTS OF CHANGES IN NET ASSETS | ||
Year Ended September 30, 2015 | Period Ended* September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 103,665 | $ | 57,563 | ||||
Net realized gain (loss) on investments | (1,200 | ) | 522 | |||||
Net unrealized appreciation (depreciation) on investments | (10,894 | ) | 25,397 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 91,571 | 83,482 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (62,161 | ) | (28,921 | ) | ||||
Class I Shares | (41,488 | ) | (28,642 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 3,274,840 | 6,667,167 | ||||||
Class I Shares | 4,356,593 | 3,683,153 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 7,619,355 | 10,376,239 | ||||||
NET ASSETS | ||||||||
Beginning of Period | 10,376,239 | — | ||||||
|
|
|
| |||||
End of Period | $ | 17,995,594 | $ | 10,376,239 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 2,542 | $ | 1,386 |
* | For the period from commencement of operations on December 30, 2013 through September 30, 2014. |
See notes to financial statements.
38 Annual Reports
NOTES TO FINANCIAL STATEMENTS | ||
September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the “Government Fund”), Thornburg Limited Term Income Fund (the “Income Fund”) and Thornburg Low Duration Income Fund (the “Low Duration 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 three of twenty 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 Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), with the safety of capital. As a secondary objective, the Government and Income Funds seek to reduce changes in their share prices compared to longer term portfolios.
The Government Fund currently has seven classes of shares of beneficial interest: Class A, Class B, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). The Fund no longer offers Class B shares for sale.
The Income Fund currently offers six classes of shares of beneficial interest, Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”).
The Low Duration Fund currently offers two classes of shares of beneficial interest, Class A and Institutional Class (“Class I”).
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 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 may be subject to a service fee, and (viii) the respective classes may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allocable 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
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. Each Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed the Advisor to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would
Annual Reports 39
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
be realized by the Funds upon a sale of the investment, and the difference could be material to the Funds’ financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Funds, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Valuation Measurements: The Funds categorize investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. Unobservable inputs are those that reflect assumptions about the information market participants would use in valuing an investment. An investment’s level within a Fund’s hierarchy is based on the lowest level input that is deemed significant to the valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for the Funds’ 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 calculating the fair values of investments).
Valuations for debt obligations held by each Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the Fund’s valuation hierarchy.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within a Fund’s hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and a Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
GOVERNMENT FUND
The following table displays a summary of the fair value hierarchy measurements of the Government Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 58,042,292 | $ | 58,042,292 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 51,044,477 | — | 48,936,190 | 2,108,287 | ||||||||||||
Mortgage Backed | 136,907,646 | — | 136,907,646 | — | ||||||||||||
Short Term Investments | 26,999,984 | — | 26,999,984 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 272,994,399 | $ | 58,042,292 | $ | 212,843,820 | $ | 2,108,287 |
(a) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, a portfolio security characterized as a Level 3 investment representing $2,108,287 market value in U.S. Government Agencies was fair valued by the Committee using a yield of 2.937%, based upon current market prices and yields of comparable securities. |
40 Annual Reports
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2015, is as follows:
U.S. Government Agencies | Total(d) | |||||||
Beginning Balance 9/30/2014 | $ | 2,356,134 | $ | 2,356,134 | ||||
Accrued Discounts (Premiums) | 2,836 | 2,836 | ||||||
Net Realized Gain (Loss)(a) | 2,359 | 2,359 | ||||||
Gross Purchases | — | — | ||||||
Gross Sales | (208,599 | ) | (208,599 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation)(b)(c) | (44,443 | ) | (44,443 | ) | ||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending Balance 9/30/2015 | $ | 2,108,287 | $ | 2,108,287 |
(a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(b) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(c) | The net change in unrealized appreciation (depreciation) attributable to securities owned at September 30, 2015, which were valued using significant unobservable inputs was $(44,443). This is included within net change in unrealized appreciation (depreciation) on investments within the Statement of Operations. |
(d) | Level 3 investments represent 0.74% of total net assets at the year ended September 30, 2015. 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. |
INCOME FUND
The following table displays a summary of the fair value hierarchy measurements of the Income Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 75,068,686 | $ | 75,068,686 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 281,185,476 | — | 275,885,380 | 5,300,096 | ||||||||||||
Other Government | 100,730,368 | — | 100,730,368 | — | ||||||||||||
Mortgage Backed | 173,513,334 | — | 173,513,334 | — | ||||||||||||
Asset Backed Securities | 780,094,597 | — | 758,296,192 | 21,798,405 | ||||||||||||
Corporate Bonds | 1,838,815,371 | — | 1,838,815,371 | — | ||||||||||||
Convertible Bonds | 18,852,750 | — | 18,852,750 | — | ||||||||||||
Municipal Bonds | 146,576,257 | — | 146,576,257 | — | ||||||||||||
Other Securities | 13,420,000 | — | 13,420,000 | — | ||||||||||||
Short Term Investments | 302,097,425 | — | 302,097,425 | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,730,354,264 | $ | 75,068,686 | $ | 3,628,187,077 | $ | 27,098,501 |
(a) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, unadjusted broker quotes and vendor prices were applied to $21,798,405 in asset backed portfolio securities characterized as Level 3 investments at September 30, 2015. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at September 30, 2015: |
Annual Reports 41
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
INCOME FUND (Continued)
Fair Value at September 30, 2015 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||
U.S. Government Agencies | $ | 5,300,096 | Market comparable securities yield method | Yields of comparable securities | 2.937% – 3.785% (3.476%) | |||||
|
| |||||||||
Total | $ | 5,300,096 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2015.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2015, is as follows:
Asset Backed Securities | Corporate Bonds | U.S. Government Agencies | Total(e) | |||||||||||||
Beginning Balance 9/30/2014 | $ | 22,153,810 | $ | 4,105,650 | $ | 19,329,101 | $ | 45,588,561 | ||||||||
Accrued Discounts (Premiums) | 20,448 | 740 | (35,461 | ) | (14,273 | ) | ||||||||||
Net Realized Gain (Loss)(a) | 85,090 | 9,739 | 2,164 | 96,993 | ||||||||||||
Gross Purchases | 19,990,958 | — | — | 19,990,958 | ||||||||||||
Gross Sales | (15,446,534 | ) | (579,359 | ) | (191,216 | ) | (16,217,109 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation)(b)(c) | 60,301 | (14,100 | ) | 4,820 | 51,021 | |||||||||||
Transfers into Level 3(d) | — | — | — | — | ||||||||||||
Transfers out of Level 3(d) | (5,065,668 | ) | (3,522,670 | ) | (13,809,312 | ) | (22,397,650 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Ending Balance 9/30/2015 | $ | 21,798,405 | $ | — | $ | 5,300,096 | $ | 27,098,501 |
(a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(b) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(c) | The net change in unrealized appreciation (depreciation) attributable to securities owned at September 30, 2015, which were valued using significant unobservable inputs was $65,121. This is included within net change in unrealized appreciation (depreciation) on investments within the Statement of Operations. |
(d) | 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 year ended September 30, 2015. Transfers into or out of Level 3 are based on the beginning market value of the period in which they occurred. |
(e) | Level 3 investments represent 0.70% of total net assets at the year ended September 30, 2015. 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. |
LOW DURATION FUND
The following table displays a summary of the fair value hierarchy measurements of the Low Duration Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 5,560,678 | $ | 5,560,678 | $ | — | $ | — | ||||||||
U.S. Government Agencies | 403,814 | — | 403,814 | — | ||||||||||||
Other Government | 201,761 | — | 201,761 | — | ||||||||||||
Mortgage Backed | 230,565 | — | 230,565 | — | ||||||||||||
Asset Backed Securities | 3,403,587 | — | 3,403,587 | — | ||||||||||||
Corporate Bonds | 4,804,807 | — | 4,804,807 | — | ||||||||||||
Convertible Bonds | 47,250 | — | 47,250 | — | ||||||||||||
Municipal Bonds | 324,819 | — | 324,819 | — | ||||||||||||
Short Term Investments | 3,078,123 | 3,078,123 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 18,055,404 | $ | 8,638,801 | $ | 9,416,603 | $ | — |
42 Annual Reports
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015.
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2015, is as follows:
Asset Backed Securities | Total(d) | |||||||
Beginning Balance 9/30/2014 | $ | 100,000 | $ | 100,000 | ||||
Accrued Discounts (Premiums) | 635 | 635 | ||||||
Net Realized Gain (Loss)(a) | 179 | 179 | ||||||
Gross Purchases | — | — | ||||||
Gross Sales | (100,000 | ) | (100,000 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation)(b)(c) | (814 | ) | (814 | ) | ||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending Balance 9/30/2015 | $ | — | $ | — |
(a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(b) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(c) | The net change in unrealized appreciation (depreciation) attributable to securities owned at September 30, 2015, which were valued using significant unobservable inputs was $0. This is included within net change in unrealized appreciation (depreciation) on investments within the Statement of Operations. |
(d) | Level 3 investments represent 0% of total net assets at the year ended September 30, 2015. |
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 September 30, 2015, management has not identified any such position for which an asset or 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 to the seller at an agreed upon price 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
Annual Reports 43
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
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. Pay down 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.
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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Funds for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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, ..50 of 1% to .275 of 1% per annum of the average daily net assets of the Income Fund and .40 of 1% to .225 of 1% per annum of the average daily net assets of the Low Duration Fund, depending on each Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015, the Government Fund, Income Fund, and Low Duration Fund paid $6,295, $114,090, and $482 to the Advisor for these accounting services, respectively. The Trust also has entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Funds’ shares, and for which fees will be payable at an annual rate of up to .125 of 1% per annum of the average daily net assets attributable to Class A, Class B, Class C, Class R3, and Class R4 shares, and up to .05 of 1% per annum of the average daily net assets attributable to Class I and 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 Funds’ shares. For the year ended September 30, 2015, the Distributor has advised the Funds that they earned net commissions and collected contingent deferred sales charges (CDSC fees) as follows:
Government Fund | Income Fund | Low Duration Fund | ||||||||||
Commissions | $ | 633 | $ | 5,256 | $ | 612 | ||||||
CDSC fees | $ | 1,773 | $ | 49,384 | $ | n/a |
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, Class R3, Class R4, and Class R5 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 year ended September 30, 2015, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of each Fund’s shares and shareholder services.
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 year ended September 30, 2015, are set forth in the Statements of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Funds so that actual expenses of certain share classes do not exceed levels as specified in each Fund’s most recent prospectus. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Funds prior to that date. The Advisor and Distributor retain the right to be repaid by the Funds for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year. Contractual and voluntary fees reimbursed by the Funds’ at September 30, 2015, are as follows:
44 Annual Reports
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
Government Fund | Income Fund | Low Duration Fund | ||||||||||
Contractual: | ||||||||||||
Class A | $ | — | $ | — | $ | 67,507 | ||||||
Class B | 19,887 | — | — | |||||||||
Class C | — | — | — | |||||||||
Class I | — | — | 34,130 | |||||||||
Class R3 | 50,012 | 155,245 | — | |||||||||
Class R4 | 21,000 | 16,358 | — | |||||||||
Class R5 | 28,408 | 10,019 | — |
Government Fund | Income Fund | Low Duration Fund | ||||||||||
Voluntarily: | ||||||||||||
Class A | $ | — | $ | — | $ | 62,044 | ||||||
Class C | 4,947 | — | — | |||||||||
Class I | — | — | 31,764 |
The Trust has an agreement with the custodian bank to indirectly pay a portion of the custodian’s fees through credits earned by the Funds’ cash on deposit with the bank. This deposit agreement is an alternative to overnight investments. Custodial fees 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 year ended September 30, 2015, fees paid indirectly were $2,909 for the Government Fund, $4,683 for the Income Fund, and $343 for the Low Duration 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.
The percentage of direct investments in the Fund held by affiliated Trustees, the Officers identified in the Trustees and Officers section of this report, and the Advisor is approximately 0.00%, 0.00%, 28.38% for the Government Fund, Income Fund, and Low Duration Fund, respectively.
The Funds may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that each such transaction will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Funds had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
GOVERNMENT FUND
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,924,018 | $ | 25,556,433 | 1,714,063 | $ | 22,865,234 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 117,336 | 1,559,285 | 156,283 | 2,082,416 | ||||||||||||
Shares repurchased | (4,145,593 | ) | (55,136,516 | ) | (3,769,364 | ) | (50,227,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,104,239 | ) | $ | (28,020,798 | ) | (1,899,018 | ) | $ | (25,279,558 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B Shares | ||||||||||||||||
Shares sold | 1,585 | $ | 21,000 | 18,991 | $ | 252,210 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 118 | 1,567 | 355 | 4,713 | ||||||||||||
Shares repurchased | (44,658 | ) | (591,839 | ) | (69,262 | ) | (920,829 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (42,955 | ) | $ | (569,272 | ) | (49,916 | ) | $ | (663,906 | ) | ||||||
|
|
|
|
|
|
|
|
Annual Reports 45
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
GOVERNMENT FUND (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 567,096 | $ | 7,580,761 | 336,942 | $ | 4,519,939 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 44,200 | 590,931 | 65,687 | 880,540 | ||||||||||||
Shares repurchased | (925,703 | ) | (12,378,229 | ) | (2,077,467 | ) | (27,860,561 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (314,407 | ) | $ | (4,206,537 | ) | (1,674,838 | ) | $ | (22,460,082 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,981,837 | $ | 66,066,766 | 1,813,462 | $ | 24,164,635 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 89,785 | 1,193,030 | 97,347 | 1,297,025 | ||||||||||||
Shares repurchased | (1,785,584 | ) | (23,706,368 | ) | (2,199,111 | ) | (29,311,645 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,286,038 | $ | 43,553,428 | (288,302 | ) | $ | (3,849,985 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 565,901 | $ | 7,509,633 | 375,179 | $ | 5,003,670 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 15,356 | 204,132 | 19,348 | 257,965 | ||||||||||||
Shares repurchased | (386,887 | ) | (5,144,692 | ) | (507,115 | ) | (6,763,980 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 194,370 | $ | 2,569,073 | (112,588 | ) | $ | (1,502,345 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 59,286 | $ | 785,142 | 1,142 | $ | 15,250 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 145 | 1,922 | 16 | 219 | ||||||||||||
Shares repurchased | (7,333 | ) | (97,126 | ) | (19 | ) | (252 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 52,098 | $ | 689,938 | 1,139 | $ | 15,217 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 83,822 | $ | 1,113,821 | 161,398 | $ | 2,151,422 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 402 | 5,348 | 817 | 10,878 | ||||||||||||
Shares repurchased | (60,670 | ) | (805,511 | ) | (88,161 | ) | (1,173,287 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,554 | $ | 313,658 | 74,054 | $ | 989,013 | ||||||||||
|
|
|
|
|
|
|
|
46 Annual Reports
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
INCOME FUND
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 25,227,014 | $ | 338,693,537 | 20,658,936 | $ | 278,069,724 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,573,173 | 21,117,049 | 1,935,680 | 25,992,765 | ||||||||||||
Shares repurchased | (20,664,967 | ) | (277,444,398 | ) | (32,121,123 | ) | (431,692,993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,135,220 | $ | 82,366,188 | (9,526,507 | ) | $ | (127,630,504 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,395,179 | $ | 139,390,004 | 8,103,867 | $ | 108,884,838 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 932,129 | 12,491,193 | 1,113,293 | 14,926,284 | ||||||||||||
Shares repurchased | (9,440,866 | ) | (126,517,493 | ) | (12,383,560 | ) | (166,155,385 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,886,442 | $ | 25,363,704 | (3,166,400 | ) | $ | (42,344,263 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 67,108,821 | $ | 901,062,644 | 53,437,378 | $ | 719,454,550 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 3,275,176 | 43,963,186 | 2,874,558 | 38,631,611 | ||||||||||||
Shares repurchased | (38,605,988 | ) | (518,197,974 | ) | (33,255,810 | ) | (447,006,004 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 31,778,009 | $ | 426,827,856 | 23,056,126 | $ | 311,080,157 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 9,152,610 | $ | 122,597,022 | 5,189,231 | $ | 69,801,833 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 227,265 | 3,052,454 | 214,137 | 2,879,405 | ||||||||||||
Shares repurchased | (5,298,078 | ) | (71,020,631 | ) | (2,588,440 | ) | (34,810,947 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,081,797 | $ | 54,628,845 | 2,814,928 | $ | 37,870,291 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 342,702 | $ | 4,602,724 | 3,467 | $ | 46,690 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 287 | 3,848 | 16 | 218 | ||||||||||||
Shares repurchased | (52,971 | ) | (710,013 | ) | (19 | ) | (255 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 290,018 | $ | 3,896,559 | 3,464 | $ | 46,653 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 6,867,097 | $ | 91,721,414 | 913,728 | $ | 12,254,923 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 57,917 | 775,893 | 26,437 | 355,574 | ||||||||||||
Shares repurchased | (943,243 | ) | (12,624,225 | ) | (301,211 | ) | (4,050,730 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,981,771 | $ | 79,873,082 | 638,954 | $ | 8,559,767 | ||||||||||
|
|
|
|
|
|
|
|
Annual Reports 47
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
LOW DURATION INCOME FUND
Year Ended September 30, 2015 | Period Ended* September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 591,759 | $ | 7,333,655 | 548,858 | $ | 6,781,755 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 4,384 | 54,300 | 2,224 | 27,529 | ||||||||||||
Shares repurchased | (332,679 | ) | (4,113,115 | ) | (11,481 | ) | (142,117 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 263,464 | $ | 3,274,840 | 539,601 | $ | 6,667,167 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 377,417 | $ | 4,668,821 | 342,617 | $ | 4,225,814 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 3,074 | 38,070 | 2,304 | 28,523 | ||||||||||||
Shares repurchased | (28,279 | ) | (350,298 | ) | (46,130 | ) | (571,184 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 352,212 | $ | 4,356,593 | 298,791 | $ | 3,683,153 | ||||||||||
|
|
|
|
|
|
|
|
* | For the period from commencement of operations on December 13, 2013, through September 30, 2014. |
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Government Fund had purchase and sale transactions of investments (excluding short-term investments) of $71,843,389 and $33,179,096, respectively, the Income Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $1,258,106,913 and $538,706,680, respectively, and the Low Duration Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $4,843,882 and $1,896,578, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Government Fund | Income Fund | Low Duration Fund | ||||||||||
Cost of investments for tax purposes | $ | 268,991,952 | $ | 3,718,299,042 | $ | 18,040,901 | ||||||
|
|
|
|
|
| |||||||
Gross unrealized appreciation on a tax basis | $ | 4,674,485 | $ | 53,699,892 | $ | 64,387 | ||||||
Gross unrealized depreciation on a tax basis | (672,038 | ) | (41,644,670 | ) | (49,884 | ) | ||||||
|
|
|
|
|
| |||||||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 4,002,447 | $ | 12,055,222 | $ | 14,503 | ||||||
|
|
|
|
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes for the Government and Income Funds result primarily from deferral of outstanding wash sale losses.
At September 30, 2015, the Government Fund, Income Fund, and Low Duration Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014, through September 30, 2015, of $1,216,806, $71,842, and $0, respectively. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
During the year ended September 30, 2015, the Government Fund utilized $66,003 of short-term capital loss carryforwards generated after September 30, 2011.
At September 30, 2015, the Government Fund had cumulative tax basis capital losses of $7,424,164, (of which $2,089,134 are short-term and $5,335,030 are long-term) generated after September 30, 2011, 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
48 Annual Reports
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
September 30, 2015 |
loss carryforwards do not expire, but are required to be utilized to offset future gains prior to the utilization of losses generated prior to October 1, 2011 which may expire prior to utilization.
At September 30, 2015, the Government Fund had tax basis capital losses generated prior to October 1, 2011, 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 generated prior to October 1, 2011 expire as follows:
2018 | $ | 17,316 | ||
2019 | 106,151 | |||
|
| |||
$ | 123,467 | |||
|
|
At September 30, 2015, the Low Duration Fund had cumulative tax basis capital losses of $3,198 (of which $0 are short-term and $3,198 are long-term) generated after September 30, 2011, 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 carry-forwards do not expire.
In order to account for permanent book to tax differences, the Government Fund increased undistributed net investment income by $1,375,696 and increased accumulated net realized loss by $1,375,696. The Income Fund decreased distribution in excess of net investment loss by $2,648,444 and decreased accumulated net realized gain by $2,648,444. The Low Duration Fund increased undistributed net investment income by $1,140, increased accumulated net realized loss by $1,134, and decreased net capital paid in on shares of beneficial interest by $6. Reclassifications have no impact upon the net asset values of the Funds and result primarily from redesignation of distributions and paydown gains and losses.
At September 30, 2015, the Government Fund had $140,802 in undistributed tax basis net ordinary income and no undistributed tax basis capital gains. The Income Fund had $795,287 in undistributed tax basis net ordinary income and no undistributed tax basis capital gains. The Low Duration Fund had $3,173 in undistributed tax basis net ordinary income and no undistributed tax basis capital gains.
The tax character of distributions paid for the Funds during the year ended September 30, 2015, and September 30, 2014, was as follows:
Government Fund | Income Fund | Low Duration Fund | ||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Distributions from: | ||||||||||||||||||||||||
Ordinary income | $ | 4,553,413 | $ | 5,675,928 | $ | 78,665,311 | $ | 78,131,592 | $ | 103,649 | $ | 57,563 | ||||||||||||
Capital gains | — | — | 14,342,231 | 16,613,143 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 4,553,413 | $ | 5,675,928 | $ | 93,007,542 | $ | 94,744,735 | $ | 103,649 | $ | 57,563 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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 each Fund’s prospectus for a discussion of the risks associated with an investment in the Funds.
Subsequent Events: Fund management believes no events have occurred between September 30, 2015, and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Reports 49
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 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 | 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 (%)(a) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 13.27 | 0.15 | 0.06 | 0.21 | (0.22 | ) | — | (0.22 | ) | $ | 13.26 | 1.15 | 0.92 | 0.92 | 0.92 | 1.62 | 14.15 | $ | 104,933 | ||||||||||||||||||||||||||||||||||||
2014(b) | $ | 13.36 | 0.19 | (0.02 | ) | 0.17 | (0.26 | ) | — | (0.26 | ) | $ | 13.27 | 1.41 | 0.93 | 0.93 | 0.94 | 1.30 | 8.14 | $ | 132,916 | |||||||||||||||||||||||||||||||||||
2013(b) | $ | 13.86 | 0.20 | (0.39 | ) | (0.19 | ) | (0.31 | ) | — | (0.31 | ) | $ | 13.36 | 1.45 | 0.89 | 0.89 | 0.89 | (1.38 | ) | 12.18 | $ | 159,225 | |||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||||||
Class B Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.24 | (0.02 | ) | 0.07 | 0.05 | (0.05 | ) | — | (0.05 | ) | $ | 13.24 | (0.14 | ) | 2.23 | 2.22 | 7.08 | 0.35 | 14.15 | $ | 145 | ||||||||||||||||||||||||||||||||||
2014 | $ | 13.33 | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.06 | ) | — | (0.06 | ) | $ | 13.24 | (0.06 | ) | 2.40 | 2.40 | 3.60 | (0.19 | ) | 8.14 | $ | 714 | |||||||||||||||||||||||||||||||
2013 | $ | 13.83 | 0.01 | (0.39 | ) | (0.38 | ) | (0.12 | ) | — | (0.12 | ) | $ | 13.33 | 0.07 | 2.29 | 2.29 | 2.57 | (2.75 | ) | 12.18 | $ | 1,384 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.35 | 0.12 | 0.06 | 0.18 | (0.19 | ) | — | (0.19 | ) | $ | 13.34 | 0.88 | 1.20 | 1.20 | 1.21 | 1.34 | 14.15 | $ | 46,777 | ||||||||||||||||||||||||||||||||||||
2014 | $ | 13.45 | 0.15 | (0.02 | ) | 0.13 | (0.23 | ) | — | (0.23 | ) | $ | 13.35 | 1.14 | 1.19 | 1.19 | 1.20 | 0.96 | 8.14 | $ | 51,001 | |||||||||||||||||||||||||||||||||||
2013 | $ | 13.94 | 0.16 | (0.37 | ) | (0.21 | ) | (0.28 | ) | — | (0.28 | ) | $ | 13.45 | 1.17 | 1.17 | 1.17 | 1.17 | (1.56 | ) | 12.18 | $ | 73,877 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.27 | 0.19 | 0.06 | 0.25 | (0.26 | ) | — | (0.26 | ) | $ | 13.26 | 1.45 | 0.62 | 0.62 | 0.62 | 1.93 | 14.15 | $ | 112,853 | ||||||||||||||||||||||||||||||||||||
2014 | $ | 13.36 | 0.23 | (0.02 | ) | 0.21 | (0.30 | ) | — | (0.30 | ) | $ | 13.27 | 1.73 | 0.61 | 0.61 | 0.61 | 1.62 | 8.14 | $ | 69,309 | |||||||||||||||||||||||||||||||||||
2013 | $ | 13.86 | 0.24 | (0.38 | ) | (0.14 | ) | (0.36 | ) | — | (0.36 | ) | $ | 13.36 | 1.78 | 0.56 | 0.56 | 0.56 | (1.05 | ) | 12.18 | $ | 73,645 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.28 | 0.14 | 0.06 | 0.20 | (0.21 | ) | — | (0.21 | ) | $ | 13.27 | 1.09 | 0.99 | 0.99 | 1.35 | 1.55 | 14.15 | $ | 16,320 | ||||||||||||||||||||||||||||||||||||
2014 | $ | 13.37 | 0.18 | (0.02 | ) | 0.16 | (0.25 | ) | — | (0.25 | ) | $ | 13.28 | 1.35 | 0.99 | 0.99 | 1.31 | 1.23 | 8.14 | $ | 13,748 | |||||||||||||||||||||||||||||||||||
2013 | $ | 13.87 | 0.18 | (0.38 | ) | (0.20 | ) | (0.30 | ) | — | (0.30 | ) | $ | 13.37 | 1.35 | 0.99 | 0.99 | 1.27 | (1.47 | ) | 12.18 | $ | 15,350 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.27 | 0.13 | 0.08 | 0.21 | (0.22 | ) | — | (0.22 | ) | $ | 13.26 | 1.00 | 0.99 | 0.99 | 17.30 | (c) | 1.55 | 14.15 | $ | 706 | |||||||||||||||||||||||||||||||||||
2014(d) | $ | 13.36 | 0.14 | (0.03 | ) | 0.11 | (0.20 | ) | — | (0.20 | ) | $ | 13.27 | 1.57 | (e) | 0.99 | (e) | 0.99 | (e) | 64.66 | (c)(e) | 0.78 | 8.14 | $ | 15 | |||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.27 | 0.19 | 0.07 | 0.26 | (0.26 | ) | — | (0.26 | ) | $ | 13.27 | 1.40 | 0.67 | 0.67 | 2.02 | 1.95 | 14.15 | $ | 2,170 | ||||||||||||||||||||||||||||||||||||
2014 | $ | 13.36 | 0.21 | — | (f) | 0.21 | (0.30 | ) | — | (0.30 | ) | $ | 13.27 | 1.59 | 0.67 | 0.67 | 2.87 | 1.56 | 8.14 | $ | 1,859 | |||||||||||||||||||||||||||||||||||
2013 | $ | 13.85 | 0.24 | (0.39 | ) | (0.15 | ) | (0.34 | ) | — | (0.34 | ) | $ | 13.36 | 1.83 | 0.67 | 0.67 | 7.28 | (c) | (1.09 | ) | 12.18 | $ | 881 | ||||||||||||||||||||||||||||||||
2012(g) | $ | 13.84 | 0.10 | 0.07 | 0.17 | (0.16 | ) | — | (0.16 | ) | $ | 13.85 | 1.87 | (e) | 0.68 | (e) | 0.67 | (e) | 44.86 | (c)(e) | 1.20 | 9.89 | $ | 299 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(d) | Effective date of this class of shares was February 1, 2014. |
(e) | Annualized. |
(f) | Net realized and unrealized gain (loss) on investments was less than $0.01 per share. |
(g) | Effective date of this class of shares was May 1, 2012. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
50 Annual Reports | Annual Reports 51 |
FINANCIAL HIGHLIGHTS
Thornburg Limited Term Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, Periods are Fiscal Years Ended Sept. 30, | Net Asset Value Beginning of Period | Net (Loss)+ | Net Realized & Unrealized Gain (Loss) on Investments | Total from | 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 (%)(a) | Portfolio (%)(a) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 13.49 | 0.26 | (0.09 | ) | 0.17 | (0.27 | ) | (0.07 | ) | (0.34 | ) | $ | 13.32 | 1.94 | 0.87 | 0.87 | 0.87 | 1.27 | 18.71 | $ | 977,470 | ||||||||||||||||||||||||||||||
2014(b) | $ | 13.42 | 0.29 | 0.19 | 0.48 | (0.30 | ) | (0.11 | ) | (0.41 | ) | $ | 13.49 | 2.15 | 0.89 | 0.89 | 0.89 | 3.61 | 29.41 | $ | 906,708 | |||||||||||||||||||||||||||||||
2013(b) | $ | 13.72 | 0.32 | (0.22 | ) | 0.10 | (0.34 | ) | (0.06 | ) | (0.40 | ) | $ | 13.42 | 2.33 | 0.88 | 0.88 | 0.88 | 0.69 | 36.66 | $ | 1,029,692 | ||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.47 | 0.23 | (0.09 | ) | 0.14 | (0.24 | ) | (0.07 | ) | (0.31 | ) | $ | 13.30 | 1.71 | 1.10 | 1.10 | 1.10 | 1.04 | 18.71 | $ | 611,555 | ||||||||||||||||||||||||||||||
2014 | $ | 13.39 | 0.26 | 0.20 | 0.46 | (0.27 | ) | (0.11 | ) | (0.38 | ) | $ | 13.47 | 1.92 | 1.11 | 1.11 | 1.11 | 3.46 | 29.41 | $ | 593,658 | |||||||||||||||||||||||||||||||
2013 | $ | 13.70 | 0.28 | (0.23 | ) | 0.05 | (0.30 | ) | (0.06 | ) | (0.36 | ) | $ | 13.39 | 2.09 | 1.12 | 1.12 | 1.12 | 0.38 | 36.66 | $ | 632,918 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.49 | 0.31 | (0.08 | ) | 0.23 | (0.32 | ) | (0.07 | ) | (0.39 | ) | $ | 13.33 | 2.29 | 0.52 | 0.52 | 0.52 | 1.71 | 18.71 | $ | 1,982,536 | ||||||||||||||||||||||||||||||
2014 | $ | 13.42 | 0.33 | 0.20 | 0.53 | (0.35 | ) | (0.11 | ) | (0.46 | ) | $ | 13.49 | 2.49 | 0.54 | 0.54 | 0.54 | 3.98 | 29.41 | $ | 1,578,168 | |||||||||||||||||||||||||||||||
2013 | $ | 13.73 | 0.36 | (0.23 | ) | 0.13 | (0.38 | ) | (0.06 | ) | (0.44 | ) | $ | 13.42 | 2.68 | 0.53 | 0.53 | 0.53 | 0.98 | 36.66 | $ | 1,260,449 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
Class R3 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.50 | 0.24 | (0.09 | ) | 0.15 | (0.25 | ) | (0.07 | ) | (0.32 | ) | $ | 13.33 | 1.82 | 0.99 | 0.99 | 1.11 | 1.16 | 18.71 | $ | 172,992 | ||||||||||||||||||||||||||||||
2014 | $ | 13.43 | 0.27 | 0.19 | 0.46 | (0.28 | ) | (0.11 | ) | (0.39 | ) | $ | 13.50 | 2.04 | 0.99 | 0.99 | 1.12 | 3.51 | 29.41 | $ | 120,013 | |||||||||||||||||||||||||||||||
2013 | $ | 13.73 | 0.30 | (0.22 | ) | 0.08 | (0.32 | ) | (0.06 | ) | (0.38 | ) | $ | 13.43 | 2.22 | 0.99 | 0.99 | 1.14 | 0.59 | 36.66 | $ | 81,585 | ||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
Class R4 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.48 | 0.24 | (0.08 | ) | 0.16 | (0.25 | ) | (0.07 | ) | (0.32 | ) | $ | 13.32 | 1.82 | 0.98 | 0.98 | 1.66 | 1.24 | 18.71 | $ | 3,908 | ||||||||||||||||||||||||||||||
2014(c) | $ | 13.42 | 0.18 | 0.07 | 0.25 | (0.19 | ) | — | (0.19 | ) | $ | 13.48 | 1.99 | (d) | 0.99 | (d) | 0.99 | (d) | 61.75 | (d) | 1.84 | 29.41 | $ | 47 | ||||||||||||||||||||||||||||
Class R5 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 13.49 | 0.29 | (0.09 | ) | 0.20 | (0.30 | ) | (0.07 | ) | (0.37 | ) | $ | 13.32 | 2.17 | 0.64 | 0.64 | 0.67 | 1.50 | 18.71 | $ | 96,326 | ||||||||||||||||||||||||||||||
2014 | $ | 13.42 | 0.32 | 0.19 | 0.51 | (0.33 | ) | (0.11 | ) | (0.44 | ) | $ | 13.49 | 2.38 | 0.64 | 0.64 | 0.72 | 3.86 | 29.41 | $ | 16,825 | |||||||||||||||||||||||||||||||
2013 | $ | 13.72 | 0.34 | (0.21 | ) | 0.13 | (0.37 | ) | (0.06 | ) | (0.43 | ) | $ | 13.42 | 2.52 | 0.65 | 0.65 | 1.01 | 0.92 | 36.66 | $ | 8,164 | ||||||||||||||||||||||||||||||
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) | Sales loads are not reflected in computing total return. |
(c) | Effective date of this class of shares was February 1, 2014. |
(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. |
See notes to financial statements.
52 Annual Reports | Annual Reports 53 |
FINANCIAL HIGHLIGHTS
Thornburg Low Duration 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 | Net Realized & Unrealized Gain (Loss) on Investments | Total from | Dividends from Net Investment Income | Dividends | 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 | Portfolio | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 12.38 | 0.08 | — | (c) | 0.08 | (0.08 | ) | — | (0.08 | ) | $ | 12.38 | 0.67 | 0.70 | 0.70 | 2.10 | 0.68 | 29.22 | $ | 9,940 | |||||||||||||||||||||||||||||
2014(d)(b) | $ | 12.31 | 0.08 | 0.08 | 0.16 | (0.09 | ) | — | (0.09 | ) | $ | 12.38 | 0.92 | (e) | 0.62 | (e) | 0.61 | (e) | 3.14 | (e) | 1.33 | 23.70 | $ | 6,678 | ||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.38 | 0.11 | (0.01 | ) | 0.10 | (0.11 | ) | — | (0.11 | ) | $ | 12.37 | 0.87 | 0.50 | 0.50 | 1.89 | 0.80 | 29.22 | $ | 8,056 | |||||||||||||||||||||||||||||
2014(d) | $ | 12.31 | 0.11 | 0.07 | 0.18 | (0.11 | ) | — | (0.11 | ) | $ | 12.38 | 1.19 | (e) | 0.41 | (e) | 0.41 | (e) | 3.19 | (e) | 1.48 | 23.70 | $ | 3,698 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Net realized and unrealized gain (loss) on investments was less than $0.01 per share. |
(d) | Fund commenced operations on December 30, 2013. |
(e) | Annualized. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
54 Annual Reports | Annual Reports 55 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of
Thornburg Limited Term Income Funds
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments in securities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thornburg Limited Term Municipal Funds (comprised of the Thornburg Limited Term U.S. Government Fund, Thornburg Limited Term Income Fund, and Thornburg Low Duration Income Fund, hereafter referred to as the “Funds”) at September 30, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015, by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
56 Annual Reports
EXPENSE EXAMPLES | ||
September 30, 2015 (Unaudited) |
As a shareholder of a 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 a 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 April 1, 2015, and held until September 30, 2015.
ACTUAL EXPENSES
For each class of shares, the first line of the accompanying table 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 accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table for each class of shares is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During period† 4/1/15–9/30/15 | ||||||||||
LIMITED TERM U.S. GOVERNMENT FUND | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.80 | $ | 4.63 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.45 | $ | 4.67 | ||||||
Class B Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 996.90 | $ | 12.12 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,012.93 | $ | 12.21 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.40 | $ | 6.03 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.04 | $ | 6.08 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.30 | $ | 3.13 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.95 | $ | 3.15 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.40 | $ | 4.97 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.40 | $ | 4.97 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.11 | $ | 5.01 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.00 | $ | 3.36 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.71 | $ | 3.39 | ||||||
LIMITED TERM INCOME FUND | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.70 | $ | 4.39 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.68 | $ | 4.44 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 997.60 | $ | 5.53 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.53 | $ | 5.59 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.20 | $ | 2.66 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.41 | $ | 2.69 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 998.20 | $ | 4.96 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 999.00 | $ | 4.87 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.19 | $ | 4.92 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 999.80 | $ | 3.22 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.85 | $ | 3.26 | ||||||
LOW DURATION INCOME FUND | ||||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.60 | $ | 3.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.56 | $ | 3.55 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.80 | $ | 2.51 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,022.56 | $ | 2.54 |
† | Thornburg Limited Term U.S. Government Fund expenses are equal to the annualized expense ratio for each class (A: 0.92%; B: 2.42%; C: 1.20%; I: 0.62%; R3: 0.99% R4: 0.99% R5: 0.67%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
† | Thornburg Limited Term Income Fund expenses are equal to the annualized expense ratio for each class (A: 0.88%; C: 1.10%; I: 0.53%; R3: 0.99% R4: 0.97% R5: 0.64%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
† | Thornburg Low Duration Income Fund expenses are equal to the the annualized expense ratio for each class (A: 0.70%; I: 0.50%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
Annual Reports 57
TRUSTEES AND OFFICERS | ||
September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
58 Annual Reports
TRUSTEES AND OFFICERS, CONTINUED | ||
September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Reports 59
TRUSTEES AND OFFICERS, CONTINUED | ||
September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
60 Annual Reports
OTHER INFORMATION | ||
September 30, 2015 (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 Funds’ 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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Thornburg Limited Term U.S. Government Fund of $4,553,413 are being reported as taxable ordinary investment income dividends for federal income tax purposes. Dividends paid by the Thornburg Limited Term Income Fund of $14,342,231 are being reported as long-term capital gain dividends and $78,665,311 are taxable ordinary investment income dividends. Dividends paid by the Thornburg Low Duration Income Fund of $103,649 are being reported as taxable ordinary investment income dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY
AGREEMENT FOR LIMITED TERM U.S. GOVERNMENT FUND
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Limited Term U.S. Government Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment
Annual Reports 61
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Fund Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of the broad-based securities index and higher than the average return for the fund category considered, that the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the index in five of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in all of the nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the first quartile of performance of a mutual fund category for the one-year period ended with the second quarter of the current year and fell in or near the top decile of performance for the category for the three-year, five-year and ten-year periods ended with the second quarter. Noted data also showed that the Fund’s annualized investment returns fell in the top quartile of investment performance of a second mutual fund category for the same periods. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was comparable to the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was slightly higher than the median and average expense levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Data for the peer group showed that the Fund’s advisory fee was comparable to the median levels for the two peer groups but at the high end of the range for one of the peer groups, and that the total expense levels of the representative share classes were comparable to the median expense levels of their respective peer groups. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised mutual funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
62 Annual Reports
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole is satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY
AGREEMENT FOR THORNBURG LIMITED TERM INCOME FUND
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Limited Term Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of
Annual Reports 63
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the most recent ten calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of a broad-based securities index and exceeded the average return for the mutual fund category considered, that the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the index in eight of the nine years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in all of the nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the top decile of investment performance of a mutual fund category for the one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year. Noted data also showed that the Fund’s annualized investment returns fell in or at the top decile of investment performance of a second mutual fund category for the one-year, three-year, five-year and ten-year periods ended with the second quarter of the current year. Measures of portfolio volatility, risk and relative return considered by the Trustees demonstrated that the Fund’s performance relative to these measures continued to fulfill expectations in current conditions. The Trustees noted that they generally attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was comparable to the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was slightly higher than the median and comparable to the average expense levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Data for the peer groups showed that the Fund’s advisory fee was comparable to the median levels for the two peer groups, and that the total expense levels of the representative share classes were similarly comparable to the median expense levels of their respective peer groups.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
64 Annual Reports
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
FOR THORNBURG LOW DURATION INCOME FUND
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Low Duration Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted
Annual Reports 65
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, and comparative annualized total return data for the Fund, a broad-based securities index, and two mutual fund categories selected by independent mutual fund analyst firms that assign a percentage rank to the Fund’s investment performance for each period relative to each of the fund categories.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data considered by the Trustees in their evaluation showed that the Fund’s annualized investment returns fell in the first quartile of performance of a mutual fund category for the three-month period ended with the second quarter of the current year, fell at the midpoint of performance of the category for the year-to-date period, and fell near the top quartile for the one-year period. Data also showed that the Fund’s annualized investment returns fell near the first quartile of performance of the second fund category for the three-month period ended with the second quarter of the current year, fell above the midpoint of performance of the category for the year-to-date period, and fell in the top quartile of performance for the one-year period.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee level and expenses for a representative share class of a fund peer group selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the stated advisory fee for the Fund was comparable to the median and slightly higher than the average fee levels for the fund category, and that the level of total expense for a representative share class of the Fund after fee waivers and expense reimbursements by the Advisor was lower than the median and average levels of total expenses for the category. Data for the peer group showed that the Fund’s stated advisory fee was comparable to the median levels for the peer group, and that the total expense level of the representative share class of the Fund was lower than the median level for the peer group after waivers of fees and reimbursements of expenses.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. The Trustees noted the costs incurred by the Advisor in initiating and managing the Fund and the Advisor’s waivers of fees and reimbursements of expenses for the Fund, and further noted that the Fund produces no profits for the Advisor.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee break-
66 Annual Reports
OTHER INFORMATION, CONTINUED | ||
September 30, 2015 (Unaudited) |
point structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectus, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Reports 67
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
68 Annual Reports
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas—within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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 Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH076 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg Strategic Income Fund
September 30, 2015
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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 R4 | TSRIX | 885-216-754 | ||
Class R5 | TSRRX | 885-216-879 |
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.
Investments carry risks, including possible loss of principal. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 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. Additional 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 bank deposits or guaranteed by a bank or any other entity.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
We are pleased to present the annual report for the Thornburg Strategic Income Fund for the year ended September 30, 2015. The net asset value (NAV) of a Class A share of the Thornburg Strategic Income Fund decreased 96 cents in the period to $11.22. If you were invested for the entire period, you received dividends of 46.3 cents per share. If you reinvested your dividends, you received 47.1 cents per share. Dividends per share varied for other share classes to account for class-specific expenses.
Combining income and change in price, Class A shares of the Thornburg Strategic Income Fund produced a total return of negative 2.97% (without sales charge) over the 12-month period. The Barclays U.S. Universal Bond Index produced a return of 2.33%, and a blended index of 80% Barclays U.S. Aggregate Bond Index and 20% MSCI World Index produced a 1.40% total return over the same time period.
Market Impact
The landscape for investors outside of cash and U.S. Treasuries over the year has been challenging. What was supposed to be a year of economic stability and recovery resulting from global monetary policy easing morphed into continued economic malaise with markets questioning the effectiveness of monetary medicine more broadly. Growth remains low across most countries, and despite the fears of the opposite, inflation remains elusive. The two main central banks that entered the year with hopes of raising rates in 2015, the U.S. Federal Reserve and the Bank of England, now both appear to be on hold. For the Federal Reserve, at the start of the year, the market was pricing a 95% probability of the beginning of a rate-rise cycle by the end of 2015; today policy rates remain at zero and the market expects only a 30% probability the year will end with official rates higher. Rather than tighter global monetary conditions, there is now renewed talk of further monetary easing (in the form of stimulus measures aside from low short-term rates) from both the European Central Bank and the Bank of Japan. China too has joined the global policy-easing roundtable with numerous moves to help support a now-struggling domestic economy.
Asset markets globally have had a turbulent ride through the last year. As oil and commodity prices sold off significantly in late 2014 and into the first quarter of 2015, this initially caused price weakness, but was largely contained within the commodity space. The potential slowdown in China was reflected in a highly volatile Chinese stock market, with selloffs exceeding 7% on numerous occasions. This caused speculation that China had failed at reorienting its economy away from manufacturing toward the consumer services sector, and was instead suffering a hard landing. Fears were further stoked after Chinese policy makers moved to devalue the renminbi, causing trepidation about a new episode of competitive currency devaluation and potential capital account outflows. The potential weakness in the largest contributor of global growth (China) rippled through to other global economies, with emerging markets and close trading partners to China the hardest hit. The Thornburg Strategic Income Fund had small exposure to emerging markets; however, both Mexico and Brazil positions within the Fund were detractors to performance. As markets adjusted their expectations for the likelihood of a Federal Reserve liftoff since our last letter in March 2015, the dollar has lost some ground against the euro, the British pound, and the Japanese yen.
U.S. Treasuries and other government-related securities comprise 40-60% of the benchmarks for this Fund, with the rest heavily weighted toward high-quality credit securities. Given the general “risk-off” sentiment (when investors tend to move to safety and away from risk) of fixed-income markets for much of the past year, it is no surprise that most instruments with any form of credit risk fared less well than those of the U.S. Government and its instrumentalities. The BBB portion of the Barclays U.S. Aggregate Bond Index returned negative 0.47% over the year while the Barclays U.S. Corporate High Yield Index returned negative 3.43%, this versus the U.S. Treasury portion of the Barclays U.S. Aggregate Bond Index, which returned 3.76% for the year. In past letters we have commented that investors were poorly compensated for assuming incrementally more risk (in the form of credit or duration risk), which meant in turn we had positioned the Fund toward better quality credit and more liquid positions, and held more cash. While we are happy to have made the move, the significant and broad move of risk assets lower meant that we were not spared from the market adjustment.
With a negative year now behind us, we look toward the future. After the Federal Reserve decided not to raise rates in September, investors are left questioning when the first increase since June 2006 will come. Although we have commented that the timing from month to month isn’t tremendously important, we worry when recent Fed estimates show that it won’t be until 2018 (some 10 years after rates first reached near zero) that the Fed finally reaches what they believe may be a “terminal” Fed funds rate of 3.5%. With the average business cycle lasting only seven years in the U.S., one has to wonder what the landscape looks like when the next slowdown inevitably arrives. It is highly likely rates will be lower than at the onset of previous downturns and the Fed’s balance sheet will remain inflated, which leaves policy makers with diminished capacity and tools to help steer a struggling economy. And for the first time in U.S. monetary policy history, some on the Federal Reserve Board believe that negative rates are the appropriate policy response to help spur economic growth. We worry that monetary policy action that was likely helpful to contain an economic collapse post-crisis is now not
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
sufficient to bolster weak productivity in a global landscape seeking real growth.
Although we have painted a pretty bleak picture within the global landscape and in risk assets (loosely defined as anything outside of U.S. Treasuries or cash) more broadly, a benefit for asset allocators is the opportunity of better entry points. The combination of potential slower growth, combined with quarter-end and liquidity pressures for some, has meant that some areas of the market have been particularly hard hit. Risky credit (lower-rated bonds) in particular has been hard hit, with the Barclays U.S. Corporate High Yield Index rising from a 6.61% yield to start the year to a 7.67% yield at the time of this writing (October 16, 2015). Given that bond prices generally move in the opposite direction of yield, this means potentially more interesting entry points for those willing and able to lend. Although compensation above and beyond U.S. Treasuries for lending to risky credits has risen, the all-in yield remains slightly lower than the long-term average. Many companies and “credit stories” will be challenged in an environment of slower global growth and sustained lower commodity prices. However, for those investors willing to dig through the weeds, there are many credits with low debt levels and stable businesses, which look attractive at today’s wider spreads.
Low U.S. Treasury yields and the prospect of eventually rising short-term rates leaves us loathe to add interest-rate risk. That said, lower entry points and higher compensation for lending give us some comfort that any policy tightening during a period of economic strength will be met with falling compensation for assuming risk and thus help to offset some of the potential rise in yields. Further, the Federal Reserve continues to provide guidance that the eventual unwind in rates is likely to be gradual and result in a lower terminal Fed Funds rate. Risks remain, and we will remain cautious going forward. Liquidity continues to be scarce, and we are likely to continue to hold higher cash balances going forward as a result of the changing landscape and a lower broker/dealer willingness to hold bonds in inventory. Outstanding corporate debt has almost doubled in a period during which dealer balance sheets have shrunk by nearly 80% since the crisis. When and whether a liquidity crisis arrives isn’t a question we can answer, but we believe it is prudent to be aware of the changing environment and prepare the portfolios appropriately.
The Fed has never before had to attempt an exit from the extraordinary policy conditions in place today, nor has the market had to navigate the current liquidity landscape or potential for miscommunication between policy makers and investors. The only outcome that is almost certain going forward is higher volatility. With higher volatility comes enhanced opportunities to provide long-term returns for investors, something we as managers have navigated in the past. However, it is important to keep in mind the potential impacts to this type of strategy. Seeking higher income and return necessarily requires accepting additional risk and volatility. The Fund will likely continue to target lower interest-rate exposure and higher liquidity while selectively adding interesting credit stories and some foreign currency opportunities where we see value. We believe that the current landscape is more fairly priced than in recent periods and we will continue to balance risk with the potential for shareholder return. We believe that your Fund is well positioned to achieve its longer-term goals of a high current level of income and some long-term capital appreciation.
Sincerely,
Jason H. Brady,CFA
Portfolio Manager
Managing Director
Lon R. Erickson,CFA
Portfolio Manager
Managing Director
Jeff Klingelhofer,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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
PERFORMANCE SUMMARY | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | Since Incep. | |||||||||||||
Class A Shares (Incep: 12/19/07) | ||||||||||||||||
Without sales charge | -2.97 | % | 3.11 | % | 5.31 | % | 6.46 | % | ||||||||
With sales charge | -7.31 | % | 1.54 | % | 4.34 | % | 5.83 | % | ||||||||
Class C Shares (Incep: 12/19/07) | ||||||||||||||||
Without sales charge | -3.61 | % | 2.53 | % | 4.71 | % | 5.85 | % | ||||||||
With sales charge | -4.53 | % | 2.53 | % | 4.71 | % | 5.85 | % | ||||||||
Class I Shares (Incep: 12/19/07) | -2.73 | % | 3.44 | % | 5.65 | % | 6.77 | % | ||||||||
Class R3 Shares (Incep: 5/1/12) | -3.07 | % | 3.06 | % | — | 4.05 | % | |||||||||
Class R4 Shares (Incep: 2/1/14) | -3.07 | % | — | — | 0.65 | % | ||||||||||
Class R5 Shares (Incep: 5/1/12) | -2.75 | % | 3.36 | % | — | 4.35 | % | |||||||||
Barclays U.S. Universal Index (Since 12/19/07) | 2.33 | % | 1.89 | % | 3.36 | % | 4.66 | % | ||||||||
Blended Index (Since 12/19/07) | 1.40 | % | 3.13 | % | 4.26 | % | 4.34 | % |
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, and R5 shares.
Growth of a Hypothetical $10,000 Investment
30-Day Yields, A Shares
(with sales charge)
SEC Yield | 5.76 | % | ||
Annualized Distribution Yield | 4.09 | % |
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.22%; C shares, 1.98%; I shares, 0.90%; R3 shares, 3.10%; R4 shares, 1.50%; R5 shares, 2.11%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: C shares, 1.80%; R3 shares, 1.25%; R4 shares, 1.25%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Glossary
Barclays U.S. Aggregate Bond Index – This 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.
Barclays U.S. Corporate High-Yield Index – This index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The index excludes emerging market debt.
Barclays U.S. Universal Bond 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.
Blended Index – Thornburg Strategic Income Fund’s Blended Index is composed of 80% Barclays U.S. Aggregate Bond Index and 20% MSCI World Index, rebalanced monthly.
MSCI World Index – This index is an unmanaged market-weighted index that consists of securities traded in 23 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.
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.
Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations.
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.
6 Annual Report
FUND SUMMARY | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund’s primary investment goal is to seek a high level of current income. The Fund’s secondary investment goal is some long-term capital appreciation.
The Fund pursues its investment goals by investing in a broad range of income producing investments from throughout the world, primarily including debt obligations and income producing stocks. The Fund expects, under normal conditions, to invest a majority of its assets in debt obligations, but the relative proportions of the Fund’s investments in debt obligations and in income producing stocks can be expected to vary over time.
Portfolio Composition
Fixed Income Credit Quality*
* | Excludes equity securities. |
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. 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 other rating agencies.
Top Ten Industry Groups
Energy | 10.0 | % | ||
Diversified Financials | 7.7 | % | ||
Materials | 5.6 | % | ||
Capital Goods | 5.5 | % | ||
Telecommunication Services | 4.6 | % | ||
Commercial & Professional Services | 4.3 | % | ||
Media | 3.6 | % | ||
Food, Beverage & Tobacco | 3.4 | % | ||
Real Estate | 3.1 | % | ||
Consumer Services | 2.9 | % | ||
Country Exposure** | ||||
United States | 63.6 | % | ||
Mexico | 3.6 | % | ||
United Kingdom | 2.9 | % | ||
Canada | 2.9 | % | ||
Brazil | 2.0 | % | ||
Australia | 1.5 | % | ||
Sweden | 1.1 | % | ||
Switzerland | 1.0 | % | ||
Morocco | 0.9 | % | ||
Cayman Islands | 0.8 | % | ||
Aruba | 0.8 | % | ||
Luxembourg | 0.8 | % | ||
Spain | 0.7 | % | ||
Israel | 0.7 | % | ||
France | 0.7 | % | ||
Czech Republic | 0.7 | % | ||
Argentina | 0.7 | % | ||
Russia | 0.6 | % | ||
India | 0.5 | % | ||
Jamaica | 0.5 | % | ||
South Korea | 0.4 | % | ||
Belgium | 0.4 | % | ||
Barbados | 0.4 | % | ||
Mauritius | 0.3 | % | ||
Romania | 0.3 | % | ||
Chile | 0.3 | % | ||
Germany | 0.3 | % | ||
Italy | 0.3 | % | ||
China | 0.2 | % | ||
Netherlands | 0.2 | % | ||
Supranational | 0.2 | % | ||
Hong Kong | 0.2 | % | ||
New Zealand | 0.1 | % | ||
Panama | 0.1 | % | ||
Indonesia | 0.1 | % | ||
Iceland* | 0.0 | % | ||
Other Assets Less Liabilities | 9.2 | % |
* | Percentage was less than 0.1%. |
** | The country assignment of each holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
There is no guarantee that the Fund will meet its investment objectives.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Annual Report 7
SCHEDULE OF INVESTMENTS | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 1.08% | ||||||||
ENERGY — 0.54% | ||||||||
Oil, Gas & Consumable Fuels — 0.54% | ||||||||
Eni S.p.A. | 147,400 | $ | 2,314,101 | |||||
a Halcon Resources Corp. | 100,549 | 53,291 | ||||||
b ROMGAZ SA-GDR | 531,954 | 4,042,851 | ||||||
a,c TPT Acquisition, Inc. | 20,480 | 0 | ||||||
|
| |||||||
6,410,243 | ||||||||
|
| |||||||
MATERIALS — 0.00% | ||||||||
Metals & Mining — 0.00% | ||||||||
a Jaguar Mining, Inc. | 144,927 | 21,594 | ||||||
|
| |||||||
21,594 | ||||||||
|
| |||||||
REAL ESTATE — 0.39% | ||||||||
Real Estate Investment Trusts — 0.39% | ||||||||
Annaly Capital Management, Inc. | 212,700 | 2,099,349 | ||||||
Capstead Mortgage Corp. | 259,027 | 2,561,777 | ||||||
|
| |||||||
4,661,126 | ||||||||
|
| |||||||
RETAILING — 0.15% | ||||||||
Internet & Catalog Retail — 0.15% | ||||||||
Trade Me Ltd. | 748,335 | 1,759,609 | ||||||
|
| |||||||
1,759,609 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $20,028,144) | 12,852,572 | |||||||
|
| |||||||
PREFERRED STOCK — 1.59% | ||||||||
BANKS — 0.34% | ||||||||
Banks — 0.34% | ||||||||
First Niagara Financial Group Pfd, 8.625% | 17,732 | 470,075 | ||||||
GMAC Capital Trust I Pfd, 8.125% | 140,000 | 3,574,200 | ||||||
|
| |||||||
4,044,275 | ||||||||
|
| |||||||
ENERGY — 0.05% | ||||||||
Oil, Gas & Consumable Fuels — 0.05% | ||||||||
c Halcon Resources Corp. Pfd, 5.75% | 4,441 | 590,653 | ||||||
|
| |||||||
590,653 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.90% | ||||||||
U.S. Government Agencies — 0.90% | ||||||||
b Cobank, ACB Pfd, 6.25% | 50,000 | 5,193,750 | ||||||
b AgriBank, FCB Pfd, 6.875% | 40,000 | 4,210,000 | ||||||
b Farm Credit Bank of Texas Pfd, 10.00% | 1,000 | 1,248,125 | ||||||
|
| |||||||
10,651,875 | ||||||||
|
| |||||||
REAL ESTATE — 0.05% | ||||||||
Real Estate Investment Trusts — 0.05% | ||||||||
VEREIT, Inc., Pfd, 6.70% | 25,857 | 625,739 | ||||||
|
| |||||||
625,739 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.25% | ||||||||
Wireless Telecommunication Services — 0.25% | ||||||||
b Centaur Funding Corp. Pfd, 9.08% | 2,380 | 2,916,988 | ||||||
|
| |||||||
2,916,988 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $21,158,619) | 18,829,530 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 11.03% | ||||||||
AUTO RECEIVABLES — 0.77% | ||||||||
b Drive Auto Receivables Trust, 2.59%, 12/16/2019 | $ | 9,125,000 | 9,124,861 | |||||
|
| |||||||
9,124,861 | ||||||||
|
| |||||||
COMMERCIAL MTG TRUST — 1.56% | ||||||||
b Capital Automotive REIT, Series 2012-1A Class A, 4.70%, 7/15/2042 | 2,858,081 | 2,963,990 | ||||||
b CFCRE Commercial Mortgage Trust, Series 2011-C1 Class C, 5.723%, 4/15/2044 | 6,200,000 | 6,869,539 | ||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.65%, 3/25/2034 | 112,380 | 91,494 | ||||||
b CVS Pass-Through Trust, 9.35%, 1/10/2023 | 4,605,000 | 5,470,390 | ||||||
b FREMF Mtg Trust, Series 2012-KF01 Class B Floating Rate Note, 2.799%, 10/25/2044 | 2,000,000 | 2,012,828 | ||||||
b FREMF Mtg Trust, Series 2013-KF02 Class B Floating Rate Note, 3.199%, 12/25/2045 | 1,064,660 | 1,082,212 | ||||||
|
| |||||||
18,490,453 | ||||||||
|
|
8 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
OTHER ASSET BACKED — 6.25% | ||||||||
b 321 Henderson Receivables, LLC, Series 2014-1A Class A, 3.96%, 3/15/2063 | $ | 9,853,997 | $ | 10,471,667 | ||||
b,c Aircraft Certificate Owner Trust, Series 2003-1A Class E, 7.001%, 9/20/2022 | 4,175,417 | 4,405,065 | ||||||
b American Credit Acceptance, Series 2014-2 Class B, 2.26%, 3/10/2020 | 6,875,000 | 6,894,753 | ||||||
b CLI Funding, LLC, Series 2014-1A Class A, 3.29%, 6/18/2029 | 4,250,689 | 4,316,493 | ||||||
b,c Concord Funding Co., LLC, Series 2012-2 Class B, 4.145%, 1/15/2017 | 4,000,000 | 3,988,000 | ||||||
b Dominos Pizza Master Issuer, LLC, Series 2012-1A Class A2, 5.216%, 1/25/2042 | 9,710,813 | 10,035,996 | ||||||
b,d ECAF Ltd., Series 2015-1A Class B1, 5.802%, 6/15/2040 | 7,750,000 | 7,880,781 | ||||||
b Fairway Outdoor Funding, LLC, Series 2012-1 Class B, 8.835%, 10/15/2042 | 3,000,000 | 3,191,230 | ||||||
b,d Global SC Finance SRL, Series 2014-1A Class A1, 3.19%, 7/17/2029 | 4,195,833 | 4,227,801 | ||||||
b JPR Royalty, LLC, 14.00%, 9/1/2020 | 2,000,000 | 1,000,000 | ||||||
b,c Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.109%, 12/1/2037 | 839,500 | 774,439 | ||||||
b Progreso Receivables Funding, LLC, Series 2015-A Class A, 3.625%, 2/8/2020 | 10,025,000 | 10,071,578 | ||||||
b SolarCity LMC, LLC, Series 2013-1 Class A, 4.80%, 11/20/2038 | 3,280,555 | 3,517,332 | ||||||
b SolarCity LMC, LLC, Series 2014-1 Class A, 4.59%, 4/20/2044 | 3,294,519 | 3,413,122 | ||||||
|
| |||||||
74,188,257 | ||||||||
|
| |||||||
RESIDENTIAL MTG TRUST — 2.14% | ||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.331%, 12/20/2036 | 727,952 | 299,909 | ||||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.607%, 8/25/2033 | 241,801 | 242,237 | ||||||
b Citigroup Mtg Loan Trust, Inc., Series 2014-A Class A, 4.00%, 1/25/2035 | 4,314,474 | 4,461,643 | ||||||
Countrywide, Series 2005-11 Class AF3, 4.778%, 2/25/2036 | 502,432 | 507,900 | ||||||
b CS First Boston Mtg Securities Co., Series 2005-CF1 Class M1, 0.894%, 3/25/2045 | 1,409,251 | 1,363,060 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.919%, 9/25/2035 | 2,471,069 | 2,448,055 | ||||||
JPMorgan Mtg Acquisition Corp., Series 2006-CH1 Class A4, 0.339%, 7/25/2036 | 591,430 | 584,816 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.56%, 8/25/2034 | 283,328 | 263,220 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.514%, 11/25/2035 | 854,278 | 841,359 | ||||||
New Century Home Equity Loan Trust, Series 2005-2 Class M1, 0.624%, 6/25/2035 | 1,254,530 | 1,249,857 | ||||||
Park Place Securities, Inc., Series 2004-MHQ1 Class M2, 1.319%, 12/25/2034 | 1,759,087 | 1,751,504 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.344%, 6/25/2036 | 38,706 | 38,682 | ||||||
b,c SHAP, Series 2013-RM1 Class A, 4.00%, 5/26/2053 | 3,023,079 | 3,035,171 | ||||||
Structured Asset Securities Corp., Series 2004-20 Class 7A1, 5.25%, 11/25/2034 | 677,317 | 693,894 | ||||||
b TAL Advantage, LLC, Series 2014-1A Class A, 3.51%, 2/22/2039 | 7,364,583 | 7,546,025 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.622%, 2/25/2035 | 205,884 | 78,120 | ||||||
|
| |||||||
25,405,452 | ||||||||
|
| |||||||
STUDENT LOAN — 0.31% | ||||||||
Access Group, Inc., Series 2005-A Class A3, 0.695%, 7/25/2034 | 3,805,458 | 3,638,366 | ||||||
|
| |||||||
3,638,366 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $128,501,582) | 130,847,389 | |||||||
|
| |||||||
CORPORATE BONDS — 59.88% | ||||||||
AUTOMOBILES & COMPONENTS — 0.50% | ||||||||
Auto Components — 0.16% | ||||||||
b,d Nexteer Automotive Group Ltd., 5.875%, 11/15/2021 | 2,000,000 | 1,940,000 | ||||||
Automobiles — 0.34% | ||||||||
b Daimler Finance North America, LLC, 3.875%, 9/15/2021 | 3,935,000 | 3,980,052 | ||||||
|
| |||||||
5,920,052 | ||||||||
|
| |||||||
BANKS — 1.68% | ||||||||
Banks — 1.68% | ||||||||
b Banco Santander Brasil S.A. (BRL), 8.00%, 3/18/2016 | 5,300,000 | 1,270,021 | ||||||
b,d Banco Santander Chile Floating Rate Note, 2.209%, 6/7/2018 | 4,000,000 | 4,030,000 | ||||||
Bank of America Corp., 4.20%, 8/26/2024 | 3,200,000 | 3,197,709 | ||||||
a,b,d,e Islandsbanki, 4.41%, 10/15/2008 | 60,000 | 18,450 | ||||||
National City Bank Floating Rate Note, 0.702%, 6/7/2017 | 1,000,000 | 994,329 | ||||||
d Royal Bank of Scotland Group plc, 9.50%, 3/16/2022 | 2,000,000 | 2,179,778 | ||||||
d Royal Bank of Scotland Group plc, 6.125%, 12/15/2022 | 2,000,000 | 2,164,416 | ||||||
b,d Sberbank of Russia, 5.50%, 2/26/2024 | 7,200,000 | 6,102,000 | ||||||
|
| |||||||
19,956,703 | ||||||||
|
| |||||||
CAPITAL GOODS — 5.49% | ||||||||
Construction & Engineering — 2.44% | ||||||||
b,d Abengoa Finance, S.A.U., 7.75%, 2/1/2020 | 2,696,000 | 1,095,250 | ||||||
b,d Abengoa Greenfield, S.A., 6.50%, 10/1/2019 | 6,400,000 | 2,400,000 | ||||||
b AECOM Technology Corp., 5.875%, 10/15/2024 | 4,835,000 | 4,871,263 | ||||||
b,d Ausdrill Finance Property Ltd., 6.875%, 11/1/2019 | 5,385,000 | 3,769,500 | ||||||
URS Corp., 3.85%, 4/1/2017 | 11,190,000 | 11,190,000 | ||||||
b Zachry Holdings, Inc., 7.50%, 2/1/2020 | 5,725,000 | 5,653,437 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Electrical Equipment — 0.06% | ||||||||
b EnerSys Co., 5.00%, 4/30/2023 | $ | 795,000 | $ | 771,150 | ||||
Industrial Conglomerates — 0.37% | ||||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 4,000,000 | 4,345,904 | ||||||
Machinery — 0.20% | ||||||||
b,d Automation Tooling Systems, 6.50%, 6/15/2023 | 1,590,000 | 1,593,975 | ||||||
b Waterjet Holdings, Inc., 7.625%, 2/1/2020 | 750,000 | 750,000 | ||||||
Trading Companies & Distributors — 2.42% | ||||||||
b Aviation Capital Group Corp., 6.75%, 4/6/2021 | 11,500,000 | 12,908,750 | ||||||
b Aviation Capital Group Corp., 7.125%, 10/15/2020 | 1,881,000 | 2,177,258 | ||||||
b International Lease Finance Corp., 7.125%, 9/1/2018 | 8,000,000 | 8,799,200 | ||||||
b Wajax Corp. (CAD), 6.125%, 10/23/2020 | 6,510,000 | 4,829,449 | ||||||
|
| |||||||
65,155,136 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 3.58% | ||||||||
Commercial Services & Supplies — 2.31% | ||||||||
ADT Corp., 5.25%, 3/15/2020 | 8,155,000 | 8,379,262 | ||||||
b GFL Environmental Corp. (CAD), 7.50%, 6/18/2018 | 5,460,000 | 4,050,506 | ||||||
Iron Mountain, Inc., 6.00%, 8/15/2023 | 3,000,000 | 3,000,000 | ||||||
RR Donnelley & Sons Co., 8.875%, 4/15/2021 | 4,500,000 | 4,713,750 | ||||||
RR Donnelley & Sons Co., 7.875%, 3/15/2021 | 6,968,000 | 7,246,720 | ||||||
Professional Services — 1.27% | ||||||||
Dun & Bradstreet, Inc., 4.00%, 6/15/2020 | 4,185,000 | 4,273,973 | ||||||
b Nielsen Finance, LLC, 5.00%, 4/15/2022 | 7,200,000 | 6,975,000 | ||||||
Verisk Analytics, Inc., 4.00%, 6/15/2025 | 3,920,000 | 3,876,641 | ||||||
|
| |||||||
42,515,852 | ||||||||
|
| |||||||
COMMERCIAL SERVICES & SUPPLIES — 0.36% | ||||||||
Diversified Support Services — 0.36% | ||||||||
Lavare Holding AB (SEK), 4.72%, 4/4/2019 | 35,000,000 | 4,218,215 | ||||||
|
| |||||||
4,218,215 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 0.17% | ||||||||
Leisure Products — 0.17% | ||||||||
b Vista Outdoor, Inc., 5.875%, 10/1/2023 | 1,985,000 | 2,014,775 | ||||||
|
| |||||||
2,014,775 | ||||||||
|
| |||||||
CONSUMER SERVICES — 2.13% | ||||||||
Diversified Consumer Services — 0.35% | ||||||||
b Nord Anglia Education Finance, LLC (CHF), 5.75%, 7/15/2022 | 3,985,000 | 4,201,301 | ||||||
Hotels, Restaurants & Leisure — 1.78% | ||||||||
Aramark Services, Inc., 5.75%, 3/15/2020 | 8,720,000 | 9,063,350 | ||||||
b,d Arcos Dorados Holdings, Inc., 6.625%, 9/27/2023 | 7,470,000 | 6,043,230 | ||||||
b Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 | 8,000,000 | 1,773,742 | ||||||
b Nathan’s Famous, Inc., 10.00%, 3/15/2020 | 4,000,000 | 4,190,000 | ||||||
|
| |||||||
25,271,623 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 6.34% | ||||||||
Capital Markets — 3.31% | ||||||||
Ares Capital Corp., 4.875%, 11/30/2018 | 7,000,000 | 7,231,994 | ||||||
b Ares Finance Co., LLC, 4.00%, 10/8/2024 | 4,025,000 | 3,913,198 | ||||||
b,d BTG Investments LP, 4.50%, 4/17/2018 | 4,750,000 | 4,191,875 | ||||||
b,d Credit Suisse Group Fund, Ltd., 3.80%, 9/15/2022 | 2,450,000 | 2,447,205 | ||||||
FS Investment Corp., 4.00%, 7/15/2019 | 6,286,000 | 6,370,553 | ||||||
Goldman Sachs Group, Inc. Floating Rate Note, 1.314%, 10/23/2019 | 11,760,000 | 11,782,591 | ||||||
Merrill Lynch & Co., 0.85%, 5/2/2017 | 2,500,000 | 2,476,882 | ||||||
Oppenheimer Holdings, Inc., 8.75%, 4/15/2018 | 775,000 | 794,375 | ||||||
Consumer Finance — 1.42% | ||||||||
Ally Financial, Inc., 4.75%, 9/10/2018 | 4,000,000 | 4,075,000 | ||||||
a,b,e Cash Store Financial (CAD), 0%, 1/31/2017 | 1,700,000 | 244,841 | ||||||
First Cash Financial Services, Inc., 6.75%, 4/1/2021 | 9,300,000 | 9,300,000 | ||||||
b Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 | 2,000,000 | 3,253,924 | ||||||
Diversified Financial Services — 1.61% | ||||||||
b,d CFG Holdings Ltd./CFG Finance, LLC, 11.50%, 11/15/2019 | 7,000,000 | 6,860,000 | ||||||
b Citicorp, 8.04%, 12/15/2019 | 250,000 | 300,895 | ||||||
b McGraw Hill Financial, Inc., 4.00%, 6/15/2025 | 1,590,000 | 1,582,541 | ||||||
b McGraw Hill Financial, Inc., 3.30%, 8/14/2020 | 1,975,000 | 2,009,541 | ||||||
b MSCI, Inc., 5.25%, 11/15/2024 | 1,625,000 | 1,641,250 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
b MSCI, Inc., 5.75%, 8/15/2025 | $ | 1,520,000 | $ | 1,531,400 | ||||
b TMX Finance, LLC/Titlemax Finance, 8.50%, 9/15/2018 | 6,550,000 | 5,158,125 | ||||||
|
| |||||||
75,166,190 | ||||||||
|
| |||||||
ENERGY — 8.81% | ||||||||
Energy Equipment & Services — 1.05% | ||||||||
b,d Anton Oilfield Services Group, 7.50%, 11/6/2018 | 7,000,000 | 2,415,000 | ||||||
Compressco Partners, L.P., 7.25%, 8/15/2022 | 4,800,000 | 3,912,000 | ||||||
Oceaneering International, Inc., 4.65%, 11/15/2024 | 4,075,000 | 3,876,980 | ||||||
b,d,e Schahin II Finance Co. (SPV) Ltd., 5.875%, 9/25/2023 | 10,684,600 | 2,243,766 | ||||||
Oil, Gas & Consumable Fuels — 7.76% | ||||||||
Atlas Energy Holdings Operating Co., LLC, 7.75%, 1/15/2021 | 3,000,000 | 1,260,000 | ||||||
b Citgo Petroleum Corp., 6.25%, 8/15/2022 | 1,450,000 | 1,384,750 | ||||||
b,d Delek & Avner Tamar Bond Ltd., 3.839%, 12/30/2018 | 2,250,000 | 2,261,250 | ||||||
b,d Delek & Avner Tamar Bond Ltd., 2.803%, 12/30/2016 | 6,145,000 | 6,137,319 | ||||||
Energy Transfer Partners LP, 3.318%, 11/1/2066 | 1,200,000 | 876,000 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 1,400,000 | 1,477,000 | ||||||
b Florida Gas Transmission Co., LLC, 3.875%, 7/15/2022 | 4,765,000 | 4,756,170 | ||||||
b Florida Gas Transmission Co., LLC, 4.35%, 7/15/2025 | 2,224,000 | 2,196,095 | ||||||
Gastar Exploration USA, Inc., 8.625%, 5/15/2018 | 1,911,000 | 1,203,930 | ||||||
b,d Gazprom Neft OAO, 6.00%, 11/27/2023 | 1,500,000 | 1,384,050 | ||||||
Global Partners LP/GLP Finance Corp., 6.25%, 7/15/2022 | 5,975,000 | 5,258,000 | ||||||
Gulf South Pipeline Co. LP, 4.00%, 6/15/2022 | 4,860,000 | 4,575,690 | ||||||
b Gulfstream Natural Gas System, LLC, 4.60%, 9/15/2025 | 5,515,000 | 5,550,136 | ||||||
b Kinder Morgan (Delaware), Inc., 5.00%, 2/15/2021 | 7,791,000 | 7,961,179 | ||||||
b Linc Energy, 12.50%, 10/31/2017 | 6,185,000 | 927,750 | ||||||
b Linc Energy, 9.625%, 10/31/2017 | 1,324,000 | 1,059,200 | ||||||
NGL Energy Partners LP, 6.875%, 10/15/2021 | 6,000,000 | 5,640,000 | ||||||
Northern Tier Energy, LLC, 7.125%, 11/15/2020 | 6,450,000 | 6,450,000 | ||||||
b,d Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/1/2023 | 4,077,450 | 1,074,408 | ||||||
d Petrobras Global Finance B.V., 3.00%, 1/15/2019 | 1,000,000 | 722,500 | ||||||
d Petrobras Global Finance B.V. Floating Rate Note, 2.694%, 3/17/2017 | 3,650,000 | 3,139,000 | ||||||
Plains All American Pipeline LP, 8.75%, 5/1/2019 | 1,000,000 | 1,192,809 | ||||||
b,d QGOG Atlantic/Alaskan Rigs Ltd., 5.25%, 7/30/2019 | 1,220,670 | 781,229 | ||||||
e RAAM Global Energy Co., 12.50%, 10/1/2015 | 2,000,000 | 110,000 | ||||||
b Rockies Express Pipeline, LLC, 6.85%, 7/15/2018 | 2,000,000 | 2,000,000 | ||||||
Summit Midstream Holdings, LLC, 5.50%, 8/15/2022 | 8,360,000 | 7,189,600 | ||||||
Tennessee Gas Pipeline Co., 8.00%, 2/1/2016 | 1,000,000 | 1,021,242 | ||||||
Tesoro Logistics LP, 6.125%, 10/15/2021 | 2,000,000 | 1,965,000 | ||||||
b,d Tullow Oil plc, 6.25%, 4/15/2022 | 10,400,000 | 7,280,000 | ||||||
Williams Partners LP, 4.50%, 11/15/2023 | 5,600,000 | 5,248,729 | ||||||
|
| |||||||
104,530,782 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 1.37% | ||||||||
Food & Staples Retailing — 1.37% | ||||||||
b Bakkavor Finance (2) plc (GBP), 8.75%, 6/15/2020 | 6,275,000 | 10,371,509 | ||||||
b C&S Group Enterprises, LLC, 5.375%, 7/15/2022 | 6,485,000 | 5,901,350 | ||||||
|
| |||||||
16,272,859 | ||||||||
�� |
|
| ||||||
FOOD, BEVERAGE & TOBACCO — 2.11% | ||||||||
Beverages — 0.52% | ||||||||
Ambev International Finance Co., Ltd. (BRL), 9.50%, 7/24/2017 | 2,000,000 | 466,641 | ||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 | 2,000,000 | 492,269 | ||||||
b,d Central America Bottling Corp., 6.75%, 2/9/2022 | 5,000,000 | 5,232,500 | ||||||
Food Products — 1.38% | ||||||||
b,d Barry Callebaut Services NV, 5.50%, 6/15/2023 | 4,000,000 | 4,229,968 | ||||||
b,d BRF S.A., 4.75%, 5/22/2024 | 4,650,000 | 4,394,250 | ||||||
b,d Comfeed Finance B.V., 6.00%, 5/2/2018 | 2,000,000 | 1,350,000 | ||||||
b Dean Foods Co., 6.50%, 3/15/2023 | 6,330,000 | 6,424,950 | ||||||
Tobacco — 0.21% | ||||||||
Reynolds American, Inc., 4.00%, 6/12/2022 | 800,000 | 835,934 | ||||||
Reynolds American, Inc., 4.45%, 6/12/2025 | 1,590,000 | 1,663,705 | ||||||
|
| |||||||
25,090,217 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 1.00% | ||||||||
Health Care Equipment & Supplies — 0.14% | ||||||||
Teleflex, Inc., 5.25%, 6/15/2024 | 1,715,000 | 1,723,575 |
Annual Report 11
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Health Care Providers & Services — 0.86% | ||||||||
b Covenant Surgical Partners, Inc., 8.75%, 8/1/2019 | $ | 5,990,000 | $ | 6,004,975 | ||||
DaVita Healthcare Partners, 5.125%, 7/15/2024 | 4,245,000 | 4,168,590 | ||||||
|
| |||||||
11,897,140 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.45% | ||||||||
Household Products — 0.45% | ||||||||
Energizer Holdings, Inc., 4.70%, 5/24/2022 | 5,190,000 | 5,313,091 | ||||||
|
| |||||||
5,313,091 | ||||||||
|
| |||||||
INSURANCE — 2.09% | ||||||||
Insurance — 2.09% | ||||||||
b,d DaVinciRe Holdings Ltd., 4.75%, 5/1/2025 | 4,790,000 | 4,814,606 | ||||||
ELM B.V. (AUD), 7.635%, 12/29/2049 | 1,000,000 | 734,339 | ||||||
ELM B.V. (AUD), 3.41%, 4/29/2049 | 1,000,000 | 687,297 | ||||||
b Forethought Financial Group, Inc., 8.625%, 4/15/2021 | 1,330,000 | 1,545,590 | ||||||
Genworth Holdings, Inc., 4.90%, 8/15/2023 | 6,000,000 | 4,680,000 | ||||||
Kemper Corp., 4.35%, 2/15/2025 | 3,950,000 | 4,020,938 | ||||||
b,d Lancashire Holdings Ltd., 5.70%, 10/1/2022 | 4,900,000 | 5,339,682 | ||||||
b National Life Insurance of Vermont, 10.50%, 9/15/2039 | 1,000,000 | 1,549,456 | ||||||
b ZFS Finance USA Trust II, 6.45%, 12/15/2065 | 1,460,000 | 1,474,600 | ||||||
|
| |||||||
24,846,508 | ||||||||
|
| |||||||
MATERIALS — 4.30% | ||||||||
Chemicals — 1.53% | ||||||||
b,d Consolidated Energy Finance S.A., 6.75%, 10/15/2019 | 6,100,000 | 5,764,500 | ||||||
b,d Kissner Milling Co., Ltd., 7.25%, 6/1/2019 | 2,300,000 | 2,162,000 | ||||||
b,d Office Cherifien des Phosphates, 5.625%, 4/25/2024 | 10,000,000 | 10,200,400 | ||||||
Construction Materials — 0.45% | ||||||||
b,d Cimpor Financial Operations B.V., 5.75%, 7/17/2024 | 6,500,000 | 4,361,500 | ||||||
Wesco Distribution, Inc., 5.375%, 12/15/2021 | 1,000,000 | 956,250 | ||||||
Containers & Packaging — 0.25% | ||||||||
b Sealed Air Corp., 4.875%, 12/1/2022 | 2,985,000 | 2,951,419 | ||||||
Metals & Mining — 1.55% | ||||||||
Coeur d’Alene Mines Corp., 7.875%, 2/1/2021 | 3,138,000 | 1,882,800 | ||||||
b Compass Minerals International, Inc., 4.875%, 7/15/2024 | 1,525,000 | 1,418,250 | ||||||
b Glencore Funding, LLC Floating Rate Note, 1.649%, 1/15/2019 | 11,000,000 | 8,993,138 | ||||||
b,d Newcrest Finance Property Ltd., 4.20%, 10/1/2022 | 7,000,000 | 6,139,609 | ||||||
Paper & Forest Products — 0.52% | ||||||||
b Neenah Paper, Inc., 5.25%, 5/15/2021 | 6,225,000 | 6,193,875 | ||||||
|
| |||||||
51,023,741 | ||||||||
|
| |||||||
MEDIA — 1.62% | ||||||||
Media — 1.62% | ||||||||
b Cable One, Inc., 5.75%, 6/15/2022 | 4,390,000 | 4,326,345 | ||||||
b,d Numericable Group S.A., 4.875%, 5/15/2019 | 3,100,000 | 2,999,250 | ||||||
b,d Numericable Group S.A., 6.00%, 5/15/2022 | 5,475,000 | 5,276,531 | ||||||
The Washington Post Co., 7.25%, 2/1/2019 | 2,100,000 | 2,215,500 | ||||||
b,d Virgin Media, Inc., 5.375%, 4/15/2021 | 4,324,500 | 4,351,528 | ||||||
|
| |||||||
19,169,154 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.34% | ||||||||
Pharmaceuticals — 0.34% | ||||||||
b,c Atlas U.S. Royalty, LLC, 12.25%, 3/15/2027 | 5,450,000 | 1,242,600 | ||||||
b,d Concordia Healthcare Corp., 7.00%, 4/15/2023 | 3,150,000 | 2,756,250 | ||||||
|
| |||||||
3,998,850 | ||||||||
|
| |||||||
REAL ESTATE — 1.45% | ||||||||
Real Estate Investment Trusts — 1.45% | ||||||||
Digital Realty Trust, L.P., 3.95%, 7/1/2022 | 3,985,000 | 3,980,585 | ||||||
EPR Properties, 5.25%, 7/15/2023 | 5,000,000 | 5,138,000 | ||||||
g OUTFRONT Media Capital, LLC, 5.25%, 2/15/2022 | 4,745,000 | 4,739,069 | ||||||
Retail Opportunity Investments Corp., 5.00%, 12/15/2023 | 1,500,000 | 1,568,746 | ||||||
Select Income REIT, 2.85%, 2/1/2018 | 1,720,000 | 1,726,231 | ||||||
|
| |||||||
17,152,631 | ||||||||
|
| |||||||
RETAILING — 2.31% | ||||||||
Distributors — 0.71% | ||||||||
LKQ Corp., Inc., 4.75%, 5/15/2023 | 8,754,000 | 8,425,725 |
12 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Internet & Catalog Retail — 0.66% | ||||||||
QVC, Inc., 4.45%, 2/15/2025 | $ | 8,147,000 | $ | 7,855,182 | ||||
Multiline Retail — 0.61% | ||||||||
b Family Tree Escrow, LLC, 5.75%, 3/1/2023 | 1,540,000 | 1,597,750 | ||||||
b Family Tree Escrow, LLC, 5.25%, 3/1/2020 | 745,000 | 763,923 | ||||||
b,d Grupo Famsa S.A.B. de C.V., 7.25%, 6/1/2020 | 5,550,000 | 4,870,125 | ||||||
Specialty Retail — 0.33% | ||||||||
Outerwall, Inc., 5.875%, 6/15/2021 | 4,115,000 | 3,852,669 | ||||||
|
| |||||||
27,365,374 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.19% | ||||||||
Semiconductors & Semiconductor Equipment — 0.19% | ||||||||
b,d Sensata Technologies B.V., 5.00%, 10/1/2025 | 2,400,000 | 2,253,000 | ||||||
|
| |||||||
2,253,000 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 2.15% | ||||||||
Information Technology Services — 0.62% | ||||||||
Neustar, Inc., 4.50%, 1/15/2023 | 8,660,000 | 7,274,400 | ||||||
Internet Software & Services — 0.79% | ||||||||
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc., | 5,417,000 | 5,735,249 | ||||||
Verisign, Inc., 4.625%, 5/1/2023 | 3,750,000 | 3,646,875 | ||||||
Software — 0.74% | ||||||||
b Audatex North America, Inc., 6.00%, 6/15/2021 | 815,000 | 816,622 | ||||||
Autodesk, Inc., 3.125%, 6/15/2020 | 2,350,000 | 2,382,801 | ||||||
Autodesk, Inc., 4.375%, 6/15/2025 | 1,600,000 | 1,604,365 | ||||||
CA Technologies, Inc., 3.60%, 8/1/2020 | 3,905,000 | 3,992,234 | ||||||
|
| |||||||
25,452,546 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 2.10% | ||||||||
Computers & Peripherals — 0.26% | ||||||||
Lexmark International, Inc., 5.125%, 3/15/2020 | 3,000,000 | 3,133,278 | ||||||
Electronic Equipment, Instruments & Components — 1.51% | ||||||||
Anixter, Inc., 5.125%, 10/1/2021 | 9,395,000 | 9,324,538 | ||||||
Ingram Micro, Inc., 4.95%, 12/15/2024 | 1,951,000 | 2,012,936 | ||||||
Trimble Navigation, Ltd., 4.75%, 12/1/2024 | 6,525,000 | 6,526,383 | ||||||
Technology, Hardware, Storage & Peripherals — 0.33% | ||||||||
b,h Hewlett-Packard Enterprise Co., 3.60%, 10/15/2020 | 3,930,000 | 3,928,900 | ||||||
|
| |||||||
24,926,035 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 4.40% | ||||||||
Diversified Telecommunication Services — 1.71% | ||||||||
AT&T, Inc., 2.45%, 6/30/2020 | 1,600,000 | 1,575,341 | ||||||
AT&T, Inc., 3.00%, 6/30/2022 | 2,395,000 | 2,336,571 | ||||||
d Telefonica Emisiones SAU, 6.221%, 7/3/2017 | 2,000,000 | 2,159,006 | ||||||
d Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 1,000,000 | 1,102,010 | ||||||
d Telefonica Emisiones SAU, 3.992%, 2/16/2016 | 1,000,000 | 1,010,423 | ||||||
d Telefonica Emisiones SAU, 6.421%, 6/20/2016 | 1,000,000 | 1,035,570 | ||||||
Verizon Communications, Inc., 3.50%, 11/1/2024 | 1,222,000 | 1,201,483 | ||||||
b,d Videotron Ltd. Co., 5.375%, 6/15/2024 | 10,050,000 | 9,899,250 | ||||||
Wireless Telecommunication Services — 2.69% | ||||||||
America Movil Sab de CV (MXN), 6.45%, 12/5/2022 | 120,000,000 | 6,764,193 | ||||||
b,d Bharti Airtel International, 5.125%, 3/11/2023 | 6,000,000 | 6,326,880 | ||||||
b,d Digicel Ltd., 6.00%, 4/15/2021 | 6,000,000 | 5,475,000 | ||||||
b,d Millicom International Cellular S.A., 6.00%, 3/15/2025 | 3,478,000 | 3,138,895 | ||||||
b,d MTN International (Mauritius) Ltd., 4.755%, 11/11/2024 | 4,125,000 | 4,106,932 | ||||||
b WCP Issuer, LLC, 7.143%, 8/15/2043 | 6,000,000 | 6,015,000 | ||||||
|
| |||||||
52,146,554 | ||||||||
|
| |||||||
TRANSPORTATION — 2.70% | ||||||||
Airlines — 2.35% | ||||||||
b American Airlines Group, Inc., 5.60%, 1/15/2022 | 13,237,911 | 13,502,669 | ||||||
American Airlines Group, Inc., 4.95%, 7/15/2024 | 2,603,489 | 2,779,224 | ||||||
Continental Airlines, 9.798%, 10/1/2022 | 5,851,271 | 6,436,398 | ||||||
US Airways, 5.90%, 4/1/2026 | 1,724,220 | 1,905,263 | ||||||
US Airways, 7.076%, 9/20/2022 | 1,476,654 | 1,605,861 | ||||||
US Airways, 6.25%, 10/22/2024 | 1,483,529 | 1,654,135 | ||||||
Marine — 0.35% | ||||||||
b,d Stena International SA, 5.75%, 3/1/2024 | 4,650,000 | 4,185,000 | ||||||
|
| |||||||
32,068,550 | ||||||||
|
|
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
UTILITIES — 2.24% | ||||||||
Electric Utilities — 1.10% | ||||||||
b Duquesne Light Holdings, Inc., 6.40%, 9/15/2020 | $ | 2,000,000 | $ | 2,297,642 | ||||
b,d Enel Finance International S.A., 6.25%, 9/15/2017 | 1,500,000 | 1,625,709 | ||||||
b Jersey Central Power & Light Co., 4.30%, 1/15/2026 | 3,965,000 | 3,979,548 | ||||||
Puget Energy, Inc., 5.625%, 7/15/2022 | 2,500,000 | 2,808,895 | ||||||
Puget Energy, Inc., 6.50%, 12/15/2020 | 2,000,000 | 2,331,144 | ||||||
Gas Utilities — 0.28% | ||||||||
b Source Gas, LLC., 5.90%, 4/1/2017 | 1,250,000 | 1,315,920 | ||||||
b Southern Star Central Gas Pipeline, Inc., 6.00%, 6/1/2016 | 2,000,000 | 2,053,036 | ||||||
Independent Power & Renewable Electricity Producers — 0.38% | ||||||||
Ipalco Enterprises, Inc., 5.00%, 5/1/2018 | 2,500,000 | 2,618,750 | ||||||
b Midland Cogeneration Venture, 6.00%, 3/15/2025 | 1,700,144 | 1,860,709 | ||||||
Multi-Utilities — 0.48% | ||||||||
CMS Energy Corp., 8.75%, 6/15/2019 | 2,000,000 | 2,459,316 | ||||||
b Topaz Solar Farms, LLC, 4.875%, 9/30/2039 | 3,000,000 | 3,214,242 | ||||||
|
| |||||||
26,564,911 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $773,651,983) | 710,290,489 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 3.38% | ||||||||
DIVERSIFIED FINANCIALS — 0.64% | ||||||||
Capital Markets — 0.35% | ||||||||
Apollo Investment Corp., 5.75%, 1/15/2016 | 4,100,000 | 4,120,500 | ||||||
Consumer Finance — 0.29% | ||||||||
EZCORP, Inc., 2.125%, 6/15/2019 | 4,867,000 | 3,473,821 | ||||||
|
| |||||||
7,594,321 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.70% | ||||||||
Tobacco — 0.70% | ||||||||
Vector Group Ltd., 1.75%, 4/15/2020 | 7,460,000 | 8,327,225 | ||||||
|
| |||||||
8,327,225 | ||||||||
|
| |||||||
MEDIA — 1.32% | ||||||||
Media — 1.32% | ||||||||
d Central European Media Enterprises Ltd., 5.00%, 11/15/2015 | 8,130,000 | 8,099,512 | ||||||
Comcast Holdings Corp., 2.00%, 10/15/2029 | 15,500,000 | 7,556,250 | ||||||
|
| |||||||
15,655,762 | ||||||||
|
| |||||||
REAL ESTATE — 0.72% | ||||||||
Real Estate Investment Trusts — 0.72% | ||||||||
American Realty Capital Properties, Inc., 3.00%, 8/1/2018 | 3,890,000 | 3,690,638 | ||||||
b IAS Operating Partnership LP, 5.00%, 3/15/2018 | 5,040,000 | 4,762,800 | ||||||
|
| |||||||
8,453,438 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $40,868,036) | 40,030,746 | |||||||
|
| |||||||
WARRANTS — 0.01% | ||||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.01% | ||||||||
Pharmaceuticals — 0.01% | ||||||||
a,b Alexza Pharmaceuticals, Inc. | 41,863 | 53,166 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $213,640) | 53,166 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.75% | ||||||||
California Health Facilities Financing Authority (Developmental Disabilities), 7.875%, 2/1/2026 | 1,940,000 | 2,308,115 | ||||||
b Midwest Family Housing, 5.168%, 7/1/2016 | 193,000 | 196,985 | ||||||
Municipal Improvement Corp. of Los Angeles (Recovery Zone Economic Development), 6.165%, 11/1/2020 | 1,885,000 | 2,096,101 | ||||||
Oakland California Redevelopment Agency, 8.00%, 9/1/2016 | 1,000,000 | 1,052,760 | ||||||
Oklahoma Development Finance Authority, 8.00%, 5/1/2020 | 995,000 | 1,015,985 | ||||||
San Bernardino County California Redevelopment Agency (San Sevaine), | 2,000,000 | 2,249,320 | ||||||
Wisconsin Health & Educational Facilities Authority (Richland Hospital), | 25,000 | 24,999 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $7,975,027) | 8,944,265 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 1.01% | ||||||||
b CoBank ACB Floating Rate Note (Farm Credit Banks), 0.937%, 6/15/2022 | 12,700,000 | 11,994,540 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $12,147,618) | 11,994,540 | |||||||
|
|
14 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
OTHER GOVERNMENT — 3.97% | ||||||||
Australian Government (AUD), 2.75%, 4/21/2024 | $ | 8,200,000 | $ | 5,841,340 | ||||
b,d Eurasian Development Bank, 5.00%, 9/26/2020 | 2,000,000 | 1,976,020 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 | 3,475,000 | 863,820 | ||||||
b,d Government of Aruba, 4.625%, 9/14/2023 | 9,500,000 | 9,452,500 | ||||||
Mexico Bonos de Desarrollo (MXN), 5.00%, 6/15/2017 | 130,000,000 | 7,814,411 | ||||||
Mexico Bonos de Desarrollo (MXN), 4.75%, 6/14/2018 | 275,000,000 | 16,327,548 | ||||||
b,d Seven and Seven Ltd. Floating Rate Note, (Guaranty: Export-Import Bank of Korea), 1.539%, 9/11/2019 | 4,800,000 | 4,793,554 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $54,068,568) | 47,069,193 | |||||||
|
| |||||||
MORTGAGE BACKED — 0.04% | ||||||||
Federal National Mtg Assoc., CMO Series 1994-37 Class L, 6.50%, 3/25/2024 | 3,586 | 4,010 | ||||||
b,c Reilly FHA 1997-A Mtg, 6.896%, 7/1/2020 | 489,490 | 489,490 | ||||||
|
| |||||||
TOTAL MORTGAGE BACKED (Cost $503,826) | 493,500 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 8.06% | ||||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.71% | ||||||||
Professional Services — 0.71% | ||||||||
Affinion Group, Inc., 6.75%, 4/30/2018 | 3,959,799 | 3,703,639 | ||||||
Extreme Reach, Inc., 6.75%, 2/7/2020 | 4,719,593 | 4,684,196 | ||||||
|
| |||||||
8,387,835 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 0.34% | ||||||||
Leisure Products — 0.16% | ||||||||
Topps Co, Inc., 7.25%, 10/2/2018 | 1,965,000 | 1,925,700 | ||||||
Textiles, Apparel & Luxury Goods — 0.18% | ||||||||
5.11, Inc., 6.00%, 2/28/2020 | 2,151,964 | 2,151,964 | ||||||
|
| |||||||
4,077,664 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.73% | ||||||||
Diversified Consumer Services — 0.48% | ||||||||
Laureate Education, Inc., 5.00%, 6/15/2018 | 6,914,852 | 5,670,179 | ||||||
Hotels, Restaurants & Leisure — 0.25% | ||||||||
c Private Restaurants Properties, Inc., 9.00%, 4/10/2017 | 2,887,576 | 2,936,664 | ||||||
|
| |||||||
8,606,843 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.71% | ||||||||
Diversified Financial Services — 0.71% | ||||||||
NCP Finance LP, 11.00%, 9/25/2018 | 4,211,746 | 3,916,924 | ||||||
d Stena International S.A., 4.00%, 3/3/2021 | 5,289,450 | 4,456,362 | ||||||
|
| |||||||
8,373,286 | ||||||||
|
| |||||||
ENERGY — 0.55% | ||||||||
Oil, Gas & Consumable Fuels — 0.55% | ||||||||
CITGO Holding, Inc., 9.50%, 5/12/2018 | 3,808,320 | 3,744,073 | ||||||
Murray Energy Corp., 7.00%, 4/16/2017 | 3,182,025 | 2,800,182 | ||||||
|
| |||||||
6,544,255 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.60% | ||||||||
Tobacco — 0.60% | ||||||||
North Atlantic Trading Co., Inc., 7.75%-8.75%, 1/13/2020 | 7,152,022 | 7,062,622 | ||||||
|
| |||||||
7,062,622 | ||||||||
|
| |||||||
INDUSTRIALS — 0.85% | ||||||||
Construction & Engineering — 0.85% | ||||||||
ABG Intermediate Holdings (2), LLC, 9.50%, 5/27/2022 | 10,100,000 | 10,074,750 | ||||||
|
| |||||||
10,074,750 | ||||||||
|
| |||||||
MATERIALS — 1.28% | ||||||||
Chemicals — 0.87% | ||||||||
PeroxyChem, LLC, 8.75%, 2/28/2020 | 4,907,045 | 4,882,510 | ||||||
OCI Beaumont, LLC, 5.50%, 8/20/2019 | 5,361,554 | 5,415,169 | ||||||
Metals & Mining — 0.41% | ||||||||
Coeur Mining, Inc., 9.00%, 6/9/2020 | 4,987,500 | 4,887,750 | ||||||
|
| |||||||
15,185,429 | ||||||||
|
|
Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
MEDIA — 0.71% | ||||||||
Media — 0.71% | ||||||||
d Mood Media Corp., 7.00%, 5/1/2019 | $ | 8,685,305 | $ | 8,450,107 | ||||
|
| |||||||
8,450,107 | ||||||||
|
| |||||||
REAL ESTATE — 0.48% | ||||||||
Real Estate Management & Development — 0.48% | ||||||||
DTZ U.S. Borrower, LLC, 9.25%, 11/4/2022 | 5,690,000 | 5,711,338 | ||||||
|
| |||||||
5,711,338 | ||||||||
|
| |||||||
RETAILING — 0.33% | ||||||||
Specialty Retail — 0.33% | ||||||||
NBTY, Inc., 3.50%, 10/1/2017 | 4,000,000 | 3,968,000 | ||||||
|
| |||||||
3,968,000 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.63% | ||||||||
Information Technology Services — 0.63% | ||||||||
c Valores Corporativos Softtek, S.A. de C.V., 3.38%-6.94%, 8/27/2019 | 7,833,333 | 7,520,000 | ||||||
|
| |||||||
7,520,000 | ||||||||
|
| |||||||
TRANSPORTATION — 0.14% | ||||||||
Airlines — 0.14% | ||||||||
b,c,d,e Synergy Aerospace Corp., 6.50%, 10/7/2015 | 951,337 | 945,629 | ||||||
b,c,d ET Two, LLC, 10.00%, 9/30/2019 | 374,222 | 373,848 | ||||||
b,c,d ET Three, LLC, 10.00%, 9/30/2019 | 374,222 | 373,848 | ||||||
|
| |||||||
1,693,325 | ||||||||
|
| |||||||
TOTAL LOAN PARTICIPATIONS (Cost $98,400,986) | 95,655,454 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 8.57% | ||||||||
f Thornburg Capital Management Fund | 10,170,287 | 101,702,869 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $101,702,869) | 101,702,869 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.37% (Cost $1,259,220,898) | $ | 1,178,763,713 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.63% | 7,492,701 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 1,186,256,414 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2015, the aggregate value of these securities in the Fund’s portfolio was $560,894,859, representing 47.28% of the Fund’s net assets. |
c | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
d | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
e | Security in default. |
f | 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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 16,637,103 | 6,466,816 | 10,170,287 | $ | 101,702,869 | $ | 44,704 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 101,702,869 | $ | 44,704 | $ | — | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total non-controlled affiliated issuers – 8.57% of net asset |
|
g | Segregated for a when issued security. |
h | When issued security. |
16 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Real | |
CAD | Denominated in Canadian Dollars | |
CHL | Denominated in Chilean Peso | |
CMO | Collateralized Mortgage Obligation | |
FCB | Farm Credit Bank | |
FHA | Insured by Federal Housing Administration |
GBP | Denominated in Great Britain Pounds | |
Mtg | Mortgage | |
MXN | Denominated in Mexican Pesos | |
Pfd | Preferred Stock | |
REIT | Real Estate Investment Trust | |
SEK | Denominated in Swedish Kronor | |
SPV | Special Purpose Vehicle |
See notes to financial statements.
Annual Report 17
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Strategic Income Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $1,259,220,898) (Note 2) | $ | 1,178,763,713 | ||
Cash | 1,257,751 | |||
Receivable for fund shares sold | 2,131,491 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 259,723 | |||
Dividends receivable | 292,498 | |||
Dividend and interest reclaim receivable | 50,345 | |||
Interest receivable | 14,099,981 | |||
Prepaid expenses and other assets | 49,251 | |||
|
| |||
Total Assets | 1,196,904,753 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 5,354,124 | |||
Payable for fund shares redeemed | 3,267,555 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 138,991 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,046,951 | |||
Accounts payable and accrued expenses | 241,229 | |||
Dividends payable | 599,489 | |||
|
| |||
Total Liabilities | 10,648,339 | |||
|
| |||
NET ASSETS | $ | 1,186,256,414 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (5,244,630 | ) | |
Net unrealized depreciation on investments | (80,404,329 | ) | ||
Accumulated net realized gain (loss) | (26,105 | ) | ||
Net capital paid in on shares of beneficial interest | 1,271,931,478 | |||
|
| |||
$ | 1,186,256,414 | |||
|
|
18 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||||
Thornburg Strategic Income Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($338,386,793 applicable to 30,163,151 shares of beneficial interest outstanding - Note 4) | $ | 11.22 | ||
Maximum sales charge, 4.50% of offering price | 0.53 | |||
|
| |||
Maximum offering price per share | $ | 11.75 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($306,085,072 applicable to 27,324,687 shares of beneficial interest outstanding - Note 4) | $ | 11.20 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($531,849,141 applicable to 47,516,013 shares of beneficial interest outstanding - Note 4) | $ | 11.19 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($1,429,678 applicable to 127,567 shares of beneficial interest outstanding - Note 4) | $ | 11.21 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($2,106,139 applicable to 187,830 shares of beneficial interest outstanding - Note 4) | $ | 11.21 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($6,399,591 applicable to 571,835 shares of beneficial interest outstanding - Note 4) | $ | 11.19 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 19
STATEMENT OF OPERATIONS | ||
Thornburg Strategic Income Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $101,996) | $ | 3,183,409 | ||
Interest income (net of premium amortized of $2,090,775) | 65,375,522 | |||
|
| |||
Total Income | 68,558,931 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 9,008,800 | |||
Administration fees (Note 3) | ||||
Class A Shares | 476,921 | |||
Class C Shares | 422,519 | |||
Class I Shares | 286,561 | |||
Class R3 Shares | 3,050 | |||
Class R4 Shares | 1,792 | |||
Class R5 Shares | 2,430 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 954,366 | |||
Class C Shares | 3,381,367 | |||
Class R3 Shares | 12,087 | |||
Class R4 Shares | 3,595 | |||
Transfer agent fees | ||||
Class A Shares | 372,331 | |||
Class C Shares | 291,410 | |||
Class I Shares | 477,758 | |||
Class R3 Shares | 7,073 | |||
Class R4 Shares | 1,678 | |||
Class R5 Shares | 10,855 | |||
Registration and filing fees | ||||
Class A Shares | 41,161 | |||
Class C Shares | 31,347 | |||
Class I Shares | 41,593 | |||
Class R3 Shares | 25,592 | |||
Class R4 Shares | 19,988 | |||
Class R5 Shares | 25,613 | |||
Custodian fees (Note 3) | 242,664 | |||
Professional fees | 185,545 | |||
Accounting fees (Note 3) | 50,080 | |||
Trustee fees | 48,500 | |||
Other expenses | 178,853 | |||
|
| |||
Total Expenses | 16,605,529 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (647,340 | ) | ||
Fees paid indirectly (Note 3) | (1,189 | ) | ||
|
| |||
Net Expenses | 15,957,000 | |||
|
| |||
Net Investment Income | $ | 52,601,931 | ||
|
|
20 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Strategic Income Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (6,791,956 | ) | |
Forward currency contracts (Note 7) | 3,244,965 | |||
Foreign currency transactions | (387,195 | ) | ||
|
| |||
(3,934,186 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (85,707,756 | ) | ||
Forward currency contracts (Note 7) | (1,117,887 | ) | ||
Foreign currency translations | (38,338 | ) | ||
|
| |||
Net Realized and Unrealized Loss | (86,863,981 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | (90,798,167 | ) | ||
|
| |||
$ | (38,196,236 | ) | ||
|
|
See notes to financial statements.
Annual Report 21
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 52,601,931 | $ | 42,473,247 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | (3,934,186 | ) | 18,703,755 | |||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | (86,863,981 | ) | (2,265,395 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (38,196,236 | ) | 58,911,607 | |||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (15,032,369 | ) | (14,111,314 | ) | ||||
Class C Shares | (11,384,849 | ) | (10,955,909 | ) | ||||
Class I Shares | (24,576,257 | ) | (17,925,535 | ) | ||||
Class R3 Shares | (94,447 | ) | (56,962 | ) | ||||
Class R4 Shares | (58,755 | ) | (423 | ) | ||||
Class R5 Shares | (206,806 | ) | (85,256 | ) | ||||
From realized gains | ||||||||
Class A Shares | (4,909,559 | ) | (5,900,030 | ) | ||||
Class C Shares | (4,451,217 | ) | (5,473,946 | ) | ||||
Class I Shares | (7,233,973 | ) | (5,939,705 | ) | ||||
Class R3 Shares | (42,240 | ) | (2,935 | ) | ||||
Class R4 Shares | (514 | ) | — | |||||
Class R5 Shares | (39,105 | ) | (19,145 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (23,177,909 | ) | 141,841,186 | |||||
Class C Shares | (14,575,088 | ) | 111,635,825 | |||||
Class I Shares | 26,490,308 | 306,584,478 | ||||||
Class R3 Shares | (1,421,430 | ) | 2,887,855 | |||||
Class R4 Shares | 2,180,876 | 15,412 | ||||||
Class R5 Shares | 4,235,726 | 2,547,850 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (112,493,844 | ) | 563,953,053 | |||||
NET ASSETS | ||||||||
Beginning of Year | 1,298,750,258 | 734,797,205 | ||||||
|
|
|
| |||||
End of Year | $ | 1,186,256,414 | $ | 1,298,750,258 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (5,244,629 | ) | $ | (551,723 | ) |
See notes to financial statements.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Strategic Income Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Strategic Income Fund (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 twenty 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 six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”) and Retirement Classes (“Class R3”, “Class R4”, and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without a sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock(a) | $ | 12,852,572 | $ | 8,809,721 | $ | 4,042,851 | $ | — | ||||||||
Preferred Stock(a) | 18,829,530 | 4,670,014 | 14,159,516 | — | ||||||||||||
Asset Backed Securities | 130,847,389 | — | 118,644,714 | 12,202,675 | ||||||||||||
Corporate Bonds | 710,290,489 | — | 709,047,889 | 1,242,600 | ||||||||||||
Convertible Bonds | 40,030,746 | — | 40,030,746 | — | ||||||||||||
Warrants | 53,166 | — | 53,166 | — | ||||||||||||
Municipal Bonds | 8,944,265 | — | 8,944,265 | — | ||||||||||||
U.S. Government Agencies | 11,994,540 | — | 11,994,540 | — | ||||||||||||
Other Government | 47,069,193 | — | 47,069,193 | — | ||||||||||||
Mortgage Backed Securities | 493,500 | — | 4,010 | 489,490 | ||||||||||||
Loan Participations | 95,655,454 | — | 78,617,715 | 17,037,739 | ||||||||||||
Short Term Investments | 101,702,869 | 101,702,869 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,178,763,713 | $ | 115,182,604 | $ | 1,032,608,605 | $ | 30,972,504 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 259,723 | $ | — | $ | 259,723 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (138,991 | ) | $ | — | $ | (138,991 | ) | $ | — |
* | 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, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
(a) | At September 30, 2015, industry classifications for Common Stock in Level 2 and Level 3 and Preferred Stock in Level 2 consist of $4,633,504 in Energy, $10,651,875 in Miscellaneous, and $2,916,988 in Telecommunication Services. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, unadjusted broker quotes and vendor prices were applied to $18,076,743 in portfolio securities characterized as Level 3 investments at September 30, 2015. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at September 30, 2015: |
Fair Value at September 30, 2015 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||
Common Stock | $ | 0 | Terms of plan reorganization | Discount to zero for lack of marketability and company sustainability in question | (N/A) (N/A) | |||||
Corporate Bond | 1,242,600 | Discounted cash flows | Third party vendor projection model of future revenue | 20.00% (N/A) | ||||||
Loan Participations | 4,629,990 | Discounted cash flows | Third party vendor projection of discounted cash flows | 8.10% - 10.50% (8.65%) | ||||||
Asset Backed Securities | 7,023,171 | Discounted cash flows | Third party vendor projection of discounted cash flows | 3.90% - 4.50% (4.20%) | ||||||
|
| |||||||||
Total | $ | 12,895,761 |
Annual Report 25
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no transfers between Levels 1 and 2 for the year ended September 30, 2015, 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 year ended September 30, 2015 is as follows:
Asset Backed Securities | Common Stock* | Corporate Bonds | Mortgage Backed | Loan Participations | Total(d) | |||||||||||||||||||
Beginning Balance 9/30/2014 | $ | 27,741,284 | $ | — | $ | 16,651,104 | $ | 806,724 | $ | 17,446,134 | $ | 62,645,246 | ||||||||||||
Accrued Discounts (Premiums) | 11,289 | — | 25,828 | (2,208 | ) | 13,990 | 48,899 | |||||||||||||||||
Net Realized Gain (Loss)(a) | 65,176 | — | (281,008 | ) | (7,449 | ) | 701 | (222,580 | ) | |||||||||||||||
Gross Purchases | — | — | — | — | 10,782,603 | 10,782,603 | ||||||||||||||||||
Gross Sales | (15,726,419 | ) | — | (6,300,082 | ) | (301,416 | ) | (10,789,010 | ) | (33,116,927 | ) | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation)(b)(e) | 111,345 | — | (3,978,658 | ) | (6,161 | ) | (416,679 | ) | (4,290,153 | ) | ||||||||||||||
Transfers into Level 3(c) | — | — | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3(c) | — | — | (4,874,584 | ) | — | — | (4,874,584 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending Balance 9/30/2015 | $ | 12,202,675 | $ | — | $ | 1,242,600 | $ | 489,490 | $ | 17,037,739 | $ | 30,972,504 |
* | Common stock valued at zero is included in the Level 3 rollforward table at September 30, 2015. |
(a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(b) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(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 year ended September 30, 2015. 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 2.61% of total net assets at the year ended September 30, 2015. Significant fluctuations of the unobservable inputs applied to portfolio securities characterized as Level 3 investments could be expected to increase or decrease the fair value of these portfolio securities. |
(e) | The net change in unrealized appreciation (depreciation) attributable to securities owned at September 30, 2015, which were valued using significant unobservable inputs is negative $4,258,097. This is included within net change in unrealized appreciation (depreciation) on investments within the Statement of Operations. |
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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.
26 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price at the maturity date of the repurchase agreement. Investments pledged as collateral for repurchase agreements are held in custody until maturity of the repur-chase 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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 Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $50,080 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $108,771 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $58,948 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 pay-
Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
ments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2015, there were no 12b-1 service plan fees charged for Class I and Class R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.
The Trust has also adopted a distribution plan 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 ..25 of 1% 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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $564,743 for Class C shares, $35,416 for Class R3 shares, $19,922 for Class R4 shares, and $27,259 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $1,189.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $21,998,900 in purchases.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 9,448,626 | $ | 111,515,219 | 18,515,650 | $ | 225,983,883 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,545,329 | 18,164,165 | 1,512,030 | 18,371,710 | ||||||||||||
Shares repurchased | (13,052,160 | ) | (152,857,293 | ) | (8,402,986 | ) | (102,514,407 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,058,205 | ) | $ | (23,177,909 | ) | 11,624,694 | $ | 141,841,186 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 5,713,342 | $ | 67,448,862 | 12,164,015 | $ | 148,392,875 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,148,477 | 13,483,171 | 1,169,485 | 14,180,200 | ||||||||||||
Shares repurchased | (8,167,118 | ) | (95,507,121 | ) | (4,185,267 | ) | (50,937,250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,305,299 | ) | $ | (14,575,088 | ) | 9,148,233 | $ | 111,635,825 | ||||||||
|
|
|
|
|
|
|
|
28 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 20,927,899 | $ | 246,352,797 | 31,367,129 | $ | 382,209,495 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,234,492 | 26,178,868 | 1,530,876 | 18,590,355 | ||||||||||||
Shares repurchased | (21,065,602 | ) | (246,041,357 | ) | (7,726,042 | ) | (94,215,372 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,096,789 | $ | 26,490,308 | 25,171,963 | $ | 306,584,478 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 111,029 | $ | 1,316,018 | 252,491 | $ | 3,086,494 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 9,969 | 117,693 | 4,631 | 56,871 | ||||||||||||
Shares repurchased | (243,813 | ) | (2,855,141 | ) | (20,759 | ) | (255,510 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (122,815 | ) | $ | (1,421,430 | ) | 236,363 | $ | 2,887,855 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 188,418 | $ | 2,202,476 | 1,271 | $ | 15,250 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 3,607 | 41,823 | 35 | 423 | ||||||||||||
Shares repurchased | (5,480 | ) | (63,423 | ) | (21 | ) | (261 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 186,545 | $ | 2,180,876 | 1,285 | $ | 15,412 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 582,339 | $ | 6,800,748 | 226,485 | $ | 2,747,416 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 16,493 | 192,828 | 8,572 | 104,180 | ||||||||||||
Shares repurchased | (238,073 | ) | (2,757,850 | ) | (24,914 | ) | (303,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 360,759 | $ | 4,235,726 | 210,143 | $ | 2,547,850 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $520,084,213 and $432,697,758, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 1,259,113,203 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 18,074,405 | ||
Gross unrealized depreciation on a tax basis | (98,423,895 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (80,349,490 | ) | |
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses and outstanding real estate investment trust (“REIT”) tax basis adjustments.
At September 30, 2015, the Fund had deferred tax basis late year specified ordinary losses and tax basis capital losses occurring subsequent to October 31, 2014 through September 30, 2015 of $6,164,322 and $2,743,921, respectively. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
In order to account for permanent book to tax differences, the Fund decreased accumulated net realized loss by $5,320,611, increased net capital paid in on shares of beneficial interest by $620,744, and decreased undistributed net investment income by $5,941,355.
Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
Reclassifications have no impact upon the net asset value of the Fund and result primarily from mortgage-backed security (“MBS”) losses, foreign bond bifurcation, foreign currency gains (losses), and equalization of undistributed capital gains to shareholders.
At September 30, 2015, the Fund had $4,250,034 of undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 57,525,899 | $ | 50,575,019 | ||||
Capital gains | 10,504,192 | 9,896,141 | ||||||
|
|
|
| |||||
Total | $ | 68,030,091 | $ | 60,471,160 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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 con-tract 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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 value of open sell currency contracts for the year ended September 30, 2015 was $19,639,038. 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 the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||
Euro | Sell | 8,040,500 | 11/17/2015 | 8,990,843 | $ | — | $ | (20,299 | ) | |||||||||||
Euro | Buy | 5,831,000 | 11/17/2015 | 6,520,192 | — | (118,692 | ) | |||||||||||||
Swiss Franc | Sell | 3,985,000 | 06/22/2016 | 4,134,513 | 259,723 | — | ||||||||||||||
|
|
|
| |||||||||||||||||
Total | $ | 259,723 | $ | (138,991 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 120,732 | ||||||||||||||||||
|
|
The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting
30 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 |
party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $259,723 | ||||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $(138,991) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $120,732, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $0. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $3,244,965 | $3,244,965 | ||
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $(1,117,887) | $(1,117,887) |
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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 31
Thornburg Strategic Income Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Period | Net | 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 | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 12.18 | 0.47 | (0.82 | ) | (0.35 | ) | (0.46 | ) | (0.15 | ) | (0.61 | ) | $11.22 | 4.04 | 1.23 | 1.23 | 1.23 | (2.97 | ) | 38.40 | $ | 338,387 | |||||||||||||||||||||||||||||||
2014(b) | $ | 12.19 | 0.52 | 0.28 | 0.80 | (0.54 | ) | (0.27 | ) | (0.81 | ) | $12.18 | 4.30 | 1.22 | 1.22 | 1.24 | 6.79 | 51.20 | $ | 392,604 | ||||||||||||||||||||||||||||||||||
2013(b) | $ | 12.28 | 0.67 | 0.03 | 0.70 | (0.65 | ) | (0.14 | ) | (0.79 | ) | $12.19 | 5.44 | 1.25 | 1.25 | 1.27 | 5.79 | 76.47 | $ | 251,106 | ||||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | |||||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.17 | 0.41 | (0.83 | ) | (0.42 | ) | (0.40 | ) | (0.15 | ) | (0.55 | ) | $11.20 | 3.47 | 1.80 | 1.80 | 1.97 | (3.61 | ) | 38.40 | $ | 306,085 | |||||||||||||||||||||||||||||||
2014 | $ | 12.17 | 0.45 | 0.29 | 0.74 | (0.47 | ) | (0.27 | ) | (0.74 | ) | $12.17 | 3.73 | 1.80 | 1.80 | 1.98 | 6.27 | 51.20 | $ | 348,334 | ||||||||||||||||||||||||||||||||||
2013 | $ | 12.26 | 0.60 | 0.03 | 0.63 | (0.58 | ) | (0.14 | ) | (0.72 | ) | $12.17 | 4.88 | 1.80 | 1.80 | 2.02 | 5.21 | 76.47 | $ | 237,177 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.16 | 0.51 | (0.83 | ) | (0.32 | ) | (0.50 | ) | (0.15 | ) | (0.65 | ) | $11.19 | 4.38 | 0.89 | 0.89 | 0.89 | (2.73 | ) | 38.40 | $ | 531,849 | |||||||||||||||||||||||||||||||
2014 | $ | 12.17 | 0.56 | 0.28 | 0.84 | (0.58 | ) | (0.27 | ) | (0.85 | ) | $12.16 | 4.60 | 0.90 | 0.90 | 0.90 | 7.15 | 51.20 | $ | 552,182 | ||||||||||||||||||||||||||||||||||
2013 | $ | 12.25 | 0.70 | 0.04 | 0.74 | (0.68 | ) | (0.14 | ) | (0.82 | ) | $12.17 | 5.75 | 0.94 | 0.94 | 0.94 | 6.21 | 76.47 | $ | 246,332 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Class R3 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.18 | 0.47 | (0.83 | ) | (0.36 | ) | (0.46 | ) | (0.15 | ) | (0.61 | ) | $11.21 | 3.98 | 1.25 | 1.25 | 2.70 | (3.07 | ) | 38.40 | $ | 1,430 | |||||||||||||||||||||||||||||||
2014 | $ | 12.19 | 0.49 | 0.31 | 0.80 | (0.54 | ) | (0.27 | ) | (0.81 | ) | $12.18 | 4.10 | 1.25 | 1.25 | 3.10 | 6.76 | 51.20 | $ | 3,049 | ||||||||||||||||||||||||||||||||||
2013 | $ | 12.28 | 0.63 | 0.06 | 0.69 | (0.64 | ) | (0.14 | ) | (0.78 | ) | $12.19 | 5.19 | 1.25 | 1.25 | 32.64 | (c) | 5.78 | 76.47 | $ | 171 | |||||||||||||||||||||||||||||||||
2012(d) | $ | 12.03 | 0.30 | 0.25 | 0.55 | (0.30 | ) | — | (0.30 | ) | $12.28 | 5.93 | (e) | 1.22 | (e) | 1.22 | (e) | 373.07 | (c)(e) | 4.63 | 34.54 | $ | 11 | |||||||||||||||||||||||||||||||
Class R4 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.18 | 0.48 | (0.84 | ) | (0.36 | ) | (0.46 | ) | (0.15 | ) | (0.61 | ) | $11.21 | 4.15 | 1.25 | 1.25 | 2.64 | (3.07 | ) | 38.40 | $ | 2,106 | |||||||||||||||||||||||||||||||
2014(f) | $ | 12.00 | 0.35 | 0.17 | 0.52 | (0.34 | ) | — | (0.34 | ) | $12.18 | 4.25 | (e) | 1.25 | (e) | 1.25 | (e) | 60.66 | (c)(e) | 4.29 | 51.20 | $ | 16 | |||||||||||||||||||||||||||||||
Class R5 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 12.15 | 0.50 | (0.82 | ) | (0.32 | ) | (0.49 | ) | (0.15 | ) | (0.64 | ) | $11.19 | 4.33 | 0.99 | 0.99 | 1.55 | (2.75 | ) | 38.40 | $ | 6,399 | |||||||||||||||||||||||||||||||
2014 | $ | 12.16 | 0.55 | 0.28 | 0.83 | (0.57 | ) | (0.27 | ) | (0.84 | ) | $12.15 | 4.51 | 0.99 | 0.99 | 2.11 | 7.05 | 51.20 | $ | 2,565 | ||||||||||||||||||||||||||||||||||
2013 | $ | 12.25 | 0.70 | 0.03 | 0.73 | (0.68 | ) | (0.14 | ) | (0.82 | ) | $12.16 | 5.68 | 0.99 | 0.99 | 227.33 | (c) | 6.07 | 76.47 | $ | 11 | |||||||||||||||||||||||||||||||||
2012(d) | $ | 12.00 | 0.31 | 0.25 | 0.56 | (0.31 | ) | — | (0.31 | ) | $12.25 | 6.22 | (e) | 0.97 | (e) | 0.97 | (e) | 372.35 | (c)(e) | 4.75 | 34.54 | $ | 11 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
(d) | Effective date of this class of shares was May 1, 2012. |
(e) | Annualized. |
(f) | Effective date of this class of shares was February 1, 2014. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
32 Annual Report | Annual Report 33 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | ||
Thornburg Strategic Income Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg Strategic Income Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments in securities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thornburg Strategic Income Fund (the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
34 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Strategic Income Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
ACTUAL EXPENSES
For each class of shares, the first line of the accompanying table 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 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 978.80 | $ | 6.23 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.77 | $ | 6.35 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 975.30 | $ | 8.91 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,016.04 | $ | 9.10 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 979.60 | $ | 4.56 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.46 | $ | 4.65 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 978.80 | $ | 6.20 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 978.00 | $ | 6.20 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 980.00 | $ | 4.91 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.26%; C: 1.80%; I: 0.92% R3: 1.25% R4: 1.25% R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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.
Annual Report 35
TRUSTEES AND OFFICERS | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
36 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 37
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
38 Annual Report
OTHER INFORMATION | ||
Thornburg Strategic Income Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, the Thornburg Strategic Income Fund is reporting 4.59% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 3.28% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the year ended September 30, 2015 as qualified for the corporate dividends received deduction.
For the tax year ended September 30, 2015, dividends paid by the Thornburg Strategic Income Fund of $10,504,192 are being reported as long-term capital gain dividends and $57,525,899 are being reported as ordinary investment income for federal income tax purposes. Additionally, dividends deemed paid by the Fund of $620,742 are designated as ordinary investment income dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Strategic Income Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from
Annual Report 39
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the seven calendar years since the Fund’s inception, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index and blended performance benchmark, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index and blended performance benchmark, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, and (5) comparative measures of correlation to equity indices, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the seven calendar years since the Fund’s inception considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was lower than the returns of the broad based securities index and the Fund’s blended performance benchmark, and was comparable to the average return of the mutual fund category considered. The data further showed that the Fund’s returns for the preceding six calendar years exceeded the returns of the index in four of the six years, the Fund’s returns exceeded or were comparable to returns of the blended performance benchmark in five of the six years, and that the Fund’s returns exceeded the average returns of the fund category in five of the six years. Noted quantitative data further showed that the Fund’s annualized investment returns fell below the midpoint of investment performance of a mutual fund category for the one-year period ended with the second quarter of the current year, and fell in the top quartile of performance of the category in the three-year and five-year periods. Noted data for a second mutual fund category similarly showed that the Fund’s annualized investment returns fell in the third quartile of that category for the one-year period ended with the second quarter of the current year, and fell within the top quartile of performance of the category for the three-year and five-year periods ended with the second quarter. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was somewhat higher than the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was somewhat higher than the median and slightly higher than the average expense levels for the category, and that the level of total expense for a second representative share class was comparable to the median and slightly lower than the average levels for the category. Data for the peer group showed that the Fund’s advisory fee was comparable to the median level of one peer group and slightly higher than the median of the second peer group, the total expense level of one representative share class was slightly higher than the median of its peer group, and that the total expense level of the second representative share class was comparable to the median of its peer group. The Trustees did not find the differences significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions
40 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Strategic Income Fund | September 30, 2015 (Unaudited) |
of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 41
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
42 Annual Report
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 43
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH1784 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely, |
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Garrett Thornburg Chairman of Trustees |
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg Value Fund
September 30, 2015
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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 |
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. Class B shares are no longer offered.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
October 15, 2015
Dear Fellow Shareholders:
In this letter we will update you on our progress in the management of the Thornburg Value Fund and examine the drivers of performance for the fiscal year.
To summarize our approach: we are bottom-up investors, focused on the fundamentals of businesses; we typically invest in a limited number of stocks; we have the flexibility to seek value broadly (employing a three-basket diversification construction in which we categorize companies as basic values, consistent earners, and emerging franchises); and we seek to invest in promising companies trading at a discount to their intrinsic values.
We remain encouraged by the Fund’s results since we began our work to bolster the consistent earning characteristics of the portfolio in mid-2012. Since then, the Fund’s downside capture ratio (the proportion that a fund declines relative to its benchmark’s fall over a given period, often expressed as a percentage) and its beta (a measure of volatility) have improved markedly compared to the year and a half prior to June 30, 2012. Happily, we’ve also outpaced broad equity-market returns over the period. Class A shares returned 17.26% without sales charge annualized from June 30, 2012 through September 30, 2015, versus the S&P 500’s 13.52% over the same period. Over this period, the Fund’s beta versus the S&P 500 Index was 0.94 (the Fund was less volatile than the index) and it has exhibited 90% downside capture, meaning on average the Fund performed 10% better than the index during down markets. We believe we are back on the path to success paved during the first 15 years of the Fund’s history – from 1995 through 2010.
For the year ended September 30, 2015, the Fund’s Class A shares returned 2.28% without sales charge, versus a fall of 0.61% for the benchmark S&P 500 Index. Fund investments in initial public offerings (IPOs) contributed 0.20% to performance for the fiscal year ended September 30, 2015.
Over the period we saw the price of Brent oil cut in half, from $90 to $45, along with a decline in the price of most commodities. As you might have guessed, energy and materials were the worst performing sectors in the index, down 29.5% and 18.2%, respectively. Investors found safety in the top performing sectors: consumer discretionary, consumer staples, and utilities.
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 1.37%, as disclosed in the most recent prospectus. If the sales charge had been deducted, returns would be lower.
In the U.S. market, growth stocks outperformed value stocks over the last year. Within our three-basket investment approach, our emerging franchise basket held a few of the top-performing growth stocks in the market this year (such as Netflix, Activision Blizzard, and Amazon). The basket approach ensures that our portfolio is exposed to multiple types of investments.
Our best-performing stocks for the year were Phibro Animal Health, Amazon, Activision Blizzard, Netflix, and Zoetis. Phibro and Zoetis are animal health care companies, which are essentially pharmaceutical companies that serve livestock and pets rather than humans. Animal health care companies supply a growing end market, without the reimbursement risk of the normal drug companies.
Amazon is a leading online retailer, which is taking share from physical brick-and-mortar stores. While the company has been growing quickly for a long period of time, much of that expansion had been coupled with a low level of overall profit. More recently, the company has increased overall profits and displayed the profitability of different segments of its business.
Activision Blizzard is a leading video game producer, within an industry in the midst of a video game console upgrade cycle. Consumer demand for these new gaming devices is strong, which is expanding the potential end market. Activision is one of the few companies capable of creating the high-quality video game content demanded by this consumer base.
Netflix is a leading provider of over-the-top video content, with about 65 million subscribers worldwide. The company’s CEO, Reed Hastings, believes that we will be watching all of our TV over the internet in the next 10-20 years. Whether or not this prediction withstands the test of time, Netflix has been adding plenty of subscribers in the meanwhile, both in the U.S. and abroad.
4 Annual Report
LETTER TO SHAREHOLDERS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Our worst performing stocks for the year were Weatherford International, Horsehead Holdings, MasTec, Chevron, and Dynegy. Weatherford, an oilfield services company, and Chevron, an integrated energy company, both have businesses closely tied to the oil price. Weatherford is in the midst of an organizational turnaround, but has so far not been able to cut costs as fast as the decline in energy drilling activity. Compared to other major oil companies, Chevron is among the most levered to the price of oil, both within its oil business as well as its liquefied natural gas (LNG) projects, which have contracts tied to the oil price.
Horsehead Holdings produces zinc through a recycling process, much like Nucor does for steel. The company has been hit by two major headwinds over the last year, leading to fundamental deterioration. First, the price of zinc has declined, hurting the revenue and profit the company makes per ton of zinc produced. Second, its new zinc processing plant has been plagued with ongoing startup issues.
MasTec is an engineering and construction company focused on communication, energy and utility infrastructure. The company has seen weakening demand from two end markets. Within communication, AT&T cut capital expenditure spending as it prepared to merge with DIRECTV. Within energy, infrastructure activity has dropped along with the price of oil.
Dynegy is an independent power producer serving the Northeast and Midwest markets. The stock price has declined as expectations for future electricity prices have declined. We continue to believe this company is positioned to generate a lot of free cash flow over the coming years.
By continuing to employ our bottom-up investment approach, our goal is to position the Thornburg Value Fund to have the opportunity to outperform in any market environment. We hope to continue to execute on this approach, which has worked well over the long term. We invite you to visit our website at www.thornburg.com, where you will find useful information on the Thornburg Value Fund and on other Thornburg funds and investment topics.
Thank you for your continued trust.
Sincerely,
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Connor Browne,CFA | Robert MacDonald,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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
Class A Shares (Incep: 10/2/95) | ||||||||||||||||||||
Without sales charge | 2.28 | % | 16.21 | % | 10.19 | % | 6.04 | % | 9.50 | % | ||||||||||
With sales charge | -2.33 | % | 14.45 | % | 9.19 | % | 5.55 | % | 9.25 | % | ||||||||||
Class B Shares (Incep: 4/3/00) | ||||||||||||||||||||
Without sales charge | 1.25 | % | 15.10 | % | 9.13 | % | 5.30 | % | 3.66 | % | ||||||||||
With sales charge | -3.75 | % | 14.21 | % | 8.85 | % | 5.30 | % | 3.66 | % | ||||||||||
Class C Shares (Incep: 10/2/95) | ||||||||||||||||||||
Without sales charge | 1.51 | % | 15.32 | % | 9.35 | % | 5.24 | % | 8.66 | % | ||||||||||
With sales charge | 0.51 | % | 15.32 | % | 9.35 | % | 5.24 | % | 8.66 | % | ||||||||||
Class I Shares (Incep: 11/2/98) | 2.68 | % | 16.68 | % | 10.62 | % | 6.45 | % | 7.01 | % | ||||||||||
Class R3 Shares (Incep: 7/1/03) | 2.28 | % | 16.25 | % | 10.20 | % | 6.02 | % | 7.08 | % | ||||||||||
Class R4 Shares (Incep: 2/1/07) | 2.39 | % | 16.37 | % | 10.31 | % | — | 3.83 | % | |||||||||||
Class R5 Shares (Incep: 2/1/05) | 2.65 | % | 16.67 | % | 10.59 | % | 6.42 | % | 6.86 | % | ||||||||||
S&P 500 Index (Since 10/2/95) | -0.61 | % | 12.40 | % | 13.34 | % | 6.80 | % | 8.16 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, and R5 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.37%; B shares, 2.55%; C shares, 2.14%; I shares, 1.06%; R3 shares, 1.77%; R4 shares, 1.69%; R5 shares, 1.42%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: B shares, 2.38%; I shares, 0.99%; R3 shares, 1.35%; R4 shares, 1.25%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
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.
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.
Brent Crude Oil – An international benchmark for oil prices, accounting for roughly two-thirds of the global oil trade. Brent is a sweet crude oil from the North Sea suitable for production of gasoline and middle distillates such as kerosene and diesel.
Upside/Downside Capture Ratio – A ratio that shows whether a given fund has outperformed—gained more or lost less than—a broad market benchmark during periods of market strength and weakness, and if so, by how much.
6 Annual Report
FUND SUMMARY | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary consideration, the Fund also seeks some current income.
The Fund expects to invest primarily in domestic equity securities (primarily common stocks) selected on a value basis. However, the Fund may own a variety of securities, including foreign equity securities, partnership interests, and foreign and domestic debt obligations which, in the opinion of the Fund’s investment advisor, offer prospects for meeting the Fund’s investment goals.
Market Capitalization Exposure
Basket Structure
Top Ten Equity Holdings
Thermo Fisher Scientific, Inc. | 3.9 | % | ||
JPMorgan Chase & Co. | 3.6 | % | ||
Mondelez International, Inc. | 3.2 | % | ||
Google, Inc. Class C | 3.1 | % | ||
Express Scripts Holding Company | 3.1 | % | ||
The Kraft Heinz Co. | 2.8 | % | ||
Citizens Financial Group, Inc. | 2.6 | % | ||
Medtronic plc | 2.4 | % | ||
Facebook, Inc. | 2.4 | % | ||
Oaktree Capital Group LLC | 2.4 | % |
Sector Exposure
Health Care | 17.5 | % | ||
Financials | 14.4 | % | ||
Consumer Discretionary | 14.3 | % | ||
Information Technology | 11.3 | % | ||
Consumer Staples | 10.8 | % | ||
Industrials | 7.4 | % | ||
Energy | 5.6 | % | ||
Utilities | 3.9 | % | ||
Telecommunication Services | 3.3 | % | ||
Materials | 2.0 | % | ||
Other Assets Less Liabilities | 9.6 | % |
Top Ten Industry Groups
Pharmaceuticals, Biotechnology & Life Sciences | 12.0 | % | ||
Food, Beverage & Tobacco | 9.0 | % | ||
Banks | 8.2 | % | ||
Software & Services | 8.1 | % | ||
Energy | 5.6 | % | ||
Health Care Equipment & Services | 5.5 | % | ||
Retailing | 5.0 | % | ||
Consumer Services | 5.0 | % | ||
Diversified Financials | 4.1 | % | ||
Utilities | 3.9 | % |
There is no guarantee that the Fund will meet its investment objectives.
All portfolio information is subject to change.
Annual Report 7
SCHEDULE OF INVESTMENTS | ||
Thornburg Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 90.40% | ||||||||
BANKS — 8.24% | ||||||||
Banks — 8.24% | ||||||||
Citigroup, Inc. | 384,400 | $ | 19,070,084 | |||||
Citizens Financial Group, Inc. | 1,016,315 | 24,249,276 | ||||||
JPMorgan Chase & Co. | 539,040 | 32,865,269 | ||||||
|
| |||||||
76,184,629 | ||||||||
|
| |||||||
CAPITAL GOODS — 2.03% | ||||||||
Machinery — 2.03% | ||||||||
Allison Transmission Holdings, Inc. | 702,514 | 18,750,099 | ||||||
|
| |||||||
18,750,099 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 3.85% | ||||||||
Commercial Services & Supplies — 3.85% | ||||||||
Covanta Holding Corp. | 1,180,200 | 20,594,490 | ||||||
Rentokil Initial plc | 6,737,268 | 14,992,135 | ||||||
|
| |||||||
35,586,625 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 2.22% | ||||||||
Household Durables — 2.22% | ||||||||
a TRI Pointe Homes, Inc. | 1,565,471 | 20,492,015 | ||||||
|
| |||||||
20,492,015 | ||||||||
|
| |||||||
CONSUMER SERVICES — 5.00% | ||||||||
Diversified Consumer Services — 2.66% | ||||||||
a Grand Canyon Education, Inc. | 480,239 | 18,244,280 | ||||||
a Nord Anglia Education, Inc. | 314,156 | 6,386,791 | ||||||
Hotels, Restaurants & Leisure — 2.34% | ||||||||
Aramark Holdings Corp. | 728,948 | 21,606,019 | ||||||
|
| |||||||
46,237,090 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 4.11% | ||||||||
Capital Markets — 3.36% | ||||||||
Charles Schwab Corp. | 321,783 | 9,190,123 | ||||||
Oaktree Capital Group LLC | 441,634 | 21,860,883 | ||||||
Consumer Finance — 0.75% | ||||||||
American Express Co. | 93,593 | 6,938,049 | ||||||
|
| |||||||
37,989,055 | ||||||||
|
| |||||||
ENERGY — 5.58% | ||||||||
Energy Equipment & Services — 2.37% | ||||||||
Frank’s International N.V. | 509,831 | 7,815,709 | ||||||
a Weatherford International Ltd. | 1,663,120 | 14,103,258 | ||||||
Oil, Gas & Consumable Fuels — 3.21% | ||||||||
Chevron Corp. | 202,875 | 16,002,780 | ||||||
Total SA | 303,620 | 13,638,447 | ||||||
|
| |||||||
51,560,194 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 1.72% | ||||||||
Food & Staples Retailing — 1.72% | ||||||||
Whole Foods Market, Inc. | 503,602 | 15,939,003 | ||||||
|
| |||||||
15,939,003 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 9.04% | ||||||||
Beverages — 1.24% | ||||||||
Kweichow Moutai Co., Ltd. | 380,902 | 11,402,913 | ||||||
Food Products — 7.80% | ||||||||
Mead Johnson Nutrition Co. | 233,873 | 16,464,659 | ||||||
Mondelez International, Inc. | 706,774 | 29,592,627 | ||||||
The Kraft Heinz Co. | 369,451 | 26,075,852 | ||||||
|
| |||||||
83,536,051 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 5.49% | ||||||||
Health Care Equipment & Supplies — 2.42% | ||||||||
Medtronic plc | 334,565 | 22,395,781 |
8 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Health Care Providers & Services — 3.07% | ||||||||
a Express Scripts Holding Company | 350,156 | $ | 28,348,630 | |||||
|
| |||||||
50,744,411 | ||||||||
|
| |||||||
MATERIALS — 2.01% | ||||||||
Chemicals — 2.01% | ||||||||
International Flavors & Fragrances, Inc. | 179,500 | 18,535,170 | ||||||
|
| |||||||
18,535,170 | ||||||||
|
| |||||||
MEDIA — 2.04% | ||||||||
Media — 2.04% | ||||||||
Vivendi | 799,969 | 18,887,791 | ||||||
|
| |||||||
18,887,791 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 12.03% | ||||||||
Biotechnology — 3.99% | ||||||||
Gilead Sciences, Inc. | 207,199 | 20,344,870 | ||||||
a Seattle Genetics, Inc. | 429,213 | 16,550,453 | ||||||
Life Sciences Tools & Services — 3.92% | ||||||||
Thermo Fisher Scientific, Inc. | 296,482 | 36,253,819 | ||||||
Pharmaceuticals — 4.12% | ||||||||
GlaxoSmithKline plc | 942,603 | 18,052,175 | ||||||
Phibro Animal Health Corp. | 631,896 | 19,986,870 | ||||||
|
| |||||||
111,188,187 | ||||||||
|
| |||||||
REAL ESTATE — 2.02% | ||||||||
Real Estate Investment Trusts — 2.02% | ||||||||
PennyMac Mortgage Investment Trust | 1,207,530 | 18,680,489 | ||||||
|
| |||||||
18,680,489 | ||||||||
|
| |||||||
RETAILING — 5.04% | ||||||||
Distributors — 1.05% | ||||||||
Pool Corp. | 135,144 | 9,770,911 | ||||||
Multiline Retail — 2.17% | ||||||||
Target Corp. | 254,900 | 20,050,434 | ||||||
Specialty Retail — 1.82% | ||||||||
a AutoZone, Inc. | 11,178 | 8,090,972 | ||||||
a Office Depot, Inc. | 1,357,000 | 8,711,940 | ||||||
|
| |||||||
46,624,257 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 8.11% | ||||||||
Internet Software & Services — 5.78% | ||||||||
a Facebook, Inc. | 243,800 | 21,917,620 | ||||||
a Google, Inc. Class C | 46,668 | 28,393,745 | ||||||
a Marin Software, Inc. | 1,006,735 | 3,151,080 | ||||||
Software — 2.33% | ||||||||
Activision Blizzard, Inc. | 695,555 | 21,485,694 | ||||||
|
| |||||||
74,948,139 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 3.20% | ||||||||
Electronic Equipment, Instruments & Components — 1.21% | ||||||||
CDW Corp. | 273,801 | 11,187,509 | ||||||
Technology, Hardware, Storage & Peripherals — 1.99% | ||||||||
Apple, Inc. | 166,700 | 18,387,010 | ||||||
|
| |||||||
29,574,519 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 3.33% | ||||||||
Diversified Telecommunication Services — 1.80% | ||||||||
a Zayo Group Holdings, Inc. | 658,061 | 16,688,427 | ||||||
Wireless Telecommunication Services — 1.53% | ||||||||
a T-Mobile US, Inc. | 354,996 | 14,132,391 | ||||||
|
| |||||||
30,820,818 | ||||||||
|
|
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
TRANSPORTATION — 1.48% | ||||||||
Airlines — 1.48% | ||||||||
American Airlines Group, Inc. | 352,779 | $ | 13,698,409 | |||||
|
| |||||||
13,698,409 | ||||||||
|
| |||||||
UTILITIES — 3.86% | ||||||||
Electric Utilities — 2.30% | ||||||||
ITC Holdings Corp. | 636,645 | 21,225,744 | ||||||
Independent Power & Renewable Electricity Producers — 1.56% | ||||||||
a Dynegy, Inc. | 699,902 | 14,466,975 | ||||||
|
| |||||||
35,692,719 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $772,497,789) | 835,669,670 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 8.86% | ||||||||
b Thornburg Capital Management Fund | 8,186,055 | 81,860,548 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $81,860,548) | 81,860,548 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.26% (Cost $854,358,337) | $ | 917,530,218 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.74% | 6,878,504 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 924,408,722 | ||||||
|
|
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, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 14,459,266 | 6,273,211 | 8,186,055 | $ | 81,860,548 | $ | 37,352 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 81,860,548 | $ | 37,352 | $ | — | |||||||||||||||||||||||
|
|
|
|
|
|
Total non-controlled affiliated issuers – 8.86% of net assets
See notes to financial statements.
10 Annual Report
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Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Value Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $854,358,337) (Note 2) | $ | 917,530,218 | ||
Receivable for investments sold | 25,959,716 | |||
Receivable for fund shares sold | 809,205 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 415,166 | |||
Dividends receivable | 1,357,517 | |||
Dividend and interest reclaim receivable | 174,798 | |||
Prepaid expenses and other assets | 77,514 | |||
|
| |||
Total Assets | 946,324,134 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 18,833,926 | |||
Payable for fund shares redeemed | 1,461,263 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 399,441 | |||
Payable to investment advisor and other affiliates (Note 3) | 945,632 | |||
Accounts payable and accrued expenses | 275,150 | |||
|
| |||
Total Liabilities | 21,915,412 | |||
|
| |||
NET ASSETS | $ | 924,408,722 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 56,488 | ||
Net unrealized appreciation on investments | 63,163,993 | |||
Accumulated net realized gain (loss) | (388,402,449 | ) | ||
Net capital paid in on shares of beneficial interest | 1,249,590,690 | |||
|
| |||
$ | 924,408,722 | |||
|
|
12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($377,298,403 applicable to 7,674,049 shares of beneficial interest outstanding – Note 4) | $ | 49.17 | ||
Maximum sales charge, 4.50% of offering price | 2.32 | |||
|
| |||
Maximum offering price per share | $ | 51.49 | ||
|
| |||
Class B Shares: | ||||
Net asset value per share* ($1,559,950 applicable to 34,977 shares of beneficial interest outstanding—Note 4) | $ | 44.60 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($168,320,968 applicable to 3,688,956 shares of beneficial interest outstanding – Note 4) | $ | 45.63 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($288,641,671 applicable to 5,712,790 shares of beneficial interest outstanding – Note 4) | $ | 50.53 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($59,150,276 applicable to 1,210,512 shares of beneficial interest outstanding – Note 4) | $ | 48.86 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($10,167,038 applicable to 205,975 shares of beneficial interest outstanding – Note 4) | $ | 49.36 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($19,270,416 applicable to 381,943 shares of beneficial interest outstanding – Note 4) | $ | 50.45 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg Value Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $398,797) | $ | 14,978,439 | ||
Interest income | 240,541 | |||
|
| |||
Total Income | 15,218,980 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 8,532,592 | |||
Administration fees (Note 3) | ||||
Class A Shares | 508,730 | |||
Class B Shares | 3,787 | |||
Class C Shares | 227,110 | |||
Class I Shares | 152,547 | |||
Class R3 Shares | 87,108 | |||
Class R4 Shares | 14,274 | |||
Class R5 Shares | 13,456 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 1,017,397 | |||
Class B Shares | 30,248 | |||
Class C Shares | 1,817,242 | |||
Class R3 Shares | 348,262 | |||
Class R4 Shares | 27,231 | |||
Transfer agent fees | ||||
Class A Shares | 454,090 | |||
Class B Shares | 7,579 | |||
Class C Shares | 195,056 | |||
Class I Shares | 356,999 | |||
Class R3 Shares | 164,555 | |||
Class R4 Shares | 28,804 | |||
Class R5 Shares | 55,170 | |||
Registration and filing fees | ||||
Class A Shares | 23,055 | |||
Class B Shares | 20,143 | |||
Class C Shares | 21,911 | |||
Class I Shares | 34,078 | |||
Class R3 Shares | 21,456 | |||
Class R4 Shares | 19,763 | |||
Class R5 Shares | 17,270 | |||
Custodian fees (Note 3) | 135,897 | |||
Professional fees | 49,121 | |||
Accounting fees (Note 3) | 31,326 | |||
Trustee fees | 31,797 | |||
Other expenses | 48,830 | |||
|
| |||
Total Expenses | 14,496,884 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (618,705 | ) | ||
Fees paid indirectly (Note 3) | (231 | ) | ||
|
| |||
Net Expenses | 13,877,948 | |||
|
| |||
Net Investment Income | $ | 1,341,032 | ||
|
|
14 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Value Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 145,163,561 | ||
Forward currency contracts (Note 7) | 6,285,961 | |||
Foreign currency transactions | 62,853 | |||
|
| |||
151,512,375 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (124,888,531 | ) | ||
Forward currency contracts (Note 7) | (3,247,163 | ) | ||
Foreign currency translations | 1,078 | |||
|
| |||
(128,134,616 | ) | |||
|
| |||
Net Realized and Unrealized Gain | 23,377,759 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 24,718,791 | ||
|
|
See notes to financial statements.
Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS
Thornburg Value Fund
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 1,341,032 | $ | 2,043,450 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 151,512,375 | 215,008,674 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | (128,134,616 | ) | (45,433,482 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 24,718,791 | 171,618,642 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (149,783 | ) | (2,231,878 | ) | ||||
Class I Shares | (409,330 | ) | (3,575,743 | ) | ||||
Class R3 Shares | (31,715 | ) | (406,915 | ) | ||||
Class R4 Shares | (8,095 | ) | (56,789 | ) | ||||
Class R5 Shares | (39,382 | ) | (413,785 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (27,491,471 | ) | (73,662,024 | ) | ||||
Class B Shares | (2,626,614 | ) | (4,547,295 | ) | ||||
Class C Shares | (10,439,429 | ) | (19,769,894 | ) | ||||
Class I Shares | (17,760,734 | ) | (18,265,855 | ) | ||||
Class R3 Shares | (17,826,494 | ) | (19,341,373 | ) | ||||
Class R4 Shares | (1,538,680 | ) | (4,192,893 | ) | ||||
Class R5 Shares | (12,826,806 | ) | (22,564,831 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (66,429,742 | ) | 2,589,367 | |||||
NET ASSETS | ||||||||
Beginning of Year | 990,838,464 | 988,249,097 | ||||||
|
|
|
| |||||
End of Year | $ | 924,408,722 | $ | 990,838,464 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income | $ | 56,488 | $ | (1,021,188 | ) |
See notes to financial statements.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Value Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Value 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 twenty separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary objective, the Fund also seeks some current income.
The Fund currently has seven classes of shares of beneficial interest: Class A, Class B, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). The Fund no longer offers Class B shares for sale. Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class B shares were sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption and bear both a service fee and distribution fee, (iii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iv) Class I and Class R5 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, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee��s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 835,669,670 | $ | 835,669,670 | $ | — | $ | — | ||||||||
Short Term Investments | 81,860,548 | 81,860,548 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 917,530,218 | $ | 917,530,218 | $ | — | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 415,166 | $ | — | $ | 415,166 | $ | — | ||||||||
Spot Currency | $ | 35,309 | $ | 35,309 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (399,441 | ) | $ | — | $ | (399,441 | ) | $ | — |
* | 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, which may include 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 and those underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015, 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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $31,326 to the Advisor for these accounting services. The Trust also has entered into administrative service 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.
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $24,245 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $4,406 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $16,562 for Class B shares, $204,050 for Class I shares, $293,080 for Class R3 shares, $48,105 for Class R4 shares, and $56,908 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $231.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 737,926 | $ | 38,257,811 | 730,300 | $ | 32,369,874 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,867 | 143,603 | 44,964 | 2,140,804 | ||||||||||||
Shares repurchased | (1,284,634 | ) | (65,892,885 | ) | (2,359,346 | ) | (108,172,702 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (543,841 | ) | $ | (27,491,471 | ) | (1,584,082 | ) | $ | (73,662,024 | ) | ||||||
|
|
|
|
|
|
|
|
Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
Year Ended | Year Ended | |||||||||||||||
September 30, 2015 | September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 6,680 | $ | 297,816 | 5,477 | $ | 229,285 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (61,925 | ) | (2,924,430 | ) | (113,589 | ) | (4,776,580 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (55,245 | ) | $ | (2,626,614 | ) | (108,112 | ) | $ | (4,547,295 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 306,671 | $ | 14,470,492 | 186,376 | $ | 7,896,358 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (521,694 | ) | (24,909,921 | ) | (646,930 | ) | (27,666,252 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (215,023 | ) | $ | (10,439,429 | ) | (460,554 | ) | $ | (19,769,894 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 842,023 | $ | 45,593,747 | 947,805 | $ | 45,196,302 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 7,702 | 397,296 | 71,848 | 3,462,876 | ||||||||||||
Shares repurchased | (1,215,376 | ) | (63,751,777 | ) | (1,434,646 | ) | (66,925,033 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (365,651 | ) | $ | (17,760,734 | ) | (414,993 | ) | $ | (18,265,855 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 221,665 | $ | 11,268,997 | 248,804 | $ | 11,260,106 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 621 | 30,881 | 8,348 | 397,261 | ||||||||||||
Shares repurchased | (572,369 | ) | (29,126,372 | ) | (685,352 | ) | (30,998,740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (350,083 | ) | $ | (17,826,494 | ) | (428,200 | ) | $ | (19,341,373 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 53,145 | $ | 2,666,567 | 50,333 | $ | 2,278,220 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 126 | 6,316 | 920 | 44,944 | ||||||||||||
Shares repurchased | (82,169 | ) | (4,211,563 | ) | (142,648 | ) | (6,516,057 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (28,898 | ) | $ | (1,538,680 | ) | (91,395 | ) | $ | (4,192,893 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 80,803 | $ | 4,258,589 | 111,612 | $ | 5,242,431 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 677 | 34,703 | 7,886 | 376,859 | ||||||||||||
Shares repurchased | (322,909 | ) | (17,120,098 | ) | (619,985 | ) | (28,184,121 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (241,429 | ) | $ | (12,826,806 | ) | (500,487 | ) | $ | (22,564,831 | ) | ||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $558,917,879 and $684,763,124, respectively.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 855,299,217 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 137,242,615 | ||
Gross unrealized depreciation on a tax basis | (75,011,614 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 62,231,001 | ||
|
|
Temporary book tax adjustments to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses and outstanding publicly traded partnership (“PTP”) tax basis adjustments.
At September 30, 2015, the Fund had deferred tax basis late year specified ordinary losses occurring subsequent to October 31, 2014 through September 30, 2015 of $562,123. For tax purposes, such losses will be recognized in the year ending September 20, 2016.
During the year ended September 30, 2015, the Fund utilized $88,703,963 of capital loss carryforwards generated after September 30, 2011 and $59,960,928 generated prior to October 1, 2011.
At September 30, 2015, the Fund had cumulative tax basis capital losses generated prior to October 1, 2011 which may expire prior to utilization.
Capital loss carryforwards generated prior to October 1, 2011 expire as follows:
2017 | $ | 144,464,769 | ||
2018 | 242,353,997 | |||
|
| |||
$ | 386,818,766 | |||
|
|
In order to account for permanent book to tax differences, the Fund increased undistributed net investment income by $374,949, decreased accumulated net realized loss by $1,417,628, and decreased net capital paid in on shares of beneficial interest by $1,792,577. Reclassifications have no impact upon the net asset value of the Fund and result primarily from currency losses, non-deductible net operating losses, investments in publicly traded partnerships (“PTPs”), passive foreign investment companies (“PFICs”), and real estate investment trusts (“REITs”).
At September 30, 2015, the Fund had no undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the year ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 638,305 | $ | 6,685,110 | ||||
Capital gains | — | — | ||||||
|
|
|
| |||||
Total | $ | 638,305 | $ | 6,685,110 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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.
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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 value of open sell currency contracts for the year ended September 30, 2015 was $44,993,703. 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 the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Euro | Sell | 11,870,000 | 11/30/2015 | 13,275,799 | $ | 248,286 | $ | — | ||||||||||||||||
Euro | Sell | 9,730,100 | 11/30/2015 | 10,882,464 | 101,262 | — | ||||||||||||||||||
Japanese Yen | Buy | 1,175,680,500 | 11/24/2015 | 9,806,459 | 65,618 | — | ||||||||||||||||||
Japanese Yen | Sell | 1,559,694,100 | 11/24/2015 | 13,009,552 | — | (399,441 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 415,166 | $ | (399,441 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net unrealized appreciation (depreciation) |
| $ | 15,725 | |||||||||||||||||||||
|
|
The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||
Foreign exchange contracts | Assets—Unrealized appreciation | |||
on forward currency contracts | $415,166 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||
Foreign exchange contracts | Liabilities—Unrealized depreciation | |||
on forward currency contracts | $(399,441) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $15,725, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $0. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $ 6,285,861 | $ 6,285,961 | ||
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $ (3,247,163) | $ (3,247,163) |
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 small- and mid-cap 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 25
Thornburg Value Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net Investment Income (Loss)+ | Net Realized & Unrealized Gain (Loss) on Investments | Total from | Dividends from Net Investment Income | Dividends | Total Dividends | Net | Net | Expenses, After Expense Reductions (%) | Expenses, After Expense Reductions and Net of Custody Credits (%) | Expenses, Before Expense Reductions (%) | Total | Portfolio | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||
CLASS A SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 48.09 | 0.07 | 1.03 | 1.10 | (0.02 | ) | — | (0.02 | ) | $49.17 | 0.14 | 1.37 | 1.37 | 1.37 | 2.28 | 59.70 | $ | 377,299 | |||||||||||||||||||||||||||||||
2014(b) | $ | 40.84 | 0.10 | 7.41 | 7.51 | (0.26 | ) | — | (0.26 | ) | $48.09 | 0.22 | 1.37 | 1.37 | 1.37 | 18.40 | 72.43 | $ | 395,216 | |||||||||||||||||||||||||||||||
2013(b) | $ | 31.51 | 0.08 | 9.25 | 9.33 | — | — | — | $40.84 | 0.23 | 1.40 | 1.40 | 1.40 | 29.61 | 61.50 | $ | 400,275 | |||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 30.44 | (0.03 | ) | (2.70 | ) | (2.73) | — | — | — | $27.71 | (0.10) | 1.28 | 1.28 | 1.28 | (8.97) | 64.14 | $ | 825,700 | |||||||||||||||||||||||||||||||
CLASS B SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 44.05 | (0.41 | ) | 0.96 | 0.55 | — | — | — | $44.60 | (0.88) | 2.37 | 2.37 | 2.92 | 1.25 | 59.70 | $ | 1,560 | ||||||||||||||||||||||||||||||||
2014 | $ | 37.55 | (0.31 | ) | 6.81 | 6.50 | — | — | — | $44.05 | (0.74) | 2.32 | 2.32 | 2.55 | 17.31 | 72.43 | $ | 3,974 | ||||||||||||||||||||||||||||||||
2013 | $ | 29.25 | (0.24 | ) | 8.54 | 8.30 | — | — | — | $37.55 | (0.74) | 2.37 | 2.37 | 2.47 | 28.38 | 61.50 | $ | 7,448 | ||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
CLASS C SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 44.95 | (0.29 | ) | 0.97 | 0.68 | — | — | — | $45.63 | (0.61) | 2.12 | 2.12 | 2.12 | 1.51 | 59.70 | $ | 168,321 | ||||||||||||||||||||||||||||||||
2014 | $ | 38.26 | (0.24 | ) | 6.93 | 6.69 | — | — | — | $44.95 | (0.55) | 2.14 | 2.14 | 2.14 | 17.49 | 72.43 | $ | 175,495 | ||||||||||||||||||||||||||||||||
2013 | $ | 29.75 | (0.18 | ) | 8.69 | 8.51 | — | — | — | $38.26 | (0.55) | 2.18 | 2.18 | 2.18 | 28.60 | 61.50 | $ | 166,971 | ||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
CLASS I SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 49.28 | 0.28 | 1.04 | 1.32 | (0.07 | ) | — | (0.07 | ) | $50.53 | 0.53 | 0.99 | 0.99 | 1.06 | 2.68 | 59.70 | $ | 288,642 | |||||||||||||||||||||||||||||||
2014 | $ | 41.96 | 0.28 | 7.62 | 7.90 | (0.58 | ) | — | (0.58 | ) | $49.28 | 0.60 | 0.99 | 0.99 | 1.06 | 18.86 | 72.43 | $ | 299,568 | |||||||||||||||||||||||||||||||
2013 | $ | 32.24 | 0.20 | 9.52 | 9.72 | — | — | — | $41.96 | 0.59 | 0.98 | 0.98 | 1.01 | 30.15 | 61.50 | $ | 272,468 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
CLASS R3 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 47.79 | 0.08 | 1.01 | 1.09 | (0.02 | ) | — | (0.02 | ) | $48.86 | 0.16 | 1.35 | 1.35 | 1.77 | 2.28 | 59.70 | $ | 59,150 | |||||||||||||||||||||||||||||||
2014 | $ | 40.56 | 0.11 | 7.37 | 7.48 | (0.25 | ) | — | (0.25 | ) | $47.79 | 0.23 | 1.35 | 1.35 | 1.77 | 18.45 | 72.43 | $ | 74,579 | |||||||||||||||||||||||||||||||
2013 | $ | 31.28 | 0.10 | 9.18 | 9.28 | — | — | — | $40.56 | 0.29 | 1.34 | 1.34 | 1.78 | 29.67 | 61.50 | $ | 80,671 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
CLASS R4 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 48.24 | 0.14 | 1.01 | 1.15 | (0.03 | ) | — | (0.03 | ) | $49.36 | 0.26 | 1.25 | 1.25 | 1.67 | 2.39 | 59.70 | $ | 10,167 | |||||||||||||||||||||||||||||||
2014 | $ | 40.89 | 0.16 | 7.43 | 7.59 | (0.24 | ) | — | (0.24 | ) | $48.24 | 0.36 | 1.24 | 1.24 | 1.69 | 18.56 | 72.43 | $ | 11,330 | |||||||||||||||||||||||||||||||
2013 | $ | 31.50 | 0.13 | 9.26 | 9.39 | — | — | — | $40.89 | 0.39 | 1.25 | 1.25 | 1.67 | 29.81 | 61.50 | $ | 13,340 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
CLASS R5 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 49.21 | 0.27 | 1.04 | 1.31 | (0.07 | ) | — | (0.07 | ) | $50.45 | 0.51 | 0.99 | 0.99 | 1.20 | 2.65 | 59.70 | $ | 19,270 | |||||||||||||||||||||||||||||||
2014 | $ | 41.89 | 0.28 | 7.61 | 7.89 | (0.57 | ) | — | (0.57 | ) | $49.21 | 0.59 | 0.98 | 0.98 | 1.42 | 18.88 | 72.43 | $ | 30,676 | |||||||||||||||||||||||||||||||
2013 | $ | 32.19 | 0.22 | 9.48 | 9.70 | — | — | — | $41.89 | 0.63 | 0.99 | 0.99 | 1.37 | 30.13 | 61.50 | $ | 47,076 | |||||||||||||||||||||||||||||||||
2012 | $ | 28.22 | — | (c) | 3.98 | 3.98 | (0.01 | ) | — | (0.01 | ) | $32.19 | — | (d) | 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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Net investment income (loss) was less than $0.01 per share. |
(d) | Net investment Income (loss) is less than 0.01%. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
26 Annual Report | Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Value Fund
To the Trustees and Shareholders of
Thornburg Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
28 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Value Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
CLASS A SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 947.90 | $ | 6.70 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.19 | $ | 6.94 | ||||||
CLASS B SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 943.30 | $ | 11.48 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.25 | $ | 11.90 | ||||||
CLASS C SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 944.30 | $ | 10.35 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.42 | $ | 10.73 | ||||||
CLASS I SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 949.90 | $ | 4.84 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
CLASS R3 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 948.00 | $ | 6.59 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.30 | $ | 6.83 | ||||||
CLASS R4 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 948.50 | $ | 6.11 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.80 | $ | 6.33 | ||||||
CLASS R5 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 949.70 | $ | 4.84 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.37%; B: 2.36%; C: 2.12%; I: 0.99%; R3: 1.35%; R4: 1.25%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
30 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Name, Age, | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
Name, Age, | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Annual Report
OTHER INFORMATION | ||
Thornburg Value Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, the Thornburg Value Fund is reporting 99.98% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 99.98% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the tax year ended September 30, 2015 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2015, dividends paid by the Fund of $638,305 are being reported as taxable ordinary investment income dividends for federal income tax purposes. The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Value Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from
Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the ten most recent calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to two broad-based securities indices, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to two broad-based securities indices, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was lower than the returns of the two securities indices and comparable to the average return of the fund category considered, the returns of the Fund for the preceding nine years exceeded the returns of the first index in five of the nine years and exceeded or were comparable to the returns of the second index in five of the nine years, and that the returns of the Fund exceeded or were comparable to the average returns of the fund category in five of the nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the top decile of performance of a mutual fund category for the one-year and three-year periods ended with the second quarter of the current year, fell in the fourth quartile of the category for the five-year period, and fell in the first quartile of the category for the ten-year period. Noted data also showed that the Fund’s annualized investment returns fell in the top decile of investment performance of a second fund category for the one-year and three-year periods ended with the second quarter, fell in the fourth quartile of the category for the five-year period, and fell in the second quartile of performance of the category for the ten-year period. Data presented to the Trustees also showed that the Fund’s annualized total return (net of expenses) since inception exceeded the annualized total return of its benchmark index. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the advisory fee for the Fund was slightly higher than the median and average fee levels for the fund category, the level of total expense for a representative share class of the Fund was somewhat higher than the median and average expense levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Peer group data showed that the Fund’s advisory fee level was higher than the median of each peer group and that the total expense levels for two representative share classes were above the medians of their peer groups, but that these levels were within the range of group fee and expense levels and generally comparable to a number of other funds in the groups. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the
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OTHER INFORMATION, CONTINUED | ||
Thornburg Value Fund | September 30, 2015 (Unaudited) |
requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 35
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
36 Annual Report
THORNBURG FUND FAMILY
Fundamental, bottom-up Equity Research
We search far and wide for the best stock ideas—within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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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Annual Report 39
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH077 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely, |
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Garrett Thornburg Chairman of Trustees |
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg International Value Fund
September 30, 2015
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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 |
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. Class B shares are no longer offered.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Funds invested in a smaller number of holdings may expose an investor to greater volatility.
Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Annual Report 3
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
October 15, 2015
Dear Fellow Shareholder:
Despite an unusually challenging market environment, the Thornburg International Value Fund produced a total return for the fiscal year ended September 30, 2015 of 1.25% (Class A shares without sales charge). That compares quite favorably to losses of 8.66% in the MSCI EAFE Index and 11.78% in the MSCI ACWI ex-U.S. Index. The Fund outperformed both benchmarks in each of the four quarters under review, landing the Class I Shares in the fourth percentile of 344 funds ranked in Morningstar’s Foreign Large Blend category.
Table I | Morningstar Rankings
As of September 30, 2015
1-Yr | 5-Yr | 10-Yr | ||||||||||
A Shares | 6 | % | 61 | % | 20 | % | ||||||
I Shares | 4 | % | 49 | % | 10 | % | ||||||
# of Funds | 344 | 277 | 183 |
Based on total returns, before sales charge. Source: Morningstar.
Significant market volatility characterized much of the fiscal year. Overseas stocks were either down sharply or essentially flat in three of the four quarters under review. The last three months were particularly turbulent, with the MSCI EAFE Index down 10.23% and the MSCI ACWI ex-U.S. Index down 12.10% in the red as of September 30, 2015. While we were disappointed the International Value Fund also declined by 8.54% (without sales charge) from July through September 30, 2015, we were nonetheless satisfied with the Fund’s volatility characteristics and broader risk management, the measure of which, as with all actively managed funds, is taken when markets swoon.
Although international stocks began 2015 largely in favor, those gains ran out of steam by the end of June. As China’s equity market bubble popped and fears grew that the U.S. Federal Reserve might backtrack on its guidance for a September “lift-off” in its key interest rate, selling pressure intensified across asset classes, from emerging markets and commodities to U.S. high-yield debt, causing spreads over Treasuries to balloon and the U.S. 10-year sovereign yield to drop near 2%. The Fund was relatively well positioned both early in the calendar year, when overseas stocks were buoyant, as well as later in the year, when they began to sell off. This was evident in its one-year down-capture ratio, which at the end of September stood at 57%, indicating that it declined just more than half as much as the MSCI ACWI ex-U.S. Index. It was also evident in the Fund’s upside-capture ratio, which in the same period hit 133%, reflecting that it captured almost a third more of the index’s gains. Against the MSCI EAFE Index, your Fund’s downside-capture ratio in the period was 76%, while its up-capture hit 135%.
While we consider macroeconomic and country risks, the key to the International Value Fund’s risk management is fundamental, bottom-up stock selection, which contributed the lion’s share of returns in analyzing attribution for the fiscal year. We also aim to mitigate currency exchange-rate risks by tending to favor firms in countries that may be less vulnerable to volatile capital flows. We may also employ foreign currency hedges in an effort to secure local-market returns for our dollar-based investors, if we judge them cost-effective and sensible.
Indeed, while broad market draw-downs may be nerve wracking, they can provide opportunities for truly active managers to establish positions at attractive levels, i.e., value prices. During the last quarter, we sold twelve stocks, and bought almost as many. The portfolio now holds 50 positions, down from 62 at the end of September 30, 2014.
Contributors and Detractors
Our top contributors to positive performance in the period included Hong Kong Exchanges & Clearing, Sony Corp., NXP Semiconductors, UBS Group, and Tencent Holdings.
Hong Kong Exchanges benefited from increased cross-trading with the Shanghai Stock Exchange. Sony executed well on its strategy to focus on its core device and entertainment divisions while shedding unprofitable businesses. NXP Semiconductors was also among the biggest contributors to performance, as the chipmaker’s products are used in a growing variety of devices, from smart-phones to near-field communications products. Shares of Swiss bank UBS also gained after coming to terms with regulators, building a strong capital position and restructuring its business to focus more on wealth management. Lastly, Tencent, China’s largest internet company, achieved our price target, so was sold, fortunately before the country’s equity market downturn.
The biggest detractors from performance during the fiscal year were Banco Popular Espanol, Sumitomo Mitsui Trust, Total, Baidu, and America Movil.
Spanish financial Banco Popular Espanol was undercut by political uncertainty amid Catalan parliamentary elections, which resulted in secessionists winning nearly half the popular vote. Sumitomo Mitsui, the number-one asset manager and fund distributor in Japan, lost ground on what we think are temporary market factors. Oil major Total also detracted materially from performance. We sold it in August, but bought it back in September after it declined nearly 10%. The oil industry is out of favor, but we would note that global oil demand is rising this year, while U.S. on-shore shale oil producers have decreased output. Chinese search engine Baidu was also a poor performer. While the company has promising growth prospects, it is embarking on an investment cycle that will likely undercut profitability for some time to come. We recently exited the position. Lastly, Mexico City-based
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LETTER TO SHAREHOLDERS, CONTINUED
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
America Movil, which is Latin America’s largest telecommunications company, also detracted from performance, as its preponderant position in Mexico is under regulatory constraint. This position was also recently exited.
The global economic outlook is far from clear. Global growth is slowing as China seeks to rebalance its economy toward a slower, more sustainable pace, impacting countries that depend on Chinese demand for their exports. Meanwhile, mixed U.S. economic data continue to stay the Federal Reserve’s hand from raising rates, with the consequent uncertainty about the timing of its first rate hike since 2006 continuing. Given asset purchase programs or rock-bottom interest rates being pursued by major central banks around the world, currency volatility across the globe will also likely continue.
Market volatility is a normal, even healthy feature of equity investing. As noted above, it can be as much an opportunity as a deterrent to long-term investment success. China’s economic slowdown, the U.S. Fed’s “lift-off” timing, slowing global growth and other macro issues all influence current volatility. But our focus will remain on assessing the risk/reward tradeoffs of individual stocks, based on the soundness of their business models, the effectiveness of company management, catalysts for future earnings, and crucially, valuation.
Thank you for investing alongside us in the Thornburg International Value Fund.
Sincerely,
![]() | ![]() | |||
William V. Fries,CFA | Lei Wang,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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
Class A Shares (Incep: 5/28/98) | ||||||||||||||||||||
Without sales charge | 1.25 | % | 5.61 | % | 3.84 | % | 5.03 | % | 7.55 | % | ||||||||||
With sales charge | -3.32 | % | 4.00 | % | 2.88 | % | 4.55 | % | 7.27 | % | ||||||||||
Class B Shares (Incep: 4/3/00) | ||||||||||||||||||||
Without sales charge | 0.29 | % | 4.67 | % | 2.95 | % | 4.36 | % | 5.11 | % | ||||||||||
With sales charge | -4.27 | % | 3.59 | % | 2.59 | % | 4.36 | % | 5.11 | % | ||||||||||
Class C Shares (Incep: 5/28/98) | ||||||||||||||||||||
Without sales charge | 0.52 | % | 4.85 | % | 3.07 | % | 4.27 | % | 6.71 | % | ||||||||||
With sales charge | -0.39 | % | 4.85 | % | 3.07 | % | 4.27 | % | 6.71 | % | ||||||||||
Class I Shares (Incep: 3/30/01) | 1.65 | % | 6.01 | % | 4.24 | % | 5.45 | % | 7.23 | % | ||||||||||
Class R3 Shares (Incep: 7/1/03) | 1.09 | % | 5.42 | % | 3.65 | % | 4.87 | % | 8.57 | % | ||||||||||
Class R4 Shares (Incep: 2/1/07) | 1.30 | % | 5.63 | % | 3.86 | % | — | 2.42 | % | |||||||||||
Class R5 Shares (Incep: 2/1/05) | 1.57 | % | 5.92 | % | 4.13 | % | 5.36 | % | 6.38 | % | ||||||||||
Class R6 Shares (Incep: 5/1/12) | 1.81 | % | 6.18 | % | — | — | 5.16 | % | ||||||||||||
MSCI EAFE Index (Since 5/28/98) | -8.66 | % | 5.63 | % | 3.98 | % | 2.97 | % | 3.51 | % | ||||||||||
MSCI AC World ex-U.S. Index (Since 5/28/98) | -11.78 | % | 2.78 | % | 2.27 | % | 3.49 | % | 4.29 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, R5 and R6 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.26%; B shares, 2.13%; C shares, 1.99%; I shares, 0.88%; R3 shares, 1.61%; R4 shares, 1.49%; R5 shares, 1.12%; R6 shares, 0.73%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: R3 shares, 1.45%; R4 shares, 1.25%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Glossary
MSCI All Country (AC) World ex-US Index – A market capitalization weighted index representative of the market structure of 45 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.
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.
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.
Multiple – A valuation multiple reflects an investment’s market value relative to some key metric. Price to earnings ratio (P/E) is a commonly used multiple. It’s calculated by dividing a stock’s price by the company’s earnings per share.
Credit Spread/Quality Spread – The difference between the yields of securities with different credit qualities.
Sovereign debt – Government debt that has been issued in a foreign currency.
Upside/Downside Capture Ratio – A ratio that shows whether a given fund has outperformed—gained more or lost less than—a broad market benchmark during periods of market strength and weakness, and if so, by how much.
6 Annual Report
FUND SUMMARY | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. As a secondary consideration, the Fund also seeks some current income.
The Fund invests primarily in foreign securities or depositary receipts of foreign securities. The Fund may invest in developing countries.
Market Capitalization Exposure
Basket Structure
Top Ten Equity Holdings
Nippon Telegraph & Telephone Corp. | 3.5 | % | ||
Vinci S.A. | 3.5 | % | ||
Roche Holding AG | 3.4 | % | ||
Telecom Italia S.p.A. | 3.3 | % | ||
Novartis AG | 3.2 | % | ||
Compagnie de Saint-Gobain | 3.2 | % | ||
Intesa Sanpaolo S.p.A. | 3.1 | % | ||
CME Group, Inc. | 3.1 | % | ||
ING Groep N.V. | 2.9 | % | ||
Liberty Global plc | 2.7 | % |
There is no guarantee that the Fund will meet its investment objectives.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Sector Exposure
Financials | 26.5 | % | ||
Consumer Discretionary | 16.3 | % | ||
Health Care | 12.2 | % | ||
Industrials | 11.7 | % | ||
Telecommunication Services | 8.5 | % | ||
Information Technology | 4.4 | % | ||
Consumer Staples | 4.2 | % | ||
Utilities | 3.2 | % | ||
Energy | 2.5 | % | ||
Materials | 0.6 | % | ||
Other Assets Less Liabilities | 10.0 | % |
Top Ten Industry Groups
Diversified Financials | 11.9 | % | ||
Banks | 10.3 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | % | ||
Telecommunication Services | 8.5 | % | ||
Capital Goods | 8.4 | % | ||
Media | 5.5 | % | ||
Automobiles & Components | 5.0 | % | ||
Semiconductors & Semiconductor Equipment | 4.4 | % | ||
Insurance | 4.2 | % | ||
Food, Beverage & Tobacco | 4.2 | % |
Country Exposure*
(percent of equity holdings)
United Kingdom | 15.7 | % | ||
France | 14.4 | % | ||
Japan | 14.4 | % | ||
Switzerland | 11.6 | % | ||
Italy | 9.6 | % | ||
Netherlands | 8.7 | % | ||
China | 5.7 | % | ||
Germany | 5.7 | % | ||
United States | 4.5 | % | ||
Denmark | 2.7 | % | ||
South Korea | 2.5 | % | ||
Taiwan | 1.5 | % | ||
Ireland | 1.2 | % | ||
Spain | 1.1 | % | ||
Hong Kong | 0.4 | % | ||
Mexico | 0.3 | % |
* | The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
Annual Report 7
SCHEDULE OF INVESTMENTS | ||
Thornburg International Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 90.05% | ||||||||
AUTOMOBILES & COMPONENTS — 5.03% | ||||||||
Auto Components — 1.21% | ||||||||
Delphi Automotive plc | 1,566,974 | $ | 119,152,703 | |||||
Automobiles — 3.82% | ||||||||
Hyundai Motor Co. | 777,321 | 107,551,374 | ||||||
Toyota Motor Corp. | 4,251,317 | 247,038,143 | ||||||
Volkswagen AG Preference Shares | 215,172 | 23,502,336 | ||||||
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| |||||||
497,244,556 | ||||||||
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| |||||||
BANKS — 10.34% | ||||||||
Banks — 10.34% | ||||||||
Banco Popular Espanol, S.A. | 27,789,886 | 101,199,795 | ||||||
ING Groep N.V. | 19,994,073 | 282,618,317 | ||||||
Intesa Sanpaolo S.p.A. | 85,644,493 | 302,026,426 | ||||||
Lloyds Banking Group plc | 110,183,873 | 125,277,134 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 58,040,306 | 211,618,638 | ||||||
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1,022,740,310 | ||||||||
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| |||||||
CAPITAL GOODS — 8.43% | ||||||||
Building Products — 3.20% | ||||||||
Compagnie de Saint-Gobain | 7,307,392 | 316,077,865 | ||||||
Construction & Engineering — 3.48% | ||||||||
Vinci S.A. | 5,434,734 | 344,386,760 | ||||||
Trading Companies & Distributors — 1.75% | ||||||||
a AerCap Holdings N.V. | 4,523,244 | 172,968,851 | ||||||
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833,433,476 | ||||||||
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| |||||||
CONSUMER DURABLES & APPAREL — 2.60% | ||||||||
Household Durables — 2.60% | ||||||||
Sony Corp. | 10,633,841 | 256,926,505 | ||||||
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256,926,505 | ||||||||
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CONSUMER SERVICES — 2.07% | ||||||||
Hotels, Restaurants & Leisure — 2.07% | ||||||||
Accor S.A. | 4,390,323 | 204,863,916 | ||||||
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204,863,916 | ||||||||
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| |||||||
DIVERSIFIED FINANCIALS — 11.94% | ||||||||
Capital Markets — 1.76% | ||||||||
UBS Group AG | 9,408,150 | 173,856,743 | ||||||
Diversified Financial Services — 10.18% | ||||||||
CME Group, Inc. | 3,255,777 | 301,940,759 | ||||||
Deutsche Boerse AG | 2,623,866 | 225,844,780 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 1,665,321 | 37,969,074 | ||||||
Japan Exchange Group, Inc. | 14,926,842 | 216,129,075 | ||||||
London Stock Exchange Group plc | 6,149,656 | 225,036,879 | ||||||
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| |||||||
1,180,777,310 | ||||||||
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ENERGY — 2.53% | ||||||||
Oil, Gas & Consumable Fuels — 2.53% | ||||||||
Exxon Mobil Corp. | 1,394,810 | 103,704,123 | ||||||
Total SA | 3,263,306 | 146,585,955 | ||||||
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| |||||||
250,290,078 | ||||||||
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| |||||||
FOOD, BEVERAGE & TOBACCO — 4.19% | ||||||||
Beverages — 2.15% | ||||||||
Heineken NV | 1,447,644 | 116,855,194 | ||||||
Kweichow Moutai Co., Ltd. | 3,207,237 | 96,013,791 | ||||||
Food Products — 2.04% | ||||||||
Nestle SA | 2,681,265 | 201,521,302 | ||||||
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414,390,287 | ||||||||
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| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 2.03% | ||||||||
Health Care Providers & Services — 2.03% | ||||||||
Fresenius SE & Co. KGaA | 2,986,863 | 200,251,169 | ||||||
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| |||||||
200,251,169 | ||||||||
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8 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
INSURANCE — 4.24% | ||||||||
Insurance — 4.24% | ||||||||
Aviva plc | 36,424,412 | $ | 249,056,562 | |||||
AXA S.A. | 7,046,694 | 170,353,405 | ||||||
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| |||||||
419,409,967 | ||||||||
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| |||||||
MATERIALS — 0.56% | ||||||||
Chemicals — 0.56% | ||||||||
Linde AG | 343,597 | 55,651,399 | ||||||
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| |||||||
55,651,399 | ||||||||
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| |||||||
MEDIA — 5.46% | ||||||||
Media — 5.46% | ||||||||
ITV plc | 46,507,520 | 173,071,394 | ||||||
a Liberty Global plc | 6,500,793 | 266,662,529 | ||||||
Vivendi | 4,260,488 | 100,592,905 | ||||||
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| |||||||
540,326,828 | ||||||||
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| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 10.16% | ||||||||
Pharmaceuticals — 10.16% | ||||||||
a Allergan plc | 405,035 | 110,092,563 | ||||||
Novartis AG | 3,486,162 | 319,785,433 | ||||||
Novo Nordisk A/S | 4,466,166 | 239,583,167 | ||||||
Roche Holding AG | 1,272,142 | 335,461,209 | ||||||
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| |||||||
1,004,922,372 | ||||||||
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| |||||||
RETAILING — 1.14% | ||||||||
Internet & Catalog Retail — 1.14% | ||||||||
a Ctrip.com International, Ltd. ADR | 1,784,698 | 112,757,220 | ||||||
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| |||||||
112,757,220 | ||||||||
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| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.38% | ||||||||
Semiconductors & Semiconductor Equipment — 4.38% | ||||||||
ARM Holdings plc | 7,036,761 | 100,860,014 | ||||||
a NXP Semiconductors N.V. | 2,310,708 | 201,193,346 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 6,331,907 | 131,387,070 | ||||||
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| |||||||
433,440,430 | ||||||||
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| |||||||
TELECOMMUNICATION SERVICES — 8.52% | ||||||||
Diversified Telecommunication Services — 6.77% | ||||||||
Nippon Telegraph & Telephone Corp. | 9,961,300 | 346,920,447 | ||||||
a Telecom Italia S.p.A. | 262,084,547 | 322,724,187 | ||||||
Wireless Telecommunication Services — 1.75% | ||||||||
America Movil SAB de C.V. ADR | 1,463,153 | 24,215,182 | ||||||
China Mobile Ltd. | 10,462,815 | 123,527,922 | ||||||
Vodafone Group plc ADR | 795,955 | 25,263,612 | ||||||
|
| |||||||
842,651,350 | ||||||||
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| |||||||
TRANSPORTATION — 3.26% | ||||||||
Transportation Infrastructure — 3.26% | ||||||||
Atlantia S.p.A. | 8,283,202 | 231,298,606 | ||||||
Shanghai International Air Co., Ltd. | 20,962,620 | 91,407,061 | ||||||
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| |||||||
322,705,667 | ||||||||
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| |||||||
UTILITIES — 3.17% | ||||||||
Electric Utilities — 1.13% | ||||||||
Korea Electric Power Corp. | 2,699,108 | 111,580,437 | ||||||
Independent Power & Renewable Electricity Producers — 0.86% | ||||||||
CGN Power Co., Ltd. | 202,621,885 | 84,708,474 | ||||||
Multi-Utilities — 1.18% | ||||||||
National Grid plc | 8,404,551 | 116,828,761 | ||||||
|
| |||||||
313,117,672 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $8,196,037,378) | 8,905,900,512 | |||||||
|
|
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||
SHORT TERM INVESTMENTS — 5.99% | ||||||
b Thornburg Capital Management Fund | 59,256,131 | $ | 592,561,315 | |||
|
| |||||
TOTAL SHORT TERM INVESTMENTS (Cost $592,561,315) | 592,561,315 | |||||
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| |||||
TOTAL INVESTMENTS — 96.04% (Cost $8,788,598,693) | 9,498,461,827 | |||||
OTHER ASSETS LESS LIABILITIES — 3.96% | 391,869,685 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 9,890,331,512 | ||||
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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, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 168,374,018 | 109,117,887 | 59,256,131 | $ | 592,561,315 | $ | 401,341 | $ | — | ||||||||||||||||||
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$ | 592,561,315 | $ | 401,341 | $ | — | |||||||||||||||||||||||
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Total non-controlled affiliated issuers – 5.99% of net assets |
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Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depositary Receipt |
See notes to financial statements.
10 Annual Report
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Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Value Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $8,788,598,693) (Note 2) | $ | 9,498,461,827 | ||
Cash denominated in foreign currency (cost $1,852,835) | 1,852,919 | |||
Receivable for investments sold | 587,505,778 | |||
Receivable for fund shares sold | 16,739,939 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 15,860,311 | |||
Dividends receivable | 19,975,860 | |||
Dividend and interest reclaim receivable | 37,715,915 | |||
Prepaid expenses and other assets | 138,541 | |||
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| |||
Total Assets | 10,178,251,090 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 215,021,020 | |||
Payable for fund shares redeemed | 21,313,698 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 38,089,167 | |||
Payable to investment advisor and other affiliates (Note 3) | 7,542,481 | |||
Accounts payable and accrued expenses | 5,953,212 | |||
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| |||
Total Liabilities | 287,919,578 | |||
|
| |||
NET ASSETS | $ | 9,890,331,512 | ||
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| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 3,009,051 | ||
Net unrealized appreciation on investments | 685,527,116 | |||
Accumulated net realized gain (loss) | 1,466,325,679 | |||
Net capital paid in on shares of beneficial interest | 7,735,469,666 | |||
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| |||
$ | 9,890,331,512 | |||
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12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 1,361,529,017 applicable to 49,586,318 shares of beneficial interest outstanding - Note 4) | $ | 27.46 | ||
Maximum sales charge, 4.50% of offering price | 1.29 | |||
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| |||
Maximum offering price per share | $ | 28.75 | ||
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| |||
Class B Shares: | ||||
Net asset value per share* ($7,530,333 applicable to 298,390 shares of beneficial interest outstanding - Note 4) | $ | 25.24 | ||
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| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($706,606,085 applicable to 27,819,860 shares of beneficial interest outstanding - Note 4) | $ | 25.40 | ||
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| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($5,895,731,298 applicable to 210,279,968 shares of beneficial interest outstanding - Note 4) | $ | 28.04 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($479,223,002 applicable to 17,447,618 shares of beneficial interest outstanding - Note 4) | $ | 27.47 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($333,246,539 applicable to 12,208,742 shares of beneficial interest outstanding - Note 4) | $ | 27.30 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($685,616,772 applicable to 24,463,864 shares of beneficial interest outstanding - Note 4) | $ | 28.03 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($420,848,466 applicable to 15,047,578 shares of beneficial interest outstanding - Note 4) | $ | 27.97 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg International Value Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $26,899,050) | $ | 247,893,044 | ||
Interest income | 1,142,337 | |||
Other income | 6,317,180 | |||
|
| |||
Total Income | 255,352,561 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 83,357,115 | |||
Administration fees (Note 3) | ||||
Class A Shares | 2,146,906 | |||
Class B Shares | 14,509 | |||
Class C Shares | 993,991 | |||
Class I Shares | 3,339,669 | |||
Class R3 Shares | 759,527 | |||
Class R4 Shares | 582,542 | |||
Class R5 Shares | 564,177 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 4,293,814 | |||
Class B Shares | 116,051 | |||
Class C Shares | 7,942,704 | |||
Class R3 Shares | 3,031,614 | |||
Class R4 Shares | 1,160,017 | |||
Transfer agent fees | ||||
Class A Shares | 2,879,148 | |||
Class B Shares | 24,255 | |||
Class C Shares | 1,073,387 | |||
Class I Shares | 8,069,586 | |||
Class R3 Shares | 1,342,659 | |||
Class R4 Shares | 1,186,815 | |||
Class R5 Shares | 3,676,759 | |||
Class R6 Shares | 6,665 | |||
Registration and filing fees | ||||
Class A Shares | 36,980 | |||
Class B Shares | 20,919 | |||
Class C Shares | 28,347 | |||
Class I Shares | 148,877 | |||
Class R3 Shares | 28,413 | |||
Class R4 Shares | 52,125 | |||
Class R5 Shares | 114,235 | |||
Class R6 Shares | 42,105 | |||
Custodian fees (Note 3) | 1,308,043 | |||
Professional fees | 228,220 | |||
Accounting fees (Note 3) | 340,911 | |||
Trustee fees | 398,865 | |||
Other expenses | 1,322,206 | |||
|
| |||
Total Expenses | 130,632,156 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (2,858,934 | ) | ||
Fees paid indirectly (Note 3) | (19,853 | ) | ||
|
| |||
Net Expenses | 127,753,369 | |||
|
| |||
Net Investment Income | $ | 127,599,192 | ||
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|
14 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Value Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 1,487,219,343 | ||
Forward currency contracts (Note 7) | 677,574,154 | |||
Foreign currency transactions | (6,439,054 | ) | ||
|
| |||
2,158,354,443 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,766,565,024 | ) | ||
Forward currency contracts (Note 7) | (283,100,744 | ) | ||
Foreign currency translations | (422,455 | ) | ||
|
| |||
(2,050,088,223 | ) | |||
|
| |||
Net Realized and Unrealized Gain | 108,266,220 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 235,865,412 | ||
|
|
See notes to financial statements.
Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Value Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 127,599,192 | $ | 213,013,596 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 2,158,354,443 | 4,316,041,133 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translations | (2,050,088,223 | ) | (4,454,707,186 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 235,865,412 | 74,347,543 | ||||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (13,268,050 | ) | (24,836,500 | ) | ||||
Class B Shares | (5,365 | ) | (41,872 | ) | ||||
Class C Shares | (2,886,929 | ) | (2,410,852 | ) | ||||
Class I Shares | (82,112,732 | ) | (122,938,549 | ) | ||||
Class R3 Shares | (3,933,658 | ) | (5,130,641 | ) | ||||
Class R4 Shares | (3,650,855 | ) | (7,356,292 | ) | ||||
Class R5 Shares | (10,245,399 | ) | (32,599,485 | ) | ||||
Class R6 Shares | (7,249,669 | ) | (19,861,092 | ) | ||||
From realized gains | ||||||||
Class A Shares | (166,562,573 | ) | — | |||||
Class B Shares | (1,316,453 | ) | — | |||||
Class C Shares | (75,585,562 | ) | — | |||||
Class I Shares | (617,568,803 | ) | — | |||||
Class R3 Shares | (57,375,341 | ) | — | |||||
Class R4 Shares | (46,567,679 | ) | — | |||||
Class R5 Shares | (145,792,152 | ) | — | |||||
Class R6 Shares | (62,251,716 | ) | — | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (1,089,390,257 | ) | (2,591,843,528 | ) | ||||
Class B Shares | (7,775,348 | ) | (17,031,740 | ) | ||||
Class C Shares | (96,267,790 | ) | (296,649,398 | ) | ||||
Class I Shares | (1,275,407,107 | ) | (6,778,761,004 | ) | ||||
Class R3 Shares | (229,305,280 | ) | (392,504,894 | ) | ||||
Class R4 Shares | (351,180,663 | ) | (616,127,795 | ) | ||||
Class R5 Shares | (1,362,741,831 | ) | (2,191,585,826 | ) | ||||
Class R6 Shares | (399,050,412 | ) | (460,324,600 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets | (5,871,626,212 | ) | (13,485,656,525 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 15,761,957,724 | 29,247,614,249 | ||||||
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|
| |||||
End of Year | $ | 9,890,331,512 | $ | 15,761,957,724 | ||||
|
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| |||||
Undistributed net investment income | $ | 3,009,051 | $ | 5,201,570 |
See notes to financial statements.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Value Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg International Value 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 twenty 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: 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 and Class R5 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 R6 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
�� | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 8,905,900,512 | $ | 8,905,900,512 | $ | — | $ | — | ||||||||
Short Term Investments | 592,561,315 | 592,561,315 | — | — | ||||||||||||
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|
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|
|
| |||||||||
Total Investments in Securities | $ | 9,498,461,827 | $ | 9,498,461,827 | $ | — | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 15,860,311 | $ | — | $ | 15,860,311 | $ | — | ||||||||
Spot Currency | $ | 566,203 | $ | 566,203 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (38,089,167 | ) | $ | — | $ | (38,089,167 | ) | $ | — |
* | 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, which may include 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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015, 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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. To date the Fund has recovered certain amounts previously withheld in Finland, which amounts are reflected in the financial statements included in this report. The Fund would expect to record a receivable for other such reclaims based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims in countries other than Finland, and the likelihood of collection in those other countries remains uncertain.
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $340,911 to the Advisor for these accounting services. The Trust also has entered into administrative service
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares (except for Class R6 shares, which do not have an administrative services agreement) 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned net commissions aggregating $60,972 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $29,706 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 (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $760,304 for Class R3 shares, $583,408 for Class R4 shares, and $1,515,222 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $19,853.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $13,269,217 in sales.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 8,248,175 | $ | 241,288,378 | 17,448,628 | $ | 527,252,760 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,853,841 | 162,599,810 | 751,233 | 22,755,421 | ||||||||||||
Shares repurchased | (51,693,689 | ) | (1,493,278,445 | ) | (104,116,072 | ) | (3,141,851,709 | ) | ||||||||
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|
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|
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| |||||||||
Net increase (decrease) | (37,591,673 | ) | $ | (1,089,390,257 | ) | (85,916,211 | ) | $ | (2,591,843,528 | ) | ||||||
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Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 25,095 | $ | 674,468 | 2,583 | $ | 72,727 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 38,401 | 976,975 | 1,079 | 30,247 | ||||||||||||
Shares repurchased | (353,486 | ) | (9,426,791 | ) | (612,869 | ) | (17,134,714 | ) | ||||||||
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|
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| |||||||||
Net increase (decrease) | (289,990 | ) | $ | (7,775,348 | ) | (609,207 | ) | $ | (17,031,740 | ) | ||||||
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Class C Shares | ||||||||||||||||
Shares sold | 2,374,020 | $ | 63,814,668 | 1,825,885 | $ | 51,520,849 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,324,577 | 59,667,023 | 64,864 | 1,829,821 | ||||||||||||
Shares repurchased | (8,267,215 | ) | (219,749,481 | ) | (12,442,806 | ) | (350,000,068 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (3,568,618 | ) | $ | (96,267,790 | ) | (10,552,057 | ) | $ | (296,649,398 | ) | ||||||
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Class I Shares | ||||||||||||||||
Shares sold | 51,033,802 | $ | 1,526,947,270 | 103,474,293 | $ | 3,194,619,827 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 21,516,580 | 612,023,354 | 3,353,409 | 103,806,502 | ||||||||||||
Shares repurchased | (116,894,145 | ) | (3,414,377,731 | ) | (326,972,110 | ) | (10,077,187,333 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (44,343,763 | ) | $ | (1,275,407,107 | ) | (220,144,408 | ) | $ | (6,778,761,004 | ) | ||||||
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Class R3 Shares | ||||||||||||||||
Shares sold | 4,183,276 | $ | 121,693,500 | 5,588,730 | $ | 168,961,744 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,069,052 | 57,455,170 | 158,988 | 4,816,635 | ||||||||||||
Shares repurchased | (14,059,202 | ) | (408,453,950 | ) | (18,738,646 | ) | (566,283,273 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (7,806,874 | ) | $ | (229,305,280 | ) | (12,990,928 | ) | $ | (392,504,894 | ) | ||||||
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Class R4 Shares | ||||||||||||||||
Shares sold | 4,065,341 | $ | 116,638,346 | 8,521,096 | $ | 256,157,143 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,405,574 | 38,816,115 | 183,905 | 5,543,050 | ||||||||||||
Shares repurchased | (17,591,772 | ) | (506,635,124 | ) | (29,175,509 | ) | (877,827,988 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (12,120,857 | ) | $ | (351,180,663 | ) | (20,470,508 | ) | $ | (616,127,795 | ) | ||||||
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Class R5 Shares | ||||||||||||||||
Shares sold | 9,113,063 | $ | 266,509,147 | 19,469,855 | $ | 600,262,418 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 5,223,489 | 147,978,195 | 989,545 | 30,588,240 | ||||||||||||
Shares repurchased | (61,286,367 | ) | (1,777,229,173 | ) | (91,535,480 | ) | (2,822,436,484 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (46,949,815 | ) | $ | (1,362,741,831 | ) | (71,076,080 | ) | $ | (2,191,585,826 | ) | ||||||
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Class R6 Shares | ||||||||||||||||
Shares sold | 4,410,128 | $ | 129,266,866 | 20,980,274 | $ | 647,021,016 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,450,164 | 69,470,703 | 642,244 | 19,836,878 | ||||||||||||
Shares repurchased | (20,550,235 | ) | (597,787,981 | ) | (36,713,336 | ) | (1,127,182,494 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (13,689,943 | ) | $ | (399,050,412 | ) | (15,090,818 | ) | $ | (460,324,600 | ) | ||||||
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22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $8,140,289,120 and $13,642,271,711, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 8,791,612,460 | ||
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| |||
Gross unrealized appreciation on a tax basis | $ | 1,078,272,135 | ||
Gross unrealized depreciation on a tax basis | (371,422,768 | ) | ||
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| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 706,849,367 | ||
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses.
At September 30, 2015, the Fund had $3,214,361 of undistributed tax basis ordinary investment income and $1,447,110,590 of undistributed tax basis capital gains.
In order to account for permanent book to tax differences, the Fund decreased undistributed net investment income by $6,439,054, decreased accumulated net realized gain by $317,709,011, and increased net capital paid in on shares of beneficial interest by $324,148,065. Reclassifications have no impact upon the net asset value of the Fund and resulted primarily from currency gains (losses) and equalization of undistributed capital gains to shareholders.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 123,352,657 | $ | 215,175,283 | ||||
Capital gains | 1,173,020,279 | — | ||||||
|
|
|
| |||||
Total | $ | 1,296,372,936 | $ | 215,175,283 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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.
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
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 value of open sell currency contracts for the year ended September 30, 2015 was $3,470,807,719. 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 the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||
Contract | Contract | Value | Unrealized | Unrealized | ||||||||||||||||||
Contract Description Buy/Sell | Amount | Value Date | USD | Appreciation | Depreciation | |||||||||||||||||
Euro | Sell | 447,650,700 | 11/19/2015 | 500,576,974 | $ | 10,179,045 | $ | — | ||||||||||||||
Euro | Buy | 289,328,600 | 11/19/2015 | 323,536,264 | — | (469,815 | ) | |||||||||||||||
Euro | Buy | 459,453,100 | 11/19/2015 | 513,774,786 | — | (1,017,143 | ) | |||||||||||||||
Euro | Buy | 416,282,100 | 11/19/2015 | 465,499,627 | — | (5,082,310 | ) | |||||||||||||||
Euro | Sell | 1,590,859,100 | 11/19/2015 | 1,778,948,260 | — | (13,174,202 | ) | |||||||||||||||
Euro | Buy | 873,446,000 | 11/19/2015 | 976,714,558 | — | (18,345,697 | ) | |||||||||||||||
Japanese Yen | Sell | 38,981,986,000 | 11/27/2015 | 325,164,254 | 3,211,565 | — | ||||||||||||||||
Japanese Yen | Buy | 38,981,986,000 | 11/27/2015 | 325,164,254 | 2,469,701 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
Total | $ | 15,860,311 | $ | (38,089,167 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) |
| $ | (22,228,856 | ) | ||||||||||||||||||
|
|
The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||
Foreign exchange contracts | Assets—Unrealized appreciation on forward currency contracts | $15,860,311 | ||
Liability Derivatives | Balance Sheet Location | Fair Value | ||
Foreign exchange contracts | Liabilities—Unrealized depreciation on forward currency contracts | $(38,089,167) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $22,228,856. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $ 677,574,154 | $ 677,574,154 | ||
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||
Total | Forward Currency Contracts | |||
Foreign exchange contracts | $ (283,100,744) | $ (283,100,744) |
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 small- and mid-cap 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 25
Thornburg International Value 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 (%)(a) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||
CLASS A SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 29.84 | 0.24 | 0.16 | 0.40 | (0.26 | ) | (2.52) | (2.78 | ) | $27.46 | 0.82 | 1.27 | 1.27 | 1.27 | 1.25 | 70.88 | $ | 1,361,529 | |||||||||||||||||||||||||||||
2014(b) | $ | 30.12 | 0.19 | (0.23 | ) | (0.04) | (0.24 | ) | — | (0.24 | ) | $29.84 | 0.63 | 1.26 | 1.26 | 1.26 | (0.14) | 37.25 | $ | 2,601,689 | ||||||||||||||||||||||||||||
2013(b) | $ | 26.08 | 0.26 | 4.02 | 4.28 | (0.24 | ) | — | (0.24 | ) | $30.12 | 0.92 | 1.25 | 1.25 | 1.25 | 16.49 | 34.67 | $ | 5,212,813 | |||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||
CLASS B SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.68 | (0.04) | 0.14 | 0.10 | (0.02 | ) | (2.52) | (2.54 | ) | $25.24 | (0.14 | ) | 2.24 | 2.24 | 2.24 | 0.29 | 70.88 | $ | 7,530 | ||||||||||||||||||||||||||||
2014 | $ | 28.02 | (0.07) | (0.20 | ) | (0.27) | (0.07 | ) | — | (0.07 | ) | $27.68 | (0.24 | ) | 2.13 | 2.13 | 2.13 | (0.96) | 37.25 | $ | 16,288 | |||||||||||||||||||||||||||
2013 | $ | 24.37 | 0.01 | 3.74 | 3.75 | (0.10 | ) | — | (0.10 | ) | $28.02 | 0.02 | 2.10 | 2.10 | 2.10 | 15.45 | 34.67 | $ | 33,562 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS C SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.86 | 0.05 | 0.11 | 0.16 | (0.10 | ) | (2.52) | (2.62 | ) | $25.40 | 0.19 | 1.99 | 1.99 | 1.99 | 0.52 | 70.88 | $ | 706,606 | |||||||||||||||||||||||||||||
2014 | $ | 28.17 | –(c) | (0.23 | ) | (0.23) | (0.08 | ) | — | (0.08 | ) | $27.86 | – | (d) | 1.99 | 1.99 | 1.99 | (0.83) | 37.25 | $ | 874,358 | |||||||||||||||||||||||||||
2013 | $ | 24.48 | 0.04 | 3.77 | 3.81 | (0.12 | ) | — | (0.12 | ) | $28.17 | 0.15 | 2.01 | 2.01 | 2.01 | 15.62 | 34.67 | $ | 1,181,438 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS I SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 30.43 | 0.38 | 0.13 | 0.51 | (0.38 | ) | (2.52) | (2.90 | ) | $28.04 | 1.27 | 0.90 | 0.90 | 0.90 | 1.65 | 70.88 | $ | 5,895,731 | |||||||||||||||||||||||||||||
2014 | $ | 30.76 | 0.33 | (0.25 | ) | 0.08 | (0.41 | ) | — | (0.41 | ) | $30.43 | 1.05 | 0.88 | 0.88 | 0.88 | 0.23 | 37.25 | $ | 7,748,950 | ||||||||||||||||||||||||||||
2013 | $ | 26.66 | 0.38 | 4.10 | 4.48 | (0.38 | ) | — | (0.38 | ) | $30.76 | 1.34 | 0.86 | 0.86 | 0.86 | 16.94 | 34.67 | $ | 14,601,876 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS R3 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 29.86 | 0.21 | 0.13 | 0.34 | (0.21 | ) | (2.52) | (2.73 | ) | $27.47 | 0.71 | 1.45 | 1.45 | 1.58 | 1.09 | 70.88 | $ | 479,223 | |||||||||||||||||||||||||||||
2014 | $ | 30.14 | 0.15 | (0.24 | ) | (0.09) | (0.19 | ) | — | (0.19 | ) | $29.86 | 0.51 | 1.45 | 1.45 | 1.61 | (0.30) | 37.25 | $ | 754,139 | ||||||||||||||||||||||||||||
2013 | $ | 26.11 | 0.20 | 4.02 | 4.22 | (0.19 | ) | — | (0.19 | ) | $30.14 | 0.71 | 1.45 | 1.45 | 1.57 | 16.23 | 34.67 | $ | 1,152,795 | |||||||||||||||||||||||||||||
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 | $ | 1,323,765 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS R4 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 29.69 | 0.25 | 0.15 | 0.40 | (0.27 | ) | (2.52) | (2.79 | ) | $27.30 | 0.86 | 1.24 | 1.24 | 1.37 | 1.30 | 70.88 | $ | 333,247 | |||||||||||||||||||||||||||||
2014 | $ | 29.98 | 0.21 | (0.24 | ) | (0.03) | (0.26 | ) | — | (0.26 | ) | $29.69 | 0.70 | 1.25 | 1.25 | 1.49 | (0.12) | 37.25 | $ | 722,349 | ||||||||||||||||||||||||||||
2013 | $ | 25.96 | 0.25 | 4.01 | 4.26 | (0.24 | ) | — | (0.24 | ) | $29.98 | 0.91 | 1.25 | 1.25 | 1.38 | 16.49 | 34.67 | $ | 1,342,883 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS R5 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 30.41 | 0.30 | 0.19 | 0.49 | (0.35 | ) | (2.52) | (2.87 | ) | $28.03 | 1.01 | 0.98 | 0.98 | 1.11 | 1.57 | 70.88 | $ | 685,617 | |||||||||||||||||||||||||||||
2014 | $ | 30.71 | 0.30 | (0.24 | ) | 0.06 | (0.36 | ) | — | (0.36 | ) | $30.41 | 0.97 | 0.99 | 0.99 | 1.12 | 0.17 | 37.25 | $ | 2,171,673 | ||||||||||||||||||||||||||||
2013 | $ | 26.61 | 0.34 | 4.10 | 4.44 | (0.34 | ) | — | (0.34 | ) | $30.71 | 1.20 | 0.96 | 0.96 | 1.00 | 16.80 | 34.67 | $ | 4,376,567 | |||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
CLASS R6 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 30.36 | 0.39 | 0.17 | 0.56 | (0.43 | ) | (2.52) | (2.95 | ) | $27.97 | 1.33 | 0.74 | 0.74 | 0.74 | 1.81 | 70.88 | $ | 420,849 | |||||||||||||||||||||||||||||
2014 | $ | 30.70 | 0.40 | (0.26 | ) | 0.14 | (0.48 | ) | — | (0.48 | ) | $30.36 | 1.28 | 0.73 | 0.73 | 0.73 | 0.42 | 37.25 | $ | 872,512 | ||||||||||||||||||||||||||||
2013 | $ | 26.62 | 0.46 | 4.05 | 4.51 | (0.43 | ) | — | (0.43 | ) | $30.70 | 1.59 | 0.74 | 0.74 | 0.74 | 17.07 | 34.67 | $ | 1,345,680 | |||||||||||||||||||||||||||||
2012(f) | $ | 27.14 | 0.15 | (0.38 | ) | (0.23) | (0.29 | ) | — | (0.29 | ) | $26.62 | 1.35 | (e) | 0.76 | (e) | 0.76 | (e) | 0.76 | (e) | (0.77) | 17.86 | $ | 478,078 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Net investment income (loss) was less than 0.01 per share. |
(d) | Net investment Income (loss) is less than 0.01%. |
(e) | Annualized. |
(f) | Effective date of this class of shares was May 1, 2012. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
26 Annual Report | Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg International Value Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg International Value Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Value Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
28 Annual Report
EXPENSE EXAMPLE | ||
Thornburg International Value Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
CLASS A SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 959.50 | $ | 6.07 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.87 | $ | 6.26 | ||||||
CLASS B SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 954.90 | $ | 11.02 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.80 | $ | 11.35 | ||||||
CLASS C SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 956.40 | $ | 9.75 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.10 | $ | 10.04 | ||||||
CLASS I SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 961.60 | $ | 4.34 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.65 | $ | 4.47 | ||||||
CLASS R3 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 959.10 | $ | 7.12 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.80 | $ | 7.33 | ||||||
CLASS R4 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 960.00 | $ | 6.04 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.90 | $ | 6.22 | ||||||
CLASS R5 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 961.20 | $ | 4.73 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.25 | $ | 4.87 | ||||||
CLASS R6 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 962.50 | $ | 3.57 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,021.43 | $ | 3.68 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.24%; B: 2.25%; C: 1.99%; I: 0.88%; R3: 1.45%; R4: 1.23%; R5: 0.96%; R6: 0.73%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
30 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Annual Report
OTHER INFORMATION | ||
Thornburg International Value Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, the Thornburg International Value Fund is reporting 100.00% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 3.28% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2015 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2015, foreign source income and foreign taxes paid are $270,033,286 and $20,286,430, respectively.
For the tax year ended September 30, 2015, dividends paid by the Fund of $123,352,657 are being reported as ordinary investment income and $1,173,020,279 are being reported as long-term capital gains. Additionally dividends deemed paid by the Fund of $324,148,065 are designated as long-term capital gain dividends for federal income tax purposes.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg International Value Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify
Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the ten most recent calendar years, comparing the Fund’s investment performance to a fund category selected by an independent mutual fund analyst firm, and to two broad-based securities indices, (4) performance data for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories and to two broad-based securities indices, and assigning a ranking to the Fund’s performance for each period relative to the two fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was comparable to the return of one of the two securities indices considered and was lower than the returns for the mutual fund category and the second index considered, the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns of the mutual fund category in six of nine years, the Fund’s returns exceeded or were comparable to one index in seven of nine years, and that the Fund’s returns exceeded or were comparable to the returns of the second index in six of nine years. Noted quantitative data showed that the Fund’s annualized investment returns fell in the first decile of performance of the first mutual fund category for the one-year period ended with the second quarter of the current year, fell near the midpoint of performance of the category for the three-year period, fell in the third quartile of performance for the five-year period, and fell in the top quartile of performance for the ten-year period. The data further showed that the Fund’s annualized investment returns similarly fell in the top decile of performance of the second fund category for the one-year period ended with the second quarter, fell in the second quartile of performance of the category for the three-year period, fell in the third quartile for the five-year period, and fell in the first quartile for the ten-year period. Data presented to the Trustees also showed that the Fund’s annualized total return for the period since inception exceeded the annualized returns of the two indices considered. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee level was comparable to the median and average fee levels for the fund category, the level of total expense for a representative share class was slightly lower than the category median and comparable to its average, and that the level of total expense for a second representative share class was lower than the median and average levels of total expense for the category. Peer group data showed that the Fund’s advisory fee level was comparable to median levels for the two peer groups, and that the total expense levels for the representative share classes were comparable to the median levels for their respective peer groups.
34 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg International Value Fund | September 30, 2015 (Unaudited) |
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 35
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
36 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas—within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 37
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Annual Report 39
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH078 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
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Garrett Thornburg | ||||
Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
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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 |
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.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Funds invested in a limited number of holdings may expose an investor to greater volatility.
Annual Report 3
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
October 19, 2015
Dear Fellow Shareholder:
For the fiscal year ended September 30, 2015, the Thornburg Core Growth Fund returned a negative 1.32% for the Class A shares (without sales charge), underperforming its benchmark, the Russell 3000 Growth Index, which returned 3.21% in the period.
The trailing fiscal year was marked by market rallies and corrections, a broad and significant decline in commodity prices including oil, and a massive strengthening of the U.S. dollar compared to a broad basket of developed and emerging market currencies. It’s been a frustrating period for equity investors, as returns have stagnated and volatility has returned to the markets. On an individual stock basis we had some great successes. But it was also an environment that was very unforgiving to companies suffering fundamental deterioration, and we had too many stocks failing to track our investment theses during the period. In a concentrated portfolio of about 50 stocks, a couple of decisions can make the difference between winning and losing in a tight market, and we were disappointed with our results.
We believe the main reason we have had success over the long term is the consistent application of our bottom-up process and philosophy. We spend our days searching for attractively priced, quality growth stocks. Through recessions and recoveries, geopolitical turmoil and relative calm, we follow the same mandate. Stock selection drives the composition of our portfolio and ideally takes us to where growth and value reside at any given point in a market cycle. Our approach has worked over the long term and we will continue to strive to be consistent in its application.
As always, the primary driver of our performance is the stocks we choose to own. Below is a discussion of our top five contributors and detractors for the year.
Top 5 Contributors
• | Amazon – Amazon is the largest and most dominant online retailer in the world. The company continues to benefit from the offline-to-online shift in shopping. Amazon also continues to roll out adjacent products and services, creating a more dominant and sticky platform. During the year, Amazon also started breaking out results for their Amazon web services business, which has brought more attention to this fast-growing, potentially high margin business. |
• | Vantiv – Vantiv is a merchant acquirer, meaning it facilitates the processing of credit and debit card payments at brick-and-mortar retailers and online. The industry enjoys a secular tailwind as payments shift from cash and check to electronic, and Vantiv has been able to gain share with competitive products and expanded distribution. |
• | Visa – Visa is one of the largest global payment networks in the world. The conversion from cash- and check-based purchases to card-based purchases continues around the world. This conversion has been driving revenue growth in the low to mid teens and better earnings growth due to the fixed cost nature of Visa’s operating structure. |
• | Fleetmatics – Fleetmatics is a global provider of fleet management solutions, mainly for small and mid-sized businesses. It is a high-margin subscription business with recurring revenues. Recently the company has been developing new products and entering new markets. |
• | Catamaran – Catamaran is a pharmacy benefit manager (PBM). PBMs aggregate patients within their systems to have more bargaining power against the pharmaceutical manufacturers and ultimately reduce health care costs. Catamaran was acquired by United Health during the period. |
Top 5 Detractors
• | Stratasys – Stratasys manufactures the printers that allow people and businesses to print three-dimensional objects on the spot. Long-term, we believe there is significant growth potential of the company from the large opportunity set. That includes both commercial settings and a broader consumer base. The stock was weak when it failed to meet the high growth expectations surrounding the firm. |
• | Oasis Petroleum – Oasis is an oil producer located in the Bakken region (primarily located in North Dakota). It is an oil-rich play with fast production growth. However, the collapse of oil prices has weighed on the entire sector. |
• | Las Vegas Sands – Las Vegas Sands performed poorly during the period as the company’s Macau casinos saw a noticeable slowdown in gaming revenues. The slowdown was driven by a combination of China’s lackluster economy and the continued crackdown on corruption, reducing conspicuous consumption. |
• | Yelp – Yelp operates a user review site and mobile application. They generate revenue from local businesses advertising on their platforms. Growth has come under pressure as the value proposition of that advertising has weakened and competition for local businesses’ advertising dollars has intensified, due to the strengthening of competitors like Facebook. We have exited our position in Yelp. |
• | Shutterstock – Shutterstock operates a stock digital image library that companies use in their websites, marketing materials, corporate communications, etc. The stock was weak on concerns of increased competition in the space. Adobe acquired a competitor and re-launched the service as part of a bundled service. To compound the issue, the chief financial officer, who had taken the company public in late 2012, resigned without having another job lined up. The combination of these factors sent shares down and impaired the thesis, prompting our full exit from the position. |
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
We don’t pretend to know what the future holds, but we are always excited by the prospect of identifying and owning strong businesses with attractive growth prospects, and combining them in a diversified portfolio. Through periods of market calm or turmoil, we remain focused on this primary objective.
Thank you for investing alongside us in the Thornburg Core Growth Fund.
Sincerely,
![]() | ![]() | |||
Greg Dunn | Tim Cunningham,CFA | |||
Managing Director | Managing Director | |||
Portfolio Manager | Portfolio Manager |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
Class A Shares (Incep: 12/27/00) | ||||||||||||||||||||
Without sales charge | -1.32 | % | 10.94 | % | 13.57 | % | 6.45 | % | 5.56 | % | ||||||||||
With sales charge | -5.78 | % | 9.25 | % | 12.53 | % | 5.96 | % | 5.23 | % | ||||||||||
Class C Shares (Incep: 12/27/00) | ||||||||||||||||||||
Without sales charge | -2.07 | % | 10.11 | % | 12.72 | % | 5.65 | % | 4.73 | % | ||||||||||
With sales charge | -3.05 | % | 10.11 | % | 12.72 | % | 5.65 | % | 4.73 | % | ||||||||||
Class I Shares (Incep: 11/3/03) | -0.93 | % | 11.41 | % | 14.07 | % | 6.94 | % | 8.31 | % | ||||||||||
Class R3 Shares (Incep: 7/1/03) | -1.44 | % | 10.82 | % | 13.48 | % | 6.38 | % | 8.64 | % | ||||||||||
Class R4 Shares (Incep: 2/1/07) | -1.32 | % | 10.94 | % | 13.61 | % | — | 3.85 | % | |||||||||||
Class R5 Shares (Incep: 10/3/05) | -0.93 | % | 11.40 | % | 14.06 | % | — | 6.89 | % | |||||||||||
Russell 3K G (Since 12/27/00) | 3.21 | % | 13.54 | % | 14.38 | % | 8.05 | % | 3.94 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, and R5 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.40%; C shares, 2.14%; I shares, 1.03%; R3 shares, 1.80%; R4 shares, 1.77%; R5 shares, 1.28%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.99%; R3 shares, 1.50%; R4 shares, 1.40%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Glossary
Russell 3000 Growth Index (Russell 3K G) – 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.
6 Annual Report
FUND SUMMARY | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.
The Fund expects to invest primarily in domestic equity securities (primarily common stocks) selected for their growth potential. However, the Fund may own a variety of securities, including foreign equity securities, partnership interests, and domestic and foreign debt obligations. The Fund may also invest in developing countries.
Market Capitalization Exposure
Basket Structure
Top Ten Equity Holdings
Apple, Inc. | 3.8 | % | ||
Nielsen Holdings plc | 2.9 | % | ||
Visa, Inc. | 2.8 | % | ||
Facebook, Inc. | 2.5 | % | ||
Affiliated Managers Group, Inc. | 2.5 | % | ||
Sprouts Farmers Market, Inc. | 2.4 | % | ||
LinkedIn Corp. | 2.4 | % | ||
Verisk Analytics, Inc. | 2.4 | % | ||
Charles Schwab Corp. | 2.3 | % | ||
Alexion Pharmaceuticals, Inc. | 2.3 | % |
There is no guarantee that the Fund will meet its investment objective.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Sector Exposure
Information Technology | 34.8 | % | ||
Financials | 13.9 | % | ||
Health Care | 13.7 | % | ||
Industrials | 12.2 | % | ||
Consumer Discretionary | 11.4 | % | ||
Consumer Staples | 6.4 | % | ||
Energy | 2.2 | % | ||
Materials | 1.5 | % | ||
Other Assets Less Liabilities | 3.9 | % |
Top Ten Industry Groups
Software & Services | 29.2 | % | ||
Diversified Financials | 11.9 | % | ||
Commercial & Professional Services | 10.5 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | % | ||
Retailing | 7.0 | % | ||
Technology Hardware & Equipment | 5.6 | % | ||
Food & Staples Retailing | 4.4 | % | ||
Health Care Equipment & Services | 3.5 | % | ||
Energy | 2.2 | % | ||
Food, Beverage & Tobacco | 2.0 | % |
Country Exposure*
(percent of equity holdings)
United States | 92.8 | % | ||
Ireland | 4.2 | % | ||
United Kingdom | 3.0 | % |
* | The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
Annual Report 7
SCHEDULE OF INVESTMENTS | ||
Thornburg Core Growth Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 96.12% | ||||||||
BANKS — 1.98% | ||||||||
Banks — 1.98% | ||||||||
a SVB Financial Group | 133,647 | $ | 15,441,574 | |||||
|
| |||||||
15,441,574 | ||||||||
|
| |||||||
CAPITAL GOODS — 1.69% | ||||||||
Electrical Equipment — 1.69% | ||||||||
Acuity Brands, Inc. | 75,245 | 13,211,517 | ||||||
|
| |||||||
13,211,517 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 10.52% | ||||||||
Commercial Services & Supplies — 1.77% | ||||||||
a Stericycle, Inc. | 99,209 | 13,820,806 | ||||||
Professional Services — 8.75% | ||||||||
a IHS, Inc. | 106,310 | 12,331,960 | ||||||
Nielsen Holdings plc | 505,430 | 22,476,472 | ||||||
a The Advisory Board Co. | 329,224 | 14,992,861 | ||||||
a Verisk Analytics, Inc. | 249,871 | 18,467,966 | ||||||
|
| |||||||
82,090,065 | ||||||||
CONSUMER DURABLES & APPAREL — 1.42% | ||||||||
Leisure Products — 1.42% | ||||||||
Polaris Industries, Inc. | 92,300 | 11,064,001 | ||||||
|
| |||||||
11,064,001 | ||||||||
|
| |||||||
CONSUMER SERVICES — 1.49% | ||||||||
Hotels, Restaurants & Leisure — 1.49% | ||||||||
Las Vegas Sands Corp. | 307,233 | 11,665,637 | ||||||
|
| |||||||
11,665,637 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 11.90% | ||||||||
Capital Markets — 8.23% | ||||||||
a Affiliated Managers Group, Inc. | 113,201 | 19,356,239 | ||||||
Charles Schwab Corp. | 629,856 | 17,988,687 | ||||||
LPL Financial Holdings, Inc. | 400,000 | 15,908,000 | ||||||
WisdomTree Investments, Inc. | 682,189 | 11,003,709 | ||||||
Consumer Finance — 3.67% | ||||||||
American Express Co. | 216,267 | 16,031,873 | ||||||
Cash America International, Inc. | 450,593 | 12,603,086 | ||||||
|
| |||||||
92,891,594 | ||||||||
|
| |||||||
ENERGY — 2.20% | ||||||||
Energy Equipment & Services — 1.04% | ||||||||
Helmerich & Payne, Inc. | 172,010 | 8,129,192 | ||||||
Oil, Gas & Consumable Fuels — 1.16% | ||||||||
a Concho Resources, Inc. | 92,009 | 9,044,485 | ||||||
|
| |||||||
17,173,677 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 4.43% | ||||||||
Food & Staples Retailing — 4.43% | ||||||||
a Sprouts Farmers Market, Inc. | 881,292 | 18,595,261 | ||||||
Whole Foods Market, Inc. | 504,672 | 15,972,869 | ||||||
|
| |||||||
34,568,130 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 1.98% | ||||||||
Beverages — 1.98% | ||||||||
a Monster Beverage Corp. | 114,374 | 15,456,502 | ||||||
|
| |||||||
15,456,502 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 3.47% | ||||||||
Health Care Equipment & Supplies — 3.47% | ||||||||
a Align Technology, Inc. | 295,951 | 16,798,179 | ||||||
a Inogen, Inc. | 212,043 | 10,294,688 | ||||||
|
| |||||||
27,092,867 | ||||||||
|
| |||||||
MATERIALS — 1.54% | ||||||||
Chemicals — 1.54% | ||||||||
International Flavors & Fragrances, Inc. | 116,690 | 12,049,409 | ||||||
|
| |||||||
12,049,409 | ||||||||
|
| |||||||
MEDIA — 1.46% | ||||||||
Media — 1.46% | ||||||||
a Sirius XM Holdings, Inc. | 3,046,300 | 11,393,162 | ||||||
|
| |||||||
11,393,162 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 10.25% | ||||||||
Biotechnology — 6.62% | ||||||||
a Alexion Pharmaceuticals, Inc. | 113,498 | 17,749,952 | ||||||
a Biogen Idec, Inc. | 39,074 | 11,402,184 | ||||||
Gilead Sciences, Inc. | 111,907 | 10,988,148 |
8 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
a Seattle Genetics, Inc. | 297,921 | $ | 11,487,834 | |||||
Life Sciences Tools & Services — 1.38% | ||||||||
a Illumina, Inc. | 61,256 | 10,770,030 | ||||||
Pharmaceuticals — 2.25% | ||||||||
a Allergan plc | 64,747 | 17,598,882 | ||||||
|
| |||||||
79,997,030 | ||||||||
|
| |||||||
RETAILING — 6.98% | ||||||||
Distributors — 1.79% | ||||||||
a LKQ Corp. | 492,712 | 13,973,312 | ||||||
Internet & Catalog Retail — 4.18% | ||||||||
a Amazon.com, Inc. | 33,108 | 16,947,654 | ||||||
a priceline.com, Inc. | 12,679 | 15,682,148 | ||||||
Specialty Retail — 1.01% | ||||||||
Group 1 Automotive, Inc. | 92,738 | 7,896,641 | ||||||
|
| |||||||
54,499,755 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 29.25% | ||||||||
Information Technology Services — 4.95% | ||||||||
a Vantiv, Inc. Class A | 363,977 | 16,349,847 | ||||||
Visa, Inc. | 319,118 | 22,229,760 | ||||||
Internet Software & Services — 10.38% | ||||||||
a Facebook, Inc. | 220,851 | 19,854,505 | ||||||
a Google, Inc. Class A | 6,126 | 3,910,655 | ||||||
a Google, Inc. Class C | 26,895 | 16,363,456 | ||||||
a LinkedIn Corp. | 97,158 | 18,472,650 | ||||||
a Zillow Group, Inc. Class A | 270,857 | 7,781,722 | ||||||
a Zillow Group, Inc. Class C | 541,714 | 14,626,278 | ||||||
Software — 13.92% | ||||||||
a ANSYS, Inc. | 127,000 | 11,193,780 | ||||||
a Autodesk, Inc. | 337,740 | 14,907,843 | ||||||
a Fleetmatics Group plc | 274,819 | 13,490,865 | ||||||
a Proofpoint, Inc. | 211,100 | 12,733,552 | ||||||
a ServiceNow, Inc. | 182,567 | 12,679,278 | ||||||
a Splunk, Inc. | 209,682 | 11,605,899 | ||||||
a VMware, Inc. | 221,600 | 17,459,864 | ||||||
a Workday, Inc. | 211,891 | 14,590,814 | ||||||
|
| |||||||
228,250,768 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 5.56% | ||||||||
Electronic Equipment, Instruments & Components — 1.71% | ||||||||
a IPG Photonics Corp. | 175,606 | 13,340,788 | ||||||
Technology, Hardware, Storage & Peripherals — 3.85% | ||||||||
Apple, Inc. | 272,296 | 30,034,249 | ||||||
|
| |||||||
43,375,037 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $648,685,679) | 750,220,725 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 5.23% | ||||||||
b Thornburg Capital Management Fund | 4,081,390 | 40,813,895 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $40,813,895) | 40,813,895 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.35% (Cost $689,499,574) | $ | 791,034,620 | ||||||
LIABILITIES NET OF OTHER ASSETS — (1.35)% | (10,570,052 | ) | ||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 780,464,568 | ||||||
|
|
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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, | Gross Additions | Gross Reductions | Shares/Principal September 30, | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 14,974,599 | 10,893,209 | 4,081,390 | $ | 40,813,895 | $ | 21,086 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total non-controlled affiliated issuers - 5.23% of net assets | $ | 40,813,895 | $ | 21,086 | $ | — | ||||||||||||||||||||||
|
|
|
|
|
|
See notes to financial statements.
Annual Report 9
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Core Growth Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $689,499,574) (Note 2) | $ | 791,034,620 | ||
Receivable for investments sold | 1,168,661 | |||
Receivable for fund shares sold | 307,960 | |||
Dividends receivable | 138,385 | |||
Prepaid expenses and other assets | 45,611 | |||
|
| |||
Total Assets | 792,695,237 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 10,268,909 | |||
Payable for fund shares redeemed | 929,045 | |||
Payable to investment advisor and other affiliates (Note 3) | 809,543 | |||
Accounts payable and accrued expenses | 223,172 | |||
|
| |||
Total Liabilities | 12,230,669 | |||
|
| |||
NET ASSETS | $ | 780,464,568 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Accumulated net investment loss | $ | (5,991,272 | ) | |
Net unrealized appreciation on investments | 101,535,046 | |||
Accumulated net realized gain (loss) | (263,078,892 | ) | ||
Net capital paid in on shares of beneficial interest | 947,999,686 | |||
|
| |||
$ | 780,464,568 | |||
|
|
10 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 234,283,563 applicable to 8,980,189 shares of beneficial | $ | 26.09 | ||
Maximum sales charge, 4.50% of offering price | 1.23 | |||
|
| |||
Maximum offering price per share | $ | 27.32 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 176,422,424 applicable to 7,605,192 shares of beneficial interest outstanding - Note 4) | $ | 23.20 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 244,691,221 applicable to 8,853,234 shares of beneficial interest outstanding - Note 4) | $ | 27.64 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 70,309,729 applicable to 2,703,017 shares of beneficial interest outstanding - Note 4) | $ | 26.01 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($ 9,631,824 applicable to 367,757 shares of beneficial interest outstanding - Note 4) | $ | 26.19 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 45,125,807 applicable to 1,634,419 shares of beneficial interest outstanding - Note 4) | $ | 27.61 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 11
STATEMENT OF OPERATIONS | ||
Thornburg Core Growth Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $38,869) | $ | 3,853,701 | ||
Interest income | 169,969 | |||
|
| |||
Total Income | 4,023,670 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 7,531,695 | |||
Administration fees (Note 3) | ||||
Class A Shares | 336,137 | |||
Class C Shares | 248,625 | |||
Class I Shares | 131,008 | |||
Class R3 Shares | 106,290 | |||
Class R4 Shares | 13,376 | |||
Class R5 Shares | 28,536 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 671,565 | |||
Class C Shares | 1,987,827 | |||
Class R3 Shares | 424,320 | |||
Class R4 Shares | 26,488 | |||
Transfer agent fees | ||||
Class A Shares | 306,935 | |||
Class C Shares | 235,244 | |||
Class I Shares | 252,311 | |||
Class R3 Shares | 205,079 | |||
Class R4 Shares | 35,514 | |||
Class R5 Shares | 149,776 | |||
Registration and filing fees | ||||
Class A Shares | 12,927 | |||
Class C Shares | 22,878 | |||
Class I Shares | 29,238 | |||
Class R3 Shares | 24,225 | |||
Class R4 Shares | 24,184 | |||
Class R5 Shares | 22,273 | |||
Custodian fees (Note 3) | 112,970 | |||
Professional fees | 37,234 | |||
Accounting fees (Note 3) | 29,611 | |||
Trustee fees | 31,291 | |||
Other expenses | 124,871 | |||
|
| |||
Total Expenses | 13,162,428 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (585,865 | ) | ||
Fees paid indirectly (Note 3) | (335 | ) | ||
|
| |||
Net Expenses | 12,576,228 | |||
|
| |||
Net Investment Loss | $ | (8,552,558 | ) | |
|
|
12 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Core Growth Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | 69,175,296 | ||
Foreign currency transactions | 14,267 | |||
|
| |||
69,189,563 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (66,357,267 | ) | ||
|
| |||
Net Realized and Unrealized Gain | 2,832,296 | |||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (5,720,262 | ) | |
|
|
See notes to financial statements.
Annual Report 13
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Core Growth Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (8,552,558 | ) | $ | (10,129,703 | ) | ||
Net realized gain (loss) on investments and foreign currency transactions | 69,189,563 | 140,640,435 | ||||||
Net unrealized appreciation (depreciation) on investments | (66,357,267 | ) | (63,137,038 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,720,262 | ) | 67,373,694 | |||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (41,435,655 | ) | (25,983,897 | ) | ||||
Class C Shares | (21,544,509 | ) | 3,863,171 | |||||
Class I Shares | (4,425,232 | ) | 43,839,713 | |||||
Class R3 Shares | (20,360,037 | ) | (12,906,695 | ) | ||||
Class R4 Shares | (1,594,283 | ) | 71,357 | |||||
Class R5 Shares | (17,252,526 | ) | (5,268,662 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (112,332,504 | ) | 70,988,681 | |||||
NET ASSETS | ||||||||
Beginning of Year | 892,797,072 | 821,808,391 | ||||||
|
|
|
| |||||
End of Year | $ | 780,464,568 | $ | 892,797,072 | ||||
|
|
|
| |||||
Accumulated net investment loss | (5,991,272 | ) | (15,975,980 | ) |
See notes to financial statements.
14 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Core Growth Fund | September 30, 2015 |
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 twenty separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may bear a service fee, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing
Annual Report 15
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the
16 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | $ | 750,220,725 | $ | 750,220,725 | $ | — | $ | — | ||||||||
Short Term Investments | 40,813,895 | 40,813,895 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 791,034,620 | $ | 791,034,620 | $ | — | $ | — |
* | 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, it is the policy of the Fund to recognize transfers between levels and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015, 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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax laws. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld based on applicable laws and regulations, and industry convention.
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
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.
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 to the seller at an agreed upon price 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $29,611 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $23,921 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $12,669 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $154,065 for Class I shares, $242,372 for Class R3 shares, $45,132 for Class R4 shares, and $144,296 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $335.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 996,259 | $ | 28,022,370 | 2,726,720 | $ | 72,039,092 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (2,497,551 | ) | (69,458,025 | ) | (3,724,292 | ) | (98,022,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,501,292 | ) | $ | (41,435,655 | ) | (997,572 | ) | $ | (25,983,897 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 444,961 | $ | 10,904,013 | 1,473,844 | $ | 35,295,012 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,311,327 | ) | (32,448,522 | ) | (1,329,377 | ) | (31,431,841 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (866,366 | ) | $ | (21,544,509 | ) | 144,467 | $ | 3,863,171 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,813,121 | $ | 52,780,952 | 4,103,740 | $ | 115,390,413 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,961,775 | ) | (57,206,184 | ) | (2,581,075 | ) | (71,550,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (148,654 | ) | $ | (4,425,232 | ) | 1,522,665 | $ | 43,839,713 | ||||||||
|
|
|
|
|
|
|
|
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 400,614 | $ | 11,097,621 | 1,118,230 | $ | 29,400,891 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (1,138,031 | ) | (31,457,658 | ) | (1,605,481 | ) | (42,307,586 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (737,417 | ) | $ | (20,360,037 | ) | (487,251 | ) | $ | (12,906,695 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 161,503 | $ | 4,454,266 | 206,135 | $ | 5,433,989 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (219,673 | ) | (6,048,549 | ) | (200,662 | ) | (5,362,632 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (58,170 | ) | $ | (1,594,283 | ) | 5,473 | $ | 71,357 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 330,694 | $ | 9,632,579 | 821,533 | $ | 22,904,484 | ||||||||||
Shares issued to shareholders in Reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (914,591 | ) | (26,885,105 | ) | (1,034,832 | ) | (28,173,146 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (583,897 | ) | $ | (17,252,526 | ) | (213,299 | ) | $ | (5,268,662 | ) | ||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $800,474,104 and $864,810,294, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 689,891,316 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 148,561,597 | ||
Gross unrealized depreciation on a tax basis | (47,418,293 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 101,143,304 | ||
|
|
Temporary book tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses.
At September 30, 2015, the Fund had deferred tax basis late-year ordinary investment losses occurring subsequent to December 31, 2014 and capital losses occurring subsequent to October 31, 2014 through September 30, 2015 of $5,991,272 and $11,934,582, respectively. For tax purposes such losses will be reflected in the year ending September 30, 2016.
At September 30, 2015, the Fund did not have any undistributed tax basis net ordinary investment income or undistributed tax basis capital gains.
During the year ended September 30, 2015, the Fund utilized $81,265,749 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $250,752,568, generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire September 30, 2018.
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 |
In order to account for permanent book to tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $10,470,954, decreased accumulated net realized loss by $283,062, and decreased net investment loss by $10,187,892. Reclassifications have no impact upon the net asset value of the Fund and resulted primarily from nondeductible net operating losses, currency losses, and adjustments for an investment in a real estate investment trust (“REIT”).
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. Additionally, the Fund’s risk of loss may exceed the amounts recognized on the Statement of Assets and Liabilities.
During the year ended September 30, 2015, 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 small and mid-size 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 21
Thornburg Core Growth Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from | Dividends From Net Investment Income | Dividends | Total Dividends | Net Value End | 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 (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 26.44 | (0.26) | (0.09 | ) | (0.35) | — | — | — | $26.09 | (0.93 | ) | 1.39 | 1.39 | 1.39 | (1.32 | ) | 96.02 | $ | 234,284 | ||||||||||||||||||||||||||||||||
2014(b) | $ | 24.35 | (0.28) | 2.37 | 2.09 | — | — | — | $26.44 | (1.06 | ) | 1.40 | 1.40 | 1.40 | 8.58 | 100.62 | $ | 277,099 | ||||||||||||||||||||||||||||||||||
2013(b) | $ | 19.11 | (0.21) | 5.45 | 5.24 | — | — | — | $24.35 | (1.01 | ) | 1.45 | 1.45 | 1.45 | 27.42 | 91.92 | $ | 279,483 | ||||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 13.81 | (0.15) | (0.33 | ) | (0.48) | — | — | — | $13.33 | (0.96 | ) | 1.45 | 1.45 | 1.45 | (3.48 | ) | 80.53 | $ | 208,135 | ||||||||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.69 | (0.42) | (0.07 | ) | (0.49) | — | — | — | $23.20 | (1.69 | ) | 2.15 | 2.15 | 2.15 | (2.07 | ) | 96.02 | $ | 176,422 | ||||||||||||||||||||||||||||||||
2014 | $ | 21.98 | (0.43) | 2.14 | 1.71 | — | — | — | $23.69 | (1.81 | ) | 2.14 | 2.14 | 2.14 | 7.78 | 100.62 | $ | 200,664 | ||||||||||||||||||||||||||||||||||
2013 | $ | 17.38 | (0.34) | 4.94 | 4.60 | — | — | — | $21.98 | (1.76 | ) | 2.20 | 2.20 | 2.20 | 26.47 | 91.92 | $ | 182,999 | ||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.90 | (0.16) | (0.10 | ) | (0.26) | — | — | — | $27.64 | (0.53 | ) | 0.99 | 0.99 | 1.05 | (0.93 | ) | 96.02 | $ | 244,691 | ||||||||||||||||||||||||||||||||
2014 | $ | 25.59 | (0.18) | 2.49 | 2.31 | — | — | — | $27.90 | (0.65 | ) | 0.99 | 0.99 | 1.03 | 9.03 | 100.62 | $ | 251,122 | ||||||||||||||||||||||||||||||||||
2013 | $ | 19.99 | (0.12) | 5.72 | 5.60 | — | — | — | $25.59 | (0.55 | ) | 0.99 | 0.99 | 1.02 | 28.01 | 91.92 | $ | 191,358 | ||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class R3 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 26.39 | (0.29) | (0.09 | ) | (0.38) | — | — | — | $26.01 | (1.05 | ) | 1.50 | 1.50 | 1.79 | (1.44 | ) | 96.02 | $ | 70,310 | ||||||||||||||||||||||||||||||||
2014 | $ | 24.33 | (0.31) | 2.37 | 2.06 | — | — | — | $26.39 | (1.16 | ) | 1.50 | 1.50 | 1.80 | 8.47 | 100.62 | $ | 90,788 | ||||||||||||||||||||||||||||||||||
2013 | $ | 19.11 | (0.22) | 5.44 | 5.22 | — | — | — | $24.33 | (1.06 | ) | 1.50 | 1.50 | 1.79 | 27.32 | 91.92 | $ | 95,545 | ||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class R4 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 26.54 | (0.26) | (0.09 | ) | (0.35) | — | — | — | $26.19 | (0.94 | ) | 1.40 | 1.40 | 1.82 | (1.32 | ) | 96.02 | $ | 9,632 | ||||||||||||||||||||||||||||||||
2014 | $ | 24.44 | (0.28) | 2.38 | 2.10 | — | — | — | $26.54 | (1.06 | ) | 1.40 | 1.40 | 1.77 | 8.59 | 100.62 | $ | 11,306 | ||||||||||||||||||||||||||||||||||
2013 | $ | 19.18 | (0.20) | 5.46 | 5.26 | — | — | — | $24.44 | (0.96 | ) | 1.40 | 1.40 | 1.79 | 27.42 | 91.92 | $ | 10,277 | ||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Class R5 Shares | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 27.87 | (0.16) | (0.10 | ) | (0.26) | — | — | — | $27.61 | (0.54 | ) | 0.99 | 0.99 | 1.24 | (0.93 | ) | 96.02 | $ | 45,126 | ||||||||||||||||||||||||||||||||
2014 | $ | 25.56 | (0.18) | 2.49 | 2.31 | — | — | — | $27.87 | (0.65 | ) | 0.99 | 0.99 | 1.28 | 9.04 | 100.62 | $ | 61,818 | ||||||||||||||||||||||||||||||||||
2013 | $ | 19.97 | (0.12) | 5.71 | 5.59 | — | — | — | $25.56 | (0.55 | ) | 0.99 | 0.99 | 1.12 | 27.99 | 91.92 | $ | 62,146 | ||||||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
22 Annual Report | Annual Report 23 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Core Growth Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg Core Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Core Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
24 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Core Growth Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
ACTUAL EXPENSES
For each class of shares, the first line of the accompanying table 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 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 921.30 | $ | 6.67 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.13 | $ | 7.00 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 917.70 | $ | 10.39 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.23 | $ | 10.91 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 923.20 | $ | 4.77 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 920.70 | $ | 7.22 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.55 | $ | 7.59 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 921.20 | $ | 6.74 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.05 | $ | 7.08 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 923.10 | $ | 4.77 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.38%; C: 2.16%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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.
Annual Report 25
TRUSTEES AND OFFICERS | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held By Trustee | ||
INTERESTED TRUSTEES(1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
26 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 27
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held With Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held By Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
28 Annual Report
OTHER INFORMATION | ||
Thornburg Core Growth Fund | September 30, 2015 (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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Core Growth Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations,
Annual Report 29
OTHER INFORMATION, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
and business, market and economic conditions, (3) performance data for the ten most recent calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to two broad-based securities indices, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year, comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to two broad-based securities indices, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years considered by the Trustees in their evaluation showed that the Fund’s investment return for the most recent calendar year was lower than the return for the fund category and the two securities indices considered, the Fund’s returns for the preceding nine calendar years exceeded or were comparable to the returns for each of the two indices in seven of the nine years, and that the Fund’s returns exceeded the average returns of the fund category in six of nine years. Noted quantitative data further showed that the Fund’s annualized investment returns fell in the third quartile of performance of the two fund categories for the one-year period ending with the second quarter of the current year, and fell within the second quartile of investment performance of the two fund categories for the year-to-date, three-year, five-year and ten-year periods. Data presented to the Trustees also showed that the Fund’s annualized total return (net of expenses) since the Fund’s inception exceeded the annualized return of the Fund’s benchmark index. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee level was slightly higher than the median and average fee levels for the fund category, the level of total expense for one representative share class of the Fund was slightly higher than the median and average expense levels for the category, and that the level of total expense for a second representative share class was slightly lower than the median and average levels for the category. Peer group data showed that the Fund’s advisory fee level was higher than the median of each peer group and that the total expense levels for two representative share classes were above the medians of their peer groups, but that these levels were within the range of group fee and expense levels and generally comparable to a number of other funds in the groups. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense
30 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Core Growth Fund | September 30, 2015 (Unaudited) |
factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 31
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
32 Annual Report
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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 Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH082 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
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September 30, 2015
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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 |
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.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Fellow Shareholder:
The trailing fiscal year was marked by market rallies and corrections, a broad and significant decline in commodity prices, including oil, a massive strengthening of the U.S. dollar compared to a broad basket of developed and emerging market currencies, and extreme weakness in many emerging markets around the globe. The one-year period had been difficult, and we are happy to report that our growth portfolio provided some defense. For the fiscal year ended September 30, 2015, the Thornburg International Growth Fund returned negative 2.01% (Class A shares without sales charge), outperforming its benchmark, the MSCI ACWI ex-U.S. Growth Index, which lost 8.12%.
Taking a second to observe longer-term performance trends, it is interesting to note that since we launched this product in February of 2007, our benchmark is posting only a 8.58% total return over the entire period. The total return of the Fund over that same period is 69.11% (Class A shares without sales charge). We are very proud that we have been able to deliver an attractive return for shareholders during a long, challenging period for stocks. We believe the main reason we’ve had success over the long term as well as the previous year is the consistent application of our bottom-up process and philosophy. We spend our days searching for attractively priced, quality growth stocks. Through recessions and recoveries, geopolitical turmoil and relative calm, we follow the same mandate. Over the past year, our portfolio has been defensive not because we made a macro prediction or strategically over-weighted defensive sectors, but because we stayed focused on our bottom-up process. Stock selection drives the composition of our portfolio and ideally takes us to where growth and value reside at any given point in a market cycle. Our approach has worked over the long term and we will continue to strive to be consistent in its application.
That said, it’s worth looking under the hood to see what specifically has driven results over the past year. As fundamentally driven investors, we generally have a distaste for companies with opaque business models such as banks, and for businesses that are capital intensive and cyclical, such as energy and materials companies. That helped during the period as those have been weak areas of the market and we had little exposure to them. By the same token we tend to favor fast-growing technology companies and to be consistently overweight the sector. Being overweight did not help this period as the technology sector stocks were broadly in line with benchmark returns. However, our stock picking within technology was very good and a significant source of outperformance for us. From a sector perspective our biggest source of underperformance was industrials, where we had a similar amount of exposure as the benchmark but were hurt by poor performance in a handful of stocks, many of which are tied to emerging 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 1.33%, as disclosed in the most recent prospectus.
As always the primary driver of our performance is the stocks we choose to own. Below is a discussion of our top five contributors and detractors for the year.
Top 5 Contributors
• | Constellation Software – Constellation Software is a combination of a large number of small, diverse software companies mainly built via acquisition. They target mission-critical software providers, but often with small addressable markets. Typically these companies are too small for larger software companies or private equity to be interested, leaving the founders with no exit strategy other than to sell to Constellation at an attractive valuation. Given its diversification, Constellation tends to deliver steady growth. |
• | Rightmove – Rightmove is an online real estate portal in the United Kingdom. The stock had been weak as a new competitor entered the market. Rightmove’s stock bounced after it became clear that the new competitor would have only a minor impact on Rightmove’s business. We continue to believe that Rightmove is and will be the dominant real estate website in the U.K. |
• | Wirecard – Wirecard is an online payments processor based in Germany. The company collects a fee on e-commerce transactions it processes for its customers. Online retail continues to take share from offline, creating a natural growth tailwind. In addition, Wirecard continues to take share in its core European market, while expanding into Asia. |
• | Catamaran – Catamaran is a PBM (pharmacy benefit manager). PBMs aggregate patients within their system to have more bargaining power against the pharmaceutical manufacturers and ultimately reduce the health care system costs. Catamaran was acquired by United Health during the period. |
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LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
• | Valeant Pharmaceuticals – Valeant Pharmaceuticals had been a long-term holding and a strong performer, including during the fiscal year. For years the company delivered a well-executed acquisition strategy buying under managed assets and improving them thru more aggressive sales and cost cutting. However, recently some of Valeant’s tactics have been called into question creating significant controversy. As a result we sold the position. |
Top 5 Detractors
• | Stratasys – Stratasys manufactures printers that allow people and businesses to print three-dimensional objects on the spot. Long-term, the company has significant growth potential given the large opportunity in both commercial settings and with a broader consumer base. The stock price weakened when the company failed to meet high growth expectations. |
• | boohoo.com – boohoo is a U.K.-based online fashion retailer focused on fashion forward 16-24 year olds, offering exclusive yet affordable apparel. The company went public in March and we purchased the stock because we saw an attractive opportunity to own a fast-growing company at a clear valuation discount to peers. The stock underperformed when results came in below expectations. |
• | Edenred – Edenred mainly offers employee benefit and expense management solutions. It essentially operates a closed loop payment network allowing companies to better manage costs, governments to better track employment and companies to offer more attractive perquisites. A large portion of the business is exposed to Latin America, specifically Brazil, which has suffered with declines in the Brazilian currency. |
• | Concordia Healthcare Corp. – Stocks across the entire pharmaceutical and biotech space have come under selling pressure over the past several weeks. Politicians have been highlighting some unpopular pricing practices undertaken by some pharmaceutical companies and have called for reforms, mainly some sort of pricing restrictions that would likely weigh on profitability. The increased uncertainty has led to a compression of multiples in the sector. |
• | Galaxy Entertainment Group – Galaxy performed poorly during the period as the Macau casinos saw a noticeable slowdown in gaming revenues. The slowdown was likely driven by China’s lackluster economy and the continued crackdown on corruption, which has reduced conspicuous consumption and visitor traffic from the mainland. |
We don’t pretend to know what the future holds, but we are always excited by the prospect of identifying and owning strong businesses with attractive growth prospects, and combining them in a diversified portfolio. Through periods of market calm or turmoil we remain focused on this goal.
Thank you for investing alongside us in the Thornburg International Growth Fund.
Sincerely,
Greg Dunn Managing Director Portfolio Manager |
Tim Cunningham, CFA Managing Director Portfolio Manager |
The matters discussed in this report may constitute forward-looking statements made pursuant to the safe harbor provisions of the Securities Litigation Reform Act of 1995. These include any advisor or portfolio manager prediction, assessment, analysis or outlook for individual securities, industries, investment styles, market sectors and/or markets. These statements involve risks and uncertainties. In addition to the general risks described for each fund in its current prospectus, other factors bearing on these reports include the accuracy of the advisor’s or portfolio manager’s forecasts and predictions, the appropriateness of the investment strategies designed by the advisor or portfolio manager and the ability of the advisor or portfolio manager to implement their strategies efficiently and successfully. Any one or more of these factors, as well as other risks affecting the securities markets generally, could cause the actual results of any fund to differ materially as compared to its benchmarks.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
PERFORMANCE SUMMARY | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1 Yr | 3 Yrs | 5 Yrs | Since Incep. | |||||||||||||
Class A Shares (Incep: 2/1/07) | ||||||||||||||||
Without sales charge | (2.01 | %) | 6.81 | % | 9.50 | % | 6.25 | % | ||||||||
With sales charge | (6.42 | %) | 5.19 | % | 8.49 | % | 5.69 | % | ||||||||
Class C Shares (Incep: 2/1/07) | ||||||||||||||||
Without sales charge | (2.72 | %) | 6.01 | % | 8.67 | % | 5.53 | % | ||||||||
With sales charge | (3.64 | %) | 6.01 | % | 8.67 | % | 5.53 | % | ||||||||
Class I Shares (Incep: 2/1/07) | (1.58 | %) | 7.24 | % | 9.99 | % | 6.82 | % | ||||||||
Class R3 Shares (Incep: 2/1/08) | (2.03 | %) | 6.72 | % | 9.43 | % | 4.65 | % | ||||||||
Class R4 Shares (Incep: 2/1/08) | (1.97 | %) | 6.83 | % | 9.57 | % | 4.75 | % | ||||||||
Class R5 Shares (Incep: 2/1/08) | (1.53 | %) | 7.26 | % | 10.00 | % | 5.17 | % | ||||||||
Class R6 Shares (Incep: 2/1/13) | (1.43 | %) | — | — | 4.88 | % | ||||||||||
MSCI AC World ex-U.S. Growth Index (Since 2/1/07) | (8.12 | %) | 3.63 | % | 2.74 | % | 0.96 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, R5, and R6 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.33%; C shares, 2.09%; I shares, 0.98%; R3 shares, 1.86%; R4 shares, 1.63%; R5 shares, 1.18%; R6 shares, 1.34%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: R3 shares, 1.50%; R4 shares, 1.40%; R5 shares, 0.99%; R6 shares, 0.89%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
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.
Best International Multi-Cap Growth Fund
2015 – | Class I shares for the five-year period ended 11/30/14, among 300 funds. | |
2014 – | Class I shares for the three-year period ended 11/30/13, among 312 funds. | |
Class I shares for the five-year period ended 11/30/13, among 276 funds. | ||
2013 – | Class I shares for the three-year period ended 11/30/12, among 264 funds. | |
Class I shares for the five-year period ended 11/30/12, among 205 funds. |
Lipper Fund Awards are granted annually to the fund in each Lipper classification that consistently delivered the strongest risk-adjusted performance (calculated with dividends reinvested and without sales charges). Thornburg did not win the awards for any 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.
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.
Multiple – A valuation multiple reflects an investment’s market value relative to some key metric. Price to earnings ratio (P/E) is a commonly used multiple. It’s calculated by dividing a stock’s price by the company’s earnings per share.
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FUND SUMMARY | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.
The Fund normally invests at least 75% of its assets in foreign securities or depositary receipts of foreign securities. However, the Fund may own a variety of securities, including domestic equity securities, partnership interests, and debt obligations. The Fund may also invest in developing countries and in smaller companies with market capitalizations of less than $500 million.
Market Capitalization Exposure
Basket Structure
Top Ten Equity Holdings
Optimal Payments plc | 4.9 | % | ||
Wirecard AG | 3.2 | % | ||
Nielsen Holdings plc | 2.9 | % | ||
REA Group Ltd. | 2.8 | % | ||
Partners Group Holding AG | 2.7 | % | ||
Ingenico S.A. | 2.7 | % | ||
MasterCard, Inc. | 2.5 | % | ||
Experian plc | 2.5 | % | ||
ARM Holdings plc | 2.4 | % | ||
Schroders plc | 2.3 | % |
There is no guarantee that the Fund will meet its investment objectives.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Sector Exposure
Information Technology | 27.3 | % | ||
Financials | 17.4 | % | ||
Consumer Discretionary | 17.1 | % | ||
Industrials | 13.0 | % | ||
Health Care | 8.4 | % | ||
Consumer Staples | 8.3 | % | ||
Materials | 1.9 | % | ||
Energy | 1.5 | % | ||
Other Assets Less Liabilities | 5.0 | % |
Top Ten Industry Groups
Software & Services | 18.9 | % | ||
Diversified Financials | 13.7 | % | ||
Commercial & Professional Services | 9.4 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 8.4 | % | ||
Retailing | 7.9 | % | ||
Technology Hardware & Equipment | 5.9 | % | ||
Food, Beverage & Tobacco | 5.5 | % | ||
Consumer Services | 4.2 | % | ||
Media | 3.8 | % | ||
Food & Staples Retailing | 2.9 | % |
Country Exposure*
(percent of equity holdings)
United Kingdom | 29.7 | % | ||
United States | 11.4 | % | ||
France | 9.2 | % | ||
Canada | 7.8 | % | ||
Japan | 5.7 | % | ||
China | 5.4 | % | ||
Australia | 4.4 | % | ||
Mexico | 4.2 | % | ||
Germany | 3.4 | % | ||
Sweden | 2.8 | % | ||
Switzerland | 2.8 | % | ||
India | 2.3 | % | ||
Spain | 2.3 | % | ||
Ireland | 1.7 | % | ||
Costa Rica | 1.6 | % | ||
South Korea | 1.5 | % | ||
Italy | 1.3 | % | ||
Turkey | 1.2 | % | ||
Brazil | 0.8 | % | ||
Argentina | 0.3 | % | ||
Russia | 0.2 | % |
* | The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
Annual Report 7
SCHEDULE OF INVESTMENTS | ||
Thornburg International Growth Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 95.00% | ||||||||
CAPITAL GOODS — 2.16% | ||||||||
Electrical Equipment — 1.34% | ||||||||
Schneider Electric SE | 367,418 | $ | 20,531,742 | |||||
Machinery — 0.82% | ||||||||
a Arcam AB | 720,034 | 12,667,340 | ||||||
|
| |||||||
33,199,082 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 9.47% | ||||||||
Commercial Services & Supplies — 2.32% | ||||||||
Edenred | 2,181,357 | 35,574,545 | ||||||
Professional Services — 7.15% | ||||||||
Experian plc | 2,382,100 | 38,125,246 | ||||||
Intertek Group plc | 722,979 | 26,587,509 | ||||||
Nielsen Holdings plc | 1,011,119 | 44,964,462 | ||||||
|
| |||||||
145,251,762 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 1.20% | ||||||||
Textiles, Apparel & Luxury Goods — 1.20% | ||||||||
Gildan Activewear, Inc. | 608,339 | 18,347,504 | ||||||
|
| |||||||
18,347,504 | ||||||||
|
| |||||||
CONSUMER SERVICES — 4.24% | ||||||||
Hotels, Restaurants & Leisure — 4.24% | ||||||||
Galaxy Entertainment Group Ltd. | 8,048,700 | 20,459,144 | ||||||
Whitbread plc | 408,490 | 28,845,580 | ||||||
William Hill plc | 2,960,354 | 15,709,785 | ||||||
|
| |||||||
65,014,509 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 13.66% | ||||||||
Capital Markets — 10.22% | ||||||||
Hargreaves Lansdown plc | 1,897,460 | 34,645,506 | ||||||
Nomura Holdings, Inc. | 5,303,463 | 30,419,813 | ||||||
Partners Group Holding AG | 120,325 | 40,772,965 | ||||||
Schroders plc | 842,134 | 35,733,954 | ||||||
WisdomTree Investments, Inc. | 934,265 | 15,069,694 | ||||||
Consumer Finance — 1.02% | ||||||||
a First Cash Financial Services, Inc. | 391,115 | 15,668,067 | ||||||
Diversified Financial Services — 2.42% | ||||||||
BM&F Bovespa SA | 4,097,203 | 11,450,879 | ||||||
Japan Exchange Group, Inc. | 1,772,674 | 25,666,942 | ||||||
|
| |||||||
209,427,820 | ||||||||
|
| |||||||
ENERGY — 1.53% | ||||||||
Oil, Gas & Consumable Fuels — 1.53% | ||||||||
Exxon Mobil Corp. | 106,500 | 7,918,275 | ||||||
a Lundin Petroleum AB | 621,200 | 8,000,688 | ||||||
Total SA | 166,600 | 7,483,583 | ||||||
|
| |||||||
23,402,546 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 2.86% | ||||||||
Food & Staples Retailing — 2.86% | ||||||||
PriceSmart, Inc. | 297,905 | 23,039,973 | ||||||
Wal-Mart de Mexico S.A.B. de C.V. | 8,409,615 | 20,749,312 | ||||||
|
| |||||||
43,789,285 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 5.46% | ||||||||
Beverages — 3.29% | ||||||||
Coca Cola Icecek AS | 1,518,662 | 17,368,472 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 280,600 | 25,043,550 | ||||||
Remy Cointreau SA | 123,881 | 8,121,370 | ||||||
Tobacco — 2.17% | ||||||||
ITC Ltd. | 6,628,601 | 33,223,792 | ||||||
|
| |||||||
83,757,184 | ||||||||
|
| |||||||
INSURANCE — 1.80% | ||||||||
Insurance — 1.80% | ||||||||
St. James’s Place plc | 2,145,544 | 27,588,199 | ||||||
|
| |||||||
27,588,199 | ||||||||
|
|
8 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
MATERIALS — 1.94% | ||||||||
Chemicals — 1.94% | ||||||||
International Flavors & Fragrances, Inc. | 287,429 | $ | 29,679,919 | |||||
|
| |||||||
29,679,919 | ||||||||
|
| |||||||
MEDIA — 3.82% | ||||||||
Media — 3.82% | ||||||||
REA Group Ltd. | 1,397,322 | 43,468,195 | ||||||
Rightmove plc | 274,907 | 15,170,770 | ||||||
|
| |||||||
58,638,965 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 8.38% | ||||||||
Biotechnology — 2.17% | ||||||||
Grifols S.A. | 613,959 | 25,311,355 | ||||||
Grifols S.A. ADR | 261,495 | 7,949,448 | ||||||
Life Sciences Tools & Services — 1.42% | ||||||||
Eurofins Scientific | 70,887 | 21,758,741 | ||||||
Pharmaceuticals — 4.79% | ||||||||
a Allergan plc | 90,685 | 24,649,090 | ||||||
Concordia Healthcare Corp. | 439,180 | 18,738,785 | ||||||
a Valeant Pharmaceuticals International, Inc. | 168,916 | 30,131,236 | ||||||
|
| |||||||
128,538,655 | ||||||||
|
| |||||||
REAL ESTATE — 1.95% | ||||||||
Real Estate Management & Development — 1.95% | ||||||||
Foxtons Group plc | 8,350,445 | 29,963,415 | ||||||
|
| |||||||
29,963,415 | ||||||||
|
| |||||||
RETAILING — 7.86% | ||||||||
Internet & Catalog Retail — 6.85% | ||||||||
a ASOS plc | 522,822 | 21,860,440 | ||||||
a Ctrip.com International, Ltd. ADR | 200,910 | 12,693,494 | ||||||
a JD.com, Inc. ADR | 359,565 | 9,370,264 | ||||||
a priceline.com, Inc. | 24,960 | 30,872,025 | ||||||
a Vipshop Holdings Ltd. ADR | 649,835 | 10,917,228 | ||||||
a YOOX S.p.A | 642,136 | 19,301,355 | ||||||
Specialty Retail — 1.01% | ||||||||
AutoCanada, Inc. | 799,750 | 15,497,591 | ||||||
|
| |||||||
120,512,397 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.42% | ||||||||
Semiconductors & Semiconductor Equipment — 2.42% | ||||||||
ARM Holdings plc | 2,592,887 | 37,164,630 | ||||||
|
| |||||||
37,164,630 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 18.93% | ||||||||
Information Technology Services — 10.82% | ||||||||
MasterCard, Inc. | 428,628 | 38,627,955 | ||||||
a Optimal Payments plc | 15,492,640 | 75,524,066 | ||||||
QIWI plc ADR | 157,174 | 2,533,645 | ||||||
Wirecard AG | 1,030,561 | 49,176,876 | ||||||
Internet Software & Services — 5.15% | ||||||||
a Baidu, Inc. ADR | 100,230 | 13,772,604 | ||||||
carsales.com Ltd. | 3,101,321 | 21,267,510 | ||||||
Kakaku.com, Inc. | 1,672,202 | 26,958,185 | ||||||
MercadoLibre, Inc. | 54,288 | 4,943,465 | ||||||
Tencent Holdings Ltd. | 724,592 | 12,107,621 | ||||||
Software — 2.96% | ||||||||
Constellation Software, Inc. | 73,870 | 30,962,296 | ||||||
Solera Holdings, Inc. | 267,682 | 14,454,828 | ||||||
|
| |||||||
290,329,051 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 5.94% | ||||||||
Electronic Equipment, Instruments & Components — 4.00% | ||||||||
Hexagon AB | 676,609 | 20,637,910 | ||||||
Ingenico S.A. | 338,191 | 40,737,026 | ||||||
Technology, Hardware, Storage & Peripherals — 1.94% | ||||||||
Apple, Inc. | 269,796 | 29,758,499 | ||||||
|
| |||||||
91,133,435 | ||||||||
|
|
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
TRANSPORTATION — 1.38% | ||||||||
Air Freight & Logistics — 1.38% | ||||||||
Hyundai Glovis Co. Ltd. | 111,710 | $ | 21,111,144 | |||||
|
| |||||||
21,111,144 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $1,417,244,069) | 1,456,849,502 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 7.47% | ||||||||
b Thornburg Capital Management Fund | 11,457,937 | 114,579,367 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $114,579,367) | 114,579,367 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.47% (Cost $1,531,823,436) | $ | 1,571,428,869 | ||||||
LIABILITIES NET OF OTHER ASSETS — (2.47)% | (37,952,890 | ) | ||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 1,533,475,979 | ||||||
|
|
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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 27,608,723 | 16,150,786 | 11,457,937 | $ | 114,579,367 | $ | 65,732 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 114,579,367 | $ | 65,732 | $ | — | |||||||||||||||||||||||
|
|
|
|
|
|
Total non-controlled affiliated issuers – 7.47% of net assets
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depositary Receipt |
See notes to financial statements.
10 Annual Report
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Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg International Growth Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $1,531,823,436) (Note 2) | $ | 1,571,428,869 | ||
Cash denominated in foreign currency (cost $738,932) | 737,688 | |||
Receivable for investments sold | 7,029,556 | |||
Receivable for fund shares sold | 2,327,850 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 216,487 | |||
Dividends receivable | 2,152,321 | |||
Dividend and interest reclaim receivable | 756,111 | |||
Prepaid expenses and other assets | 67,940 | |||
|
| |||
Total Assets | 1,584,716,822 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 43,241,532 | |||
Payable for fund shares redeemed | 4,460,685 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 1,836,703 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,201,870 | |||
Deferred taxes payable | 1,546 | |||
Accounts payable and accrued expenses | 498,507 | |||
|
| |||
Total Liabilities | 51,240,843 | |||
|
| |||
NET ASSETS | $ | 1,533,475,979 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 590,281 | ||
Net unrealized appreciation on investments | 37,911,768 | |||
Accumulated net realized gain (loss) | (36,441,752 | ) | ||
Net capital paid in on shares of beneficial interest | 1,531,415,682 | |||
|
| |||
$ | 1,533,475,979 | |||
|
|
12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($220,896,725 applicable to 12,424,972 shares of beneficial interest outstanding - Note 4) | $ | 17.78 | ||
Maximum sales charge, 4.50% of offering price | 0.84 | |||
|
| |||
Maximum offering price per share | $ | 18.62 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($108,062,067 applicable to 6,352,871 shares of beneficial interest outstanding - Note 4) | $ | 17.01 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($1,079,791,782 applicable to 59,318,521 shares of beneficial interest outstanding - Note 4) | $ | 18.20 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($15,851,009 applicable to 897,537 shares of beneficial interest outstanding - Note 4) | $ | 17.66 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($38,037,853 applicable to 2,151,215 shares of beneficial interest outstanding - Note 4) | $ | 17.68 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($66,645,904 applicable to 3,651,926 shares of beneficial interest outstanding - Note 4) | $ | 18.25 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($4,190,639 applicable to 229,155 shares of beneficial interest outstanding - Note 4) | $ | 18.29 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg International Growth Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $1,108,836) | $ | 23,658,025 | ||
Interest income | 258,864 | |||
|
| |||
Total Income | 23,916,889 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 13,580,506 | |||
Administration fees (Note 3) | ||||
Class A Shares | 354,756 | |||
Class C Shares | 154,965 | |||
Class I Shares | 561,478 | |||
Class R3 Shares | 25,764 | |||
Class R4 Shares | 51,029 | |||
Class R5 Shares | 34,651 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 709,511 | |||
Class C Shares | 1,237,982 | |||
Class R3 Shares | 102,747 | |||
Class R4 Shares | 101,849 | |||
Transfer agent fees | ||||
Class A Shares | 490,338 | |||
Class C Shares | 173,753 | |||
Class I Shares | 1,057,499 | |||
Class R3 Shares | 79,999 | |||
Class R4 Shares | 148,044 | |||
Class R5 Shares | 178,066 | |||
Class R6 Shares | 2,313 | |||
Registration and filing fees | ||||
Class A Shares | 35,756 | |||
Class C Shares | 89,629 | |||
Class I Shares | 72,560 | |||
Class R3 Shares | 22,085 | |||
Class R4 Shares | 22,290 | |||
Class R5 Shares | 23,185 | |||
Class R6 Shares | 25,206 | |||
Custodian fees (Note 3) | 321,615 | |||
Professional fees | 113,917 | |||
Accounting fees (Note 3) | 61,410 | |||
Trustee fees | 59,185 | |||
Other expenses | 203,482 | |||
|
| |||
Total Expenses | 20,095,570 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (648,282 | ) | ||
Fees paid indirectly (Note 3) | (605 | ) | ||
|
| |||
Net Expenses | 19,446,683 | |||
|
| |||
Net Investment Income | $ | 4,470,206 | ||
|
|
14 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg International Growth Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (7,376,261 | ) | |
Forward currency contracts (Note 7) | 28,463,555 | |||
Foreign currency transactions | (867,372 | ) | ||
|
| |||
20,219,922 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $388,177) | (44,070,468 | ) | ||
Forward currency contracts (Note 7) | (12,794,919 | ) | ||
Foreign currency translations | 28,398 | |||
|
| |||
(56,836,989 | ) | |||
|
| |||
Net Realized and Unrealized Loss | (36,617,067 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (32,146,861 | ) | |
|
|
See notes to financial statements.
Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg International Growth Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 4,470,206 | $ | 5,013,784 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 20,219,922 | 66,096,987 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | (56,836,989 | ) | (194,644,609 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (32,146,861 | ) | (123,533,838 | ) | ||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class I Shares | (3,138,933 | ) | (4,077,687 | ) | ||||
Class R5 Shares | (189,313 | ) | (236,274 | ) | ||||
Class R6 Shares | (16,090 | ) | (16,448 | ) | ||||
From realized gains | ||||||||
Class A Shares | (15,965,821 | ) | (17,999,580 | ) | ||||
Class C Shares | (7,113,275 | ) | (3,700,916 | ) | ||||
Class I Shares | (60,990,387 | ) | (22,590,256 | ) | ||||
Class R3 Shares | (1,180,199 | ) | (398,754 | ) | ||||
Class R4 Shares | (1,967,801 | ) | (774,775 | ) | ||||
Class R5 Shares | (3,451,556 | ) | (1,254,132 | ) | ||||
Class R6 Shares | (216,084 | ) | (76,351 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (269,211,981 | ) | (23,243,109 | ) | ||||
Class C Shares | (28,226,569 | ) | 43,629,520 | |||||
Class I Shares | (2,150,772 | ) | 533,515,434 | |||||
Class R3 Shares | (5,749,165 | ) | 10,404,825 | |||||
Class R4 Shares | 2,288,498 | 15,436,358 | ||||||
Class R5 Shares | 2,395,126 | 32,771,453 | ||||||
Class R6 Shares | 551,299 | 1,732,060 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (426,479,884 | ) | 439,587,530 | |||||
NET ASSETS | ||||||||
Beginning of Year | 1,959,955,863 | 1,520,368,333 | ||||||
|
|
|
| |||||
End of Year | $ | 1,533,475,979 | $ | 1,959,955,863 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 590,281 | $ | 332,302 |
See notes to financial statements.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg International Growth Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg International Growth Fund (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 twenty 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: 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 and Class R5 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 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is no longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 1,456,849,502 | $ | 1,456,849,502 | $ | — | $ | — | ||||||||
Short Term Investments | 114,579,367 | 114,579,367 | — | — | ||||||||||||
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| |||||||||
Total Investments in Securities | $ | 1,571,428,869 | $ | 1,571,428,869 | $ | — | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 216,487 | $ | — | $ | 216,487 | $ | — | ||||||||
Spot Currency | $ | 10,503 | $ | 10,503 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (1,836,703 | ) | $ | — | $ | (1,836,703 | ) | $ | — | ||||||
Spot Currency | $ | (13,758 | ) | $ | (13,758 | ) | $ | — | $ | — |
* | 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, which may include 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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015, 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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessments of a jurisdiction’s legal
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $61,410 to the Advisor for these services. The Trust has also entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares (except for Class R6 shares, which do not have an administrative services agreement) 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.
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $18,096 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $49,768 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 (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor voluntarily waived $274,053 for Class I shares and contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $99,011 for Class R3 shares, $102,905 for Class R4 shares, $146,253 for Class R5 shares, and $26,060 for Class R6 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 year ended September 30, 2015, fees paid indirectly were $605.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,316,312 | $ | 63,027,736 | 19,478,383 | $ | 406,362,238 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 805,337 | 14,850,417 | 810,018 | 16,767,379 | ||||||||||||
Shares repurchased | (18,297,115 | ) | (347,090,134 | ) | (21,931,930 | ) | (446,372,726 | ) | ||||||||
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| |||||||||
Net increase (decrease) | (14,175,466 | ) | $ | (269,211,981 | ) | (1,643,529 | ) | $ | (23,243,109 | ) | ||||||
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Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,000,742 | $ | 18,106,596 | 3,773,764 | $ | 76,464,884 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 348,284 | 6,189,006 | 158,203 | 3,184,629 | ||||||||||||
Shares repurchased | (2,929,423 | ) | (52,522,171 | ) | (1,817,777 | ) | (36,019,993 | ) | ||||||||
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Net increase (decrease) | (1,580,397 | ) | $ | (28,226,569 | ) | 2,114,190 | $ | 43,629,520 | ||||||||
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Class I Shares | ||||||||||||||||
Shares sold | 28,739,621 | $ | 556,653,254 | 44,346,455 | $ | 939,821,434 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 3,121,242 | 58,816,576 | 1,114,267 | 23,322,178 | ||||||||||||
Shares repurchased | (32,575,817 | ) | (617,620,602 | ) | (20,611,781 | ) | (429,628,178 | ) | ||||||||
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Net increase (decrease) | (714,954 | ) | $ | (2,150,772 | ) | 24,848,941 | $ | 533,515,434 | ||||||||
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Class R3 Shares | ||||||||||||||||
Shares sold | 437,924 | $ | 8,250,207 | 869,661 | $ | 17,646,641 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 57,359 | 1,051,381 | 15,665 | 323,012 | ||||||||||||
Shares repurchased | (794,860 | ) | (15,050,753 | ) | (371,512 | ) | (7,564,828 | ) | ||||||||
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Net increase (decrease) | (299,577 | ) | $ | (5,749,165 | ) | 513,814 | $ | 10,404,825 | ||||||||
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Class R4 Shares | ||||||||||||||||
Shares sold | 856,027 | $ | 16,247,799 | 1,507,249 | $ | 31,205,477 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 76,525 | 1,403,461 | 27,047 | 557,168 | ||||||||||||
Shares repurchased | (811,713 | ) | (15,362,762 | ) | (797,079 | ) | (16,326,287 | ) | ||||||||
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Net increase (decrease) | 120,839 | $ | 2,288,498 | 737,217 | $ | 15,436,358 | ||||||||||
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Class R5 Shares | ||||||||||||||||
Shares sold | 1,035,688 | $ | 20,181,653 | 2,818,225 | $ | 60,515,504 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 192,484 | 3,636,644 | 70,939 | 1,488,221 | ||||||||||||
Shares repurchased | (1,116,192 | ) | (21,423,171 | ) | (1,405,797 | ) | (29,232,272 | ) | ||||||||
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Net increase (decrease) | 111,980 | $ | 2,395,126 | 1,483,367 | $ | 32,771,453 | ||||||||||
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Class R6 Shares | ||||||||||||||||
Shares sold | 174,955 | $ | 3,437,664 | 138,776 | $ | 2,965,917 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 12,269 | 232,174 | 4,421 | 92,799 | ||||||||||||
Shares repurchased | (159,642 | ) | (3,118,539 | ) | (62,896 | ) | (1,326,656 | ) | ||||||||
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Net increase (decrease) | 27,582 | $ | 551,299 | 80,301 | $ | 1,732,060 | ||||||||||
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NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $1,473,858,110 and $1,859,002,263, respectively.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 1,533,682,011 | ||
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| |||
Gross unrealized appreciation on a tax basis | $ | 169,291,687 | ||
Gross unrealized depreciation on a tax basis | (131,544,829 | ) | ||
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Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 37,746,858 | ||
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Temporary book tax adjustments to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $36,203,393, (of which $36,203,393 are short-term and $0 are long-term) generated after September 30, 2011, 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.
In order to account for permanent book to tax differences, the Fund decreased accumulated net realized losses by $867,891, and decreased undistributed net investment income by $867,891. Reclassifications have no impact upon the net asset value of the Fund and result primarily from foreign currency gains (losses) and redesignation of distributions.
At September 30, 2015, the Fund had $577,420 of undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the year ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 3,344,992 | $ | 22,440,924 | ||||
Capital gains | 90,884,467 | 28,684,249 | ||||||
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Total | $ | 94,229,459 | $ | 51,125,173 | ||||
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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 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 year ended September 30, 2015, 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’s 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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.
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
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 value of open sell currency contracts for the year ended September 30, 2015 was $206,024,984. 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 the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
Yuan Renminbi | Buy | 187,059,300 | 02/16/2016 | 28,982,892 | $ | 216,487 | $ | — | ||||||||||||||
Yuan Renminbi | Sell | 572,962,800 | 02/16/2016 | 88,774,623 | — | (1,682,326 | ) | |||||||||||||||
Euro | Sell | 48,305,600 | 12/11/2015 | 54,039,273 | — | (154,377 | ) | |||||||||||||||
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Total | $ | 216,487 | $ | (1,836,703 | ) | |||||||||||||||||
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Net unrealized appreciation (depreciation) | $ | (1,620,216 | ) | |||||||||||||||||||
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The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other. Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 216,487 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (1,836,703 | ) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $1,620,216. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 28,463,555 | $ | 28,463,555 | ||||
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (12,794,919 | ) | $ | (12,794,919 | ) |
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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 25
Thornburg International Growth Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Period) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless Otherwise Noted, Periods Fiscal 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 Value | 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 | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||
CLASS A SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 19.10 | (0.01 | ) | (0.33 | ) | (0.34 | ) | — | (0.98 | ) | (0.98 | ) | $17.78 | (0.06 | ) | 1.42 | 1.42 | 1.42 | (2.01 | ) | 92.01 | $ | 220,897 | ||||||||||||||||||||||||||||||||
2014(b) | $ | 20.54 | 0.02 | (0.89 | ) | (0.87 | ) | — | (0.57 | ) | (0.57 | ) | $19.10 | 0.07 | 1.33 | 1.33 | 1.33 | (4.46 | ) | 106.18 | $ | 508,044 | ||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.78 | (0.01 | ) | 4.77 | 4.76 | — | — | — | $20.54 | (0.06 | ) | 1.41 | 1.41 | 1.42 | 30.16 | 89.17 | $ | 580,194 | |||||||||||||||||||||||||||||||||||||
2012(b) | $ | 13.37 | (0.06 | ) | 2.47 | 2.41 | — | (c) | — | — | $15.78 | (0.41 | ) | 1.51 | 1.51 | 1.52 | 18.03 | 95.17 | $ | 255,725 | ||||||||||||||||||||||||||||||||||||
2011(b) | $ | 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 | |||||||||||||||||||||||||||||||||||||
CLASS C SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.45 | (0.14 | ) | (0.32 | ) | (0.46 | ) | — | (0.98 | ) | (0.98 | ) | $17.01 | (0.77 | ) | 2.20 | 2.20 | 2.20 | (2.72 | ) | 92.01 | $ | 108,062 | ||||||||||||||||||||||||||||||||
2014 | $ | 20.01 | (0.13 | ) | (0.86 | ) | (0.99 | ) | — | (0.57 | ) | (0.57 | ) | $18.45 | (0.65 | ) | 2.09 | 2.09 | 2.09 | (5.19 | ) | 106.18 | $ | 146,399 | ||||||||||||||||||||||||||||||||
2013 | $ | 15.49 | (0.14 | ) | 4.66 | 4.52 | — | — | — | $20.01 | (0.81 | ) | 2.15 | 2.15 | 2.17 | 29.18 | 89.17 | $ | 116,453 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
CLASS I SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.51 | 0.09 | (0.37 | ) | (0.28 | ) | (0.05 | ) | (0.98 | ) | (1.03 | ) | $18.20 | 0.47 | 0.99 | 0.99 | 1.01 | (1.58 | ) | 92.01 | $ | 1,079,791 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.96 | 0.10 | (0.91 | ) | (0.81 | ) | (0.07 | ) | (0.57 | ) | (0.64 | ) | $19.51 | 0.47 | 0.98 | 0.98 | 0.98 | (4.09 | ) | 106.18 | $ | 1,171,032 | |||||||||||||||||||||||||||||||||
2013 | $ | 16.04 | 0.07 | 4.85 | 4.92 | — | — | — | $20.96 | 0.38 | 0.99 | 0.99 | 1.04 | 30.67 | 89.17 | $ | 737,536 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
CLASS R3 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.99 | (0.02 | ) | (0.33 | ) | (0.35 | ) | — | (0.98 | ) | (0.98 | ) | $17.66 | (0.13 | ) | 1.50 | 1.50 | 1.98 | (2.03 | ) | 92.01 | $ | 15,851 | ||||||||||||||||||||||||||||||||
2014 | $ | 20.46 | — | (d) | (0.90 | ) | (0.90 | ) | — | (0.57 | ) | (0.57 | ) | $18.99 | — | (e) | 1.50 | 1.50 | 1.86 | (4.63 | ) | 106.18 | $ | 22,739 | ||||||||||||||||||||||||||||||||
2013 | $ | 15.73 | (0.03 | ) | 4.76 | 4.73 | — | — | — | $20.46 | (0.15 | ) | 1.50 | 1.50 | 2.01 | 30.07 | 89.17 | $ | 13,982 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 13.34 | (0.06 | ) | 2.45 | 2.39 | — | (c) | — | — | $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 | |||||||||||||||||||||||||||||||||||||
CLASS R4 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.00 | 0.02 | (0.36 | ) | (0.34 | ) | — | (0.98 | ) | (0.98 | ) | $17.68 | 0.10 | 1.40 | 1.40 | 1.65 | (1.97 | ) | 92.01 | $ | 38,038 | ||||||||||||||||||||||||||||||||||
2014 | $ | 20.45 | 0.01 | (0.89 | ) | (0.88 | ) | — | (0.57 | ) | (0.57 | ) | $19.00 | 0.04 | 1.39 | 1.39 | 1.63 | (4.53 | ) | 106.18 | $ | 38,575 | ||||||||||||||||||||||||||||||||||
2013 | $ | 15.70 | (0.01 | ) | 4.76 | 4.75 | — | — | — | $20.45 | (0.04 | ) | 1.38 | 1.38 | 1.68 | 30.25 | 89.17 | $ | 26,441 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
CLASS R5 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.55 | 0.09 | (0.36 | ) | (0.27 | ) | (0.05 | ) | (0.98 | ) | (1.03 | ) | $18.25 | 0.46 | 0.99 | 0.99 | 1.20 | (1.53 | ) | 92.01 | $ | 66,646 | |||||||||||||||||||||||||||||||||
2014 | $ | 21.01 | 0.10 | (0.93 | ) | (0.83 | ) | (0.06 | ) | (0.57 | ) | (0.63 | ) | $19.55 | 0.46 | 0.99 | 0.99 | 1.18 | (4.15 | ) | 106.18 | $ | 69,217 | |||||||||||||||||||||||||||||||||
2013 | $ | 16.07 | 0.07 | 4.87 | 4.94 | — | — | — | $21.01 | 0.35 | 0.99 | 0.99 | 1.22 | 30.74 | 89.17 | $ | 43,209 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
CLASS R6 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 19.59 | 0.13 | (0.38 | ) | (0.25 | ) | (0.07 | ) | (0.98 | ) | (1.05 | ) | $18.29 | 0.66 | 0.89 | 0.89 | 1.43 | (1.43 | ) | 92.01 | $ | 4,191 | |||||||||||||||||||||||||||||||||
2014 | $ | 21.05 | 0.12 | (0.93 | ) | (0.81 | ) | (0.08 | ) | (0.57 | ) | (0.65 | ) | $19.59 | 0.58 | 0.89 | 0.89 | 1.34 | (4.05 | ) | 106.18 | $ | 3,950 | |||||||||||||||||||||||||||||||||
2013(h) | $ | 17.54 | 0.46 | 3.05 | 3.51 | — | — | — | $21.05 | 2.21 | (f) | 0.89 | (f) | 0.89 | (f) | 11.83 | (f)(g) | 20.01 | 89.17 | $ | 2,553 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Dividends from net investment income per share were less than $(0.01). |
(d) | Net investment income (loss) was less than $0.01 per share. |
(e) | Net investment Income (loss) was less than 0.01%. |
(f) | Annualized. |
(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, 2013. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
26 Annual Report | Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | ||
Thornburg International Growth Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg International Growth Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg International Growth Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
28 Annual Report
EXPENSE EXAMPLE | ||
Thornburg International Growth Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
CLASS A SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 941.20 | $ | 6.93 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.93 | $ | 7.20 | ||||||
CLASS C SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 937.70 | $ | 11.15 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.56 | $ | 11.59 | ||||||
CLASS I SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 943.50 | $ | 4.82 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.11 | $ | 5.01 | ||||||
CLASS R3 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 941.40 | $ | 7.30 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.55 | $ | 7.59 | ||||||
CLASS R4 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 941.40 | $ | 6.81 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.05 | $ | 7.08 | ||||||
CLASS R5 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 943.60 | $ | 4.82 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 | ||||||
CLASS R6 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 944.40 | $ | 4.34 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.61 | $ | 4.51 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.42%; C: 2.30%; I: 0.99%; R3: 1.50%; R4: 1.40%; R5: 0.99%; R6: 0.89%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
30 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Annual Report
OTHER INFORMATION | ||
Thornburg International Growth Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Thornburg International Growth Fund of $90,884,467 are being reported as long term capital gain dividends and $3,344,992 are taxable ordinary investment income dividends for federal income tax purposes.
For the tax year ended September 30, 2015, the Fund is reporting 100.00% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 25.04% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2015 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2015, foreign source income and foreign taxes paid is $23,447,018 and $1,095,211, respectively.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg International Growth Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from
Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the seven calendar years since the Fund’s inception, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the seven calendar years since the Fund’s inception showed that the Fund’s investment return for the most recent calendar year was lower than the returns for the fund category and the securities index, that the Fund’s returns for the preceding six calendar years exceeded the returns for the index in five of six years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in four of six years. Noted quantitative data showed that the Fund’s annualized investment returns fell in the third quartile of performance of the first fund category for the one-year period ended with the second quarter of the current year, fell near the midpoint of performance of the category for the three-year period, and fell in the top quartile of performance for the five-year period. Noted data also showed that the Fund’s annualized investment returns fell in the third quartile of performance of the second fund category for the one-year period ended with the second quarter, fell within the top quartile of performance for the three-year period, and fell within the top decile of performance of the category for the five-year period. Data presented to the Trustees showed that the Fund’s annualized total return (net of expenses) over the period since the Fund’s inception exceeded the annualized return for the Fund’s benchmark index. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative data considered by the Trustees showed that the Fund’s advisory fee level was slightly lower than the median and comparable to the average fee levels for the fund category, the level of total expense for a representative share class of the Fund was slightly lower than the median and average levels for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Peer group data showed that the Fund’s advisory fee level was slightly lower than the median for each of the two peer groups, and that the total expense levels for the two representative share classes were slightly lower than the median expense levels for their respective peer groups.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to
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OTHER INFORMATION, CONTINUED | ||
Thornburg International Growth Fund | September 30, 2015 (Unaudited) |
different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 35
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
36 Annual Report
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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 Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH1539 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely, |
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Garrett Thornburg |
Chairman of Trustees |
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
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September 30, 2015
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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 |
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.
Investments carry risks, including possible loss of principal. Additional 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- and mid-capitalization companies may increase the risk of greater price fluctuations. Portfolios investing in bonds have the same interest rate, inflation, and credit risks that are associated with the underlying bonds. The 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 FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
October 17, 2015
Dear Fellow Shareholder:
This letter will highlight the basic results of your Fund’s investment activities for the 12-month period ended September 30, 2015. In addition, we will comment on the overall investment landscape, which continues to evolve.
Your Fund’s Performance
Thornburg Investment Income Builder Fund paid dividends of 82.5 cents per Class A share in the 12 months ended September 30, 2015, down 15.8% from the 98 cents per share paid in the comparable prior-year period. The dividends per share were higher for Class I and Class R5 shares, and lower for the Class C, R3, and R4 shares, to account for varying class-specific expenses. The net asset value (NAV) per Class A share decreased by $2.31 per share during the period, from $21.38 to $19.07, giving a total return including dividends of negative 7.27% (without sales charge).
Most of the net asset value decline for the fiscal year under review occurred during the September quarter, when a drop of $2.12 per share ($21.19 to $19.07) was the most significant quarterly decline since the September quarter of 2011, when Income Builder’s share price declined by $2.27 ($19.56 to $17.29), prior to recovering to higher levels. As with the September 2011 quarter, macroeconomic concerns cast a shadow over the market in the third fiscal quarter of 2015, leading to broad-based selling in equity markets around the world. We are not fond of net asset value fluctuations, but we have learned to live with them since the Fund’s inception in December 2002 at a net asset value of $11.94. Apart from the periodic share price fluctuations over the four years referenced in this paragraph, Income Builder has paid $4.02 of dividends (Class A shares) from October 1, 2011 through September 30, 2015.
For the fiscal year ended September 30, 2015, Thornburg Investment Income Builder Fund (with a total return of negative 7.27%) underperformed the blended index of 75% MSCI World Index/25% Barclays U.S. Aggregate Bond Index (with a total return of negative 3.01%). We would like to outperform benchmark returns in all market conditions, and we are disappointed in the comparative result for this fiscal year. Performance relative to the benchmark for all share classes over various periods is set forth on page 10.
The quarter ended September 30, 2015 was the 51st full calendar quarter since the inception of Thornburg Investment Income Builder in December 2002. In 36 of these quarters, the Fund delivered a positive total return. The Fund has delivered positive total returns in 11 of its 12 calendar years of existence. As of September 30, 2015, Thornburg Investment Income Builder has delivered tax-efficient average annual total returns in excess of 9.5% since its inception.
We do not expect to pay a capital gain dividend for 2015. At September 30, 2015, the Fund had tax basis realized capital losses of more than $200 million, which may be carried forward to offset future capital gains to the extent permitted by regulations.
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 1.33%, as disclosed in the most recent prospectus.
Factors Impacting Dividends Paid by Your Fund
Several factors contributed to the year-over-year drop in dividends paid by Thornburg Investment Income Builder in the fiscal year under review. These include the following:
• | Appreciation of the U.S. dollar vis-à-vis most foreign currencies reduced the U.S.-dollar value of dividends received on most of the Fund’s foreign equities. On average, the U.S. dollar appreciated approximately 16% on a year-over-year basis against the currencies of our major trading partners. We may hedge a portion of the principal invested in non-U.S. equities by executing contracts to buy dollars in the future; however, we do not normally hedge expected income distributions from these investments. |
• | The Fund’s investment in Vodafone paid a large special dividend in fiscal year 2014, comprised of cash and shares of Verizon Wireless. This was not repeated in fiscal year 2015. Overall, special/non-recurring dividends received by the Fund fell short of prior-year levels. |
• | A portion of the cash distributions that the Fund received from its investments in pass-through entities (business development companies and asset managers) during 2014 were later characterized as capital gains, rather than ordinary income dividends. (Schedule K-1s disclosing tax information from pass-through entities generally arrive in March or April of the following year. We know the taxable character of the dividends received in the prior calendar year only after we receive these. We must estimate, and distribute, virtually all of the taxable income of the Fund by calendar year end. For 2014, we overestimated the ordinary income percentage of cash received from these entities, versus capital gains). Why does the tax character of the cash received by the Fund matter? In the interest of tax efficiency, we have accumulated a significant backlog of tax loss carryforwards sufficient to offset these capital gains. Our accumulated capital loss carryforwards offset the capital gain distribution portion of the cash received for the fiscal year ending September 30th, shielding these cash receipts from the Fund’s income stream that is used to pay dividends. |
• | We reduced the percentage of the portfolio invested in our highest yielding investments, the publicly traded mortgage real estate investment trusts (REITs) and |
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LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
business development companies. Some of these cut their dividends in 2015 from prior year levels. We support these dividend cuts to the extent that these firms reduce leverage and financial risk in this environment. |
• | Interest income earned by your Fund dropped by more than two cents per average share outstanding in the year ended September 30, 2015. (Also, prepayments received on bonds denominated in foreign currencies caused the Fund to recognize losses on these currencies that offset ordinary income). |
• | We increased the percentage of the portfolio invested in equities with yields below the average dividend yield of the overall Fund portfolio. We believe these investments will deliver higher dividend payments in the future. |
Many of the common stocks currently held in the Thornburg Investment Income Builder portfolio increased their ordinary dividends in 2015. Collectively, these increases were insufficient to overcome the headwinds described above.
Factors Impacting Your Fund’s Performance
In assessing the overall fiscal year 2015 performance of Thornburg Investment Income Builder, it is instructive to consider the performance in U.S. dollars of the sector components of the MSCI World Index over the 12 months ended September 30, 2015. The MSCI World Index comprises 75%, and the entire equity portion, of the Fund’s global performance benchmark (75% MSCI World Index and 25% Barclays U.S. Aggregate Bond Index):
1. | The MSCI World Index showed a return of negative 5.09% for the 12 months ended September 30, 2015. Four of the 10 index sectors showed positive total returns, with individual sector returns ranging from 6.5% (consumer discretionary) to negative 33.4% (energy). Stocks of firms in the consumer staples, health care, and information technology sectors joined consumer discretionary stocks in delivering index-beating returns for the period. Stocks of firms in the energy, materials, industrials, utilities, financials, and telecommunications sectors underperformed the index. In short, the sectors most sensitive to economic growth underperformed. |
2. | Income Builder Fund investments in firms in the financials (28% average Fund weighting), telecommunications (17% average Fund weighting), consumer discretionary (8% average Fund weighting), energy (8% average Fund weighting), consumer staples (7% average Fund weighting), health care (7% average Fund weighting), industrials (7% average Fund weighting), and utilities (6% average Fund weighting) sectors comprised the largest sector weightings in the Fund portfolio during fiscal 2015. The Fund’s performance relative to the MSCI World Index was hurt by comparative underperformance from our holdings in the telecommunications, information technology, and consumer discretionary sectors, and helped by comparative outperformance from our holdings in the consumer staples and industrials sectors. |
3. | In the Income Builder portfolio, 28 equity investments contributed positive returns of at least 0.05% (5 basis points) to the portfolio during fiscal 2015, considering both portfolio weights and individual security returns. Sixty-one of the Fund’s equity investments detracted from returns by 0.05% or worse for the fiscal year, and 14 of these have been sold to fund other investments. |
Investment Income Builder’s bond holdings delivered negative returns during the fiscal year. Yields on corporate and asset-backed bonds were generally higher, which pressured bond prices.
Your Fund’s Performance by Industry Sector
Your Fund’s average return from its investments in the financial sector, while slightly negative, exceeded the performance of the equities in the finance sector of the MSCI World Index in fiscal 2015. Fund investments in CME Group, UBS Group, Blackstone Group, and Zurich Insurance Group were among the strongest performers in the portfolio. Singapore-based bank DBS Group, KKR & Co., Apollo Investment Corporation, Invesco Mortgage Capital, and Norwegian insurer Gjensidige Forsikring were detractors. During the first three quarters of the fiscal year many investors expected U.S. interest rate increases to threaten the earnings power and valuations of many of these firms. The interest rate increases have not arrived; however, lower commodity prices and slowing economies in China and much of South America led to significant selling pressure in most financial sector firms in the September quarter as credit quality concerns mounted. As of the end of the fiscal year, we still hold investments in each of these, other than Zurich Insurance Group.
Your Fund’s significant holdings in the telecommunications sector delivered negative absolute returns this year, and they were the largest detractor from relative performance vis-à-vis the index. Denmark’s TDC, Singapore Telecom, Swisscom, Norway’s Telenor, and modest sized positions in emerging market network operators MegaFon, Telefonica Brasil and MTN Group delivered negative returns. Modest positive returns from Telstra and China Mobile were insufficient to offset the damage from the Fund’s other telecommunications holdings. Among these, TDC appears to have the most challenging competitive outlook, and one of the cheapest valuations. Some of the others were negatively impacted by currency depreciation and declining sentiment on emerging market economies. Each of these pays interesting dividends.
Your Fund’s investments in the consumer discretionary sector lagged the performance of this sector in the index portfolio in the fiscal year. Home Depot, Toyota, Vivendi, and Netherlands-based business publisher Wolters Kluwer were positive contributors. Significant year-over-year erosion in gaming revenues and share prices for casino operators Wynn Resorts, Las Vegas Sands, and Sands China dragged down your portfolio’s returns from its holdings in this sector. We sold our position in Wynn Resorts and reduced the position in Sands China.
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LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Among Income Builder’s investments in the energy sector, Royal Dutch Shell, pipeline operators Kinder Morgan and Williams Companies, and Canadian producers Husky Energy and Canadian Oil Sands each saw significant share price declines in fiscal 2015. A strong performance from U.S. oil refiner HollyFrontier did not offset the share price declines from the Fund’s other energy sector holdings. The price of oil declined by approximately 50% over the course of the fiscal year, though the oil price appears to have found support in the mid to high $40 per barrel range in recent months. Global demand for oil and gas has increased as prices have declined. We expect global oil production growth to slow in the coming years as investments to sustain aging fields and develop new resources are cut.
Returns from the Fund’s holdings in the utilities sector trailed the market returns from this sector during the Fund’s fiscal year. Electricite de France and a small position in Brazilian electric generation firm EDP Energias Do Brasil were negative contributors. The former encountered regulatory uncertainty and soft overall European electricity demand, while the latter was impacted by depreciation of the Brazilian real vis-à-vis the U.S. dollar. U.S. utility Dominion Resources joined British electricity and gas firm National Grid in delivering modest positive returns.
Among Fund investments in the consumer staples sector, Walgreens Boots Alliance, tobacco companies Lorillard and Korea’s KT&G Corporation, and grocery store operator Royal Ahold each delivered positive contributions in fiscal 2015. The Income Builder’s holdings in this sector outperformed those of the index portfolio on a smaller overall weighting.
Investment Income Builder’s holdings in the health care sector lagged those of the MSCI World Index during the fiscal year, as modest contributions from Pfizer and Switzerland’s Novartis were offset by share price declines for Sanofi, Roche Holdings, and GlaxoSmithKline.
Among other portfolio holdings, notable contributors included French toll road operator Vinci, Italian toll road operator Atlantia, and Thai fiber network infrastructure owner Jasmine Broadband Internet Infrastructure. We were pleased that data center operator Digital Realty Trust, one of our underperformers from fiscal 2013, continued a recovery begun last year. Negative contributors included refiner LyondellBasell Industries, semiconductor firms Intel and Qualcomm, steel manufacturer Nucor, and certain bonds issued by energy sector firms.
The euro, Australian dollar, Japanese yen, and British pound each depreciated vis-à-vis the U.S. dollar during the fiscal year, while the Swiss franc was approximately flat. We hedged a majority of the currency exposure to the Australian dollar, Japanese yen, euro and other European currencies tied to it. We are more focused on risk management than on reaping possible currency gains from exposure to assets denominated in these currencies. Currency hedges modestly contributed to our performance relative to the MSCI Index during the fiscal year.
Your Fund’s Bond Component
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 detracted from the Fund’s absolute and relative performance in fiscal 2015. Yield spreads of corporate over government bond yields increased from September 30, 2014 to September 30, 2015, driving down bond prices. The FINRA-Bloomberg Index of Active High Yield U.S. Corporate Bond Yields increased by 1.77% during the fiscal year, leading to bond price declines that more than offset the interest income earned from the Fund’s bond portfolio during the period. The Fund’s bond portfolio has an effective duration of less than four years as of September 30th. We may buy additional bonds or sell some of our current holdings in order to improve the Fund’s income characteristics, depending upon what opportunities are available.
Readers of this commentary who are longtime shareholders of Income Builder will recall that the interest bearing debt portion of the Fund’s portfolio has varied over time, ranging from around 10% currently to 45% at June 30, 2009.
Chart I | Interest-Bearing Investments as a Percentage of Total Portfolio as of September 30, 2015
As of September 30, 2015, the Fund portfolio included more than 100 bonds and hybrid securities.
The Economic and Policy Investment Backdrop
Investors continue to debate the future direction of the economies of China and Japan, and potential policy actions by the U.S. Federal Reserve, Congress, and the Obama administration. They also debate the strength and durability of the European economic recovery, the financial condition of various emerging-market economies, and possible consequences of instability in the Middle East. Russia, Brazil, and certain other commodity producing economies appear to have intensifying recessionary conditions. For the most part, the key political and macroeconomic issues that investors focus on remain open. Global oil demand has picked up noticeably in 2015, helped by lower prices. Lower oil prices and a stronger dollar are beneficial tailwinds to U.S. consumer spending, which is further supported by sustained growth in hiring and rising U.S. wages. U.S. consumer purchases increased a solid 3.3% in real terms over the last year, an improvement from the 2.2% average pace of the prior four years.
6 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
The 7.5% year-over-year increase in government receipts for the U.S. government budget year ended September 30, 2015, is one additional bit of evidence supporting a firm domestic economy. That noted, the manufacturing segment of the U.S. economy appears to be stalling, particularly businesses supporting the energy industry.
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 continue to recover – and this is always a possibility, we will expect the opposite. As we write these words in early October, growth of the global economy is disappointing relative to prior expectations, so we are getting “the opposite” for now.
Since 2009, we have become used to Federal Reserve monetary policies that kept short-term interest rates near zero and featured bond purchases totaling more than $3.5 trillion by the central bank, funded by newly created money. For the record, total assets of all U.S. taxable and municipal bond funds combined are just under $3.5 trillion. The Federal Reserve bond buying spree has had the deliberate effects of (i) reducing interest rates by substantially increasing the demand for bonds; and (ii) forcing savers/investors into riskier assets to the extent they want positive investment income after taxes and inflation. Many other central banks around the world have pursued similar policies, including the European Central Bank and the Bank of Japan. Prior to 2015, these accommodative monetary policies had a positive impact on prices of most financial assets in developed world countries. These policies appear to have increased volatility of financial asset prices, as excess liquidity sloshes around from one theme to the next. It is debatable whether unconventional easy monetary policies are currently having any positive impact on the real economies of developed countries. We cannot be certain how long they will be continued, or what consequences will result from any changes in course.
While lower interest rates are good news for borrowers, they have negative consequences for conservative savers and income seeking investors. 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 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 internet site, www.thornburg.com/IIB. Best wishes for a wonderful holiday season, and a happy 2016.
Sincerely,
![]() | ||||
Brian McMahon Portfolio Manager CEO & Chief Investment Officer |
Jason Brady, CFA Portfolio Manager Managing Director |
Ben Kirby, 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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 7
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 wake of the financial crisis, earnings-per-share on average declined, causing the payout ratio to spike, even as dividends paid by the S&P 500 portfolio declined. Earnings have since materially improved, bringing the payout ratio back in line with the overall trend in recent times.
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, from early 2010, the number steadily climbed back to around 70%.
Percentage of Companies Paying Dividends in Russell 1000 Index
Rising Dividend Payments Despite Decreasing Dividend Yields
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 dollar yield on an original investment made at a fixed point in time (say, 1970 or 1989) has increased, even without reinvestment of dividends.
S&P 500 Index Average Yield vs. Annual Dividends from a Hypothetical $10,000 Investment (Dividends not Reinvested)
8 Annual Report
THE DIVIDEND LANDSCAPE, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
The Top 100 Dividend Yields
Russell 1000 Index | Russell 2000 Index | |||||||
Financials | 43 | % | 59 | % | ||||
Energy | 19 | % | 10 | % | ||||
Consumer Discretionary | 11 | % | 6 | % | ||||
Utilities | 9 | % | 4 | % | ||||
Industrials | 5 | % | 10 | % | ||||
Materials | 4 | % | 3 | % | ||||
Telecommunication Services | 4 | % | 3 | % | ||||
Consumer Staples | 2 | % | 0 | % | ||||
Information Technology | 2 | % | 3 | % | ||||
Health Care | 1 | % | 2 | % |
Source: FactSet as of September 30, 2015.
A Truly Diversified Dividend-Paying
Portfolio Must Look Beyond the Obvious High-Yield Stocks!
In the (large cap) Russell 1000 Index, 73% of the top 100 dividend payers are in the financials, energy, and consumer discretionary sectors. In the (small cap) Russell 2000 Index, 69% of the top 100 dividend-yielding stocks are financial or energy companies. To construct a diversified portfolio of attractive yielding stocks, one must look beyond these three sectors. We certainly do.
Dividend yield is a ratio that shows how much a company pays out in dividends each year relative to its share price.
Average Dividend Yields (MSCI Indices) of Markets Around the Globe
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 financial 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.
Diversification does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Dividends are not guaranteed.
Annual Report 9
PERFORMANCE SUMMARY | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | 10-Yr | Since Incep. | ||||||||||||||||
Class A Shares (Incep: 12/24/02) | ||||||||||||||||||||
Without sales charge | (7.27 | %) | 5.07 | % | 6.26 | % | 6.80 | % | 9.52 | % | ||||||||||
With sales charge | (11.45 | %) | 3.47 | % | 5.28 | % | 6.31 | % | 9.13 | % | ||||||||||
Class C Shares (Incep: 12/24/02) | ||||||||||||||||||||
Without sales charge | (7.93 | %) | 4.34 | % | 5.51 | % | 6.09 | % | 8.87 | % | ||||||||||
With sales charge | (8.82 | %) | 4.34 | % | 5.51 | % | 6.09 | % | 8.87 | % | ||||||||||
Class I Shares (Incep: 11/3/03) | (6.94 | %) | 5.44 | % | 6.61 | % | 7.16 | % | 8.63 | % | ||||||||||
Class R3 Shares (Incep: 2/1/05) | (7.52 | %) | 4.77 | % | 5.95 | % | 6.53 | % | 6.85 | % | ||||||||||
Class R4 Shares (Incep: 2/1/08) | (7.48 | %) | 4.88 | % | 6.06 | % | — | 4.13 | % | |||||||||||
Class R5 Shares (Incep: 2/1/07) | (7.06 | %) | 5.31 | % | 6.48 | % | — | 5.15 | % | |||||||||||
Blended Index (Since 12/24/02) | (3.01 | %) | 6.92 | % | 7.15 | % | 4.98 | % | 7.08 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, and R5 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.33%; C shares, 2.08%; I shares, 1.01%; R3 shares, 1.70%; R4 shares, 1.55%; R5 shares, 1.25%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: C shares, 2.05%; R3 shares, 1.65%; R5 shares, 1.14%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
30-day SEC Yield as of 9/30/15 (A Shares): 3.66%
Glossary
Barclays U.S. Aggregate Bond Index – An index composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate, and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
Blended Index – The Blended Index is composed of 25% Barclays U.S. Aggregate Bond Index and 75% MSCI World Index.
FlNRA-Bloomberg Active High Yield U.S. Corporate Bond Index – An index comprised of the “active” (most frequently traded) fixed-coupon, high-yield bonds represented by FINRA TRACE, FINRA’s transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds.
MSCI Country Indices – These indices are free float-adjusted market capitalization indices that are designed to measure equity market performance in that specific country in U.S. dollars.
MSCI World Index – 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.
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).
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.
10 Annual Report
FUND SUMMARY | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment objective is long-term capital appreciation.
The Fund may invest in any domestic or foreign equity or debt security which Thornburg Investment Management believes may assist the Fund in pursuing its investment goals, although the Fund expects that equity securities in its portfolio will normally be weighted in favor of companies that pay dividends or other current income.
Portfolio Composition
Top Ten Equity Holdings
China Mobile Ltd. | 3.9 | % | ||
CME Group, Inc. | 3.5 | % | ||
JPMorgan Chase & Co. | 3.5 | % | ||
Atlantia S.p.A. | 2.5 | % | ||
The Home Depot, Inc. | 2.4 | % | ||
Vinci S.A. | 2.3 | % | ||
BT Group plc | 2.1 | % | ||
AT&T, Inc. | 2.1 | % | ||
Vodafone Group plc | 2.0 | % | ||
Roche Holding AG | 2.0 | % |
Sector Exposure
(percent of equity holdings)
Financials | 29.0 | % | ||
Telecommunication Services | 19.9 | % | ||
Consumer Discretionary | 8.8 | % | ||
Industrials | 8.1 | % | ||
Energy | 8.1 | % | ||
Healthcare | 7.8 | % | ||
Consumer Staples | 5.9 | % | ||
Utilities | 5.9 | % | ||
Information Technology | 4.2 | % | ||
Materials | 2.3 | % | ||
Other | 0.1 | % | ||
Cash Equivalents and Other | 3.9 | % |
Country Exposure*
(percent of Fund)
United States | 42.7 | % | ||
Switzerland | 8.0 | % | ||
France | 7.8 | % | ||
United Kingdom | 6.3 | % | ||
China | 6.1 | % | ||
Netherlands | 4.4 | % | ||
Italy | 3.2 | % | ||
Singapore | 2.3 | % | ||
Norway | 2.0 | % | ||
Taiwan | 1.6 | % | ||
Denmark | 1.3 | % | ||
Brazil | 1.3 | % | ||
Russia | 1.2 | % | ||
Canada | 1.2 | % | ||
Hong Kong | 1.1 | % | ||
Australia | 1.0 | % | ||
Spain | 1.0 | % | ||
Japan | 0.7 | % | ||
Saudi Arabia | 0.7 | % | ||
Korea | 0.7 | % | ||
Thailand | 0.6 | % | ||
South Africa | 0.4 | % | ||
Jamaica | 0.3 | % | ||
Cayman Islands | 0.3 | % | ||
New Zealand | 0.2 | % | ||
Germany | 0.2 | % | ||
Argentina | 0.1 | % | ||
Ireland | 0.1 | % | ||
Luxembourg | 0.1 | % | ||
Panama | 0.1 | % | ||
Belgium** | 0.0 | % | ||
Trinidad & Tobago** | 0.0 | % | ||
Other Assets Less Liabilities | 3.1 | % |
* | The country assignment of each holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
** | Country percentage was less than 0.1%. |
There is no guarantee that the Fund will meet its investment objectives.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Annual Report 11
FUND SUMMARY, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
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 | ¢ | 102.5 | ¢ | ||||||||||
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 | ¢ | 25.3 | ¢ | 25.0 | ¢ | 24.5 | ¢ | 96.3 | ¢ | ||||||||||
2014 | 22.5 | ¢ | 24.0 | ¢ | 27.0 | ¢ | 26.0 | ¢ | 99.5 | ¢ | ||||||||||
2015 | 16.5 | ¢ | 20.0 | ¢ | 20.0 | ¢ |
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.
Evolution of Industry Group Exposure
Top 10 industry groups quarter by quarter (percent of equity holdings)
As of 9/30/15
Telecommunication Services | 19.9 | % | ||
Diversified Financials | 11.0 | % | ||
Real Estate | 9.2 | % | ||
Energy | 8.1 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.8 | % | ||
Banks | 6.8 | % | ||
Utilities | 5.9 | % | ||
Retailing | 5.2 | % | ||
Transportation | 4.3 | % | ||
Capital Goods | 3.8 | % |
As of 3/31/15
Telecommunication Services | 15.5 | % | ||
Diversified Financials | 11.4 | % | ||
Energy | 8.4 | % | ||
Real Estate | 8.4 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.7 | % | ||
Banks | 6.3 | % | ||
Utilities | 5.6 | % | ||
Retailing | 4.5 | % | ||
Insurance | 4.4 | % | ||
Transportation | 4.0 | % |
As of 6/30/15
Telecommunication Services | 18.4 | % | ||
Diversified Financials | 10.9 | % | ||
Banks | 9.2 | % | ||
Real Estate | 8.0 | % | ||
Energy | 7.9 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.4 | % | ||
Utilities | 5.9 | % | ||
Retailing | 4.8 | % | ||
Transportation | 4.2 | % | ||
Capital Goods | 3.6 | % |
As of 12/31/14
Telecommunication Services | 19.0 | % | ||
Diversified Financials | 9.1 | % | ||
Energy | 9.0 | % | ||
Real Estate | 7.7 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 7.1 | % | ||
Banks | 6.9 | % | ||
Utilities | 6.4 | % | ||
Transportation | 4.8 | % | ||
Food, Beverage & Tobacco | 4.7 | % | ||
Retailing | 3.5 | % |
12 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 89.19% | ||||||||
AUTOMOBILES & COMPONENTS — 0.69% | ||||||||
Automobiles — 0.69% | ||||||||
Toyota Motor Corp. | 2,118,100 | $ | 123,079,857 | |||||
|
| |||||||
123,079,857 | ||||||||
|
| |||||||
BANKS — 5.92% | ||||||||
Banks — 5.92% | ||||||||
Bank of China Ltd. | 118,343,011 | 50,848,992 | ||||||
Banque Cantonale Vaudoise | 28,100 | 16,578,596 | ||||||
DBS Group Holdings Ltd. | 20,322,200 | 231,490,715 | ||||||
ING Groep N.V. | 5,566,400 | 78,681,647 | ||||||
JPMorgan Chase & Co. | 10,201,400 | 621,979,358 | ||||||
Liechtensteinische Landesbank AG | 1,150,000 | 40,414,016 | ||||||
St. Galler Kantonalbank AG | 41,541 | 15,184,672 | ||||||
|
| |||||||
1,055,177,996 | ||||||||
|
| |||||||
CAPITAL GOODS — 3.44% | ||||||||
Construction & Engineering — 2.26% | ||||||||
Vinci S.A. | 6,364,095 | 403,278,257 | ||||||
Industrial Conglomerates — 1.18% | ||||||||
Hopewell Holdings Ltd. | 36,958,340 | 125,419,106 | ||||||
Koninklijke Philips N.V. | 1,514,700 | 35,619,192 | ||||||
NWS Holdings Ltd. | 38,000,000 | 49,620,325 | ||||||
|
| |||||||
613,936,880 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.87% | ||||||||
Hotels, Restaurants & Leisure — 0.87% | ||||||||
Las Vegas Sands Corp. | 1,858,300 | 70,559,651 | ||||||
Sands China Ltd. | 23,202,000 | 69,605,551 | ||||||
Wynn Macau Ltd. | 13,798,800 | 15,632,604 | ||||||
|
| |||||||
155,797,806 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 9.76% | ||||||||
Capital Markets — 6.25% | ||||||||
Aberdeen Asset Management plc | 9,615,700 | 43,129,320 | ||||||
Apollo Global Management, LLC | 2,670,763 | 45,883,709 | ||||||
a Apollo Investment Corp. | 24,800,000 | 135,904,000 | ||||||
Ares Capital Corp. | 13,573,900 | 196,550,072 | ||||||
GAM Holding AG | 4,073,882 | 71,687,950 | ||||||
KKR + Co. LP | 10,004,135 | 167,869,385 | ||||||
Och-Ziff Capital Management Group, LLC | 7,187,719 | 62,748,787 | ||||||
a Solar Capital Ltd. | 4,607,900 | 72,896,978 | ||||||
The Blackstone Group LP | 4,874,900 | 154,388,083 | ||||||
UBS Group AG | 8,814,525 | 162,886,923 | ||||||
Diversified Financial Services — 3.51% | ||||||||
CME Group, Inc. | 6,759,000 | 626,829,660 | ||||||
|
| |||||||
1,740,774,867 | ||||||||
|
| |||||||
ENERGY — 7.21% | ||||||||
Energy Equipment & Services — 0.19% | ||||||||
Helmerich & Payne, Inc. | 703,200 | 33,233,232 | ||||||
Oil, Gas & Consumable Fuels — 7.02% | ||||||||
Canadian Oil Sands Ltd. | 12,519,200 | 59,195,318 | ||||||
b Halcon Resources Corp. | 234,100 | 124,073 | ||||||
HollyFrontier Corp. | 3,507,000 | 171,281,880 | ||||||
Husky Energy, Inc. | 8,696,000 | 135,604,167 | ||||||
Kinder Morgan, Inc. | 5,335,000 | 147,672,800 | ||||||
ONEOK, Inc. | 3,878,300 | 124,881,260 | ||||||
Royal Dutch Shell plc ADR | 7,133,300 | 338,047,087 | ||||||
The Williams Companies, Inc. | 3,114,972 | 114,786,718 |
Annual Report 13
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Total SA | 3,596,800 | $ | 161,566,326 | |||||
b,c TPT Acquisition, Inc. | 163,790 | 0 | ||||||
|
| |||||||
1,286,392,861 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 2.24% | ||||||||
Food & Staples Retailing — 2.24% | ||||||||
Koninklijke Ahold NV | 6,949,938 | 135,203,585 | ||||||
Walgreens Boots Alliance, Inc. | 3,171,106 | 263,518,909 | ||||||
|
| |||||||
398,722,494 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 2.31% | ||||||||
Beverages — 0.26% | ||||||||
Coca-Cola Amatil Ltd. | 7,377,000 | 46,653,038 | ||||||
Food Products — 1.34% | ||||||||
Nestle SA | 3,190,000 | 239,757,337 | ||||||
Tobacco — 0.71% | ||||||||
KT&G Corp. | 1,337,813 | 125,846,747 | ||||||
|
| |||||||
412,257,122 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 0.73% | ||||||||
Household Products — 0.73% | ||||||||
Reckitt Benckiser plc | 1,440,300 | 130,445,537 | ||||||
|
| |||||||
130,445,537 | ||||||||
|
| |||||||
INSURANCE — 1.71% | ||||||||
Insurance — 1.71% | ||||||||
AXA S.A. | 6,858,384 | 165,801,022 | ||||||
Gjensidige Forsikring ASA | 3,991,276 | 53,728,355 | ||||||
NN Group NV | 2,967,000 | 84,938,616 | ||||||
|
| |||||||
304,467,993 | ||||||||
|
| |||||||
MATERIALS — 2.09% | ||||||||
Chemicals — 1.61% | ||||||||
LyondellBasell Industries NV | 1,844,700 | 153,774,192 | ||||||
Saudi Basic Industries Corp. | 5,523,117 | 115,874,635 | ||||||
Yanbu National Petrochemical Co. | 1,534,722 | 17,629,711 | ||||||
Metals & Mining — 0.48% | ||||||||
b Jaguar Mining, Inc. | 797,101 | 118,768 | ||||||
Mining and Metallurgical Co. Norilsk Nickel PJSC ADR | 5,962,500 | 85,681,125 | ||||||
|
| |||||||
373,078,431 | ||||||||
|
| |||||||
MEDIA — 1.65% | ||||||||
Media — 1.65% | ||||||||
Vivendi | 8,069,968 | 190,537,216 | ||||||
Wolters Kluwer N.V. | 3,396,674 | 104,412,613 | ||||||
|
| |||||||
294,949,829 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 7.02% | ||||||||
Pharmaceuticals — 7.02% | ||||||||
Merck & Co., Inc. | 2,679,500 | 132,340,505 | ||||||
Novartis AG | 2,667,700 | 244,707,962 | ||||||
Pfizer, Inc. | 6,701,500 | 210,494,115 | ||||||
Roche Holding AG | 1,338,300 | 352,906,936 | ||||||
Sanofi | 3,291,599 | 312,228,083 | ||||||
|
| |||||||
1,252,677,601 | ||||||||
|
| |||||||
REAL ESTATE — 8.26% | ||||||||
Real Estate Investment Trusts — 8.26% | ||||||||
Capstead Mortgage Corp. | 3,250,000 | 32,142,500 | ||||||
Chimera Investment Corp. | 5,834,784 | 78,011,062 | ||||||
Crown Castle International Corp. | 2,675,100 | 210,985,137 | ||||||
Digital Realty Trust, Inc. | 1,737,800 | 113,513,096 | ||||||
a Dynex Capital, Inc. | 4,418,542 | 28,985,635 |
14 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
a Invesco Mortgage Capital, Inc. | 15,851,700 | $ | 194,024,808 | |||||
Lamar Advertising Co. | 1,690,620 | 88,216,552 | ||||||
a MFA Financial, Inc. | 33,531,700 | 228,350,877 | ||||||
OUTFRONT Media, Inc. | 4,898,900 | 101,897,120 | ||||||
Senior Housing Properties Trust | 4,670,000 | 75,654,000 | ||||||
a Two Harbors Investment Corp. | 20,272,500 | 178,803,450 | ||||||
a Washington REIT | 5,721,000 | 142,624,530 | ||||||
|
| |||||||
1,473,208,767 | ||||||||
|
| |||||||
RETAILING — 4.66% | ||||||||
Multiline Retail — 1.45% | ||||||||
Target Corp. | 3,280,100 | 258,012,666 | ||||||
Specialty Retail — 3.21% | ||||||||
Staples, Inc. | 13,004,500 | 152,542,785 | ||||||
The Home Depot, Inc. | 3,633,700 | 419,656,013 | ||||||
|
| |||||||
830,211,464 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.17% | ||||||||
Semiconductors & Semiconductor Equipment — 2.17% | ||||||||
Advanced Semiconductor Engineering, Inc. | 47,421,000 | 50,837,789 | ||||||
Intel Corp. | 3,500,000 | 105,490,000 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 58,610,000 | 231,396,249 | ||||||
|
| |||||||
387,724,038 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.63% | ||||||||
Communications Equipment — 1.07% | ||||||||
Qualcomm, Inc. | 3,542,100 | 190,317,033 | ||||||
Technology, Hardware, Storage & Peripherals — 0.56% | ||||||||
Apple, Inc. | 913,400 | 100,748,020 | ||||||
|
| |||||||
291,065,053 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 17.71% | ||||||||
Diversified Telecommunication Services — 10.80% | ||||||||
AT&T, Inc. | 11,281,200 | 367,541,496 | ||||||
BT Group plc | 60,243,084 | 382,392,777 | ||||||
a Jasmine Broadband Internet Infrastructure Fund | 359,941,200 | 104,129,566 | ||||||
Singapore Telecommunications Ltd. | 73,412,715 | 184,170,193 | ||||||
Swisscom AG | 498,900 | 248,886,907 | ||||||
a TDC A/S | 45,566,900 | 234,544,296 | ||||||
Telefonica Brasil SA ADR | 11,656,983 | 106,428,255 | ||||||
Telenor ASA | 15,974,200 | 298,160,548 | ||||||
Wireless Telecommunication Services — 6.91% | ||||||||
China Mobile Ltd. | 59,584,574 | 703,477,851 | ||||||
d MegaFon PJSC GDR | 3,278,300 | 39,831,345 | ||||||
MegaFon PJSC Reg S GDR | 4,337,000 | 52,694,550 | ||||||
Mobile TeleSystems OJSC ADR | 2,116,889 | 15,283,938 | ||||||
MTN Group Ltd. | 5,170,810 | 66,414,416 | ||||||
Vodafone Group plc | 112,730,924 | 355,477,380 | ||||||
|
| |||||||
3,159,433,518 | ||||||||
|
| |||||||
TRANSPORTATION — 3.86% | ||||||||
Road & Rail — 0.10% | ||||||||
Daqin Railway Co. Ltd. | 13,251,311 | 18,406,046 | ||||||
Transportation Infrastructure — 3.76% | ||||||||
Atlantia S.p.A. | 16,182,102 | 451,866,034 | ||||||
China Merchants Holdings International Co. Ltd. | 32,112,830 | 94,266,087 | ||||||
Jiangsu Express Co. Ltd. | 45,798,000 | 58,502,874 | ||||||
Sydney Airport | 15,560,254 | 65,093,601 | ||||||
|
| |||||||
688,134,642 | ||||||||
|
| |||||||
UTILITIES — 5.26% | ||||||||
Electric Utilities — 2.61% | ||||||||
Duke Energy Corp. | 2,365,200 | 170,152,488 |
Annual Report 15
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
EDP - Energias do Brasil SA | 7,833,881 | $ | 22,684,564 | |||||
Electricite de France SA | 8,535,001 | 150,350,909 | ||||||
Mighty River Power Ltd. | 24,482,800 | 39,364,409 | ||||||
Terna Rete Elettrica Nazionale S.p.A. | 17,132,521 | 83,199,268 | ||||||
Gas Utilities — 0.38% | ||||||||
Enagas SA | 2,354,300 | 67,398,377 | ||||||
Independent Power & Renewable Electricity Producers — 0.49% | ||||||||
China Resources Power Holdings Co. | 12,804,000 | 29,011,198 | ||||||
Huaneng Power International, Inc. | 54,829,000 | 59,073,445 | ||||||
Multi-Utilities — 1.78% | ||||||||
Dominion Resources, Inc. | 2,356,091 | 165,821,684 | ||||||
National Grid plc | 10,917,300 | 151,757,618 | ||||||
|
| |||||||
938,813,960 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $16,067,254,468) | 15,910,350,716 | |||||||
|
| |||||||
PREFERRED STOCK — 0.52% | ||||||||
BANKS — 0.19% | ||||||||
Banks — 0.19% | ||||||||
Barclays Bank plc Pfd, 7.10% | 200,000 | 5,120,000 | ||||||
First Niagara Financial Group Pfd, 8.625% | 143,295 | 3,798,750 | ||||||
d First Tennessee Bank Pfd, 3.75% | 12,000 | 8,532,376 | ||||||
GMAC Capital Trust I Pfd, 8.125% | 628,126 | 16,036,057 | ||||||
|
| |||||||
33,487,183 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.15% | ||||||||
Capital Markets — 0.01% | ||||||||
Morgan Stanley Pfd, 4.00% | 120,000 | 2,392,800 | ||||||
Consumer Finance — 0.14% | ||||||||
Ally Financial, Inc. Pfd, 8.50% | 930,495 | 24,127,735 | ||||||
|
| |||||||
26,520,535 | ||||||||
|
| |||||||
ENERGY — 0.02% | ||||||||
Oil, Gas & Consumable Fuels — 0.02% | ||||||||
c Halcon Resources Corp. Pfd, 5.75% | 18,822 | 2,503,326 | ||||||
|
| |||||||
2,503,326 | ||||||||
|
| |||||||
MISCELLANEOUS — 0.06% | ||||||||
U.S. Government Agencies — 0.06% | ||||||||
d Farm Credit Bank of Texas Pfd, 10.00% | 9,000 | 11,233,125 | ||||||
|
| |||||||
11,233,125 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.10% | ||||||||
Wireless Telecommunication Services — 0.10% | ||||||||
d Centaur Funding Corp. Pfd, 9.08% | 15,000 | 18,384,375 | ||||||
|
| |||||||
18,384,375 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $106,129,740) | 92,128,544 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 0.34% | ||||||||
COMMERCIAL MTG TRUST — 0.11% | ||||||||
Citigroup Commercial Mtg Trust, Series 2004-HYB2 Class B1, 2.65%, 3/25/2034 | $ | 899,042 | 731,951 | |||||
d CVS Pass-Through Trust, 9.35%, 1/10/2023 | 15,000,000 | 17,818,860 | ||||||
|
| |||||||
18,550,811 | ||||||||
|
| |||||||
OTHER ASSET BACKED — 0.07% | ||||||||
d Fairway Outdoor Funding, LLC, Series 2012-1 Class B, 8.835%, 10/15/2042 | 7,000,000 | 7,446,202 | ||||||
d JPR Royalty, LLC, 14.00%, 9/1/2020 | 5,000,000 | 2,500,000 | ||||||
c,d Northwind Holdings, LLC, Series 2007-1A Class A1 Floating Rate Note, 1.109%, 12/1/2037 | 2,938,250 | 2,710,536 | ||||||
|
| |||||||
12,656,738 | ||||||||
|
|
16 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
RESIDENTIAL MTG TRUST — 0.16% | ||||||||
Banc of America Funding Corp., Series 2006-I Class SB1, 2.331%, 12/20/2036 | $ | 2,445,556 | $ | 1,007,545 | ||||
Bear Stearns ARM Mtg, Series 2003-6 Class 2B-1, 2.607%, 8/25/2033 | 241,801 | 242,237 | ||||||
FBR Securitization Trust, Series 2005-2 Class M1, 0.919%, 9/25/2035 | 16,556,165 | 16,401,969 | ||||||
Merrill Lynch Mtg Investors Trust, Series 2004-A4 Class M1, 2.56%, 8/25/2034 | 5,213,227 | 4,843,241 | ||||||
Morgan Stanley Capital, Inc., Series 2005-HE7 Class A2C, 0.514%, 11/25/2035 | 4,548,872 | 4,480,080 | ||||||
Residential Asset Securities Corp., Series 2006-KS4 Class A3, 0.344%, 6/25/2036 | 156,846 | 156,750 | ||||||
Wells Fargo Asset Securities Corp., Series 2005-AR1 Class 1B1, 2.622%, 2/25/2035 | 5,461,062 | 2,072,138 | ||||||
|
| |||||||
29,203,960 | ||||||||
|
| |||||||
TOTAL ASSET BACKED SECURITIES (Cost $61,329,700) | 60,411,509 | |||||||
|
| |||||||
CORPORATE BONDS — 6.00% | ||||||||
AUTOMOBILES & COMPONENTS — 0.02% | ||||||||
Auto Components — 0.02% | ||||||||
d,e Nexteer Automotive Group Ltd., 5.875%, 11/15/2021 | 4,300,000 | 4,171,000 | ||||||
|
| |||||||
4,171,000 | ||||||||
|
| |||||||
BANKS — 0.15% | ||||||||
Banks — 0.15% | ||||||||
d Banco Santander Brasil S.A. (BRL), 8.00%, 3/18/2016 | 42,200,000 | 10,112,246 | ||||||
d,e Groupe BPCE, 12.50%, 8/29/2049 | 10,211,000 | 13,363,646 | ||||||
d Itau Unibanco Holding S.A. (BRL), 10.50%, 11/23/2015 | 10,000,000 | 2,471,939 | ||||||
|
| |||||||
25,947,831 | ||||||||
|
| |||||||
CAPITAL GOODS — 0.20% | ||||||||
Construction & Engineering — 0.09% | ||||||||
d,e Abengoa Finance SAU, 8.875%, 11/1/2017 | 5,000,000 | 2,300,000 | ||||||
d Zachry Holdings, Inc., 7.50%, 2/1/2020 | 14,420,000 | 14,239,750 | ||||||
Industrial Conglomerates — 0.11% | ||||||||
Otter Tail Corp., 9.00%, 12/15/2016 | 17,000,000 | 18,470,092 | ||||||
|
| |||||||
35,009,842 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 0.05% | ||||||||
Commercial Services & Supplies — 0.05% | ||||||||
d,e GFL Environmental, Inc., 7.875%, 4/1/2020 | 8,000,000 | 8,190,000 | ||||||
|
| |||||||
8,190,000 | ||||||||
|
| |||||||
CONSUMER SERVICES — 0.25% | ||||||||
Diversified Consumer Services — 0.15% | ||||||||
d Laureate Education, Inc., 9.25%, 9/1/2019 | 34,500,000 | 27,082,500 | ||||||
Hotels, Restaurants & Leisure — 0.10% | ||||||||
d,e Arcos Dorados Holdings, Inc., 6.625%, 9/27/2023 | 2,490,000 | 2,014,410 | ||||||
d Arcos Dorados Holdings, Inc. (BRL), 10.25%, 7/13/2016 | 66,000,000 | 14,633,371 | ||||||
|
| |||||||
43,730,281 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.63% | ||||||||
Capital Markets — 0.05% | ||||||||
Goldman Sachs Group, Inc., 5.625%, 1/15/2017 | 8,000,000 | 8,401,848 | ||||||
d Morgan Stanley (BRL), 10.09%, 5/3/2017 | 4,560,000 | 1,069,694 | ||||||
Consumer Finance — 0.26% | ||||||||
Capital One Bank, 6.15%, 9/1/2016 | 25,000,000 | 26,041,050 | ||||||
b,d,f Cash Store Financial (CAD), 0%, 1/31/2017 | 10,000,000 | 1,440,240 | ||||||
d Lowell Group Financing plc (GBP), 10.75%, 4/1/2019 | 12,000,000 | 19,523,544 | ||||||
Diversified Financial Services — 0.32% | ||||||||
c Bank of America Corp. (BRL), 10.75%, 8/20/2018 | 5,000,000 | 1,147,686 | ||||||
d,e CFG Holdings Ltd./CFG Finance, LLC, 11.50%, 11/15/2019 | 27,634,000 | 27,081,320 | ||||||
JPMorgan Chase & Co., 7.90%, 4/29/2049 | 15,000,000 | 15,581,250 | ||||||
National Rural Utilities Cooperative Finance Corp., 10.375%, 11/1/2018 | 5,000,000 | 6,249,655 | ||||||
d TMX Finance, LLC/Titlemax Finance, 8.50%, 9/15/2018 | 8,000,000 | 6,300,000 | ||||||
|
| |||||||
112,836,287 | ||||||||
|
|
Annual Report 17
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
ENERGY — 1.03% | ||||||||
Energy Equipment & Services — 0.01% | ||||||||
d,e,f Schahin II Finance Co. (SPV) Ltd., 5.875%, 9/25/2023 | $ | 11,640,133 | $ | 2,444,428 | ||||
Oil, Gas & Consumable Fuels — 1.02% | ||||||||
d DCP Midstream, LLC, 9.75%, 3/15/2019 | 5,000,000 | 5,600,795 | ||||||
Enbridge Energy Partners LP, 9.875%, 3/1/2019 | 9,750,000 | 11,771,604 | ||||||
Energy Transfer Partners LP, 3.318%, 11/1/2066 | 13,820,000 | 10,088,600 | ||||||
Enterprise Products Operating LP, 7.034%, 1/15/2068 | 14,480,000 | 15,276,400 | ||||||
Gastar Exploration USA, Inc., 8.625%, 5/15/2018 | 7,782,000 | 4,902,660 | ||||||
d,e Gaz Capital SA, 8.146%, 4/11/2018 | 2,000,000 | 2,122,900 | ||||||
Kinder Morgan Energy Partners LP, 9.00%, 2/1/2019 | 8,000,000 | 9,449,424 | ||||||
d Linc Energy, 12.50%, 10/31/2017 | 21,300,000 | 3,195,000 | ||||||
d Linc Energy, 9.625%, 10/31/2017 | 19,433,000 | 15,546,400 | ||||||
NuStar Logistics LP, 8.15%, 4/15/2018 | 18,000,000 | 19,260,000 | ||||||
d,e Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/1/2023 | 31,237,798 | 8,231,159 | ||||||
Oneok Partners LP, 8.625%, 3/1/2019 | 8,000,000 | 9,322,584 | ||||||
d,e Petro Co., Trinidad Tobago Ltd., 9.75%, 8/14/2019 | 4,000,000 | 4,320,000 | ||||||
e Petrobras Global Finance B.V., 3.00%, 1/15/2019 | 4,000,000 | 2,890,000 | ||||||
e Petrobras Global Finance B.V., 4.375%, 5/20/2023 | 20,000,000 | 13,050,000 | ||||||
b,f RAAM Global Energy Co., 12.50%, 10/1/2015 | 15,000,000 | 825,000 | ||||||
Summit Midstream Holdings, LLC, 5.50%, 8/15/2022 | 6,000,000 | 5,160,000 | ||||||
Teppco Partners LP, 7.00%, 6/1/2067 | 7,000,000 | 6,251,000 | ||||||
d,e Tullow Oil plc, 6.25%, 4/15/2022 | 13,500,000 | 9,450,000 | ||||||
Williams Companies, Inc., 4.55%, 6/24/2024 | 23,002,000 | 18,238,999 | ||||||
Williams Companies, Inc., 3.70%, 1/15/2023 | 8,302,000 | 6,437,952 | ||||||
|
| |||||||
183,834,905 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.17% | ||||||||
Food & Staples Retailing — 0.17% | ||||||||
d Bakkavor Finance (2) plc (GBP), 8.75%, 6/15/2020 | 14,132,000 | 23,357,794 | ||||||
d C&S Group Enterprises, LLC, 5.375%, 7/15/2022 | 7,860,000 | 7,152,600 | ||||||
|
| |||||||
30,510,394 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 0.12% | ||||||||
Beverages — 0.06% | ||||||||
Ambev International Finance Co. Ltd. (BRL), 9.50%, 7/24/2017 | 21,669,000 | 5,055,827 | ||||||
Anheuser-Busch InBev (BRL), 9.75%, 11/17/2015 | 20,000,000 | 4,922,689 | ||||||
Food Products — 0.03% | ||||||||
d,e BRF S.A., 4.75%, 5/22/2024 | 6,000,000 | 5,670,000 | ||||||
Tobacco — 0.03% | ||||||||
d,e B.A.T. International Finance, plc, 9.50%, 11/15/2018 | 5,000,000 | 6,110,290 | ||||||
|
| |||||||
21,758,806 | ||||||||
|
| |||||||
INSURANCE — 1.04% | ||||||||
Insurance — 1.04% | ||||||||
d,e Dai Ichi Mutual Life Insurance Co., Ltd. 7.25%, 12/29/2049 | 9,000,000 | 10,485,000 | ||||||
ELM B.V. (AUD), 3.41%, 4/29/2049 | 8,000,000 | 5,498,372 | ||||||
ELM B.V. (AUD), 7.635%, 12/29/2049 | 10,500,000 | 7,710,562 | ||||||
Genworth Holdings, Inc., 4.90%, 8/15/2023 | 24,020,000 | 18,735,600 | ||||||
Hartford Financial Services Group, 8.125%, 6/15/2068 | 9,650,000 | 10,663,250 | ||||||
d MetLife Capital Trust X, 9.25%, 4/8/2068 | 12,000,000 | 16,560,000 | ||||||
MetLife, Inc., 6.817%, 8/15/2018 | 4,000,000 | 4,556,796 | ||||||
d National Life Insurance of Vermont, 10.50%, 9/15/2039 | 2,000,000 | 3,098,912 | ||||||
d,e QBE Capital Funding III Ltd., 7.25%, 5/24/2041 | 40,000,000 | 44,600,000 | ||||||
d,e Sirius International Group, 7.506%, 5/29/2049 | 28,590,000 | 28,875,900 | ||||||
Transatlantic Holdings, Inc., 5.75%, 12/14/2015 | 8,147,000 | 8,221,838 | ||||||
d ZFS Finance USA Trust II, 6.45%, 12/15/2065 | 25,748,000 | 26,005,480 | ||||||
d ZFS Finance USA Trust V, 6.50%, 5/9/2067 | 1,260,000 | 1,279,530 | ||||||
|
| |||||||
186,291,240 | ||||||||
|
| |||||||
MATERIALS — 0.25% | ||||||||
Chemicals — 0.04% | ||||||||
d,e Consolidated Energy Finance S.A., 6.75%, 10/15/2019 | 7,300,000 | 6,898,500 |
18 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Construction Materials — 0.15% | ||||||||
d,e CEMEX Espana Luxembourg, 9.875%, 4/30/2019 | $ | 1,460,000 | $ | 1,569,062 | ||||
d,e Cimpor Financial Operations B.V., 5.75%, 7/17/2024 | 17,985,000 | 12,067,935 | ||||||
CRH America, Inc., 8.125%, 7/15/2018 | 12,000,000 | 13,956,420 | ||||||
Metals & Mining — 0.06% | ||||||||
d,e Alrosa Finance S.A., 7.75%, 11/3/2020 | 6,000,000 | 6,258,720 | ||||||
Coeur d’Alene Mines Corp., 7.875%, 2/1/2021 | 7,687,000 | 4,612,200 | ||||||
|
| |||||||
45,362,837 | ||||||||
|
| |||||||
MEDIA — 0.16% | ||||||||
Media — 0.16% | ||||||||
Comcast Cable Communications, LLC, 8.875%, 5/1/2017 | 5,000,000 | 5,595,395 | ||||||
Time Warner Cable, Inc., 8.75%, 2/14/2019 | 14,000,000 | 16,441,068 | ||||||
WMG Holdings Corp., 13.75%, 10/1/2019 | 6,000,000 | 6,375,000 | ||||||
|
| |||||||
28,411,463 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 0.02% | ||||||||
Pharmaceuticals — 0.02% | ||||||||
d,e Concordia Healthcare Corp., 7.00%, 4/15/2023 | 5,000,000 | 4,375,000 | ||||||
|
| |||||||
4,375,000 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 0.05% | ||||||||
Internet Software & Services — 0.05% | ||||||||
c,d Yahoo!, Inc., 6.65%, 8/10/2026 | 7,216,385 | 7,974,106 | ||||||
|
| |||||||
7,974,106 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 1.24% | ||||||||
Diversified Telecommunication Services — 0.87% | ||||||||
e Deutsche Telekom International Finance BV, 8.75%, 6/15/2030 | 26,150,000 | 37,386,054 | ||||||
Qwest Corp., 6.75%, 12/1/2021 | 9,000,000 | 9,523,125 | ||||||
e Telefonica Emisiones SAU, 6.221%, 7/3/2017 | 2,770,000 | 2,990,223 | ||||||
e Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 85,390,000 | 100,138,646 | ||||||
d,e Telemar Norte Leste SA, 5.50%, 10/23/2020 | 9,065,000 | 4,861,106 | ||||||
Wireless Telecommunication Services — 0.37% | ||||||||
d,e Digicel Ltd., 6.00%, 4/15/2021 | 57,037,000 | 52,046,262 | ||||||
d,e Millicom International Cellular S.A., 6.00%, 3/15/2025 | 6,000,000 | 5,415,000 | ||||||
d,e VimpelCom Holdings B.V., 7.504%, 3/1/2022 | 8,735,000 | 8,756,838 | ||||||
|
| |||||||
221,117,254 | ||||||||
|
| |||||||
TRANSPORTATION — 0.04% | ||||||||
Airlines — 0.04% | ||||||||
American Airlines Group, Inc., 4.95%, 7/15/2024 | 4,621,193 | 4,933,123 | ||||||
US Airways, 6.25%, 10/22/2024 | 2,225,294 | 2,481,203 | ||||||
|
| |||||||
7,414,326 | ||||||||
|
| |||||||
UTILITIES — 0.58% | ||||||||
Electric Utilities — 0.35% | ||||||||
Arizona Public Service Co., 8.75%, 3/1/2019 | 6,500,000 | 7,899,249 | ||||||
d Cia de Eletricidade do Estado da Bahia (BRL), 11.75%, 4/27/2016 | 12,000,000 | 2,744,760 | ||||||
d,e Enel Finance International S.A., 6.25%, 9/15/2017 | 40,000,000 | 43,352,240 | ||||||
Entergy Gulf States Louisiana, LLC, 6.00%, 5/1/2018 | 8,000,000 | 8,769,448 | ||||||
d Great River Energy, 5.829%, 7/1/2017 | 503,551 | 521,524 | ||||||
Multi-Utilities — 0.23% | ||||||||
Ameren Illinois Co., 9.75%, 11/15/2018 | 5,000,000 | 6,177,835 | ||||||
d Enable Oklahoma Intrastate Transmission, LLC, 6.25%, 3/15/2020 | 2,500,000 | 2,757,055 | ||||||
NiSource Finance Corp., 6.40%, 3/15/2018 | 20,000,000 | 22,207,880 | ||||||
Sempra Energy, 9.80%, 2/15/2019 | 7,750,000 | 9,591,074 | ||||||
|
| |||||||
104,021,065 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $1,096,910,658) | 1,070,956,637 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.01% | ||||||||
San Bernardino County California Redevelopment Agency (San Sevaine), 8.45%, 9/1/2030 | 2,555,000 | 2,873,506 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $2,505,842) | 2,873,506 | |||||||
|
|
Annual Report 19
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCIES — 0.05% | ||||||||
d Agribank FCB, 9.125%, 7/15/2019 | $ | 6,750,000 | $ | 8,338,113 | ||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $6,750,000) | 8,338,113 | |||||||
|
| |||||||
OTHER GOVERNMENT — 0.18% | ||||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2022 | 20,000,000 | 4,880,817 | ||||||
Federative Republic of Brazil (BRL), 12.50%, 1/5/2016 | 109,401,000 | 27,195,027 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $67,435,401) | 32,075,844 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 0.64% | ||||||||
CONSUMER SERVICES — 0.22% | ||||||||
Hotels, Restaurants & Leisure — 0.09% | ||||||||
c Private Restaurants Properties, Inc., 9.00%, 4/10/2017 | 15,015,392 | 15,270,654 | ||||||
Diversified Consumer Services — 0.13% | ||||||||
Laureate Education, Inc., 5.00%, 6/15/2018 | 29,159,071 | 23,910,438 | ||||||
DIVERSIFIED FINANCIALS — 0.08% | ||||||||
Diversified Financial Services — 0.08% | ||||||||
NCP Finance LP, 11.00%, 9/25/2018 | 14,018,912 | 13,037,588 | ||||||
FOOD, BEVERAGE & TOBACCO — 0.05% | ||||||||
Tobacco — 0.05% | ||||||||
North Atlantic Trading Co., Inc., 7.75%-8.75%, 1/13/2020 | 9,536,029 | 9,416,829 | ||||||
INDUSTRIALS — 0.07% | ||||||||
Construction & Engineering — 0.07% | ||||||||
g ABG Intermediate Holdings (2), LLC, 9.50%, 5/27/2022 | 11,266,667 | 11,238,500 | ||||||
MATERIALS — 0.12% | ||||||||
Metals & Mining — 0.12% | ||||||||
Coeur Mining, Inc., 9.00%, 6/9/2020 | 21,670,688 | 21,237,274 | ||||||
TRANSPORTATION — 0.06% | ||||||||
Airlines — 0.06% | ||||||||
c,d,e,f Synergy Aerospace Corp., 6.50%, 3/3/2015 | 6,183,689 | 6,146,587 | ||||||
c,d,e ET Two, LLC, 10.00%, 9/30/2019 | 2,432,446 | 2,430,013 | ||||||
c,d,e ET Three, LLC, 10.00%, 9/30/2019 | 2,432,446 | 2,430,014 | ||||||
UTILITIES — 0.04% | ||||||||
Electric Utilities — 0.04% | ||||||||
b,f Texas Competitive Electric Holdings Co., LLC, 4.683%, 10/10/2017 | 20,669,860 | 7,673,686 | ||||||
|
| |||||||
TOTAL LOAN PARTICIPATIONS (Cost $129,924,436) | 112,791,583 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 3.12% | ||||||||
a Thornburg Capital Management Fund | 55,637,891 | 556,378,908 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $556,378,908) | 556,378,908 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.05% (Cost $18,094,619,153) | $ | 17,846,305,360 | ||||||
LIABILITIES NET OF OTHER ASSETS — (0.05)% | (8,640,893 | ) | ||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 17,837,664,467 | ||||||
|
|
20 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Apollo Investment Corp. | 13,590,000 | 11,210,000 | — | 24,800,000 | $ | 135,904,000 | $ | 17,396,214 | $ | — | ||||||||||||||||||
Dynex Capital, Inc. | 5,062,000 | — | 643,458 | 4,418,542 | 28,985,635 | 4,960,760 | (1,851,524 | ) | ||||||||||||||||||||
Invesco Mortgage Capital, Inc. | 8,350,000 | 8,114,200 | 612,500 | 15,851,700 | 194,024,808 | 21,328,645 | (2,726,042 | ) | ||||||||||||||||||||
Jasmine Broadband Internet Infrastructure Fund* | — | 359,941,200 | — | 359,941,200 | 104,129,566 | 3,228,479 | — | |||||||||||||||||||||
MFA Financial, Inc. | 25,500,000 | 8,031,700 | — | 33,531,700 | 228,350,877 | 25,056,147 | — | |||||||||||||||||||||
Solar Capital Ltd. | 4,607,900 | — | — | 4,607,900 | 72,896,978 | 7,004,009 | — | |||||||||||||||||||||
TDC A/S* | 33,047,600 | 17,585,000 | 5,065,700 | 45,566,900 | 234,544,296 | 9,297,368 | (6,742,254 | ) | ||||||||||||||||||||
Thornburg Capital Management Fund | — | 122,087,777 | 66,449,886 | 55,637,891 | 556,378,908 | 244,514 | — | |||||||||||||||||||||
Two Harbors Investment Corp.* | 14,900,000 | 6,269,300 | 896,800 | 20,272,500 | 178,803,450 | 18,878,366 | (975,063 | ) | ||||||||||||||||||||
Washington REIT | 5,721,000 | — | — | 5,721,000 | 142,624,530 | 3,295,296 | — | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total non-controlled affiliated issuers - 10.52% of net assets | $ | 1,876,643,048 | $ | 110,689,798 | $ | (12,294,883 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | Issuer not affiliated at September 30, 2014. |
b | Non-income producing. |
c | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
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 September 30, 2015, the aggregate value of these securities in the Fund’s portfolio was $665,499,503, representing 3.73% 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 | Security in default. |
g | Loan participation with an unfunded commitment outstanding of $1,733,333 (see Note 2). |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depositary Receipt | |
ARM | Adjustable Rate Mortgage | |
AUD | Denominated in Australian Dollars | |
BRL | Denominated in Brazilian Real | |
CAD | Denominated in Canadian Dollars | |
CMO | Collateralized Mortgage Obligation | |
FCB | Farm Credit Bank | |
GBP | Denominated in Great Britain Pounds | |
GDR | Global Depository Receipt | |
Mtg | Mortgage | |
Pfd | Preferred Stock | |
REIT | Real Estate Investment Trust | |
SPV | Special Purpose Vehicle |
See notes to financial statements.
Annual Report 21
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
ASSETS | ||||
Investments at value | ||||
Non-affiliated issuers (cost $15,908,073,774) (Note 2) | $ | 15,969,662,312 | ||
Non-controlled affiliated issuers (cost $2,186,545,379) (Note 2) | 1,876,643,048 | |||
Cash | 1,489,544 | |||
Cash denominated in foreign currency (cost $11,984,329) | 11,984,793 | |||
Receivable for investments sold | 43,945,519 | |||
Receivable for fund shares sold | 29,172,896 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 15,798,732 | |||
Dividends receivable | 51,656,612 | |||
Dividend and interest reclaim receivable | 37,201,030 | |||
Interest receivable | 25,137,368 | |||
Prepaid expenses and other assets | 55,345 | |||
|
| |||
Total Assets | 18,062,747,199 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 121,323,038 | |||
Payable for fund shares redeemed | 35,522,044 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 35,131,913 | |||
Payable to investment advisor and other affiliates (Note 3) | 17,317,878 | |||
Deferred taxes payable | 743,783 | |||
Accounts payable and accrued expenses | 3,655,025 | |||
Dividends payable | 11,389,051 | |||
|
| |||
Total Liabilities | 225,082,732 | |||
|
| |||
NET ASSETS | $ | 17,837,664,467 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 104,418,225 | ||
Net unrealized depreciation on investments | (271,024,340 | ) | ||
Accumulated net realized gain (loss) | (326,711,214 | ) | ||
Net capital paid in on shares of beneficial interest | 18,330,981,796 | |||
|
| |||
$ | 17,837,664,467 | |||
|
|
22 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($4,257,943,052 applicable to 223,250,549 shares of beneficial interest outstanding - Note 4) | $ | 19.07 | ||
Maximum sales charge, 4.50% of offering price | 0.90 | |||
|
| |||
Maximum offering price per share | $ | 19.97 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($5,906,206,132 applicable to 309,808,287 shares of beneficial interest outstanding - Note 4) | $ | 19.06 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($7,472,344,497 applicable to 389,031,267 shares of beneficial interest outstanding - Note 4) | $ | 19.21 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($79,833,693 applicable to 4,186,805 shares of beneficial interest outstanding - Note 4) | $ | 19.07 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($42,391,878 applicable to 2,219,289 shares of beneficial interest outstanding - Note 4) | $ | 19.10 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($78,945,215 applicable to 4,112,349 shares of beneficial interest outstanding - Note 4) | $ | 19.20 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 23
STATEMENT OF OPERATIONS | ||
Thornburg Investment Income Builder Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $61,373,465) | $ | 774,239,394 | ||
Non-controlled affiliated issuers (net of foreign taxes withheld of $3,438,752) | 110,689,798 | |||
Interest income (net of premium amortized of $3,332,474) | 107,919,434 | |||
|
| |||
Total Income | 992,848,626 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 131,437,755 | |||
Administration fees (Note 3) | ||||
Class A Shares | 5,817,152 | |||
Class C Shares | 7,984,878 | |||
Class I Shares | 3,927,211 | |||
Class R3 Shares | 106,632 | |||
Class R4 Shares | 54,182 | |||
Class R5 Shares | 38,596 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 11,641,694 | |||
Class C Shares | 63,930,722 | |||
Class R3 Shares | 426,260 | |||
Class R4 Shares | 106,490 | |||
Transfer agent fees | ||||
Class A Shares | 3,341,149 | |||
Class C Shares | 4,546,242 | |||
Class I Shares | 5,951,997 | |||
Class R3 Shares | 157,650 | |||
Class R4 Shares | 132,083 | |||
Class R5 Shares | 205,125 | |||
Registration and filing fees | ||||
Class A Shares | 90,824 | |||
Class C Shares | 100,376 | |||
Class I Shares | 168,388 | |||
Class R3 Shares | 12,052 | |||
Class R4 Shares | 27,513 | |||
Class R5 Shares | 25,814 | |||
Custodian fees (Note 3) | 3,367,103 | |||
Professional fees | 329,734 | |||
Accounting fees (Note 3) | 670,775 | |||
Trustee fees | 689,900 | |||
Other expenses | 1,763,954 | |||
|
| |||
Total Expenses | 247,052,251 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (1,626,572 | ) | ||
Fees paid indirectly (Note 3) | (9,653 | ) | ||
|
| |||
Net Expenses | 245,416,026 | |||
|
| |||
Net Investment Income | $ | 747,432,600 | ||
|
|
24 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Investment Income Builder Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | ||||
Non-affiliated issuers | $ | (208,661,349 | ) | |
Non-controlled affiliated issuers | (12,294,883 | ) | ||
Foreign currency contracts (Note 7) | 513,294,670 | |||
Foreign currency transactions | (8,251,716 | ) | ||
|
| |||
284,086,722 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers (net of deferred taxes payable of $743,783 | (2,006,430,615 | ) | ||
Non-controlled affiliated issuers | (284,826,777 | ) | ||
Forward currency contracts (Note 7) | (170,956,735 | ) | ||
Foreign currency translations | (1,147,204 | ) | ||
|
| |||
(2,463,361,331 | ) | |||
|
| |||
Net Realized and Unrealized Loss | (2,179,274,609 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (1,431,842,009 | ) | |
|
|
See notes to financial statements.
Annual Report 25
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Investment Income Builder Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 747,432,600 | $ | 867,746,227 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 284,086,721 | 395,489,176 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency translations, and deferred taxes | (2,463,361,330 | ) | 467,713,787 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,431,842,009 | ) | 1,730,949,190 | |||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (180,681,373 | ) | (217,737,169 | ) | ||||
Class C Shares | (202,366,869 | ) | (229,272,611 | ) | ||||
Class I Shares | (329,515,668 | ) | (321,305,859 | ) | ||||
Class R3 Shares | (3,040,478 | ) | (3,172,949 | ) | ||||
Class R4 Shares | (1,592,222 | ) | (1,442,451 | ) | ||||
Class R5 Shares | (3,132,039 | ) | (2,394,204 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 185,220,853 | 27,382,304 | ||||||
Class C Shares | 354,009,401 | 778,778,530 | ||||||
Class I Shares | 916,835,216 | 1,544,961,767 | ||||||
Class R3 Shares | 5,970,486 | 18,411,872 | ||||||
Class R4 Shares | 7,486,131 | 13,430,799 | ||||||
Class R5 Shares | 23,425,938 | 22,689,436 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (659,222,633 | ) | 3,361,278,655 | |||||
NET ASSETS | ||||||||
Beginning of Year | 18,496,887,100 | 15,135,608,445 | ||||||
|
|
|
| |||||
End of Year | $ | 17,837,664,467 | $ | 18,496,887,100 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 104,418,225 | $ | 113,393,754 |
See notes to financial statements.
26 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
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 twenty separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund’s primary investment goal is to provide a level of current income which exceeds the average yield on U.S. stocks generally, and which will generally grow, subject to periodic fluctuations, over the years on a per share basis. The Fund’s secondary investment goal is long-term capital appreciation.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, (iv) Class R3 shares are sold at net asset value without a sales charge at the time of purchase, but bear both a service fee and distribution fee, (v) Class R4 shares are sold at net asset value without sales charge at the time of purchase, but bear a service fee, (vi) Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and
Annual Report 27
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the
28 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(b) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock(a) | $ | 15,910,350,716 | $ | 15,766,389,805 | $ | 143,960,911 | $ | — | ||||||||
Preferred Stock(a) | 92,128,544 | 51,475,342 | 40,653,202 | — | ||||||||||||
Asset Backed Securities | 60,411,509 | — | 57,700,973 | 2,710,536 | ||||||||||||
Corporate Bonds | 1,070,956,637 | — | 1,061,834,845 | 9,121,792 | ||||||||||||
Municipal Bonds | 2,873,506 | — | 2,873,506 | — | ||||||||||||
U.S. Government Agencies | 8,338,113 | — | 8,338,113 | — | ||||||||||||
Other Government | 32,075,844 | — | 32,075,844 | — | ||||||||||||
Loan Participations | 112,791,583 | — | 65,277,041 | 47,514,542 | ||||||||||||
Short Term Investments | 556,378,908 | 556,378,908 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 17,846,305,360 | $ | 16,374,244,055 | $ | 1,412,714,435 | $ | 59,346,870 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 15,798,732 | $ | — | $ | 15,798,732 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (35,131,913 | ) | $ | — | $ | (35,131,913 | ) | $ | — | ||||||
Spot Currency | $ | (38,726 | ) | $ | (38,726 | ) | $ | — | $ | — |
* | 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, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
(a) | At September 30, 2015, industry classifications for Common Stock in Level 2 and Level 3 and Preferred Stock in Level 2 consist of $8,532,376 in Banks, $2,503,326 in Energy, $11,233,125 in Miscellaneous, and $162,345,286 in Telecommunication Services. |
(b) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, unadjusted vendor prices were applied to $33,069,602 of portfolio securities characterized as Level 3 investments at September 30, 2015. The following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments, where no unadjusted broker quotes were available at September 30, 2015. |
Fair Value at September 30, 2015 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||
Common Stock | $ | 0 | Terms of plan reorganization | Discount to zero for lack of marketability and company | (N/A) (N/A) | |||||
Loan Participations | 26,277,268 | Discounted cash flows | Third party vendor projection of discounted cash flows | 8.10% - 10.50% (8.70%) | ||||||
|
| |||||||||
Total | $ | 26,277,268 |
In accordance with the guidance prescribed in ASU No. 2011-04, it is the policy of the Fund to recognize transfers between levels and those underlying events which caused the movement. The Fund recognized no significant transfers between Levels 1 and 2 for the year ended September 30, 2015, other than when the Fund exceeded market volatility thresholds for foreign equity investments during the period.
Annual Report 29
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the year ended September 30, 2015 is as follows:
Common Stock(a) | Asset Backed Securities | Corporate Bonds | Loan Participations | Total(d) | ||||||||||||||||
Beginning Balance 9/30/2014 | $ | — | $ | 3,188,142 | $ | 19,918,844 | $ | 36,848,923 | $ | 59,955,909 | ||||||||||
Accrued Discounts (Premiums) | 20,325 | 86,755 | 21,682 | 128,762 | ||||||||||||||||
Net Realized Gain (Loss)(b) | 84,669 | (1,040,779 | ) | 1,033 | (955,077 | ) | ||||||||||||||
Gross Purchases | — | — | 43,282,061 | 43,282,061 | ||||||||||||||||
Gross Sales | (604,130 | ) | (9,767,395 | ) | (32,724,375 | ) | (43,095,900 | ) | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation)(c)(e) | 21,530 | (75,633 | ) | 85,218 | 31,115 | |||||||||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||||||
Transfers out of Level 3 | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ending Balance 9/30/2015 | $ | — | $ | 2,710,536 | $ | 9,121,792 | $ | 47,514,542 | $ | 59,346,870 |
(a) | Common stock valued at zero is included as a security in the Level 3 rollforward table at September 30, 2015. |
(b) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(c) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(d) | Level 3 Securities represent 0.33% of total net assets at the year ended September 30, 2015. Significant fluctuations of the unobservable inputs applied to portfolio securities characterized as Level 3 investments could be expected to increase or decrease the fair value of these portfolio securities. |
(e) | The net change in unrealized appreciation (depreciation) attributable to securities owned at September 30, 2015, which were valued using significant unobservable inputs is negative $805,020. This is included within net change in unrealized appreciation (depreciation) on investments within the Statement of Operations. |
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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. To date the Fund has recovered certain amounts previously withheld in Finland, which amounts are reflected in the financial statements included in this report. The Fund would expect to record a receivable for other such reclaims based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims in countries other than Finland, and the likelihood of collection in those other countries remains uncertain.
Deferred Foreign Capital Gain 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.
30 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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 Loan Commitments: The Fund has entered into a loan commitment with ABG Intermediate Holdings (2), LLC, of which at September 30, 2015, $11,266,667 of the $13,000,000 par commitment had been funded and maturity date is May 27, 2022.
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $670,775 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $1,428,760 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $453,526 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
Annual Report 31
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually reimbursed certain class specific expenses, administrative fees, and distribution fees of $1,486,668 for Class C shares, $41,367 for Class R3 shares, $27,156 for Class R4 shares, and $71,381 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $9,653.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 39,942,804 | $ | 845,842,088 | 48,612,162 | $ | 1,028,388,480 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 8,027,583 | 166,841,094 | 9,375,792 | 200,214,215 | ||||||||||||
Shares repurchased | (39,349,193 | ) | (827,462,329 | ) | (55,979,046 | ) | (1,201,220,391 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,621,194 | $ | 185,220,853 | 2,008,908 | $ | 27,382,304 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 44,700,687 | $ | 948,313,812 | 56,872,819 | $ | 1,202,445,858 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 8,343,112 | 173,215,686 | 8,976,982 | 191,699,714 | ||||||||||||
Shares repurchased | (36,466,647 | ) | (767,520,097 | ) | (28,974,490 | ) | (615,367,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 16,577,152 | $ | 354,009,401 | 36,875,311 | $ | 778,778,530 | ||||||||||
|
|
|
|
|
|
|
|
32 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 98,224,899 | $ | 2,092,406,561 | 118,183,924 | $ | 2,536,009,530 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 13,752,647 | 287,659,480 | 12,871,189 | 277,002,806 | ||||||||||||
Shares repurchased | (69,222,046 | ) | (1,463,230,825 | ) | (59,386,156 | ) | (1,268,050,569 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 42,755,500 | $ | 916,835,216 | 71,668,957 | $ | 1,544,961,767 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,511,834 | $ | 32,132,928 | 1,473,125 | $ | 31,281,547 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 133,120 | 2,764,150 | 132,598 | 2,834,610 | ||||||||||||
Shares repurchased | (1,373,103 | ) | (28,926,592 | ) | (737,624 | ) | (15,704,285 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 271,851 | $ | 5,970,486 | 868,099 | $ | 18,411,872 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 981,655 | $ | 20,835,501 | 1,061,369 | $ | 22,674,871 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 49,770 | 1,034,418 | 39,714 | 851,725 | ||||||||||||
Shares repurchased | (674,843 | ) | (14,383,788 | ) | (473,144 | ) | (10,095,797 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 356,582 | $ | 7,486,131 | 627,939 | $ | 13,430,799 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,847,706 | $ | 39,326,203 | 1,791,210 | $ | 38,729,499 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 132,999 | 2,777,304 | 98,278 | 2,118,145 | ||||||||||||
Shares repurchased | (877,762 | ) | (18,677,569 | ) | (853,331 | ) | (18,158,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,102,943 | $ | 23,425,938 | 1,036,157 | $ | 22,689,436 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) of $10,735,244,471 and $8,893,350,162, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 18,155,467,043 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 1,757,743,183 | ||
Gross unrealized depreciation on a tax basis | (2,066,904,866 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (309,161,683 | ) | |
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses, and outstanding publicly traded partnership (“PTP”) and real estate investment trust (“REIT”) tax basis adjustments.
At September 30, 2015 the Fund had deferred tax basis late year specified ordinary losses and capital losses occurring subsequent to October 31, 2014 through September 30, 2015 of $21,307,178 and $201,075,792, respectively. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
During the year ended September 30, 2015, the Fund utilized $436,568,270 of capital loss carryforwards generated prior to October 1, 2011.
Annual Report 33
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
At September 30, 2015, the Fund had cumulative tax basis capital losses of $5,535,453 generated prior to October 1, 2011, which may be carried forward to offset future capital gains. To the extent such carryforwards are used, capital gain distributions may be reduced to the extent provided by regulations. Such capital loss carryforwards expire September 30, 2018.
In order to account for permanent book to tax differences, the Fund decreased undistributed net investment income by $36,079,480, decreased accumulated net realized loss by $40,959,062, and decreased net capital paid in on shares of beneficial interest by $4,879,582. Reclassifications have no impact upon the net asset value of the Fund and result primarily from foreign currency transactions, investments in foreign bonds, real estate investment trusts (“REITs”) and publicly traded partnerships (“PTPs”).
At September 30, 2015, the Fund had $58,407,760 of undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 720,328,649 | $ | 775,325,243 | ||||
Capital gains | — | — | ||||||
|
|
|
| |||||
Total | $ | 720,328,649 | $ | 775,325,243 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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 value of open sell currency contracts for the year ended September 30, 2015 was $4,104,894,849. 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 the open sell currency contracts to which they relate.
34 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Counter Party(a) | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Australian Dollar | Sell | 68,908,600 | SSB | 11/12/2015 | 48,260,354 | $ | 5,964,168 | $ | — | |||||||||||||||||
Chinese Yuan Renminbi | Sell | 4,772,281,000 | SSB | 02/16/2016 | 739,415,274 | — | (12,809,771 | ) | ||||||||||||||||||
Euro | Sell | 2,160,925,700 | SSB | 11/24/2015 | 2,416,612,624 | 274,725 | — | |||||||||||||||||||
Great Britain Pound | Sell | 87,661,200 | SSB | 10/08/2015 | 132,604,924 | 1,477,264 | — | |||||||||||||||||||
Great Britain Pound | Sell | 411,483,900 | SSB | 10/08/2015 | 622,450,883 | — | (14,111,027 | ) | ||||||||||||||||||
Japanese Yen | Sell | 12,194,876,000 | BBH | 12/08/2015 | 101,751,383 | 73,688 | — | |||||||||||||||||||
Japanese Yen | Sell | 2,646,650,700 | BBH | 12/08/2015 | 22,083,076 | 23,745 | — | |||||||||||||||||||
Korean Won | Sell | 69,272,627,900 | SSB | 12/08/2015 | 58,316,540 | — | (271,068 | ) | ||||||||||||||||||
Swiss Franc | Sell | 509,306,800 | SSB | 10/07/2015 | 522,660,783 | 7,624,087 | — | |||||||||||||||||||
Swiss Franc | Buy | 55,260,500 | SSB | 10/07/2015 | 56,709,426 | 239,625 | — | |||||||||||||||||||
Swiss Franc | Buy | 55,726,800 | SSB | 10/07/2015 | 57,187,952 | — | (1,590,942 | ) | ||||||||||||||||||
Swiss Franc | Buy | 125,908,000 | SSB | 10/07/2015 | 129,209,298 | — | (6,349,105 | ) | ||||||||||||||||||
Thailand Baht | Sell | 1,763,711,900 | BBH | 12/08/2015 | 48,476,385 | 121,430 | — | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Total | $ | 15,798,732 | $ | (35,131,913 | ) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | (19,333,181 | ) | |||||||||||||||||||||||
|
|
|
|
(a) | Counterparties include State Street Bank and Trust Company (“SSB”) and Brown Brothers Harriman & Co. (“BBH”). |
The outstanding forward currency contracts in the foregoing table which were entered into with State Street Bank and Trust Company (“SSB”) were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. Outstanding forward currency contracts which were entered into with Brown Brothers Harriman & Co. (“BBH”) were entered into pursuant to a written agreement with BBH. In the event of a default or termination under the ISDA Master Agreement or the agreement with BBH, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement and the agreement with BBH does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under such agreements, the Fund does not net its outstanding forward currency contracts for the purpose of disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation (depreciation) on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 15,798,732 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (35,131,913 | ) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $218,863 attributable to the Fund’s contracts with BBH, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is negative $19,552,045 attributable to the Fund’s contracts with SSB. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
Annual Report 35
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 513,294,670 | $ | 513,294,670 | ||||
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (170,956,735 | ) | $ | (170,956,735 | ) |
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 small- and mid-cap companies, non-U.S. issuers (including developing country 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
36 Annual Report
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Annual Report 37
Thornburg Investment Income Builder Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | Net | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | Dividends from Net Investment Income | Dividends | Total Dividends | Net Asset Value End of Year | 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 (%)(a) | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||||||
CLASS A SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 21.38 | 0.85 | (2.34 | ) | (1.49 | ) | (0.82 | ) | — | (0.82 | ) | $ | 19.07 | 4.02 | 1.17 | 1.17 | 1.17 | (7.27 | ) | 47.71 | $ | 4,257,943 | |||||||||||||||||||||||||||||||||
2014(b) | $ | 20.13 | 1.10 | 1.13 | 2.23 | (0.98 | ) | — | (0.98 | ) | $ | 21.38 | 5.21 | 1.18 | 1.18 | 1.18 | 11.19 | 38.81 | $ | 4,588,033 | ||||||||||||||||||||||||||||||||||||
2013(b) | $ | 18.90 | 1.03 | 1.27 | 2.30 | (1.07 | ) | — | (1.07 | ) | $ | 20.13 | 5.26 | 1.18 | 1.18 | 1.18 | 12.51 | 46.14 | $ | 4,281,060 | ||||||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | |||||||||||||||||||||||||||||||||||
CLASS C SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 21.37 | 0.70 | (2.34 | ) | (1.64 | ) | (0.67 | ) | — | (0.67 | ) | $ | 19.06 | 3.30 | 1.90 | 1.90 | 1.92 | (7.93 | ) | 47.71 | $ | 5,906,206 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.13 | 0.94 | 1.13 | 2.07 | (0.83 | ) | — | (0.83 | ) | $ | 21.37 | 4.44 | 1.90 | 1.90 | 1.93 | 10.36 | 38.81 | $ | 6,266,270 | ||||||||||||||||||||||||||||||||||||
2013 | $ | 18.89 | 0.89 | 1.28 | 2.17 | (0.93 | ) | — | (0.93 | ) | $ | 20.13 | 4.55 | 1.90 | 1.90 | 1.94 | 11.78 | 46.14 | $ | 5,160,706 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
CLASS I SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 21.53 | 0.93 | (2.35 | ) | (1.42 | ) | (0.90 | ) | — | (0.90 | ) | $ | 19.21 | 4.35 | 0.85 | 0.85 | 0.85 | (6.94 | ) | 47.71 | $ | 7,472,344 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.27 | 1.16 | 1.15 | 2.31 | (1.05 | ) | — | (1.05 | ) | $ | 21.53 | 5.45 | 0.86 | 0.86 | 0.86 | 11.54 | 38.81 | $ | 7,454,275 | ||||||||||||||||||||||||||||||||||||
2013 | $ | 19.03 | 1.10 | 1.28 | 2.38 | (1.14 | ) | — | (1.14 | ) | $ | 20.27 | 5.58 | 0.85 | 0.85 | 0.85 | 12.94 | 46.14 | $ | 5,567,617 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
CLASS R3 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 21.37 | 0.78 | (2.32 | ) | (1.54 | ) | (0.76 | ) | — | (0.76 | ) | $ | 19.07 | 3.70 | 1.50 | 1.50 | 1.55 | (7.52 | ) | 47.71 | $ | 79,834 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.13 | 1.03 | 1.12 | 2.15 | (0.91 | ) | — | (0.91 | ) | $ | 21.37 | 4.84 | 1.49 | 1.49 | 1.55 | 10.80 | 38.81 | $ | 83,671 | ||||||||||||||||||||||||||||||||||||
2013 | $ | 18.89 | 0.97 | 1.28 | 2.25 | (1.01 | ) | — | (1.01 | ) | $ | 20.13 | 4.96 | 1.49 | 1.49 | 1.70 | 12.23 | 46.14 | $ | 61,334 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
CLASS R4 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 21.42 | 0.81 | (2.35 | ) | (1.54 | ) | (0.78 | ) | — | (0.78 | ) | $ | 19.10 | 3.81 | 1.40 | 1.40 | 1.46 | (7.48 | ) | 47.71 | $ | 42,392 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.17 | 1.04 | 1.16 | 2.20 | (0.95 | ) | — | (0.95 | ) | $ | 21.42 | 4.88 | 1.35 | 1.35 | 1.40 | 11.00 | 38.81 | $ | 39,890 | ||||||||||||||||||||||||||||||||||||
2013 | $ | 18.93 | 0.99 | 1.29 | 2.28 | (1.04 | ) | — | (1.04 | ) | $ | 20.17 | 5.05 | 1.37 | 1.37 | 1.41 | 12.35 | 46.14 | $ | 24,906 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
CLASS R5 SHARES | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 21.52 | 0.90 | (2.35 | ) | (1.45 | ) | (0.87 | ) | — | (0.87 | ) | $ | 19.20 | 4.23 | 0.98 | 0.98 | 1.07 | (7.06 | ) | 47.71 | $ | 78,945 | |||||||||||||||||||||||||||||||||
2014 | $ | 20.26 | 1.10 | 1.19 | 2.29 | (1.03 | ) | — | (1.03 | ) | $ | 21.52 | 5.15 | 0.99 | 0.99 | 1.10 | 11.40 | 38.81 | $ | 64,748 | ||||||||||||||||||||||||||||||||||||
2013 | $ | 19.01 | 1.07 | 1.30 | 2.37 | (1.12 | ) | — | (1.12 | ) | $ | 20.26 | 5.37 | 0.99 | 0.98 | 1.05 | 12.80 | 46.14 | $ | 39,985 | ||||||||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
38 Annual Report | Annual Report 39 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Investment Income Builder Fund
To the Trustees and Shareholders of
Thornburg Investment Income Builder Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Investment Income Builder Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
40 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
CLASS A SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 908.20 | $ | 5.64 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.16 | $ | 5.97 | ||||||
CLASS C SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 904.90 | $ | 9.07 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,015.54 | $ | 9.60 | ||||||
CLASS I SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 910.00 | $ | 4.13 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.74 | $ | 4.37 | ||||||
CLASS R3 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 906.80 | $ | 7.17 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.55 | $ | 7.59 | ||||||
CLASS R4 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 907.00 | $ | 6.85 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.88 | $ | 7.25 | ||||||
CLASS R5 SHARES | ||||||||||||
Actual | $ | 1,000.00 | $ | 909.40 | $ | 4.74 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.18%; C: 1.90%; I: 0.86%; R3: 1.50%; R4: 1.43%; R5: 0.99%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 41
TRUSTEES AND OFFICERS | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Name, Age, | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
42 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 43
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
44 Annual Report
OTHER INFORMATION | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Thornburg Investment Income Builder Fund of $720,328,649 are being reported as ordinary investment income for federal income tax purposes.
For the tax year ended September 30, 2015, the Fund is reporting 83.94% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 22.04% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2015 as qualified for the corporate dividends received deduction.
For the year ended September 30, 2015, foreign source income and foreign taxes paid are $591,529,742 and $63,753,090, respectively.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
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.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Investment Income Builder Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from
Annual Report 45
OTHER INFORMATION, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the ten most recent calendar years, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, a blended performance benchmark and a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year, five-year and ten-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms, a broad-based securities index and a blended performance benchmark, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized investment return since inception to the Fund’s blended benchmark, (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return, and (7) dividend distributions by the Fund.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the ten most recent calendar years since the Fund’s inception showed that the Fund’s investment return for the most recent calendar year was lower than the return for the securities index, comparable to the return for the blended benchmark, and higher than the average return for the fund category. These data also showed that the Fund’s returns in the preceding nine years had exceeded the returns of the blended benchmark in six of nine years, had exceeded the returns of the index in five of nine years, and had exceeded or been comparable to the returns of the category in eight of nine years. Noted quantitative data showed that the Fund’s annualized investment returns fell in the first quartile of performance of the first fund category for the one-year period ended with second quarter of the current year and fell in the top decile of performance of the category for the three-year, five-year and ten-year periods. Noted data also showed that the Fund’s annualized investment returns fell in the third quartile of performance of the second fund category for the one-year period ended with the second quarter, fell in the fourth quartile of performance for the three-year and five-year periods, and fell in the first quartile of performance of the category for the ten-year period. Data presented to the Trustees showed that the Fund’s annualized total return (net of expenses) over the period since the Fund’s inception exceeded the annualized return for the Fund’s blended performance benchmark. Dividends paid with respect to shares of the Fund were noted as consistent with expectations and prevailing conditions. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative data considered by the Trustees showed that the Fund’s advisory fee level was comparable to the median and average levels for the fund category, the level of total expense for a representative share class of the Fund was comparable to the median and slightly lower than the average expense level for the category, and that the level of total expense for a second representative share class was lower than the median and average levels for the category. Peer group data showed the Fund’s advisory fee level was comparable to the median levels for the two peer groups, and that the total expense levels for the two representative share classes of the Fund were comparable to the median levels for the respective peer groups.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the
46 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Investment Income Builder Fund | September 30, 2015 (Unaudited) |
requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 47
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
48 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-Up Equity Research
We search far and wide for the best stock ideas – within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully – in the case of our core bond funds, using laddered structures – to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 49
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Annual Report 51
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH857 |
Firm Overview
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg Global Opportunities Fund
Annual Report | September 30, 2015
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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 |
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.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Funds invested in a smaller number of holdings may expose an investor to greater volatility.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
October 17, 2015
Dear Fellow Shareholder:
This letter will highlight the results of Thornburg Global Opportunities Fund’s investment activities for the twelve-month period ended September 30, 2015. In addition, we will comment on the overall investment landscape. Recall that the Thornburg Global Opportunities Fund seeks capital appreciation from a portfolio of typically 30–40 equity investments from around the world. We believe that the structure of the Fund—built on our core investment principles of flexibility, focus, and value—gives us a durable framework for value-added investing.
The Fund’s total return for the fiscal year ended September 30, 2015, was 2.82% (Class A shares without sales charge), which compares favorably to a loss of 6.66% for the benchmark MSCI All Country World Index. There were no dividends paid during the year for Class A shares. Thus, the net asset value (NAV) per share increased by the same amount ($0.67, or 2.82%). In addition to surpassing its benchmark in a declining market over this period, the Fund also outperformed most of its peers, and landed in the third percentile of 1,220 funds ranked in the World Stock category by Morningstar.
Table I | Morningstar Rankings
as of September 30, 2015
1-Yr | 3-Yr | 5-Yr | Since Incep. | |||||||||||||
A Shares | 3 | % | 1 | % | 2 | % | 1 | % | ||||||||
I Shares | 3 | % | 1 | % | 1 | % | 1 | % | ||||||||
# of Funds | 1220 | 1001 | 758 | 621 |
Based on total returns, before sales charge. Source: Morningstar.
Performance comparisons of the Fund to the MSCI All Country World Index over various time periods are shown on page 8 of the information accompanying this report and on our website, thornburg.com. The performance of the Fund has compared well to its benchmark over most time periods since inception in July 2006. It outperformed the MSCI All Country World Index by 948 basis points for the 12-month period ended September 30, 2015, following outperformance of 953 basis points for the prior fiscal year ended September 30, 2014. From inception on July 28, 2006 through September 30, 2015, the Fund outperformed the index by an average margin of approximately 600 basis points per year, resulting in a cumulative total return since inception of 138.48% (for the A shares without sales charge) versus 41.71% for the index. Over this same period, the Fund exhibited share-price volatility, as measured by weekly beta, nominally lower than that of the index.1
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 1.41%, as disclosed in the most recent prospectus. If the sales charge had been deducted, returns would be lower.
Over the long term, the Fund also ranks favorably compared to its peers. Table 1 displays the Fund’s ranking by performance percentile relative to the Morningstar World Stock category (lower numbers represent higher ranking).
We urge fellow shareholders to maintain a long-term investment perspective—a reminder recently underscored by the steep slide in global equity markets in August and September of this year. There have been other significant declines over the history of the Fund, and we continue to expect periods of volatility. Despite its long-term performance advantage, the Fund has underperformed the index in 11 out of 36 calendar quarters since inception.
We do not expect to pay any capital gain distribution for 2015. As of September 30, 2015, the Fund had tax-basis realized capital losses of approximately $65 million, which may be carried forward to offset future capital gains, to the extent permitted by regulations.
In assessing the performance of the Fund, it is constructive to consider the performance in U.S. dollars of the sector components of our benchmark, the MSCI All Country World Index, over the fiscal year ended September 30, 2015:
1. | For the index, sector returns ranged from negative 34% (energy) to 5% (consumer discretionary) with seven of the ten sectors showing negative returns. The Fund posted positive returns for five of the ten sectors, negative returns for three, and no holdings in two (utilities and materials). |
2. | On average over the year, the Fund’s investments in the following sectors comprised the largest weightings in the portfolio: information technology (20% weight), financials (16%), consumer discretionary (16%), and health care (16%). |
3. | Holdings in the health care and consumer discretionary sectors were the strongest contributors to the Fund’s absolute performance during the fiscal year. Relative to the index, our strongest sectors were health care, telecommunication |
1. | Beta, since inception of the fund versus the MSCI All Country World Index, is 0.98. |
Source: FactSet
4 Annual Report
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
services, and consumer discretionary, which we discuss more below. We were unable to discover compelling opportunities in the materials sector, which proved beneficial as returns for this sector were sharply negative. |
4. | Our positive results in health care were led by investments in Valeant Pharmaceuticals and Concordia Healthcare, which produced returns of 36% and 27%, respectively. However their sharp price declines in September were surprising and materially dampened the Fund’s full-year result. The pharmaceutical sector came under selling pressure when media reports and prominent politicians criticized significant price increases on certain legacy drugs. Then in October, after our fiscal year-end, additional news and criticism regarding Valeant’s business practices arose. We regularly adapt to new information and events concerning all of our holdings, and we substantially reduced our exposure to Valeant in light of these recent considerations. |
5. | In consumer discretionary, our investments in Numericable-SFR SA, a French telecommunications company, and Barratt Developments plc, a U.K. homebuilder, drove the Fund’s outperformance vis-à-vis the MSCI All Country World Index consumer discretionary sector as a whole. Numericable, which generated a return of 49%, closed a large acquisition during the year and subsequently demonstrated operating improvements. Barratt produced a 56% return as the U.K. housing market continued to improve. |
6. | The Fund’s outperformance in the telecommunication services sector was driven by T-Mobile, a leading U.S. wireless operator that has managed to simultaneously expand profit margins and bolster its market share. |
Several Fund holdings from various industries detracted from our fiscal year results. These included Bankers Petroleum, Galaxy Entertainment Group, Micron Technology, Mineral Resources, and VEREIT Inc. We sold Bankers Petroleum due to deterioration in the outlook; we continue to closely follow developments among these other investments.
In this report one year ago, we mentioned the burgeoning fallout from the decelerating Chinese economy on industrial commodities, including iron ore and oil. In 2015, this trend has continued and its impact has broadened, causing financial pressure in a wide range of industries. China’s growth expectations have now tapered to less than 7% gross domestic product growth in 2016.2 Meanwhile, China’s fixed investment reached $5 trillion last year, roughly matching all of Europe and North America combined. This is the root cause of chronic overcapacity in many areas, from chemicals to copper, shipping, and solar panels. In August, China’s currency devaluation further exacerbated this oversupply. The Fund has limited direct exposure to these areas, and we are mindful of potential derivative impacts in commodity-producing countries such as Australia and Canada. Some of the Fund’s detractors listed above were impacted by these factors, including Galaxy Entertainment (a casino operator in Macau) and Mineral Resources (mining services).
Chart I | Industrial Commodities: Recent Price Performance
At September 30, 2015, domestic stocks comprised approximately 47% of your portfolio, foreign stocks 45%, and cash the remaining 8%. We hedged more than half of the currency risk associated with your Fund’s euro equity holdings (~23% of the portfolio is invested in companies based in European Monetary Union countries). We also hedged some of the Fund’s currency risk of holdings denominated in Canadian dollar, British pound, and Swiss franc. The average price/earnings multiple of the 34 stocks in the portfolio as of September 30, 2015, was 15.4x on a forward basis, using estimates from market data providers FactSet and the Institutional Brokers’ Estimate System (IBES). By comparison, the forward price/ earnings multiple of the MSCI All Country World Index at September 30, 2015 was approximately 14.7x.
Top equity holdings and other portfolio data about Global Opportunities Fund are summarized on page 9 of this report.
Central bank behavior continues to be a matter of intense interest for many investors. The economies of the United States and United Kingdom are growing moderately, unemployment in both is nearing 5% and wage growth in the two countries seems to be picking up. But the data are not entirely uniform. So markets are anxious about the timing of the first interest rate increases from the Federal Reserve and the Bank of England. We believe the importance of the exact date of any initial rate hike is overstated. In the United States, there
2. | China’s actual growth is subject to debate. Official GDP growth expectations were as high as 9% in 2011, but have fallen to 6.7% expected growth by 2016. http://www.oecd.org/economy/china-economic-forecast-summary.htm |
Annual Report 5
LETTER TO SHAREHOLDERS,
CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
have been 12 rate tightening cycles since 1955, lasting just under two years on average. And on nine of those 12 occasions, the stock market rose in the year following the first rate increase.
After this recent market decline, we recommend maintaining a long-term orientation and keeping the latest events in perspective. Market volatility is a normal, even healthy feature of equity investing, and there are always forecasters predicting the next big market downturn. China’s economic slowdown, U.S. monetary policy and other macro issues have all influenced asset prices over the past year. But our strategy has always been based on fundamental analysis of individual businesses—not overdependence on macroeconomic forecasts. We construct the portfolio on a diversified basis with risk management in mind, and have managed the Fund through a wide variety of macroeconomic conditions over its life.
Thank you for being a shareholder of the Thornburg Global Opportunities Fund. Remember that you can review descriptions of many of the stocks in your portfolio on our internet site, www.thornburg.com/global.
Best wishes for a great holiday season and New Year.
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
6 Annual Report
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Annual Report 7
PERFORMANCE SUMMARY | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | Since Incep. | |||||||||||||
Class A Shares (Incep: 7/28/06) | ||||||||||||||||
Without sales charge | 2.82 | % | 15.66 | % | 12.66 | % | 9.94 | % | ||||||||
With sales charge | -1.81 | % | 13.90 | % | 11.62 | % | 9.39 | % | ||||||||
Class C Shares (Incep: 7/28/06) | ||||||||||||||||
Without sales charge | 2.02 | % | 14.77 | % | 11.80 | % | 9.08 | % | ||||||||
With sales charge | 1.02 | % | 14.77 | % | 11.80 | % | 9.08 | % | ||||||||
Class I Shares (Incep: 7/28/06) | 3.17 | % | 16.14 | % | 13.17 | % | 10.46 | % | ||||||||
Class R3 Shares (Incep: 2/1/08) | 2.68 | % | 15.53 | % | 12.59 | % | 5.64 | % | ||||||||
Class R4 Shares (Incep: 2/1/08) | 2.76 | % | 15.64 | % | 12.71 | % | 5.73 | % | ||||||||
Class R5 Shares (Incep: 2/1/08) | 3.17 | % | 16.14 | % | 13.17 | % | 6.19 | % | ||||||||
MSCI AC World Index (Since 7/28/06) | -6.66 | % | 6.95 | % | 6.82 | % | 3.87 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains. 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 sales charge for Class I, R3, R4, and R5 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.41%; C shares, 2.17%; I shares, 1.08%; R3 shares, 2.59%; R4 shares, 2.23%; R5 shares, 1.10%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.99%; R3 shares, 1.50%; R4 shares, 1.40%; R5 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
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.
Glossary
MSCI All Country (AC) World Index – A market capitalization weighted index that is representative of the market structure of 46 developed and emerging market countries in North and South America, Europe, Africa, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index. The performance of any index is not indicative of the performance of any particular investment.
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.
P/E – Price/Earnings ratio (P/E ratio) is 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. Forecasted P/E is not intended to be a forecast of the fund’s future performance.
8 Annual Report
FUND SUMMARY | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
Objectives and Strategies
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund pursues its investment goals by investing primarily in a broad range of equity securities, including common stocks, preferred stocks, real estate investment trusts, other equity trusts, and partnership interests. The Fund may invest in any stock or other equity security which the investment advisor believes may assist the Fund in pursuing its goals, including smaller companies with market capitalizations of less than $500 million. The Fund may also invest in debt obligations of any kind.
Market Capitalization Exposure
Asset Structure
Top Ten Equity Holdings
Aena S.A. | 5.6 | % | ||
Level 3 Communications, Inc. | 5.0 | % | ||
Numericable SAS | 5.0 | % | ||
VEREIT, Inc. | 4.6 | % | ||
Google, Inc. | 4.5 | % | ||
InterXion Holding NV | 4.5 | % | ||
T-Mobile US, Inc. | 4.3 | % | ||
Mondelez International, Inc. | 4.3 | % | ||
Valeant Pharmaceuticals International, Inc. | 4.2 | % | ||
Allergan plc | 4.1 | % |
There is no guarantee that the Fund will meet its investment objective.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Sector Exposure
Financials | 17.2 | % | ||
Information Technology | 16.2 | % | ||
Health Care | 15.3 | % | ||
Consumer Discretionary | 14.2 | % | ||
Industrials | 9.5 | % | ||
Telecommunication Services | 9.3 | % | ||
Consumer Staples | 6.9 | % | ||
Energy | 3.4 | % | ||
Other Assets Less Liabilities | 8.0 | % |
Top Ten Industry Groups
Software & Services | 11.8 | % | ||
Pharmaceuticals, Biotechnology & Life Sciences | 11.7 | % | ||
Telecommunication Services | 9.3 | % | ||
Transportation | 8.4 | % | ||
Food, Beverage & Tobacco | 6.2 | % | ||
Real Estate | 5.8 | % | ||
Banks | 5.4 | % | ||
Media | 5.0 | % | ||
Technology Hardware & Equipment | 4.3 | % | ||
Health Care Equipment & Services | 3.6 | % |
Country Exposure*
(percent of equity holdings)
United States | 50.9 | % | ||
Netherlands | 9.5 | % | ||
United Kingdom | 8.9 | % | ||
Canada | 8.3 | % | ||
Spain | 6.0 | % | ||
France | 5.5 | % | ||
Ireland | 4.4 | % | ||
China | 2.5 | % | ||
South Korea | 1.6 | % | ||
Australia | 1.2 | % | ||
Switzerland | 1.0 | % | ||
Brazil | 0.2 | % |
* | The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. |
Annual Report 9
SCHEDULE OF INVESTMENTS | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 92.00% | ||||||||
AUTOMOBILES & COMPONENTS — 2.79% | ||||||||
Auto Components — 2.79% | ||||||||
Delphi Automotive plc | 855,470 | $ | 65,049,939 | |||||
|
| |||||||
65,049,939 | ||||||||
|
| |||||||
BANKS — 5.37% | ||||||||
Banks — 5.37% | ||||||||
Citigroup, Inc. | 1,736,968 | 86,170,982 | ||||||
ING Groep N.V. | 2,764,740 | 39,079,890 | ||||||
|
| |||||||
125,250,872 | ||||||||
|
| |||||||
COMMERCIAL & PROFESSIONAL SERVICES — 1.09% | ||||||||
Commercial Services & Supplies — 1.09% | ||||||||
Mineral Resources Ltd. | 8,751,476 | 25,307,770 | ||||||
|
| |||||||
25,307,770 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 2.75% | ||||||||
Household Durables — 2.75% | ||||||||
Barratt Developments plc | 6,584,799 | 64,199,619 | ||||||
|
| |||||||
64,199,619 | ||||||||
|
| |||||||
CONSUMER SERVICES — 3.61% | ||||||||
Hotels, Restaurants & Leisure — 3.61% | ||||||||
Galaxy Entertainment Group Ltd. | 19,735,901 | 50,167,063 | ||||||
Paradise Co. Ltd. | 1,789,369 | 33,891,280 | ||||||
|
| |||||||
84,058,343 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 3.42% | ||||||||
Capital Markets — 0.92% | ||||||||
UBS Group AG | 1,156,372 | 21,369,033 | ||||||
Consumer Finance — 2.50% | ||||||||
Capital One Financial Corp. | 805,404 | 58,407,898 | ||||||
|
| |||||||
79,776,931 | ||||||||
|
| |||||||
ENERGY — 3.36% | ||||||||
Energy Equipment & Services — 3.36% | ||||||||
Helmerich & Payne, Inc. | 1,658,079 | 78,360,813 | ||||||
|
| |||||||
78,360,813 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 0.61% | ||||||||
Food & Staples Retailing — 0.61% | ||||||||
Walgreens Boots Alliance, Inc. | 169,980 | 14,125,338 | ||||||
|
| |||||||
14,125,338 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 6.25% | ||||||||
Food Products — 6.25% | ||||||||
BRF SA | 232,071 | 4,132,146 | ||||||
Mondelez International, Inc. | 2,381,700 | 99,721,779 | ||||||
The Kraft Heinz Co. | 592,068 | 41,788,159 | ||||||
|
| |||||||
145,642,084 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 3.62% | ||||||||
Health Care Providers & Services — 3.62% | ||||||||
a Express Scripts Holding Company | 1,042,772 | 84,422,821 | ||||||
|
| |||||||
84,422,821 | ||||||||
|
| |||||||
INSURANCE — 2.58% | ||||||||
Insurance — 2.58% | ||||||||
NN Group NV | 2,096,305 | 60,012,553 | ||||||
|
| |||||||
60,012,553 | ||||||||
|
| |||||||
MEDIA — 5.03% | ||||||||
Media — 5.03% | ||||||||
a Numericable SAS | 2,539,231 | 117,125,217 | ||||||
|
| |||||||
117,125,217 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 11.70% | ||||||||
Pharmaceuticals — 11.70% | ||||||||
a Allergan plc | 350,309 | 95,217,489 | ||||||
b Concordia Healthcare Corp. | 1,840,424 | 78,526,596 | ||||||
a Valeant Pharmaceuticals International, Inc. | 554,457 | 98,904,040 | ||||||
|
| |||||||
272,648,125 | ||||||||
|
| |||||||
REAL ESTATE — 5.84% | ||||||||
Real Estate Investment Trusts — 5.84% | ||||||||
Ryman Hospitality Properties, Inc. | 578,615 | 28,485,217 |
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
VEREIT, Inc. | 13,927,731 | $ | 107,522,083 | |||||
|
| |||||||
136,007,300 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.16% | ||||||||
Semiconductors & Semiconductor Equipment — 0.16% | ||||||||
a Micron Technology, Inc. | 254,320 | 3,809,714 | ||||||
|
| |||||||
3,809,714 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 11.80% | ||||||||
Information Technology Services — 4.51% | ||||||||
a,b InterXion Holding NV | 3,881,212 | 105,103,221 | ||||||
Internet Software & Services — 7.29% | ||||||||
a Alibaba Group Holding Ltd. ADR | 58,482 | 3,448,683 | ||||||
a Google, Inc. Class A | 136,626 | 87,217,940 | ||||||
a Google, Inc. Class C | 29,422 | 17,900,933 | ||||||
Telecity Group plc | 3,725,222 | 61,312,364 | ||||||
|
| |||||||
274,983,141 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 4.27% | ||||||||
Communications Equipment — 4.06% | ||||||||
a EchoStar Corp. | 1,042,709 | 44,867,769 | ||||||
Ubiquiti Networks, Inc. | 1,470,316 | 49,829,009 | ||||||
Technology, Hardware, Storage & Peripherals — 0.21% | ||||||||
Apple, Inc. | 43,274 | 4,773,122 | ||||||
|
| |||||||
99,469,900 | ||||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 9.33% | ||||||||
Diversified Telecommunication Services — 5.04% | ||||||||
a Level 3 Communications, Inc. | 2,689,952 | 117,524,003 | ||||||
Wireless Telecommunication Services — 4.29% | ||||||||
a T-Mobile US, Inc. | 2,507,667 | 99,830,223 | ||||||
|
| |||||||
217,354,226 | ||||||||
|
| |||||||
TRANSPORTATION — 8.42% | ||||||||
Airlines — 2.87% | ||||||||
American Airlines Group, Inc. | 1,721,592 | 66,849,417 | ||||||
Transportation Infrastructure — 5.55% | ||||||||
a Aena S.A. | 1,172,441 | 129,370,903 | ||||||
|
| |||||||
196,220,320 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,120,346,765) | 2,143,825,026 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 7.84% | ||||||||
b Thornburg Capital Management Fund | 18,271,004 | 182,710,041 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $182,710,041) | 182,710,041 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.84% (Cost $2,303,056,806) | $ | 2,326,535,067 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.16% | 3,781,034 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 2,330,316,101 | ||||||
|
|
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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Concordia Healthcare Corp.* | 856,041 | 984,383 | — | 1,840,424 | $ | 78,526,596 | $ | 304,306 | $ | — | ||||||||||||||||||
InterXion Holding NV* | 1,383,087 | 2,498,125 | — | 3,881,212 | 105,103,221 | — | — | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 41,796,415 | 23,525,411 | 18,271,004 | 182,710,041 | 96,461 | — | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total non-controlled affiliated issuers - 15.72% of net assets |
| $ | 366,339,858 | $ | 400,767 | $ | — | |||||||||||||||||||||
|
|
|
|
|
|
* | Issuer not affiliated at September 30, 2014. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depositary Receipt |
See notes to financial statements.
Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
ASSETS | ||||
Investments at value | ||||
Non-affiliated issuers (cost $1,932,989,281) (Note 2) | $ | 1,960,195,209 | ||
Non-controlled affiliated issuers (cost $370,067,525) (Note 2) | 366,339,858 | |||
Receivable for investments sold | 13,760 | |||
Receivable for fund shares sold | 16,486,886 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 6,226,578 | |||
Dividends receivable | 4,036,027 | |||
Dividend and interest reclaim receivable | 99,883 | |||
Prepaid expenses and other assets | 103,196 | |||
|
| |||
Total Assets | 2,353,501,397 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 4,739,279 | |||
Payable for fund shares redeemed | 6,131,586 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 10,057,743 | |||
Payable to investment advisor and other affiliates (Note 3) | 2,092,629 | |||
Accounts payable and accrued expenses | 164,059 | |||
|
| |||
Total Liabilities | 23,185,296 | |||
|
| |||
NET ASSETS | $ | 2,330,316,101 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Distribution in excess of net investment income | $ | (4,461,055 | ) | |
Net unrealized appreciation on investments | 19,604,741 | |||
Accumulated net realized gain (loss) | (70,370,524 | ) | ||
Net capital paid in on shares of beneficial interest | 2,385,542,939 | |||
|
| |||
$ | 2,330,316,101 | |||
|
|
12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($550,327,220 applicable to 22,542,736 shares of beneficial interest outstanding - Note 4) | $ | 24.41 | ||
Maximum sales charge, 4.50% of offering price | 1.15 | |||
|
| |||
Maximum offering price per share | $ | 25.56 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($363,614,453 applicable to 15,342,695 shares of beneficial interest outstanding - Note 4) | $ | 23.70 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($1,285,608,855 applicable to 52,408,432 shares of beneficial interest outstanding - Note 4) | $ | 24.53 | ||
|
| |||
Class R3 Shares: | ||||
Net asset value, offering and redemption price per share ($ 8,936,044 applicable to 369,640 shares of beneficial interest outstanding - Note 4) | $ | 24.18 | ||
|
| |||
Class R4 Shares: | ||||
Net asset value, offering and redemption price per share ($13,175,139 applicable to 544,088 shares of beneficial interest outstanding - Note 4) | $ | 24.22 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($108,654,390 applicable to 4,426,123 shares of beneficial interest outstanding - Note 4) | $ | 24.55 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg Global Opportunities Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income | ||||
Non-affiliated issuers (net of foreign taxes withheld of $641,866) | $ | 14,295,734 | ||
Non-controlled affiliated issuers | 400,767 | |||
Interest income | 517,856 | |||
|
| |||
Total Income | 15,214,357 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 13,703,690 | |||
Administration fees (Note 3) | ||||
Class A Shares | 495,308 | |||
Class C Shares | 321,385 | |||
Class I Shares | 467,937 | |||
Class R3 Shares | 6,552 | |||
Class R4 Shares | 11,886 | |||
Class R5 Shares | 50,217 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 993,972 | |||
Class C Shares | 2,579,294 | |||
Class R3 Shares | 26,277 | |||
Class R4 Shares | 23,787 | |||
Transfer agent fees | ||||
Class A Shares | 372,550 | |||
Class C Shares | 236,808 | |||
Class I Shares | 721,664 | |||
Class R3 Shares | 13,960 | |||
Class R4 Shares | 29,645 | |||
Class R5 Shares | 102,451 | |||
Registration and filing fees | ||||
Class A Shares | 47,355 | |||
Class C Shares | 89,013 | |||
Class I Shares | 89,728 | |||
Class R3 Shares | 21,984 | |||
Class R4 Shares | 22,166 | |||
Class R5 Shares | 23,268 | |||
Custodian fees (Note 3) | 271,974 | |||
Professional fees | 86,257 | |||
Accounting fees (Note 3) | 45,525 | |||
Trustee fees | 58,350 | |||
Other expenses | 161,612 | |||
|
| |||
Total Expenses | 21,074,615 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (148,256 | ) | ||
Fees paid indirectly (Note 3) | (179 | ) | ||
|
| |||
Net Expenses | 20,926,180 | |||
|
| |||
Net Investment Loss | $ | (5,711,823 | ) | |
|
|
14 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Global Opportunities Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (4,718,227 | ) | |
Forward currency contracts (Note 7) | 48,980,222 | |||
Foreign currency transactions | (86,397 | ) | ||
|
| |||
44,175,598 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | ||||
Non-affiliated issuers | (114,025,873 | ) | ||
Non-controlled affiliated issuers | (17,455,545 | ) | ||
Forward currency contracts (Note 7) | (10,687,876 | ) | ||
Foreign currency translations | 34,711 | |||
|
| |||
(142,134,583 | ) | |||
|
| |||
Net Realized and Unrealized Loss | (97,958,985 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (103,670,808 | ) | |
|
|
See notes to financial statements.
Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Global Opportunities Fund |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (5,711,823 | ) | $ | (215,521 | ) | ||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | 44,175,598 | 42,961,694 | ||||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, and foreign currency translation | (142,134,583 | ) | 68,740,491 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (103,670,808 | ) | 111,486,664 | |||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | — | (535,375 | ) | |||||
Class C Shares | — | (72,787 | ) | |||||
Class I Shares | (344,505 | ) | (2,665,731 | ) | ||||
Class R3 Shares | — | (4,336 | ) | |||||
Class R4 Shares | — | (13,693 | ) | |||||
Class R5 Shares | (48,802 | ) | (428,753 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | 370,955,478 | 88,026,299 | ||||||
Class C Shares | 239,292,442 | 37,592,422 | ||||||
Class I Shares | 887,933,296 | 148,583,481 | ||||||
Class R3 Shares | 7,293,561 | 174,028 | ||||||
Class R4 Shares | 9,285,030 | 1,826,623 | ||||||
Class R5 Shares | 34,520,070 | 14,348,287 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | 1,445,215,762 | 398,317,129 | ||||||
NET ASSETS | ||||||||
Beginning of Year | 885,100,339 | 486,783,210 | ||||||
|
|
|
| |||||
End of Year | $ | 2,330,316,101 | $ | 885,100,339 | ||||
|
|
|
| |||||
Distribution in excess of net investment income | $ | (4,461,055 | ) | $ | (997,444 | ) |
See notes to financial statements.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Global Opportunities 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 twenty separate series of the Trust. Each series is considered to be a separate entity for financial reporting and tax purposes and bears expenses directly attributable to it. The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
The Fund currently offers six classes of shares of beneficial interest: Class A, Class C, Institutional Class (“Class I”), and Retirement Classes (“Class R3,” “Class R4,” and “Class R5”). Each class of shares of the Fund represents an interest in the same portfolio of investments, except that (i) Class A shares are sold subject to a front-end sales charge collected at the time the shares are purchased and bear a service fee, (ii) Class C shares are sold at net asset value without a sales charge at the time of purchase, but are subject to a contingent deferred sales charge upon redemption within one year of purchase, and bear both a service fee and a distribution fee, (iii) Class I and Class R5 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, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock | $ | 2,143,825,026 | $ | 2,143,825,026 | $ | — | $ | — | ||||||||
Short Term Investments | 182,710,041 | 182,710,041 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,326,535,067 | $ | 2,326,535,067 | $ | — | $ | — | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 6,226,578 | $ | — | $ | 6,226,578 | $ | — | ||||||||
Spot Currency | $ | 13,760 | $ | 13,760 | $ | — | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (10,057,743 | ) | $ | — | $ | (10,057,743 | ) | $ | — |
* | 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, which may include 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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the year ended September 30, 2015, 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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, these fees were payable at annual rates ranging from .875 of 1% to .675 of 1% per annum of the average daily net assets of the Fund depending on the Fund’s asset size. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $45,525 to the Advisor for these accounting services. The Trust also has entered into administrative service 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
commissions aggregating $275,344 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $89,473 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 year ended September 30, 2015, 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 and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor contractually waived or reimbursed certain class specific expenses, administrative fees, and distribution fees of $37,939 for Class I shares, $34,094 for Class R3 shares, $34,281 for Class R4 shares, and $41,942 for Class R5 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 year ended September 30, 2015, fees paid indirectly were $179.
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.
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had no significant transactions with affiliated funds.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 17,590,204 | $ | 468,824,712 | 5,052,565 | $ | 116,337,625 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 22,873 | 511,661 | ||||||||||||
Shares repurchased | (3,775,955 | ) | (97,869,234 | ) | (1,258,744 | ) | (28,822,987 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13,814,249 | $ | 370,955,478 | 3,816,694 | $ | 88,026,299 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,179,065 | $ | 265,057,532 | 2,075,521 | $ | 46,986,621 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | (34 | ) | (914 | ) | 3,176 | 65,901 | ||||||||||
Shares repurchased | (1,014,489 | ) | (25,764,176 | ) | (431,040 | ) | (9,460,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,164,542 | $ | 239,292,442 | 1,647,657 | $ | 37,592,422 | ||||||||||
|
|
|
|
|
|
|
|
Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 40,710,414 | $ | 1,082,618,625 | 9,089,512 | $ | 208,338,592 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 11,868 | 299,435 | 101,301 | 2,305,745 | ||||||||||||
Shares repurchased | (7,379,162 | ) | (194,984,764 | ) | (2,751,982 | ) | (62,060,856 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 33,343,120 | $ | 887,933,296 | 6,438,831 | $ | 148,583,481 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 301,768 | $ | 7,931,259 | 19,984 | $ | 453,631 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 96 | 2,008 | ||||||||||||
Shares repurchased | (24,749 | ) | (637,698 | ) | (11,991 | ) | (281,611 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 277,019 | $ | 7,293,561 | 8,089 | $ | 174,028 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 455,895 | $ | 11,931,206 | 107,381 | $ | 2,461,793 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | 525 | 11,587 | ||||||||||||
Shares repurchased | (101,106 | ) | (2,646,176 | ) | (28,952 | ) | (646,757 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 354,789 | $ | 9,285,030 | 78,954 | $ | 1,826,623 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 2,061,965 | $ | 54,277,368 | 1,105,718 | $ | 24,997,109 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 1,933 | 48,802 | 18,870 | 428,753 | ||||||||||||
Shares repurchased | (755,208 | ) | (19,806,100 | ) | (488,449 | ) | (11,077,575 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,308,690 | $ | 34,520,070 | 636,139 | $ | 14,348,287 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $2,155,947,175 and $704,249,639, respectively.
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 2,311,702,601 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 193,667,215 | ||
Gross unrealized depreciation on a tax basis | (178,834,749 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 14,832,466 | ||
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses and outstanding real estate investment trust (“REIT”) tax basis adjustments.
At September 30, 2015, the Fund had deferred tax basis late year ordinary losses occurring subsequent to December 31, 2014 through September 30, 2015 of $4,434,041. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
During the year ended September 30, 2015, the Fund utilized $37,769,500 of capital loss carryforwards generated prior to October 1, 2011.
At September 30, 2015, the Fund had tax basis capital losses of $65,569,148 generated prior to October 1, 2011, which may be carried forward to offset future capital gains. Such capital loss carryforwards expire September 30, 2018.
In order to account for permanent book to tax differences, the Fund decreased net capital paid in on shares of beneficial interest by $11,525, increased accumulated net realized loss by $2,597,025, and decreased distribution in excess of net investment income by
22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
$2,608,550. Reclassifications have no impact upon the net asset value of the Fund and result primarily from nondeductible net operating losses, foreign currency gains (losses), investments in passive foreign investment companies (“PFICs”) and real estate investment trusts (“REITs”).
At September 30, 2015, the Fund had no undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 393,307 | $ | 3,720,675 | ||||
Capital gains | — | — | ||||||
|
|
|
| |||||
Total | $ | 393,307 | $ | 3,720,675 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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 value of open sell currency contracts for the year ended September 30, 2015 was $411,128,107. 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 the open sell currency contracts to which they relate.
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
South Korean Won | Sell | 20,801,414,600 | 12/08/2015 | 17,511,484 | $ | — | $ | (81,397 | ) | |||||||||||||
Australian Dollar | Sell | 48,518,200 | 11/12/2015 | 33,979,873 | 4,199,341 | — | ||||||||||||||||
Australian Dollar | Buy | 5,600,900 | 11/12/2015 | 3,922,608 | 1,698 | — | ||||||||||||||||
Australian Dollar | Buy | 6,861,200 | 11/12/2015 | 4,805,263 | — | (281,768 | ) | |||||||||||||||
Canadian Dollar | Sell | 88,104,300 | 12/04/2015 | 66,001,227 | 893,448 | — | ||||||||||||||||
Canadian Dollar | Buy | 14,656,500 | 12/04/2015 | 10,979,566 | 55,225 | — | ||||||||||||||||
Canadian Dollar | Buy | 20,949,700 | 12/04/2015 | 15,693,966 | — | (9,880 | ) | |||||||||||||||
Euro | Sell | 338,777,900 | 11/12/2015 | 378,788,539 | — | (7,657,349 | ) | |||||||||||||||
Great Britain Pound | Sell | 22,329,900 | 10/08/2015 | 33,778,396 | 916,486 | — | ||||||||||||||||
Great Britain Pound | Buy | 15,815,900 | 10/08/2015 | 23,924,681 | — | (218,148 | ) | |||||||||||||||
Great Britain Pound | Sell | 52,757,100 | 10/08/2015 | 79,805,561 | — | (1,809,201 | ) | |||||||||||||||
Swiss Franc | Sell | 10,713,800 | 10/07/2015 | 10,994,715 | 160,380 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
Total | $ | 6,226,578 | $ | (10,057,743 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) |
| $ | (3,831,165 | ) | ||||||||||||||||||
|
|
The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 6,226,578 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (10,057,743 | ) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $3,831,165. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (Loss) on Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||
Total | Forward Currency Contracts | |||||
Foreign exchange contracts | $48,980,222 | $ | 48,980,222 |
Net Change in Unrealized Appreciation (Depreciation) of Derivative Financial Instruments Recognized in Income for the Year Ended September 30, 2015 | ||||||
Total | Forward Currency Contracts | |||||
Foreign exchange contracts | $(10,687,876) | $ | (10,687,876 | ) |
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 small- and mid-cap companies, non-U.S. issuers (including developing country issuers), and real estate investment trusts, 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 25
Thornburg Global Opportunities Fund
PER SHARE PERFORMANCE (for a share outstanding throughout the Year) | RATIOS TO AVERAGE NET ASSETS | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unless | Net Asset Value Beginning of Year | 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 | Net Assets at End of Year (Thousands) | |||||||||||||||||||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 23.74 | (0.11 | ) | 0.78 | 0.67 | — | — | — | $24.41 | (0.42 | ) | 1.32 | 1.32 | 1.32 | 2.82 | 45.41 | $ | 550,327 | |||||||||||||||||||||||||||||||||||||
2014(b) | $ | 19.72 | (0.03 | ) | 4.13 | 4.10 | (0.08 | ) | — | (0.08 | ) | $23.74 | (0.15 | ) | 1.41 | 1.41 | 1.41 | 20.85 | 60.29 | $ | 207,227 | |||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.97 | 0.11 | 3.79 | 3.90 | (0.15 | ) | — | (0.15 | ) | $19.72 | 0.60 | 1.46 | 1.46 | 1.46 | 24.50 | 66.12 | $ | 96,855 | |||||||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | ||||||||||||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.23 | (0.31 | ) | 0.78 | 0.47 | — | — | — | $23.70 | (1.20 | ) | 2.10 | 2.10 | 2.10 | 2.02 | 45.41 | $ | 363,615 | |||||||||||||||||||||||||||||||||||||
2014 | $ | 19.38 | (0.20 | ) | 4.07 | 3.87 | (0.02 | ) | — | (0.02 | ) | $23.23 | (0.92 | ) | 2.17 | 2.17 | 2.17 | 19.96 | 60.29 | $ | 143,506 | |||||||||||||||||||||||||||||||||||
2013 | $ | 15.69 | (0.03 | ) | 3.72 | 3.69 | — | — | — | $19.38 | (0.18 | ) | 2.22 | 2.22 | 2.22 | 23.52 | 66.12 | $ | 87,808 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.79 | (0.02 | ) | 0.77 | 0.75 | (0.01 | ) | — | (0.01 | ) | $24.53 | (0.08 | ) | 0.97 | 0.97 | 0.98 | 3.17 | 45.41 | $ | 1,285,609 | |||||||||||||||||||||||||||||||||||
2014 | $ | 19.74 | 0.06 | 4.15 | 4.21 | (0.16 | ) | — | (0.16 | ) | $23.79 | 0.26 | 0.99 | 0.99 | 1.08 | 21.39 | 60.29 | $ | 453,511 | |||||||||||||||||||||||||||||||||||||
2013 | $ | 16.06 | 0.19 | 3.80 | 3.99 | (0.31 | ) | — | (0.31 | ) | $19.74 | 1.07 | 0.99 | 0.99 | 1.11 | 25.08 | 66.12 | $ | 249,283 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class R3 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.55 | (0.15 | ) | 0.78 | 0.63 | — | — | — | $24.18 | (0.58 | ) | 1.50 | 1.50 | 2.15 | 2.68 | 45.41 | $ | 8,936 | |||||||||||||||||||||||||||||||||||||
2014 | $ | 19.55 | (0.06 | ) | 4.11 | 4.05 | (0.05 | ) | — | (0.05 | ) | $23.55 | (0.26 | ) | 1.50 | 1.50 | 2.59 | 20.75 | 60.29 | $ | 2,182 | |||||||||||||||||||||||||||||||||||
2013 | $ | 15.91 | 0.11 | 3.74 | 3.85 | (0.21 | ) | — | (0.21 | ) | $19.55 | 0.60 | 1.49 | 1.49 | 3.41 | 24.37 | 66.12 | $ | 1,653 | |||||||||||||||||||||||||||||||||||||
2012 | $ | 13.11 | 0.11 | 2.90 | 3.01 | (0.21 | ) | — | (0.21 | ) | $15.91 | 0.75 | 1.50 | 1.50 | 9.01 | (c) | 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 | (c) | (4.77 | ) | 70.33 | $ | 75 | |||||||||||||||||||||||||||||||||
Class R4 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.57 | (0.13 | ) | 0.78 | 0.65 | — | — | — | $24.22 | (0.51 | ) | 1.40 | 1.40 | 1.76 | 2.76 | 45.41 | $ | 13,175 | |||||||||||||||||||||||||||||||||||||
2014 | $ | 19.59 | (0.03 | ) | 4.10 | 4.07 | (0.09 | ) | — | (0.09 | ) | $23.57 | (0.14 | ) | 1.40 | 1.40 | 2.23 | 20.82 | 60.29 | $ | 4,462 | |||||||||||||||||||||||||||||||||||
2013 | $ | 15.90 | 0.12 | 3.76 | 3.88 | (0.19 | ) | — | (0.19 | ) | $19.59 | 0.68 | 1.40 | 1.40 | 2.76 | 24.57 | 66.12 | $ | 2,161 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
Class R5 Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 23.81 | (0.03 | ) | 0.78 | 0.75 | (0.01 | ) | — | (0.01 | ) | $24.55 | (0.11 | ) | 0.98 | 0.98 | 1.02 | 3.17 | 45.41 | $ | 108,654 | |||||||||||||||||||||||||||||||||||
2014 | $ | 19.76 | 0.06 | 4.15 | 4.21 | (0.16 | ) | — | (0.16 | ) | $23.81 | 0.26 | 0.99 | 0.99 | 1.10 | 21.36 | 60.29 | $ | 74,212 | |||||||||||||||||||||||||||||||||||||
2013 | $ | 16.07 | 0.18 | 3.82 | 4.00 | (0.31 | ) | — | (0.31 | ) | $19.76 | 1.03 | 0.99 | 0.99 | 1.15 | 25.13 | 66.12 | $ | 49,023 | |||||||||||||||||||||||||||||||||||||
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 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
26 Annual Report | Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Global Opportunities Fund | September 30, 2015 |
To the Trustees and Shareholders of
Thornburg Global Opportunities Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Thornburg Global Opportunities Fund (one of the portfolios constituting Thornburg Investment Trust, hereafter referred to as the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
28 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Global Opportunities Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses paid During period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 907.40 | $ | 6.29 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.48 | $ | 6.65 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 904.20 | $ | 9.86 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,014.71 | $ | 10.44 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 909.20 | $ | 4.63 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.22 | $ | 4.90 | ||||||
Class R3 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 907.00 | $ | 7.17 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,017.55 | $ | 7.59 | ||||||
Class R4 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 907.50 | $ | 6.69 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,018.05 | $ | 7.08 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 909.30 | $ | 4.66 | �� | |||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.18 | $ | 4.93 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.31%; C: 2.07%; I: 0.97%; R3: 1.50%; R4: 1.40%; R5: 0.97%) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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 accompanying table 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.
Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
30 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Annual Report
OTHER INFORMATION | ||
Thornburg Global Opportunities Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Thornburg Global Opportunities Fund of $393,307 are being reported as ordinary investment income for federal income tax purposes.
For the tax year ended September 30, 2015, the Fund is reporting 90.02% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 50.96% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2015 as qualified for the corporate dividends received deduction.
The information and distributions reported herein may differ from the information and distributions reported to the shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Global Opportunities Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees considered a wide range of information and did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and
Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the eight calendar years since the Fund’s inception, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the three-month, year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the eight calendar years since the Fund’s inception showed that the Fund’s investment return for the most recent calendar year was higher than the returns for the fund category and the securities index, the Fund’s returns for the preceding seven calendar years exceeded or were comparable to the returns for the index in six of the seven years, and that the Fund’s returns exceeded or were comparable to the average returns of the fund category in six of seven years. Noted quantitative data showed that the Fund’s annualized investment returns fell in or near the top decile of performance of the first fund category for the year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year. Noted data also showed that the Fund’s annualized investment returns fell in or near the top decile of performance of the second fund category for the same periods. Data presented to the Trustees showed that the Fund’s annualized total return (net of expenses) over the period since the Fund’s inception exceeded the annualized return for the Fund’s benchmark index. The Trustees attached additional significance to the performance of the Fund from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee level was slightly higher than the median and somewhat higher than the average levels for the fund category, the level of total expense for a representative share class of the Fund was comparable to the median and average expense levels for the category, and that the level of total expense for a second representative share class was somewhat lower than the median and average expense levels for the category. Peer group data showed the Fund’s advisory fee level was comparable to the median of each peer group, and that the total expense levels of two representative share classes of the Fund were comparable to the median of each peer group. The Trustees did not view the differences as significant in view of the other factors considered.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories
34 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Global Opportunities Fund | September 30, 2015 (Unaudited) |
of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole was satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 35
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
36 Annual Report
THORNBURG FUND FAMILY
Fundamental, Bottom-up Equity Research
We search far and wide for the best stock ideas—within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A Tradition of Disciplined Bond Management
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 37
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Annual Report 39
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH1245 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
THE FIRM
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
CORE INVESTMENT PRINCIPLES
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Annual Report
Thornburg Developing World Fund
September 30, 2015
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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 |
Class I, 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.
Investments carry risks, including possible loss of principal. Additional 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- and mid-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 bank deposits or guaranteed by a bank or any other entity.
Funds invested in a smaller number of holdings may expose an investor to greater volatility.
Annual Report 3
LETTER TO SHAREHOLDERS | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
October 19, 2015
Dear Fellow Shareholder:
We are pleased to present the sixth annual report for the Thornburg Developing World Fund for the year ended September 30, 2015. The net asset value (NAV) of a Class A share of the Fund decreased $3.58 to $15.03 per share in the past 12 months, representing a total return of negative 19.12%, compared to negative 19.28% for the benchmark MSCI Emerging Markets Index. Since inception on December 16, 2009, the Fund produced an annualized total return of 4.11% (without sales charge), compared to negative 1.08% for the MSCI Emerging Markets Index.
Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than quoted. For performance current to the most recent month end, visit thornburg.com or call 800.847.0200.
The maximum sales charge for Class A shares is 4.50%. The total annual fund operating expense of Class A shares is 1.45%, as disclosed in the most recent prospectus.
The latest fiscal year embedded two distinct phases. Between October 1, 2014 and April 27, 2015, the MSCI Emerging Markets Index returned 7.06%. The index subsequently declined by 26.64% through August 24, 2015. The mid-summer selloff in emerging markets was triggered by concerns about China’s economic growth and currency trajectory, falling commodity prices, and fear of rising interest rates in the United States. The strong dollar and weakness in China contributed to a broad-based correction of the commodity complex, causing a challenging backdrop for raw material exporters like Russia, Brazil, and Indonesia. Worse terms of trade for these exporters drove currency weakness, slower growth, and rising inflation, requiring central bankers to choose, at least in the short term, between price stability and full employment. Finally, investor expectations for U.S. monetary policy continue to drive adverse sentiment toward emerging markets, observed most clearly in the relative performance of countries with meaningful trade deficits.
China is the world’s second-largest economy after the U.S., and the largest by far among emerging markets. We see the Chinese slowdown as both structural and cyclical, but believe it is far from a crisis. The Chinese government retains a number of monetary and fiscal tools to soften the downturn and prevent a crisis of confidence, potentially following a playbook used by the U.S., Japan, and Europe. While we expect Chinese potential growth rates to slow as the economic model transitions from state-directed investment to domestic consumption, we believe the end-game will be a higher quality, and more sustainable growth engine.
Contributors and Detractors
Key contributors for the fiscal year included HDFC Bank, Eclat Textile Co., Shanghai International Airport, Visa, and Zee Entertainment. HDFC bank benefited from easing domestic financial conditions in India, which have allowed the Reserve Bank of India to cut interest rates, driving acceleration in the pace of loan growth. Eclat, whose key customers include Nike and lululemon athletica, has benefited from strong sales by these and other athletic apparel brands. Shanghai Airport exceeded expectations with double-digit passenger growth, supporting the thesis that parts of the Chinese economy are still growing strongly. Visa outperformed following the announced acquisition of Visa Europe, which is expected to be at least 10% accretive within one year. Zee Entertainment performed well in the period following a positive surprise on advertising revenue growth, which grew 25% over the corresponding period last year.
Our largest detractors for the period were China Animal Healthcare, BB Seguridade Participacoes, Qualicorp, Baidu, and Alibaba Group. China Animal Healthcare’s shares have been suspended from trading for several months pending the investigation of certain accounting issues at that company. Our valuation and pricing committee decided to mark our holding down as it became clear shareholders were unlikely to gain more clarity around the accounting issues following the resignation of China Animal Healthcare’s auditor. Two of our top detractors were Brazilian. While each of these companies experienced various degrees of company-specific challenges in the period, the common theme was a poor Brazilian macro environment and attendant currency deprecation. Baidu’s share value declined following its announcement that it would increase investment in online-to-offline service (O2O) offerings, which would lead to slower near-term profit growth. While Alibaba maintains a dominant position in the Chinese e-commerce market, the stock underperformed in the first nine months of 2015 due to market share losses to smaller competitors, notably to JD.com.
4 Annual Report
LETTER TO SHAREHOLDERS, | ||
CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Our activity in recent months focused primarily on further improving the quality of our holdings, selling lower-quality names to fund additions to existing holdings of higher-quality businesses, as all had declined in a similar fashion. We reduced the number of holdings by nine to 63 over the course of the third quarter. We also established positions in several new names, which we feel improved the diversification of the portfolio across industries and geographies.
The love affair with emerging markets that began early last decade is now officially over. Valuations are approaching levels last seen in the Asia financial crisis during the late 1990s. Emerging market currencies are touching multi-decade and in some cases all-time lows. Talking heads are proposing the substitution of the “emerging” moniker with “submerging” markets. We are bullish. Why? From an economic perspective emerging markets are more important than ever in terms of global growth. Collectively, they now represent close to 50% of global gross domestic product and the bulk of the global population. It’s naïve to think people in developing countries don’t aspire to a higher quality of life, including clean water, better diets, white-line appliances, personal transportation and much more. All of those opportunities represent excellent long-term growth stories, which we have proven to be adept at identifying. For the first time in a while, we are able to buy the best businesses focused on those opportunities at very attractive valuations. While we are reluctant to call a bottom, we are happy to suggest we are nearing one, considering the levels of pessimism already implied in valuations and earnings estimates for some of the best businesses in emerging markets.
We aren’t dismissive of the many, well-known challenges facing many businesses in emerging markets today. However, we recognize that all firms face economic headwinds at some point, but the best typically come through them stronger. We are excited about the opportunity to include them in our portfolio at attractive valuations.
Thank you for your trust in investing alongside us in the Thornburg Developing World Fund.
Sincerely,
![]() | ||||
Ben Kirby,CFA | Charlie Wilson,PhD | |||
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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
Annual Report 5
PERFORMANCE SUMMARY | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Average Annual Total Returns
1-Yr | 3-Yr | 5-Yr | Since Incep. | |||||||||||||
Class A Shares (Incep: 12/16/09) | ||||||||||||||||
Without sales charge | -19.12 | % | -1.39 | % | 0.87 | % | 4.11 | % | ||||||||
With sales charge | -22.77 | % | -2.90 | % | -0.06 | % | 3.29 | % | ||||||||
Class C Shares (Incep: 12/16/09) | ||||||||||||||||
Without sales charge | -19.69 | % | -2.12 | % | 0.14 | % | 3.40 | % | ||||||||
With sales charge | -20.49 | % | -2.12 | % | 0.14 | % | 3.40 | % | ||||||||
Class I Shares (Incep: 12/16/09) | -18.75 | % | -0.94 | % | 1.38 | % | 4.67 | % | ||||||||
Class R5 Shares (Incep: 2/1/13) | -18.72 | % | — | — | -4.62 | % | ||||||||||
Class R6 Shares (Incep: 2/1/13) | -18.68 | % | — | — | -4.54 | % | ||||||||||
MSCI Emerging Markets Index (Since 12/16/09) | -19.28 | % | -5.27 | % | -3.58 | % | -1.08 | % |
Growth of a Hypothetical $10,000 Investment
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 information does not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of Fund shares. Returns reflect the reinvestment of dividends and capital gains as well as applicable sales charges. Class A shares are sold with a maximum sales charge of 4.50%. Class C shares are subject to a 1% CDSC for the first year only. There is no sales charge for Class I, R5, and R6 shares.
As disclosed in the most recent prospectus, the total annual fund operating expenses are as follows: A shares, 1.45%; C shares, 2.23%; I shares, 1.09%; R5 shares, 1.90%; R6 shares, 1.10%. Thornburg Investment Management and/or Thornburg Securities Corporation have contractually agreed to waive fees and reimburse expenses through at least February 1, 2016, for some of the share classes, resulting in net expense ratios of the following: R5 shares, 1.09%; R6 shares, 0.99%. For more detailed information on fund expenses and waivers/ reimbursements please see the Fund’s prospectus.
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.
Glossary
MSCI Emerging Markets Index – 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 23 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
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.
6 Annual Report
FUND SUMMARY | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
OBJECTIVES AND STRATEGIES
The Fund seeks long-term capital appreciation. Under normal market conditions the Fund invests at least 80% of its assets in equity securities and debt obligations of developing country issuers. A developing country issuer is a company or sovereign entity that is domiciled or otherwise tied economically to one or more developing countries. The Fund expects that investments in the Fund’s portfolio normally will be weighted in favor of equity securities.
Market Capitalization Exposure
Basket Structure
Top Ten Equity Holdings
HDFC Bank Ltd. ADR | 3.8 | % | ||
Tencent Holdings Ltd. | 3.5 | % | ||
China Mobile Ltd. | 2.9 | % | ||
Facebook, Inc. | 2.8 | % | ||
AIA Group Ltd. | 2.8 | % | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2.6 | % | ||
ITC Ltd. | 2.4 | % | ||
SK Hynix, Inc. | 2.4 | % | ||
Life Healthcare Group Holdings Ltd. | 2.4 | % | ||
Kansas City Southern | 2.3 | % |
There is no guarantee that the Fund will meet its investment objective.
All portfolio information is subject to change. Charts may not add up to 100% due to rounding.
Sector Exposure
Information Technology | 21.3 | % | ||
Financials | 15.7 | % | ||
Consumer Discretionary | 13.5 | % | ||
Consumer Staples | 12.4 | % | ||
Industrials | 7.1 | % | ||
Health Care | 6.9 | % | ||
Materials | 4.4 | % | ||
Telecommunication Services | 4.1 | % | ||
Energy | 3.9 | % | ||
Utilities | 2.3 | % | ||
Miscellaneous | 0.6 | % | ||
Other Assets Less Liabilities | 7.8 | % |
Top Ten Industry Groups
Software & Services | 13.8 | % | ||
Banks | 10.7 | % | ||
Food, Beverage & Tobacco | 7.7 | % | ||
Semiconductors & Semiconductor Equipment | 6.1 | % | ||
Transportation | 5.0 | % | ||
Materials | 4.4 | % | ||
Media | 4.3 | % | ||
Retailing | 4.2 | % | ||
Telecommunication Services | 4.1 | % | ||
Energy | 3.9 | % |
Annual Report 7
FUND SUMMARY, | ||
CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Country Exposure*
(percent of equity holdings)
China | 22.0 | % | ||
India | 14.6 | % | ||
Mexico | 7.7 | % | ||
United States | 6.7 | % | ||
Taiwan | 6.2 | % | ||
South Africa | 4.3 | % | ||
South Korea | 4.3 | % | ||
Russia | 3.9 | % | ||
Thailand | 3.9 | % | ||
Brazil | 3.8 | % | ||
Philippines | 3.6 | % | ||
Indonesia | 3.4 | % | ||
Saudi Arabia | 3.3 | % | ||
Hong Kong | 3.1 | % | ||
Peru | 1.6 | % | ||
United Arab Emirates | 1.5 | % | ||
United Kingdom | 1.5 | % | ||
Denmark | 1.3 | % | ||
Turkey | 1.3 | % | ||
France | 1.1 | % | ||
Argentina | 0.9 | % |
* | The country assignment of each equity holding is determined by the Fund’s Advisor based on various factors, including the location of the issuer’s head office, the issuer’s jurisdiction of incorporation and the country from which a majority of the issuer’s revenue is derived. The Advisor may deem certain issuers to be developing country issuers, as defined in the Fund’s prospectus, even if those issuers have country exposure in a developed country. |
8 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Developing World Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
COMMON STOCK — 91.58% | ||||||||
BANKS — 10.66% | ||||||||
Banks — 10.66% | ||||||||
Credicorp Ltd. | 188,359 | $ | 20,033,863 | |||||
Grupo Financiero Banorte S.A.B. de C.V. | 4,144,037 | 20,326,861 | ||||||
HDFC Bank Ltd. ADR | 876,087 | 53,520,155 | ||||||
PT Bank Central Asia | 8,967,514 | 7,513,736 | ||||||
PT Bank Mandiri | 39,185,967 | 21,197,870 | ||||||
Siam Commercial Bank plc | 7,398,618 | 27,315,465 | ||||||
|
| |||||||
149,907,950 | ||||||||
|
| |||||||
CAPITAL GOODS — 2.12% | ||||||||
Electrical Equipment — 2.12% | ||||||||
Zhuzhou CSR Times Electric Co., Ltd. | 4,035,203 | 29,808,243 | ||||||
|
| |||||||
29,808,243 | ||||||||
|
| |||||||
CONSUMER DURABLES & APPAREL — 3.13% | ||||||||
Household Durables — 2.63% | ||||||||
Haier Electronics Group Co., Ltd. | 8,645,944 | 14,391,220 | ||||||
Steinhoff International Holdings Ltd. | 3,689,908 | 22,605,130 | ||||||
Textiles, Apparel & Luxury Goods — 0.50% | ||||||||
Eclat Textile Co. Ltd. | 439,971 | 6,948,141 | ||||||
|
| |||||||
43,944,491 | ||||||||
|
| |||||||
CONSUMER SERVICES — 1.79% | ||||||||
Hotels, Restaurants & Leisure — 1.79% | ||||||||
a Al Tayyar Travel Group | 1,235,130 | 25,122,516 | ||||||
|
| |||||||
25,122,516 | ||||||||
|
| |||||||
DIVERSIFIED FINANCIALS — 0.05% | ||||||||
Diversified Financial Services — 0.05% | ||||||||
GT Capital Holdings, Inc. | 25,343 | 685,898 | ||||||
|
| |||||||
685,898 | ||||||||
|
| |||||||
ENERGY — 3.91% | ||||||||
Oil, Gas & Consumable Fuels — 3.91% | ||||||||
NovaTek OAO-GDR Reg S | 201,266 | 18,617,105 | ||||||
Reliance Industries Ltd. | 1,884,781 | 24,752,825 | ||||||
YPF S.A. ADR | 760,981 | 11,589,741 | ||||||
|
| |||||||
54,959,671 | ||||||||
|
| |||||||
FOOD & STAPLES RETAILING — 3.23% | ||||||||
Food & Staples Retailing — 3.23% | ||||||||
Magnit PJSC GDR | 406,458 | 19,416,499 | ||||||
Puregold Price Club, Inc. | 16,726,562 | 11,093,783 | ||||||
Wal-Mart de Mexico S.A.B. de C.V. | 6,048,542 | 14,923,761 | ||||||
|
| |||||||
45,434,043 | ||||||||
|
| |||||||
FOOD, BEVERAGE & TOBACCO — 7.66% | ||||||||
Beverages — 1.72% | ||||||||
Kweichow Moutai Co., Ltd. | 807,136 | 24,162,913 | ||||||
Food Products — 3.52% | ||||||||
Grupo Lala, S.A.B. de C.V. | 5,929,336 | 14,026,356 | ||||||
Ulker Biskuvi Sanayi A.S. | 2,642,329 | 16,725,536 | ||||||
Universal Robina Corp. | 4,560,251 | 18,732,738 | ||||||
Tobacco — 2.42% | ||||||||
ITC Ltd. | 6,800,287 | 34,084,315 | ||||||
|
| |||||||
107,731,858 | ||||||||
|
| |||||||
HEALTH CARE EQUIPMENT & SERVICES — 3.12% | ||||||||
Health Care Providers & Services — 3.12% | ||||||||
Life Healthcare Group Holdings Ltd. | 12,952,607 | 33,282,270 | ||||||
Qualicorp SA | 2,837,420 | 10,621,090 | ||||||
|
| |||||||
43,903,360 | ||||||||
|
| |||||||
HOUSEHOLD & PERSONAL PRODUCTS — 1.55% | ||||||||
Household Products — 1.36% | ||||||||
Colgate Palmolive Co. | 300,341 | 19,059,640 |
Annual Report 9
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Personal Products — 0.19% | ||||||||
AmorePacific Corp. | 8,353 | $ | 2,713,157 | |||||
|
| |||||||
21,772,797 | ||||||||
|
| |||||||
INSURANCE — 3.68% | ||||||||
Insurance — 3.68% | ||||||||
AIA Group Ltd. | 7,665,473 | 39,612,931 | ||||||
BB Seguridade Participacoes S.A. | 1,939,304 | 12,136,242 | ||||||
|
| |||||||
51,749,173 | ||||||||
|
| |||||||
MATERIALS — 4.39% | ||||||||
Chemicals — 1.22% | ||||||||
Yanbu National Petrochemical Co. | 1,491,305 | 17,130,969 | ||||||
Construction Materials — 1.89% | ||||||||
Anhui Conch Cement Co. Ltd. | 9,049,255 | 26,563,771 | ||||||
Metals & Mining — 1.28% | ||||||||
Grupo Mexico, S.A.B. de C.V. | 7,440,874 | 17,998,174 | ||||||
|
| |||||||
61,692,914 | ||||||||
|
| |||||||
MEDIA — 4.34% | ||||||||
Media — 4.34% | ||||||||
a Liberty Global plc LiLAC | 584,435 | 20,011,054 | ||||||
Vivendi | 592,713 | 13,994,341 | ||||||
Zee Entertainment Enterprises Ltd. | 4,518,110 | 26,951,036 | ||||||
|
| |||||||
60,956,431 | ||||||||
|
| |||||||
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES — 3.80% | ||||||||
Pharmaceuticals — 3.80% | ||||||||
a,b China Animal Healthcare Ltd. | 36,512,418 | 2,355,625 | ||||||
Novo Nordisk A/S | 316,325 | 16,968,949 | ||||||
a Sun Pharmaceutical Industries Ltd. | 1,504,497 | 19,963,694 | ||||||
Tasly Pharmaceutical Group Co., Ltd. | 2,722,125 | 14,190,625 | ||||||
|
| |||||||
53,478,893 | ||||||||
|
| |||||||
REAL ESTATE — 1.34% | ||||||||
Real Estate Management & Development — 1.34% | ||||||||
Emaar Properties PJSC | 10,693,122 | 18,807,364 | ||||||
|
| |||||||
18,807,364 | ||||||||
|
| |||||||
RETAILING — 4.20% | ||||||||
Internet & Catalog Retail — 2.06% | ||||||||
a Vipshop Holdings Ltd. ADR | 1,727,602 | 29,023,713 | ||||||
Multiline Retail — 2.14% | ||||||||
Matahari Department Store Tbk | 13,372,709 | 14,696,288 | ||||||
Robinsons Retail Holdings, Inc. | 9,842,790 | 15,362,249 | ||||||
|
| |||||||
59,082,250 | ||||||||
|
| |||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 6.08% | ||||||||
Semiconductors & Semiconductor Equipment — 6.08% | ||||||||
Hermes Microvision, Inc. | 394,740 | 14,925,254 | ||||||
SK Hynix, Inc. | 1,180,199 | 33,405,616 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 1,789,300 | 37,127,975 | ||||||
|
| |||||||
85,458,845 | ||||||||
|
| |||||||
SOFTWARE & SERVICES — 13.79% | ||||||||
Information Technology Services — 1.90% | ||||||||
Visa, Inc. | 384,228 | 26,765,323 | ||||||
Internet Software & Services — 10.86% | ||||||||
a Alibaba Group Holding Ltd. ADR | 243,696 | 14,370,753 | ||||||
a Baidu, Inc. ADR | 182,978 | 25,143,007 | ||||||
a Facebook, Inc. | 443,852 | 39,902,295 | ||||||
Just Dial Ltd. | 757,582 | 11,391,429 | ||||||
Tencent Holdings Ltd. | 2,934,828 | 49,039,713 | ||||||
a Yandex NV | 1,193,820 | 12,809,689 | ||||||
Software — 1.03% | ||||||||
Linx S.A. | 1,301,101 | 14,440,268 | ||||||
|
| |||||||
193,862,477 | ||||||||
|
| |||||||
TECHNOLOGY HARDWARE & EQUIPMENT — 1.45% | ||||||||
Electronic Equipment, Instruments & Components — 1.45% | ||||||||
Largan Precision Co. Ltd. | 261,318 | 20,316,577 | ||||||
|
| |||||||
20,316,577 | ||||||||
|
|
10 Annual Report
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
TELECOMMUNICATION SERVICES — 4.07% | ||||||||
Wireless Telecommunication Services — 4.07% | ||||||||
Bharti Infratel Ltd. | 3,103,341 | $ | 16,823,947 | |||||
China Mobile Ltd. | 3,415,730 | 40,327,391 | ||||||
|
| |||||||
57,151,338 | ||||||||
|
| |||||||
TRANSPORTATION — 4.96% | ||||||||
Road & Rail — 2.29% | ||||||||
Kansas City Southern | 354,558 | 32,222,231 | ||||||
Transportation Infrastructure — 2.67% | ||||||||
Airports of Thailand Public Company Ltd. | 3,038,705 | 23,525,998 | ||||||
Shanghai International Air Co., Ltd. | 3,188,813 | 13,904,752 | ||||||
|
| |||||||
69,652,981 | ||||||||
|
| |||||||
UTILITIES — 2.26% | ||||||||
Electric Utilities — 2.26% | ||||||||
Equatorial Energia SA | 1,398,995 | 11,948,536 | ||||||
Korea Electric Power Corp. | 478,344 | 19,774,619 | ||||||
|
| |||||||
31,723,155 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $1,352,880,024) | 1,287,203,225 | |||||||
|
| |||||||
OTHER GOVERNMENT — 0.63% | ||||||||
Nota Do Tesouro Nacional (BRL), 10.00%, 1/1/2021 | $ | 42,192,000 | 8,853,679 | |||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $9,096,317) | 8,853,679 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 7.06% | ||||||||
c Thornburg Capital Management Fund | 9,917,505 | 99,175,054 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $99,175,054) | 99,175,054 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.27% (Cost $1,461,151,395) | $ | 1,395,231,958 | ||||||
OTHER ASSETS LESS LIABILITIES — 0.73% | 10,309,250 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 1,405,541,208 | ||||||
|
|
Footnote Legend
a | Non-income producing. |
b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
c | 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 and/or a series of the Thornburg Investment Trust invested for cash management purposes during the period are shown below: |
Issuer | Shares/Principal September 30, 2014 | Gross Additions | Gross Reductions | Shares/Principal September 30, 2015 | Market Value September 30, 2015 | Investment Income | Realized Gain (loss) | |||||||||||||||||||||
Thornburg Capital Management Fund | — | 25,441,077 | 15,523,572 | 9,917,505 | $ | 99,175,054 | $ | 51,124 | $ | — | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 99,175,054 | $ | 51,124 | $ | — | |||||||||||||||||||||||
|
|
|
|
|
|
Total non-controlled affiliated issuers - 7.06% of net assets
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
ADR | American Depositary Receipt | |
BRL | Denominated in Brazilian Real | |
GDR | Global Depository Receipt |
See notes to financial statements.
Annual Report 11
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Developing World Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $1,461,151,395) (Note 2) | $ | 1,395,231,958 | ||
Cash | 5,679,615 | |||
Cash denominated in foreign currency (cost $866,906) | 866,906 | |||
Receivable for investments sold | 39,739,770 | |||
Receivable for fund shares sold | 4,654,697 | |||
Unrealized appreciation on forward currency contracts (Note 7) | 1,723,656 | |||
Dividends receivable | 179,484 | |||
Dividend and interest reclaim receivable | 379,842 | |||
Prepaid expenses and other assets | 70,065 | |||
|
| |||
Total Assets | 1,448,525,993 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 27,876,729 | |||
Payable for fund shares redeemed | 7,071,315 | |||
Unrealized depreciation on forward currency contracts (Note 7) | 6,110,530 | |||
Payable to investment advisor and other affiliates (Note 3) | 1,218,532 | |||
Accounts payable and accrued expenses | 707,679 | |||
|
| |||
Total Liabilities | 42,984,785 | |||
|
| |||
NET ASSETS | $ | 1,405,541,208 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Undistributed net investment income | $ | 585,376 | ||
Net unrealized depreciation on investments | (70,349,630 | ) | ||
Accumulated net realized gain (loss) | (253,064,433 | ) | ||
Net capital paid in on shares of beneficial interest | 1,728,369,895 | |||
|
| |||
$ | 1,405,541,208 | |||
|
|
12 Annual Report
STATEMENT OF ASSETS AND LIABILITIES, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
NET ASSET VALUE | ||||
Class A Shares: | ||||
Net asset value and redemption price per share ($ 207,281,962 applicable to 13,788,767 shares of beneficial interest outstanding - Note 4) | $ | 15.03 | ||
Maximum sales charge, 4.50% of offering price | 0.71 | |||
|
| |||
Maximum offering price per share | $ | 15.74 | ||
|
| |||
Class C Shares: | ||||
Net asset value and offering price per share* ($ 154,942,654 applicable to 10,703,956 shares of beneficial interest outstanding - Note 4) | $ | 14.48 | ||
|
| |||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($ 1,016,898,652 applicable to 66,612,250 shares of beneficial interest outstanding - Note 4) | $ | 15.27 | ||
|
| |||
Class R5 Shares: | ||||
Net asset value, offering and redemption price per share ($ 5,362,761 applicable to 352,422 shares of beneficial interest outstanding - Note 4) | $ | 15.22 | ||
|
| |||
Class R6 Shares: | ||||
Net asset value, offering and redemption price per share ($ 21,055,179 applicable to 1,380,219 shares of beneficial interest outstanding - Note 4) | $ | 15.25 | ||
|
|
* | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Annual Report 13
STATEMENT OF OPERATIONS | ||
Thornburg Developing World Fund | Year Ended September 30, 2015 |
INVESTMENT INCOME | ||||
Dividend income (net of foreign taxes withheld of $3,300,179) | $ | 40,136,789 | ||
Interest income | 472,459 | |||
|
| |||
Total Income | 40,609,248 | |||
|
| |||
EXPENSES | ||||
Investment advisory fees (Note 3) | 21,749,887 | |||
Administration fees (Note 3) | ||||
Class A Shares | 425,465 | |||
Class C Shares | 268,072 | |||
Class I Shares | 948,936 | |||
Class R5 Shares | 3,873 | |||
Distribution and Service fees (Note 3) | ||||
Class A Shares | 850,930 | |||
Class C Shares | 2,142,538 | |||
Transfer agent fees | ||||
Class A Shares | 547,010 | |||
Class C Shares | 318,937 | |||
Class I Shares | 2,085,272 | |||
Class R5 Shares | 23,048 | |||
Class R6 Shares | 6,996 | |||
Registration and filing fees | ||||
Class A Shares | 40,935 | |||
Class C Shares | 29,349 | |||
Class I Shares | 174,624 | |||
Class R5 Shares | 26,411 | |||
Class R6 Shares | 26,199 | |||
Custodian fees (Note 3) | 1,861,890 | |||
Professional fees | 101,847 | |||
Accounting fees (Note 3) | 114,620 | |||
Trustee fees | 98,410 | |||
Other expenses | 357,911 | |||
|
| |||
Total Expenses | 32,203,160 | |||
Less: | ||||
Expenses reimbursed by investment advisor (Note 3) | (1,087,902 | ) | ||
Fees paid indirectly (Note 3) | (1,715 | ) | ||
|
| |||
Net Expenses | 31,113,543 | |||
|
| |||
Net Investment Income | $ | 9,495,705 | ||
|
|
14 Annual Report
STATEMENT OF OPERATIONS, CONTINUED | ||
Thornburg Developing World Fund | Year Ended September 30, 2015 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments | $ | (199,268,141 | ) | |
Forward currency contracts (Note 7) | 21,938,517 | |||
Foreign currency transactions | (750,726 | ) | ||
|
| |||
(178,080,350 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of change in deferred taxes payable of $1,941,241) | (221,300,404 | ) | ||
Forward currency contracts (Note 7) | (14,303,854 | ) | ||
Foreign currency translations | (34,341 | ) | ||
|
| |||
(235,638,599 | ) | |||
|
| |||
Net Realized and Unrealized Loss | (413,718,949 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (404,223,244 | ) | |
|
|
See notes to financial statements.
Annual Report 15
STATEMENTS OF CHANGES IN NET ASSETS | ||
Thornburg Developing World Fund |
Year Ended | Year Ended | |||||||
September 30, 2015 | September 30, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 9,495,705 | $ | 8,944,272 | ||||
Net realized gain (loss) on investments, forward currency contracts, and foreign currency transactions | (178,080,350 | ) | (55,956,032 | ) | ||||
Net unrealized appreciation (depreciation) on investments, forward currency contracts, foreign currency transactions, and deferred taxes | (235,638,599 | ) | 106,193,757 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (404,223,244 | ) | 59,181,997 | |||||
DIVIDENDS TO SHAREHOLDERS | ||||||||
From net investment income | ||||||||
Class A Shares | (305,746 | ) | — | |||||
Class I Shares | (7,517,677 | ) | (8,251,450 | ) | ||||
Class R5 Shares | (39,389 | ) | (30,897 | ) | ||||
Class R6 Shares | (178,462 | ) | (125,833 | ) | ||||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||||||
Class A Shares | (194,862,909 | ) | 82,624,988 | |||||
Class C Shares | (35,907,758 | ) | 123,568,782 | |||||
Class I Shares | (1,052,861,620 | ) | 1,529,968,464 | |||||
Class R5 Shares | (677,452 | ) | 6,846,989 | |||||
Class R6 Shares | 3,921,323 | 7,904,266 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (1,692,652,934 | ) | 1,801,687,306 | |||||
NET ASSETS | ||||||||
Beginning of Year | 3,098,194,142 | 1,296,506,836 | ||||||
|
|
|
| |||||
End of Year | $ | 1,405,541,208 | $ | 3,098,194,142 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 585,376 | $ | 975,260 |
See notes to financial statements.
16 Annual Report
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Developing World Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Developing World Fund (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 twenty 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: 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 and Class R5 shares are sold at net asset value without a sales charge at the time of purchase and may be subject to a service fee, 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 allocable 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
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of Thornburg Investment Trust (the “Trust”) have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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: Securities and other portfolio investments which are listed or traded on a United States securities exchange are valued at the last reported sale price on the valuation date. Investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date. Portfolio investments reported by NASDAQ are valued at the official closing price on the valuation date. If an investment is traded on more than one exchange, the investment is considered traded on the exchange that is normally the primary market for that investment. Securities and other portfolio investments which are listed or traded on exchanges outside the United States are valued at the last price or the closing price of the investment on the exchange that is normally the primary market for the investment, as of the close of the exchange preceding the Fund’s valuation date. Foreign investments listed or traded on an exchange for which there has been no sale that day are valued at the mean between the last reported bid and asked prices on that valuation date.
Annual Report 17
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
In any case when a market quotation is not readily available for a portfolio investment ordinarily valued by market quotation, the Committee calculates a fair value for the investment using alternative methods approved by the Audit Committee. A market quotation is not readily available when the primary market or exchange for the investment is not open for the entire scheduled day of trading. Market quotations for an investment also may not be readily available if developments after the most recent close of the investment’s primary exchange or market, but prior to the close of business on any Fund business day, or an unusual event or significant period of time occurring since the availability of a market quotation, create a serious question concerning the reliability of the most recent market quotation available for the investment. In particular, on days when market volatility thresholds established by the Audit Committee are exceeded, foreign equity investments held by the Fund may be valued using alternative methods. The Committee customarily obtains valuations in these instances from pricing service providers approved by the Audit Committee. Pricing service providers ordinarily calculate valuations using multi-factor models to adjust market prices based upon various inputs, including exchange data, depository receipt prices, futures, index data and other data.
Debt obligations held by the Fund which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Fund, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons, the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Quotations for foreign investments expressed in foreign currency amounts are converted to U.S. dollar equivalents using a foreign exchange quotation from a third party service provider at the time of valuation. Foreign investments held by the Fund may be traded on days and at times when the Fund is not open for business. Consequently, the value of Fund investments may be significantly affected on days when shareholders cannot purchase or sell Fund shares. Futures contracts and other financial and derivative instruments traded on an exchange are valued at the latest published price for the instrument on its primary exchange. Listed options are valued at the last bid price.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
18 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3(a) | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities* | ||||||||||||||||
Common Stock(b) | $ | 1,287,203,225 | $ | 1,234,006,137 | $ | 50,841,463 | $ | 2,355,625 | ||||||||
Other Government | 8,853,679 | — | 8,853,679 | — | ||||||||||||
Short Term Investments | 99,175,054 | 99,175,054 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,395,231,958 | $ | 1,333,181,191 | $ | 59,695,142 | $ | 2,355,625 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | 1,723,656 | $ | — | $ | 1,723,656 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments** | ||||||||||||||||
Forward Currency Contracts | $ | (6,110,530 | ) | $ | — | $ | (6,110,530 | ) | $ | — | ||||||
Spot Currency | $ | (25,543 | ) | $ | (25,543 | ) | $ | — | $ | — |
* | 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, which may include futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
(a) | In accordance with the guidance prescribed in Accounting Standards Update (“ASU”) No. 2011-04, a fair value determination was applied to a portfolio security characterized as a Level 3 investment at September 30, 2015. The valuation technique and unobservable inputs used to value this portfolio security was a discount to the valuation determined by the Valuation and Pricing Committee due to a halt in trading of the security and lack of information as well as illiquidity. |
(b) | At September 30, 2015, industry classifications for Common Stock in levels 2 and 3 consist of $27,315,465 in Banks, $2,355,625 in Pharmaceuticals, Biotechnology and Life Sciences, and $23,525,998 in Transportation. |
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 and the underlying events which caused the movement. The Fund recognized no significant transfers between Levels 1 and 2 for the year ended September 30, 2015, 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 year ended September 30, 2015 is as follows:
Common Stock | Total(d) | |||||||
Beginning Balance 9/30/2014 | $ | — | $ | — | ||||
Accrued Discounts (Premiums) | — | — | ||||||
Net Realized Gain (Loss)(a) | (1,437,797 | ) | (1,437,797 | ) | ||||
Gross Purchases | 4,856,455 | 4,856,455 | ||||||
Gross Sales | (5,678,608 | ) | (5,678,608 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation)(b) | (25,942,024 | ) | (25,942,024 | ) | ||||
Transfers into Level 3(c) | 30,557,599 | 30,557,599 | ||||||
Transfers out of Level 3(c) | — | — | ||||||
|
|
|
| |||||
Ending Balance 9/30/2015 | $ | 2,355,625 | $ | 2,355,625 |
(a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(b) | Amount of net change in unrealized appreciation (depreciation) on investments recognized in income is included in the Fund’s Statement of Operations for the year ended September 30, 2015. |
(c) | Transfers into or out of Level 3 were out of or into Level 1, and were due to changes in other significant observable inputs available during the year ended September 30, 2015. 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 0.17% of total net assets at September 30, 2015. 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. |
Annual Report 19
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
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.
Foreign Withholding Taxes: The Fund is subject to foreign tax withholding imposed by certain foreign countries in which the Fund may invest. Withholding taxes are incurred on certain foreign dividends and are accrued at the time the dividend is recognized based on applicable foreign tax law. The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld, in view of various considerations, including recent decisions rendered by the courts in those and other jurisdictions. The Fund would expect to record a receivable for such a reclaim based on a variety of factors, including assessments of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention. To date the Fund has recorded no such receivable because there is limited precedent for collecting such prior year reclaims and the likelihood of collection remains uncertain.
Deferred Foreign Capital Gain 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 September 30, 2015, management has not identified any such position for which an asset or 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.
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 to the seller at an agreed upon price 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
20 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund for which the fees are payable at the end of each month. For the year ended September 30, 2015, 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. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the year ended September 30, 2015 the Fund paid $114,620 to the Advisor for these accounting services. The Trust also has entered into administrative service agreements with the Advisor, whereby the Advisor will perform certain administrative services for the shareholders of each class of the Fund’s shares (except for Class R6 shares, which do not have an administrative services agreement) 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 year ended September 30, 2015, the Distributor has advised the Fund that it earned commissions aggregating $45,654 from the sale of Class A shares, and collected contingent deferred sales charges aggregating $80,130 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 (except for Class R6 shares, which do not have a Rule 12b-1 service plan) for payments made by the Advisor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the year ended September 30, 2015, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. The Advisor may pay out of its own resources additional expenses for distribution of the Fund’s shares and shareholder services.
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 year ended September 30, 2015, are set forth in the Statement of Operations.
The Advisor and Distributor have contractually agreed to waive fees and reimburse expenses incurred by the Fund so that actual expenses of certain share classes do not exceed levels as specified in the Fund’s most recent prospectus. The agreement may be terminated by the Fund at any time, but may not be terminated by the Advisor or Distributor before February 1, 2016, unless the Advisor ceases to be the investment advisor to the Trust or the Distributor ceases to be the distributor of the Fund prior to that date. The Advisor and Distributor retain the right to be repaid by the Fund for fee waivers and expense reimbursements if expenses fall below the contractual limit prior to the end of the fiscal year.
For the year ended September 30, 2015, the Advisor voluntarily waived $1,010,430 for Class I shares and contractually reimbursed certain class specific expenses, administrative fees, and distribution fees, of $45,055 for Class R5 shares, and $32,417 for Class R6 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 year ended September 30, 2015, fees paid indirectly were $1,715.
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.
Annual Report 21
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
The Fund may purchase or sell securities from, or to an affiliated fund, provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees, and provided that all such transactions will comply with Rule 17a-7 under the 1940 Act. For the year ended September 30, 2015, the Fund had transactions of $13,269,217 in purchases and $21,998,900 in sales.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
September 30, 2015 | September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 6,122,531 | $ | 109,999,302 | 26,633,924 | $ | 496,153,221 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 19,021 | 288,166 | — | — | ||||||||||||
Shares repurchased | (17,017,940 | ) | (305,150,377 | ) | (21,504,634 | ) | (413,528,233 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,876,388 | ) | $ | (194,862,909 | ) | 5,129,290 | $ | 82,624,988 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,635,964 | $ | 46,044,059 | 8,033,799 | $ | 146,627,479 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | — | — | — | — | ||||||||||||
Shares repurchased | (4,826,475 | ) | (81,951,817 | ) | (1,261,929 | ) | (23,058,697 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,190,511 | ) | $ | (35,907,758 | ) | 6,771,870 | $ | 123,568,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I Shares | ||||||||||||||||
Shares sold | 58,044,611 | $ | 1,065,967,200 | 97,016,008 | $ | 1,859,284,051 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 437,693 | 6,877,427 | 380,810 | 7,330,398 | ||||||||||||
Shares repurchased | (117,474,718 | ) | (2,125,706,247 | ) | (17,664,136 | ) | (336,645,985 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (58,992,414 | ) | $ | (1,052,861,620 | ) | 79,732,682 | $ | 1,529,968,464 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 251,105 | $ | 4,536,726 | 404,809 | $ | 7,802,660 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 2,544 | 39,389 | 1,613 | 30,897 | ||||||||||||
Shares repurchased | (295,282 | ) | (5,253,567 | ) | (51,015 | ) | (986,568 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (41,633 | ) | $ | (677,452 | ) | 355,407 | $ | 6,846,989 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,107,694 | $ | 20,345,235 | 941,731 | $ | 18,097,326 | ||||||||||
Shares issued to shareholders in reinvestment of dividends | 9,657 | 150,167 | 4,651 | 89,174 | ||||||||||||
Shares repurchased | (938,665 | ) | (16,574,079 | ) | (542,356 | ) | (10,282,234 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 178,686 | $ | 3,921,323 | 404,026 | $ | 7,904,266 | ||||||||||
|
|
|
|
|
|
|
|
NOTE 5 – INVESTMENT TRANSACTIONS
For the year ended September 30, 2015, the Fund had purchase and sale transactions of investments (excluding short-term investments) of $2,229,100,066 and $3,408,583,363, respectively.
22 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 1,465,631,835 | ||
|
| |||
Gross unrealized appreciation on a tax basis | $ | 131,963,140 | ||
Gross unrealized depreciation on a tax basis | (202,363,017 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | (70,399,877 | ) | |
|
|
Temporary book to tax adjustments made to the cost of investments and net unrealized appreciation (depreciation) for tax purposes result primarily from deferral of outstanding wash sale losses.
At September 30, 2015, the Fund had deferred tax basis capital losses occurring subsequent to October 31, 2014 through September 30, 2015 of $179,997,843. For tax purposes, such losses will be recognized in the year ending September 30, 2016.
At September 30, 2015, the Fund had cumulative tax basis capital losses of $72,973,025, (of which $56,834,022 are short-term and $16,139,003 are long-term) generated after September 30, 2011, 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.
In order to account for permanent book to tax differences, the Fund decreased accumulated net realized losses by $1,844,315 and decreased undistributed net investment income by $1,844,315. Reclassifications have no impact upon the net asset value of the Fund and result primarily from foreign capital gain taxes, passive foreign investment company (“PFIC”) investments, and foreign currency gains (losses).
At September 30, 2015, the Fund had $573,243 of undistributed tax basis ordinary investment income and no undistributed tax basis capital gains.
The tax character of distributions paid during the years ended September 30, 2015, and September 30, 2014, was as follows:
2015 | 2014 | |||||||
Distributions from: | ||||||||
Ordinary income | $ | 8,041,274 | $ | 8,408,180 | ||||
Capital gains | — | — | ||||||
|
|
|
| |||||
Total | $ | 8,041,274 | $ | 8,408,180 | ||||
|
|
|
|
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 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 year ended September 30, 2015, 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’s 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.
The Fund entered into forward currency contracts during the year ended September 30, 2015 in the normal course of pursuing its investment objectives, with the objective 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
Annual Report 23
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
period, and changes in net unrealized appreciation (depreciation) on outstanding contracts are recognized in the Fund’s Statement of Operations.
The quarterly average value of open sell currency contracts for the year ended September 30, 2015 was $174,135,844. 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 the open sell currency contracts to which they relate.
The following table displays the outstanding forward currency contracts at September 30, 2015:
Outstanding Forward Currency Contracts to Buy or Sell at September 30, 2015 | ||||||||||||||||||||||||
Contract Description | Buy/Sell | Contract Amount | Contract Value Date | Value USD | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Chinese Yuan Renminbi | Buy | 356,516,000 | 02/16/2016 | 55,238,444 | $ | 1,673,734 | $ | — | ||||||||||||||||
Chinese Yuan Renminbi | Buy | 278,137,800 | 02/16/2016 | 43,094,557 | — | (44,303 | ) | |||||||||||||||||
Chinese Yuan Renminbi | Sell | 1,224,658,260 | 02/16/2016 | 189,748,052 | — | (2,928,492 | ) | |||||||||||||||||
Chinese Yuan Renminbi | Sell | 1,094,018,000 | 02/16/2016 | 169,506,703 | — | (2,999,996 | ) | |||||||||||||||||
Euro | Buy | 2,341,800 | 10/13/2015 | 2,617,144 | 49,922 | — | ||||||||||||||||||
Euro | Sell | 2,341,800 | 10/13/2015 | 2,617,144 | — | (29,115 | ) | |||||||||||||||||
South Korean Won | Sell | 34,724,287,600 | 03/14/2016 | 29,193,378 | — | (108,624 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | 1,723,656 | $ | (6,110,530 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | (4,386,874 | ) | |||||||||||||||||||||
|
|
The outstanding forward currency contracts in the foregoing table were entered into pursuant to an International Swaps and Derivatives Association (“ISDA”) Master Agreement. In the event of a default or termination under the ISDA Master Agreement, the non-defaulting party has the right to close out all outstanding forward currency contracts between the parties and to net any payment amounts under those contracts, resulting in a single net amount payable by one party to the other.
Because the ISDA Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Fund’s Statement of Assets and Liabilities unless there has been an event of default or termination event under that agreement, the Fund does not net its outstanding forward currency contracts for purposes of the disclosure in the Fund’s Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation or depreciation on those forward currency contracts on a gross basis in the Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in the Fund’s Statement of Assets and Liabilities at September 30, 2015 is disclosed in the following table:
Fair Values of Derivative Financial Instruments at September 30, 2015 | ||||||
Asset Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Assets - Unrealized appreciation on forward currency contracts | $ | 1,723,656 | |||
Liability Derivatives | Balance Sheet Location | Fair Value | ||||
Foreign exchange contracts | Liabilities - Unrealized depreciation on forward currency contracts | $ | (6,110,530 | ) |
Because the Fund does not currently receive or post cash collateral in connection with its currency forward contracts, and because all of the Fund’s outstanding currency forward contracts are with State Street Bank and Trust Company, the net amounts of the Fund’s assets and liabilities which are attributable to those contracts at September 30, 2015 can be determined by offsetting the dollar amounts shown in the preceding table. Based on those amounts, the net amount of the Fund’s assets which is attributable to its outstanding forward currency contracts at September 30, 2015 is $0, and the net amount of the Fund’s liabilities which is attributable to those contracts at that date is $4,386,874. The Fund’s forward currency contracts are valued each day, and the net amounts of the Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
24 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 |
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 year ended September 30, 2015 are disclosed in the following tables:
Net Realized Gain (loss) on Derivative Financial Instruments | ||||||||
Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | 21,938,517 | $21,938,517 | |||||
Net Change in Unrealized Appreciation (depreciation) of Derivative Financial Instruments | ||||||||
Recognized in Income for the Year Ended September 30, 2015 | ||||||||
Total | Forward Currency Contracts | |||||||
Foreign exchange contracts | $ | (14,303,854 | ) | $(14,303,854) |
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 small- and mid-cap 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 25
Thornburg Developing World 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 | Net Realized & Unrealized Gain (Loss) on Investments | Total from Investment Operations | 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 Return (%)(a) | Portfolio | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||
CLASS A SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 18.61 | 0.02 | (3.58 | ) | (3.56 | ) | (0.02 | ) | — | (0.02 | ) | $15.03 | 0.14 | 1.53 | 1.53 | 1.53 | (19.12 | ) | 96.74 | $ | 207,282 | ||||||||||||||||||||||||||||||
2014(b) | $ | 17.77 | 0.03 | 0.81 | 0.84 | — | — | — | $18.61 | 0.15 | 1.45 | 1.45 | 1.45 | 4.73 | 61.46 | $ | 459,121 | |||||||||||||||||||||||||||||||||||
2013(b) | $ | 15.71 | 0.01 | 2.06 | 2.07 | (0.01 | ) | — | (0.01 | ) | $17.77 | 0.05 | 1.48 | 1.48 | 1.59 | 13.19 | 61.67 | $ | 347,073 | |||||||||||||||||||||||||||||||||
2012(b) | $ | 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(b) | $ | 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 | |||||||||||||||||||||||||||||
CLASS C SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.03 | (0.09) | (3.46 | ) | (3.55 | ) | — | — | — | $14.48 | (0.55 | ) | 2.27 | 2.27 | 2.27 | (19.69 | ) | 96.74 | $ | 154,943 | |||||||||||||||||||||||||||||||
2014 | $ | 17.34 | (0.11) | 0.80 | 0.69 | — | — | — | $18.03 | (0.62 | ) | 2.23 | 2.23 | 2.23 | 3.98 | 61.46 | $ | 232,493 | ||||||||||||||||||||||||||||||||||
2013 | $ | 15.44 | (0.12) | 2.02 | 1.90 | — | — | — | $17.34 | (0.71 | ) | 2.26 | 2.26 | 2.40 | 12.31 | 61.67 | $ | 106,168 | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||
CLASS I SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.92 | 0.10 | (3.65 | ) | (3.55 | ) | (0.10 | ) | — | (0.10 | ) | $15.27 | 0.52 | 1.09 | 1.09 | 1.14 | (18.75 | ) | 96.74 | $ | 1,016,898 | ||||||||||||||||||||||||||||||
2014 | $ | 18.05 | 0.10 | 0.84 | 0.94 | (0.07 | ) | — | (0.07 | ) | $18.92 | 0.54 | 1.09 | 1.09 | 1.09 | 5.20 | 61.46 | $ | 2,376,420 | |||||||||||||||||||||||||||||||||
2013 | $ | 15.96 | 0.09 | 2.09 | 2.18 | (0.09 | ) | — | (0.09 | ) | $18.05 | 0.52 | 1.04 | 1.04 | 1.22 | 13.74 | 61.67 | $ | 828,147 | |||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||
CLASS R5 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.86 | 0.12 | (3.65 | ) | (3.53 | ) | (0.11 | ) | — | (0.11 | ) | $15.22 | 0.66 | 1.09 | 1.09 | 1.67 | (18.72 | ) | 96.74 | $ | 5,363 | ||||||||||||||||||||||||||||||
2014 | $ | 18.04 | 0.13 | 0.80 | 0.93 | (0.11 | ) | — | (0.11 | ) | $18.86 | 0.67 | 1.09 | 1.09 | 1.90 | 5.17 | 61.46 | $ | 7,433 | |||||||||||||||||||||||||||||||||
2013(d) | $ | 17.49 | 0.08 | 0.47 | 0.55 | — | — | — | $18.04 | 0.47 | (c) | 1.07 | (c) | 1.07 | (c) | 17.45 | (c)(e) | 3.14 | 61.67 | $ | 697 | |||||||||||||||||||||||||||||||
CLASS R6 SHARES |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
2015 | $ | 18.91 | 0.15 | (3.68 | ) | (3.53 | ) | (0.13 | ) | — | (0.13 | ) | $15.25 | 0.84 | 0.99 | 0.99 | 1.10 | (18.68 | ) | 96.74 | $ | 21,055 | ||||||||||||||||||||||||||||||
2014 | $ | 18.08 | 0.11 | 0.84 | 0.95 | (0.12 | ) | — | (0.12 | ) | $18.91 | 0.57 | 0.99 | 0.99 | 1.10 | 5.26 | 61.46 | $ | 22,727 | |||||||||||||||||||||||||||||||||
2013(d) | $ | 17.51 | 0.04 | 0.53 | 0.57 | — | — | — | $18.08 | 0.20 | (c) | 0.98 | (c) | 0.98 | (c) | 1.99 | (c) | 3.26 | 61.67 | $ | 14,422 |
(a) | Not annualized for periods less than one year. |
(b) | Sales loads are not reflected in computing total return. |
(c) | Annualized. |
(d) | Effective date of this class of shares was February 1, 2013. |
(e) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
26 Annual Report | Annual Report 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Developing World Fund
To the Trustees and Shareholders of
Thornburg Developing World Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments in securities, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thornburg Developing World Fund (the “Fund”) at September 30, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
28 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Developing World Fund | September 30, 2015 (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 April 1, 2015, and held until September 30, 2015.
ACTUAL EXPENSES
For each class of shares, the first line of the accompanying table 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 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
Class A Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 846.60 | $ | 7.49 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,016.96 | $ | 8.18 | ||||||
Class C Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 843.80 | $ | 10.89 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,013.26 | $ | 11.89 | ||||||
Class I Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 849.00 | $ | 5.29 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.35 | $ | 5.77 | ||||||
Class R5 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 849.50 | $ | 5.05 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,019.60 | $ | 5.52 | ||||||
Class R6 Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 849.10 | $ | 4.59 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,020.10 | $ | 5.01 |
† | Expenses are equal to the annualized expense ratio for each class (A: 1.62%; C: 2.36%; I: 1.14%; R5: 1.09%; R6: 0.99%;) multiplied by the average account value over the period, multiplied by 183/365 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 accompanying table 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.
Annual Report 29
TRUSTEES AND OFFICERS | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES (1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES (1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
30 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES) (1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 31
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
32 Annual Report
OTHER INFORMATION | ||
Thornburg Developing World Fund | September 30, 2015 (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.
TAX INFORMATION
For the tax year ended September 30, 2015, dividends paid by the Thornburg Developing World Fund of $8,041,274 are being reported as ordinary investment income for federal income tax purposes.
For the tax year ended September 30, 2015, the Thornburg Developing World Fund is reporting 100.00% (or the maximum allowed) of the dividends paid from tax basis net ordinary income as qualifying for the reduced rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
The Fund is reporting 17.40% (or the maximum allowed) of the ordinary income distributions paid by the Fund for the fiscal year ended September 30, 2015, as qualified for the corporate dividends received deduction.
For the tax year ended September 30, 2015, foreign source income and foreign taxes paid are $41,295,030 and $4,450,505, respectively. The information and distributions reported herein may differ from the information and distributions reported to shareholders for the calendar year ending December 31, 2015. Complete information will be reported in conjunction with your 2015 Form 1099.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Developing World Fund pursuant to an investment advisory agreement. The Trustees consider the renewal of this agreement annually, and most recently determined to renew the agreement on September 15, 2015.
In anticipation of their recent consideration of the advisory agreement’s renewal, the independent Trustees met in independent sessions in May and July 2015 to consider aspects of their annual evaluation of the Advisor’s service to all of the funds of Thornburg Investment Trust, to plan the annual evaluation of the Advisor’s performance and to specify the information the Advisor would present to the Trustees for their review. The independent Trustees met again in independent session in September to consider portions of the information submitted by the Advisor. The Advisor’s chief investment officer subsequently reviewed portions of the information with the Trustees and addressed questions from the Trustees at a full meeting session of the Trustees scheduled for that purpose, and the independent Trustees thereafter met in independent session to consider the Advisor’s presentation and various specific issues respecting their consideration of the advisory agreement’s renewal. Following these sessions, the Trustees met to consider renewal of the agreement, and the independent Trustees voted unanimously at that meeting to renew the agreement for an additional term of one year.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling and considered a wide range of information, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. In connection with their general oversight of the Advisor, and as an important element of their annual consideration of a renewal of the advisory agreement, the Trustees and their committees receive and consider reports from
Annual Report 33
OTHER INFORMATION, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
the Advisor throughout the year addressing a wide variety of topics. The Trustees also considered in this regard presentations by the Advisor at the meeting sessions scheduled for consideration of approval of a renewal of the advisory agreement. Information noted by the Trustees in their evaluation as having been considered included the Fund’s investment performance, the Advisor’s selection of investments and execution of the Fund’s investment strategies, Trustees’ positive perceptions of personnel developed in formal and informal meetings throughout the year, the Advisor’s staffing and other resources, the Advisor’s collaborative approach to investment management, the Advisor’s cognizance of and strategies to address market and economic trends and conditions, measures to obtain favorable trade execution, the Advisor’s performance of accounting and other services under the advisory agreement, the Advisor’s implementation of electronic systems and other measures to enhance the quality of its services, the Advisor’s observance of compliance and regulatory requirements, the Advisor’s responsiveness to the Trustees, and other factors.
Investment Performance. The Trustees noted in their evaluation of the Fund’s investment performance the reports they had received in each regular meeting over the course of the year from the Advisor’s portfolio management personnel. The Trustees also noted in their evaluation their consideration of information provided to them at their request in anticipation of their annual evaluation of the Advisor’s services, including the following items of information respecting the investment performance of the Fund which the Trustees noted in their evaluation: (1) the Fund’s absolute investment performance and achievement of stated objectives; (2) the Advisor’s written and oral explanations and commentary on the Fund’s performance in the context of the Fund’s objectives and reasonable expectations, and business, market and economic conditions, (3) performance data for the five calendar years since the Fund’s inception, comparing the Fund’s annual investment returns to a fund category selected by an independent mutual fund analyst firm, and to a broad-based securities index, (4) the Fund’s investment performance for the year-to-date, one-year, three-year and five-year periods ending with the second quarter of the current year comparing the Fund’s annualized returns to two mutual fund categories selected by independent mutual fund analyst firms and to a broad-based securities index, and assigning a percentage rank to the Fund’s performance for each period relative to each of the fund categories, (5) comparison of the Fund’s annualized return since inception to the Fund’s benchmark index, and (6) comparative measures of estimated earnings growth, portfolio volatility, risk and return.
The Trustees noted that quarterly reports during the year and other information presented to them confirmed the Advisor’s continued conformity to the Fund’s stated investment objectives and policies.
Comparative performance data for the five calendar years since the Fund’s inception showed that the Fund’s investment return for the most recent calendar year was lower than the return for the fund category and comparable to the return of the securities index, and that the Fund’s returns for the preceding four calendar years exceeded the returns for the index and the category in all years. Noted quantitative data also showed that the Fund’s annualized investment returns fell in the fourth quartile of performance for the first mutual fund category for the year-to-date period ended with the second quarter of the current year, fell in the third quartile of performance for the first fund category for the one-year period, and fell in the top decile of performance for the three-year and five year periods. Data for the second fund category showed that the Fund’s annualized investment returns similarly fell in the fourth quartile of performance for the year-to-date period, fell in the third quartile of performance of the category for the one-year period, and fell in or at the top decile of performance for the three-year and five-year periods. Data presented to the Trustees showed that the Fund’s annualized total return (net of expenses) over the period since the Fund’s inception exceeded the annualized return for the Fund’s benchmark index. The Trustees attached additional significance to the performance from the perspective of longer term shareholders.
Comparisons of Fee and Expense Levels. The Trustees observed the clear disclosures of the Advisor’s fees and Fund expenses in the Fund’s prospectuses. Information noted by the Trustees as having been considered in this context included a variety of comparative data respecting the Fund’s fee and expense levels. This information included comparisons of the Fund’s advisory fee and overall Fund expenses to median and average fees and expenses charged to a category of mutual funds selected by an independent mutual fund analyst firm, comparisons of the advisory fee and other Fund expenses to the fee levels and expenses for two representative share classes of fund peer groups selected from the category by a second independent mutual fund analyst firm, the perspectives and advice from the second mutual fund analyst firm respecting comparisons of fund fee levels and expenses to fund peer groups, and other information. Comparative fee and expense data considered by the Trustees showed that the Fund’s advisory fee level was comparable to the median and average levels for the fund category, the level of total expense for one representative share class of the Fund was comparable to the median expense level for the category and slightly lower than the average expense level for the category, and that the level of total expense for a second representative share class was somewhat lower than the median and average total expense level for the category. Peer group data showed the Fund’s advisory fee level was slightly lower than the median of each peer group, and that the total expense level for two representative share classes of the Fund fell below the median of each peer group.
The Trustees noted their consideration of information respecting the advisory fees charged by the Advisor to other investment management clients, including sub-advised mutual funds, together with information about fees charged by other advisors to different clients, analysis of the differences between the requirements of institutional clients and mutual funds, analysis of the differences between the requirements of a sub-advised mutual fund and a fund as to which the investment advisor is the primary advisor and sponsor, descriptions of distinguishing characteristics of the sub-advised funds served by the Advisor, and the consequently different investment management services provided to the different categories of clients and the differing contexts in which the fee levels for these arrangements
34 Annual Report
OTHER INFORMATION, CONTINUED | ||
Thornburg Developing World Fund | September 30, 2015 (Unaudited) |
are established. The Trustees confirmed their previous observations that the differences between the fees charged by the Advisor to different types of clients did not appear exceptional, and that the fee rates charged by an investment advisor to different categories of clients had limited relevance to the evaluation of the fee rate charged by that advisor to mutual funds as to which it is the primary advisor and sponsor.
Costs and Profitability of Advisor. In reviewing the profitability to the Advisor of its services to the Fund, the Trustees considered an analysis of the Advisor’s costs and the profitability to the Advisor of its services for the Fund together with data respecting the overall profitability of a selection of other investment management firms. The Trustees also considered in this regard the relationship of the Advisor’s efficiency and cost management to its profitability, and the contribution of the Advisor’s cost management, profitability and financial resources to its ability to attract necessary personnel, invest in systems and other assets required for its service to the Fund, and maintain service levels for the Fund notwithstanding fluctuations in revenues and profitability. The information considered did not indicate to the Trustees that the Advisor’s profitability was excessive.
Potential Economies of Scale. In reviewing the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect any economies of scale, the Trustees considered the breakpoint structure for advisory fees chargeable to the Fund, comparisons of the fee breakpoint structure for the Fund with breakpoint structures (or the absence of such structures) for other funds in a peer group selected by an independent mutual fund analyst firm, the effects of the breakpoint structure and other expense factors realized by the Fund and other funds of the Trust as their asset levels had increased, and the Advisor’s initiatives to enhance its systems and other measures to increase its capabilities. The information provided demonstrated to the Trustees that the Fund’s advisory fee breakpoint structure is reasonable in relation to the structures observed in the other funds in its peer group, and that shareholders may be expected to benefit from any economies of scale due to the advisory agreement’s breakpoint fee structure and other factors.
Potential Ancillary Benefits. In reviewing potential benefits to the Advisor because of its relationship to the Fund, the Trustees noted disclosures by the Advisor of its receipt of certain research services from broker dealers, and the benefits to both the Fund and the Advisor of the Advisor’s expansion of its staffing, compliance and systems capabilities and other resources to serve a broader variety of investment management clients. No unusual or unfair benefits to the Advisor from its relationship to the Fund were identified by the Trustees.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over a range of pertinent holding periods on the whole is satisfactory in the context of its objectives and strategies, and that the Advisor had continued to actively and competently pursue the Fund’s stated investment objectives and adhere to the Fund’s investment policies.
The Trustees further concluded, based upon their consideration of the foregoing factors and other information, that the level of the advisory fee charged to the Fund by the Advisor is reasonable in relation to the services provided by the Advisor in view of the nature, extent and quality of those services, the investment performance of the Fund after fees and expenses, the clear disclosure of fees and expenses in the Fund’s prospectuses, comparisons of fees and expenses charged to the Fund to fees and expenses charged to other mutual funds, and the other factors considered.
Annual Report 35
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
36 Annual Report
THORNBURG FUND FAMILY
FUNDAMENTAL, BOTTOM-UP EQUITY RESEARCH
We search far and wide for the best stock ideas—within the United States and around the globe. Potential investments that may deserve a deeper look are thoroughly analyzed using both quantitative and qualitative criteria. But the vast majority are discarded. Those that ultimately make it into our highly-selective portfolios are continually monitored to determine whether our investment theses unfold as expected.
• | Thornburg Value Fund |
• | Thornburg Core Growth Fund |
• | Thornburg International Value Fund |
• | Thornburg Better World International Fund |
• | Thornburg International Growth Fund |
• | Thornburg Developing World Fund |
• | Thornburg Investment Income Builder Fund |
• | Thornburg Global Opportunities Fund |
A TRADITION OF DISCIPLINED BOND MANAGEMENT
At Thornburg, the word “disciplined” carries some substance. We don’t make a practice of using shortcuts to enhance yield or total returns. Every strategy is grounded in rigorous, bottom-up credit work. Portfolios are assembled carefully—in the case of our core bond funds, using laddered structures—to mitigate price fluctuation. Position sizes are controlled so that no single bond can have an outsized effect on a portfolio. And as with our equity portfolios, managers enjoy flexibility to seek an optimal risk/reward balance.
• | Thornburg Low Duration Income Fund |
• | Thornburg Limited Term U.S. Government Fund |
• | Thornburg Limited Term Income Fund |
• | Thornburg Strategic Income Fund |
• | Thornburg Low Duration Municipal Fund |
• | 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 |
Before investing, carefully consider the Fund’s investment goals, risks, charges, and expenses. For a prospectus or summary 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
Annual Report 37
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Annual Report 39
This Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH2149 |
FIRM OVERVIEW
LETTER FROM THE CHAIRMAN
Dear Shareholder:
We are pleased to advise you that David L. Gardner has been appointed as a new Trustee of Thornburg Investment Trust, effective October 1, 2015.
Information about Mr. Gardner is presented in the Trustees and Officers section of this report, and we invite you to review that information, together with the information about our other Trustees.
Thank you for your continuing interest in the Thornburg Funds.
Sincerely,
Garrett Thornburg
Chairman of Trustees
The Firm
Thornburg Investment Management is a privately owned global investment firm that offers a range of solutions for retail and institutional investors. We are driven by our mission to help our clients reach their long-term financial goals through fundamental research and active portfolio management.
Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $56 billion (as of September 30, 2015) across eight equity and 11 bond mutual funds, separate accounts for high-net-worth investors and institutional accounts, and five UCITS funds for non-U.S. investors.
Core Investment Principles
Our focus has always been on maintaining and building the investment expertise to manage Thornburg strategies to a high standard, while adhering to a core set of investment principles:
• | We focus on the fundamentals. We invest according to our view of the fundamental value of an issuer only after performing thorough, bottom-up research. |
• | We think and invest for the long term. We typically make investment decisions based upon an investment thesis we expect to play out over 18 months to several years. We may not always hold a security for several years, but our horizon line is typically a few years out. |
• | We stay flexible. We go where we see value. Our investment mandates are generally broad and flexible, and we exercise as much flexibility as possible within any restrictions. |
• | We collaborate across strategies. We are global generalists. Portfolio managers and analysts do not specialize in sectors, geographies, or even security types, but instead must understand and communicate bottom-up fundamentals across industries, sectors, and borders. |
2 Annual Report
Thornburg Capital Management Fund
September 30, 2015
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Share Class | NASDAQ Symbol | CUSIP | ||
Class I | N/A | 885-216-739 |
Annual Report 3
Thornburg Capital Management Fund | September 30, 2015 (Unaudited) |
October 16, 2015
Dear Shareholder:
The Thornburg Capital Management Fund (TCMF) was started on July 31, 2015 with the goal of providing better risk exposures for cash management across the Thornburg family of funds with higher returns and lower costs. Through September 30, 2015 we have generally invested approximately $2 billion of Thornburg Investment Trust cash in high-quality, short-term instruments. With the custodian of the Thornburg Investment Trust funds charging 20 basis points (0.20%) for large cash balances, the annualized distribution yields from the portfolio of between 23 and 30 basis points represents a significant pick-up in return.
High return, however, is not what the TCMF is designed to provide. Instead, by combining the cash balances of all eligible Thornburg Investment Trust portfolios into a single pool, we seek to reduce costs of investing and significantly diversify and reduce high risk exposure in any given portfolio. As an example, while we wish to invest cash balances in some sort of short-term, high-quality investments (due both to the custodian’s charge and the singular exposure to the custodian if cash is left uninvested), doing so on a fund-by-fund basis incurs significant transaction costs. While the costs themselves are low (ticketing costs are $6 and an additional $6 for every maturity), these costs can add up quickly in a portfolio of overnight securities. Duplicate trades in different portfolios incur separate charges, and with 10 different eligible portfolios, the multiplier effect on costs is high. Combining all of the cash into a single portfolio eliminates the majority of those costs.
Risk diversification is also an important factor in the design of the TCMF. Because we expect to have a large pool of assets, we can buy a number of different names and still expect to have a vast cost advantage versus splitting investments amongst portfolios. As of September 30, 2015, our largest exposure away from supranationals or U.S. government entities was Pacific Gas and Electric, at 4.88% of the portfolio. Keep in mind that at the investing fund level, this is 4.88% of the cash position. As an example, if cash in the investing fund sat at 10%, the investing fund Pacific Gas and Electric position would be 0.488%. All of the Fund’s investments are rated A-1+, A-1 or A-2 by S&P. 33.5% of the portfolio was invested overnight, with a total of 37.2% available immediately to portfolio managers of investing funds if the 3.7% of uninvested cash is included. The September 30, 2015 weighted average maturity (WAM) was 8.22 days.
The above figures should give investors a picture of a very high quality, very short term, very liquid portfolio that avoids undue fees and provides a notable return over the custodian’s negative 20 basis point (0.20%) penalty rate. Again, the Fund’s goal is not to provide high returns but rather to reduce and diversify risk. We believe that this structure is a significant improvement over a fragmented, costly, less diversified outcome of investing the cash of each fund separately and should be a benefit to all of the participating portfolios of Thornburg Investment Trust.
Sincerely,
![]() | ![]() | ![]() | ||
Jason H. Brady, CFA | Lon R. Erickson, CFA | Jeff Klingelhofer, 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.
The views expressed by the portfolio managers reflect their professional opinions and are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
4 Annual Report
SCHEDULE OF INVESTMENTS | ||
Thornburg Capital Management Fund | September 30, 2015 |
PORTFOLIO COMPOSITION
30-Day Yields
SEC Yield | 0.26 | % | ||
Annualized Distribution Yield | 0.26 | % |
Shares/ Principal Amount | Value | |||||||
U.S. TREASURY SECURITIES — 1.41% | ||||||||
United States Treasury Bill, 0.09%, 10/1/2015 | $ | 25,000,000 | $ | 25,000,000 | ||||
|
| |||||||
TOTAL U.S. TREASURY SECURITIES (Cost $25,000,000) | 25,000,000 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 6.63% | ||||||||
Farmer Mac Discount Note, 0.12%, 10/8/2015 | 6,000,000 | 5,999,860 | ||||||
Farmer Mac Discount Note, 0.10%, 10/13/2015 | 25,000,000 | 24,999,167 | ||||||
Federal Farm Credit Discount Note, 0.00%, 10/1/2015 | 50,000,000 | 50,000,000 | ||||||
Federal Home Loan Discount Note, 0.07%, 10/7/2015 | 2,000,000 | 1,999,978 | ||||||
Federal Home Loan Discount Note, 0.07%, 10/9/2015 | 29,600,000 | 29,599,545 | ||||||
Federal Home Loan Discount Note, 0.13%, 10/16/2015 | 5,000,000 | 4,999,733 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost $117,598,283) | 117,598,283 | |||||||
|
| |||||||
OTHER GOVERNMENT — 9.59% | ||||||||
Inter-American Development Bank Discount Note, 0.01%, 10/1/2015 | 75,000,000 | 75,000,000 | ||||||
Inter-American Development Bank Discount Note, 0.10%, 10/7/2015 | 25,000,000 | 24,999,583 | ||||||
International Bank for Reconstruction Discount Note, 0.09%, 10/16/2015 | 10,000,000 | 9,999,625 | ||||||
International Bank for Reconstruction Discount Note, 0.03%, 10/19/2015 | 10,000,000 | 9,999,875 | ||||||
World Bank Group Discount Note, 0.13%, 10/15/2015 | 25,000,000 | 24,998,736 | ||||||
World Bank Group Discount Note, 0.11%, 10/15/2015 | 25,000,000 | 24,998,931 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT (Cost $169,996,750) | 169,996,750 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.28% | ||||||||
New York State Housing Finance Agency Revenue, 0.39%, 11/1/2049, put 10/7/2015 (weekly demand notes) | 10,000,000 | 10,000,000 | ||||||
New York State Housing Finance Agency Revenue, 0.45%, 5/1/2048, put 10/1/2015 (daily demand notes) | 30,450,000 | 30,450,000 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS (Cost $40,450,000) | 40,450,000 | |||||||
|
| |||||||
SHORT TERM INVESTMENTS — 76.36% | ||||||||
AGL Capital Corp., 0.40%, 10/9/2015 | 31,000,000 | 30,997,244 | ||||||
Agrium, Inc., 0.50%, 10/13/2015 | 35,000,000 | 34,994,167 | ||||||
Airgas, Inc., 0.38%, 10/1/2015 | 9,000,000 | 9,000,000 | ||||||
Airgas, Inc., 0.46%, 10/23/2015 | 38,000,000 | 37,989,318 | ||||||
Ameren Corp, 0.46%, 10/6/2015 | 20,000,000 | 19,998,722 | ||||||
Ameren Corp, 0.41%, 10/9/2015 | 34,000,000 | 33,996,902 | ||||||
Anthem, Inc., 0.40%, 10/19/2015 | 14,200,000 | 14,197,160 | ||||||
Atmos Energy Corp, 0.35%, 10/6/2015 | 33,000,000 | 32,998,396 | ||||||
Atmos Energy Corp, 0.37%, 10/7/2015 | 22,000,000 | 21,998,643 | ||||||
Autozone, Inc., 0.40%, 10/15/2015 | 14,000,000 | 13,997,822 | ||||||
Autozone, Inc., 0.38%, 10/26/2015 | 5,000,000 | 4,998,681 | ||||||
Avery Dennison Corp, 0.30%, 10/1/2015 | 30,000,000 | 30,000,000 | ||||||
Bacardi Ltd., 0.40%, 10/21/2015 | 2,000,000 | 1,999,556 | ||||||
Bacardi Martini B V, 0.42%, 10/7/2015 | 6,000,000 | 5,999,580 | ||||||
Bacardi Martini B V, 0.45%, 10/7/2015 | 4,000,000 | 3,999,700 | ||||||
Bacardi Martini B V, 0.44%, 10/14/2015 | 6,000,000 | 5,999,047 | ||||||
Bacardi USA, Inc., 0.40%, 10/7/2015 | 20,000,000 | 19,998,667 |
Annual Report 5
SCHEDULE OF INVESTMENTS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 |
Shares/ Principal Amount | Value | |||||||
Bank of New York Tri-Party Repurchase Agreement 0.25% dated 9/30/2015 due 10/1/2015, repurchase price $63,000,438 collateralized by 1 U.S. Government debt security and 27 corporate debt securities, having an average coupon of 4.06%, a minimum credit rating of BBB-, maturity dates from 10/1/2015 to 3/1/2046, and having an aggregate market value of $67,260,751 at 9/30/2015 | $ | 63,000,000 | $ | 63,000,000 | ||||
Bayer AG, 0.41%, 10/7/2015 | 54,000,000 | 53,996,310 | ||||||
Brown-Forman Corp., 0.17%, 10/22/2015 | 13,000,000 | 12,998,711 | ||||||
CBS Corp, 0.43%, 10/16/2015 | 7,000,000 | 6,998,746 | ||||||
CBS Corp, 0.40%, 10/21/2015 | 10,000,000 | 9,997,778 | ||||||
Centerpoint Energy, Inc., 0.44%, 10/13/2015 | 28,000,000 | 27,995,893 | ||||||
Centerpoint Energy, Inc., 0.46%, 10/13/2015 | 19,711,000 | 19,707,978 | ||||||
Consolidated Edison Co., 0.30%, 10/14/2015 | 5,029,000 | 5,028,455 | ||||||
Delmarva Power & Light, 0.37%, 10/1/2015 | 35,000,000 | 35,000,000 | ||||||
Diageo Capital plc, 0.30%, 10/7/2015 | 3,000,000 | 2,999,850 | ||||||
Discovery Communication, 0.36%, 10/1/2015 | 25,950,000 | 25,950,000 | ||||||
Edison International, 0.42%, 10/9/2015 | 10,000,000 | 9,999,067 | ||||||
Edison International, 0.41%, 10/22/2015 | 9,000,000 | 8,997,847 | ||||||
Edison International, 0.41%, 10/23/2015 | 26,000,000 | 25,993,486 | ||||||
ENI Finance USA, Inc., 0.35%, 10/2/2015 | 35,000,000 | 34,999,660 | ||||||
ENI Finance USA, Inc., 0.50%, 10/23/2015 | 5,000,000 | 4,998,472 | ||||||
Equifax, Inc., 0.45%, 10/1/2015 | 9,000,000 | 9,000,000 | ||||||
Equifax, Inc., 0.38%, 10/5/2015 | 7,000,000 | 6,999,704 | ||||||
Hewlett Packard Co., 0.65%, 10/7/2015 | 35,000,000 | 34,996,208 | ||||||
Hitachi America, 0.33%, 10/1/2015 | 33,000,000 | 33,000,000 | ||||||
Kansas City Power & Light, 0.35%, 10/1/2015 | 35,000,000 | 35,000,000 | ||||||
Leggett & Platt, 0.41%, 10/28/2015 | 25,000,000 | 24,992,312 | ||||||
Mondelez International, Inc., 0.35%, 10/5/2015 | 38,000,000 | 37,998,522 | ||||||
Mondelez International, Inc., 0.38%, 10/21/2015 | 6,000,000 | 5,998,733 | ||||||
Nextera Energy Capital Holdings, Inc., 0.40%, 10/5/2015 | 43,000,000 | 42,998,089 | ||||||
Northern Illinios Gas Co., 0.28%, 10/1/2015 | 30,000,000 | 30,000,000 | ||||||
Oglethorpe Power Corp., 0.19%, 10/8/2015 | 28,000,000 | 27,998,965 | ||||||
Oglethorpe Power Corp., 0.20%, 10/19/2015 | 16,000,000 | 15,998,400 | ||||||
Pacific Gas & Electric Co., 0.35%, 10/2/2015 | 6,000,000 | 5,999,942 | ||||||
Pacific Gas & Electric Co., 0.32%, 10/7/2015 | 29,000,000 | 28,998,453 | ||||||
Pacific Gas & Electric Co., 0.34%, 10/8/2015 | 3,000,000 | 2,999,802 | ||||||
Pacific Gas & Electric Co., 0.37%, 10/16/2015 | 11,000,000 | 10,998,304 | ||||||
Pacific Gas & Electric Co., 0.33%, 10/22/2015 | 10,000,000 | 9,998,075 | ||||||
Pacific Gas & Electric Co., 0.34%, 10/28/2015 | 27,500,000 | 27,492,987 | ||||||
Plains All American Pipeline LP, 0.38%, 10/6/2015 | 34,000,000 | 33,998,206 | ||||||
PPL Electric Utilities Corp., 0.33%, 10/1/2015 | 33,000,000 | 33,000,000 | ||||||
Ryder System, Inc., 0.34%, 10/7/2015 | 4,000,000 | 3,999,773 | ||||||
Ryder System, Inc., 0.40%, 10/28/2015 | 30,000,000 | 29,991,000 | ||||||
Snap-on, Inc., 0.31%, 10/2/2015 | 24,000,000 | 23,999,793 | ||||||
Southern California Edison, 0.28%, 10/13/2015 | 5,500,000 | 5,499,487 | ||||||
Spectra Energy Capital, 0.35%, 10/1/2015 | 22,000,000 | 22,000,000 | ||||||
Spectra Energy Capital, 0.46%, 10/2/2015 | 3,000,000 | 2,999,962 | ||||||
Spectra Energy Capital, 0.40%, 10/5/2015 | 10,000,000 | 9,999,556 | ||||||
Stanley Black & Decker, Inc., 0.30%, 10/1/2015 | 34,000,000 | 34,000,000 | ||||||
Sysco Corp., 0.23%, 10/1/2015 | 35,000,000 | 35,000,000 | ||||||
Volvo Group Treasury, 0.50%, 10/6/2015 | 19,000,000 | 18,998,681 | ||||||
Volvo Group Treasury, 0.48%, 10/20/2015 | 26,000,000 | 25,993,413 | ||||||
VW Credit, Inc., 0.15%, 10/1/2015 | 11,000,000 | 11,000,000 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,353,774,225) | 1,353,774,225 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 96.27% (Cost $1,706,819,258) | $ | 1,706,819,258 | ||||||
OTHER ASSETS LESS LIABILITIES — 3.73% | 66,040,862 | |||||||
|
| |||||||
NET ASSETS — 100.00% | $ | 1,772,860,120 | ||||||
|
|
See notes to financial statements.
6 Annual Report
STATEMENT OF ASSETS AND LIABILITIES | ||
Thornburg Capital Management Fund | September 30, 2015 |
ASSETS | ||||
Investments at value (cost $1,706,819,258) (Note 2) | $ | 1,706,819,258 | ||
Cash | 66,063,729 | |||
Interest receivable | 14,366 | |||
|
| |||
Total Assets | 1,772,897,353 | |||
|
| |||
LIABILITIES | ||||
Accounts payable and accrued expenses | 37,233 | |||
|
| |||
Total Liabilities | 37,233 | |||
|
| |||
NET ASSETS | $ | 1,772,860,120 | ||
|
| |||
NET ASSETS CONSIST OF | ||||
Net capital paid in on shares of beneficial interest | 1,772,860,120 | |||
|
| |||
$ | 1,772,860,120 | |||
|
| |||
NET ASSET VALUE | ||||
Class I Shares: | ||||
Net asset value, offering and redemption price per share ($1,772,860,120 applicable to 177,286,012 shares of beneficial interest outstanding - Note 4) | $ | 10.00 | ||
|
|
See notes to financial statements.
Annual Report 7
STATEMENT OF OPERATIONS | ||
Thornburg Capital Management Fund | Period Ended September 30, 2015* |
INVESTMENT INCOME | ||||
Interest income | $ | 1,068,136 | ||
|
| |||
EXPENSES | ||||
Transfer agent fees | 900 | |||
Registration and filing fees | 61 | |||
Custodian fees (Note 3) | 16,800 | |||
Professional fees | 52,340 | |||
Accounting fees (Note 3) | 14,480 | |||
Trustee fees | 17,630 | |||
Other expenses | 2,275 | |||
|
| |||
Total Expenses | 104,486 | |||
|
| |||
Net Investment Income | $ | 963,650 | ||
|
|
* | For the period from commencement of operations on July 31, 2015 through September 30, 2015. |
See notes to financial statements.
8 Annual Report
STATEMENT OF CHANGES IN NET ASSETS | ||
Thornburg Capital Management Fund |
Period Ended* September 30, 2015 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||
OPERATIONS | ||||
Net investment income | $ | 963,650 | ||
|
| |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 963,650 | |||
DIVIDENDS TO SHAREHOLDERS | ||||
From net investment income | (963,650 | ) | ||
FUND SHARE TRANSACTIONS (NOTE 4) | ||||
Class I shares | 1,772,860,120 | |||
|
| |||
Net Increase in Net Assets | 1,772,860,120 | |||
NET ASSETS | ||||
Beginning of Period | — | |||
|
| |||
End of Period | $ | 1,772,860,120 | ||
|
|
* | For the period from commencement of operations on July 31, 2015 through September 30, 2015. |
See notes to financial statements.
Annual Report 9
NOTES TO FINANCIAL STATEMENTS | ||
Thornburg Capital Management Fund | September 30, 2015 |
NOTE 1 – ORGANIZATION
Thornburg Capital Management 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 twenty 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 investment objective is to seek current income consistent with liquidity management and safety of capital.
The Fund currently offers one class of shares of beneficial interest: Institutional Class (“Class I”). This class of shares of the Fund represents all interest in the portfolio of investments. Class I shares are sold at net asset value without a sales charge at the time of purchase and without a service fee. All expenses are allocated to the class including transfer agent fees, government registration fees, printing and postage costs, and legal expenses.
Shares of the Fund are issued solely in private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of the 1933 Act. Investments in the Fund may only be made by investment companies or other persons that are “accredited investors” within the meaning of Regulation D under the 1933 Act. Currently the Fund’s shares are only sold to certain other series of shares of the Trust. Thornburg Investment Management, Inc., acting as agent for the other series of shares of the Trust, will effect all purchases of shares of the Fund on behalf of those other series of the Trust.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and prepares its financial statements in conformity with United States generally accepted accounting principles (“GAAP”), including investment company accounting and reporting guidance in the Financial Accounting Standards Board (the “FASB”) Accounting Standard Codification Topic 946. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases (decreases) in net assets from operations during the reporting period. Actual results could differ from those estimates.
Significant accounting policies of the Trust are as follows:
Valuation Policy and Procedures: The Trustees of the Trust have appointed Thornburg Investment Management, Inc., the Trust’s investment advisor (the “Advisor”), to assist the Trustees in obtaining market values for portfolio investments, perform certain evaluation and supervisory functions respecting professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assist in calculating fair values for portfolio investments in certain circumstances, and to perform other functions in connection with valuation of investments. The Advisor acts through its Valuation and Pricing Committee (the “Committee”) and other employees of the Advisor. The Committee regularly reviews its own valuation calculations, as well as the valuations, valuation techniques and services furnished by pricing service providers, considers circumstances which may require valuation calculations by the Committee, and reviews previous valuation calculations. The Committee reports to the Audit Committee on the Committee’s activities, the performance of pricing service providers, and other matters relating to valuation of portfolio investments.
In those instances when the Committee assists in calculating 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 on the valuation date. The Committee customarily utilizes quotations from securities broker dealers in calculating valuations, but also may utilize prices obtained from pricing service providers or other methods approved by the Audit Committee. Because fair values calculated by the Committee are estimates, the calculation of a value for an investment may differ from the price that would be realized by the Fund upon a sale of the investment, and the difference could be material to the Fund’s financial statements. The Committee’s calculation of a 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 which are not listed or traded on exchanges or for which no reported market exists are ordinarily valued at the valuation obtained from a pricing service provider approved by the Audit Committee. The Valuation and Pricing Committee is authorized by the Audit Committee to calculate values of commercial paper having a remaining maturity of 60 days or less using amortized cost, subject to regular confirmation of those calculated values using procedures approved by the Audit Committee.
In any case when a pricing service provider fails to provide a valuation for a debt obligation held by the Funds, the Committee calculates a fair value for the obligation using alternative methods under procedures approved by the Audit Committee. Additionally, in cases when management believes that a valuation obtained from a pricing service provider merits review for significant reasons,
10 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 |
the Committee decides whether or not to use the valuation calculated by the pricing service provider or to use an alternative method approved by the Audit Committee to calculate a fair value for the obligation.
Valuation Measurements: The Fund categorizes its investments based upon the inputs used in valuing those investments, according to a three-level hierarchy established in guidance from the FASB. Categorization of investments using this hierarchy is intended by the FASB to maximize the use of observable inputs in valuing investments and minimize the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in valuing an investment based on available market information. 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 valuation. The methodologies and inputs used to value investments are not necessarily indications of the risk or liquidity associated with those investments.
Various inputs are used in calculating valuations for 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 calculating the fair values of investments).
Valuations for debt obligations held by the Fund are typically calculated by pricing service providers approved by the Audit Committee and are characterized as Level 2 within the valuation hierarchy.
On days when market volatility thresholds established by the Audit Committee are exceeded, foreign securities for which valuations are obtained from pricing service providers are fair valued. On these days, the foreign securities are characterized as Level 2 within the valuation hierarchy and revert to Level 1 after the threshold is not longer exceeded.
In a limited number of cases the Committee calculates a fair value for investments using broker quotations or other methods approved by the Audit Committee. When the Committee uses a single broker quotation to calculate a fair value for an investment without other significant observable inputs, or if a fair value is calculated using other significant inputs that are considered unobservable, the investment is characterized as Level 3 within the hierarchy. Other significant unobservable inputs used to calculate a fair value in these instances might include an income-based valuation approach which considers discounted anticipated future cash flows from the investment, and application of discounts due to the nature or duration of any restrictions on the disposition of the investment.
Valuations based upon the use of inputs from Levels 1, 2 or 3 may not represent the actual price received upon the disposition of an investment, and the Fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following table displays a summary of the fair value hierarchy measurements of the Fund’s investments as of September 30, 2015. In any instance when valuation inputs from more than one level are used to determine the fair value of a specific investment, the investment is placed in the level of the table based upon the lowest level input that is significant in determining the fair value of the investment:
Fair Value Measurements at September 30, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Securities | $ | 25,000,000 | $ | — | $ | 25,000,000 | $ | — | ||||||||
U.S. Government Agencies | 117,598,283 | — | 117,598,283 | — | ||||||||||||
Other Government | 169,996,750 | — | 169,996,750 | — | ||||||||||||
Municipal Bonds | 40,450,000 | — | 40,450,000 | — | ||||||||||||
Short Term Investments | 1,353,774,225 | — | 1,353,774,225 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,706,819,258 | $ | — | $ | 1,706,819,258 | $ | — |
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 and the underlying events which caused the movement. The Fund recognized no transfers between levels for the period ended September 30, 2015.
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 net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income tax is required.
Annual Report 11
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 |
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 September 30, 2015, management has not identified any such position for which an asset or 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 and realized and unrealized gains and losses are allocated daily to the Fund based upon the relative net asset value of outstanding shares (or the value of the dividend-eligible shares, as appropriate) of the Fund 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 separate agreements with the independent 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.
NOTE 3 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement, the Advisor serves as the investment advisor and performs services for the Fund. The Fund does not pay an advisory fee to the Advisor under this agreement. The Fund pays to the Advisor the costs of personnel who perform certain accounting services for the Fund. For the period ended September 30, 2015 the Fund paid $14,480 to the Advisor for these accounting services. The Advisor provides certain administrative services to the Fund. No fees are charged for those services.
NOTE 4 – SHARES OF BENEFICIAL INTEREST
At September 30, 2015, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Period Ended* September 30, 2015 | ||||||||
Shares | Amount | |||||||
Class I Shares | ||||||||
Shares sold | 431,721,191 | $ | 4,317,211,909 | |||||
Shares issued to shareholders in reinvestment of dividends | 96,365 | 963,650 | ||||||
Shares repurchased | (254,531,544 | ) | (2,545,315,439 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 177,286,012 | $ | 1,772,860,120 | |||||
|
|
|
|
* | For the period from commencement of operations on July 31, 2015 through September 30, 2015. |
NOTE 5 – INVESTMENT TRANSACTIONS
For the period ended September 30, 2015, the Fund had no purchase and sale transactions of investments other than short-term investments.
12 Annual Report
NOTES TO FINANCIAL STATEMENTS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 |
NOTE 6 – INCOME TAXES
At September 30, 2015, information on the tax components of capital was as follows:
Cost of investments for tax purposes | $ | 1,706,819,258 | ||
|
| |||
Net unrealized appreciation (depreciation) on investments (tax basis) | $ | 0 | ||
|
|
There is no unrealized gain (loss) on the Fund due to all securities being priced by the amortized cost method with less than sixty days to maturity at purchase.
At September 30, 2015, the Fund did not have any undistributed net tax-exempt income, undistributed tax basis net ordinary income or undistributed tax basis capital gains.
The tax character of distributions paid during the period ended September 30, 2015 of $963,650 was from tax basis net ordinary income.
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, foreign investment risk, and diversification 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 September 30, 2015 and the date of issuance of the financial statements that require adjustment to or disclosure in the accompanying financial statements.
Annual Report 13
Thornburg Capital Management 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 (%)(a) | Net Assets at End of Period (Thousands) | |||||||||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2015(b) | $ | 10.00 | 0.00 | (c) | — | (0.00 | )(d) | (0.00 | )(e) | — | (0.00 | ) | $ | 10.00 | 0.26 | (f) | 0.03 | (f) | 0.03 | (f) | 0.03 | (f) | 0.04 | 0.00 | (g) | $ | 1,772,860 |
(a) | Not annualized for periods less than one year. |
(b) | Fund commenced operations on July 31, 2015. |
(c) | Net investment income was less than $0.01 per share. |
(d) | Total from investment operations was less than $0.01 per share. |
(e) | Dividends from net investment income per share were less than $(0.01). |
(f) | Annualized. |
(g) | Portfolio turnover rate equals zero due to no long term investment transactions in the period. |
+ | Based on weighted average shares outstanding. |
See notes to financial statements.
14 Annual Report | Annual Report 15 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Thornburg Capital Management Fund
To the Trustees and Shareholders of
Thornburg Capital Management Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments in securities, and the related statement of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Thornburg Capital Management Fund (the “Fund”) at September 30, 2015, and the results of its operations, the changes in its net assets and the financial highlights for the period July 31, 2015 (commencement of operations) through September 30, 2015, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2015
16 Annual Report
EXPENSE EXAMPLE | ||
Thornburg Capital Management Fund | September 30, 2015 (Unaudited) |
As a shareholder of the Fund, you incur ongoing costs of investing in the Fund. Because the Fund does not pay any management fee or distribution and/or service (12b-1) fee, the Fund’s ongoing costs are comprised of other Fund expenses. Shareholders of the Fund do not incur any transaction costs.
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 April 1, 2015, and held until September 30, 2015.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period† 4/1/15–9/30/15 | ||||||||||
Actual | $ | 1,000.00 | $ | 1,001.18 | $ | 0.14 | ||||||
Hypothetical* | $ | 1,000.00 | $ | 1,024.93 | $ | 0.14 |
† | Expenses are equal to the annualized expense ratio of the Fund (I: 0.03%) multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. |
* | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your class of shares under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying table 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 and therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds which may impose transactional costs. Shareholders of the Fund do not incur transactional costs such as sales charges (loads), redemption fees, or exchange fees.
Annual Report 17
TRUSTEES AND OFFICERS | ||
Thornburg Capital Management Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
INTERESTED TRUSTEES(1)(2)(4) | ||||
Garrett Thornburg, 70 Trustee since 1987, Chairman of Trustees(3) | Chairman and controlling shareholder of Thornburg Investment Management, Inc. (investment advisor); Chairman, controlling shareholder, and until 2010, CEO of Thornburg Securities Corporation (securities dealer); Chairman and CEO of Chamisa Energy, LLC; President of the Thornburg Foundation (nonprofit). | None | ||
Brian J. McMahon, 60 Trustee since 2001, Member of Governance & Nominating Committee & Operations Risk Oversight Committee, President since 1997(5)(6) | CEO, President, Managing Director, Chief Investment Officer, and Portfolio Manager of Thornburg Investment Management, Inc. | None | ||
INDEPENDENT TRUSTEES(1)(2)(4) | ||||
David A. Ater, 70 Trustee since 1994, Member of Audit Committee & Chairman of Governance & Nominating Committee | Principal in Ater & Associates, Santa Fe, NM (developer, planner and broker of residential and commercial real estate); owner, developer and broker for various real estate projects. | None | ||
David D. Chase, 74 Trustee since 2000, Chairman of Audit Committee | Managing Member of CS Group, LLC, Santa Fe, NM (private investment fund – family office). | None | ||
Sally Corning, 54 Trustee since 2012, Member of Audit Committee and Operations Risk Oversight Committee | Partner in Sun Mountain Capital, Santa Fe, NM (private equity and venture capital investment firm). | None | ||
Susan H. Dubin, 66 Trustee since 2004, Member of Audit Committee & Governance and Nominating Committee | President of Dubin Investments, Ltd., Greenwich, CT (private investment fund); Director and officer of various charitable organizations. | None | ||
David L. Gardner, 52(7) Trustee since 2015 | Founder of Santa Fe On Stage, LLC (national music contest sponsor); until 2012, head of EMEA (Europe, Middle East and Africa) Sales for iShares of Blackrock, Inc., EMEA Executive Committee Member and EMEA Operating Committee Member at Blackrock, Inc. | None | ||
Owen D. Van Essen, 61 Trustee since 2004, Member of Governance & Nominating Committee & Chairman of Operations Risk Oversight Committee | President of Dirks, Van Essen & Murray, Santa Fe, NM (newspaper mergers and acquisitions). | None | ||
James W. Weyhrauch, 56 Trustee since 1996, Member of Audit Committee & Operations Risk Oversight Committee | Real estate broker, Santa Fe Properties, Santa Fe, NM; Vice Chairman of Nambe LLC, Santa Fe, NM (manufacturing & design company). | None |
18 Annual Report
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
OFFICERS OF THE FUND (WHO ARE NOT TRUSTEES)(1)(8) | ||||
Jason Brady, 41 Vice President since 2007 Treasurer since 2013(6) | Vice President since 2011, Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Kathleen Brady, 55 Vice President since 2008 | Tax Manager Fund Accounting of Thornburg Investment Management, Inc. | Not applicable | ||
Connor Browne, 36 Vice President since 2006 | Portfolio Manager, Vice President since 2013, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Tim Cunningham, 40 Vice President since 2014 | Managing Director since 2011, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Michael Doorley, 59 Vice President since 2013 | Executive Vice President and Chief Operating Officer since 2013, and Managing Director since 2014 of Thornburg Investment Management, Inc.; Principal, MGD Associates since 2011 (consulting business), Executive Vice President of Fidelity Investments 2008 to 2010. | Not applicable | ||
Randy Dry, 41 Vice President since 2014 | Vice President and Managing Director, and since 2014 Director of Institutional Group, of Thornburg Investment Management, Inc. | Not applicable | ||
Greg Dunn, 39 Vice President since 2014 | Managing Director since 2010, Portfolio Manager since 2012, and Associate Portfolio Manager from 2009–2012 of Thornburg Investment Management, Inc. | Not applicable | ||
Lon Erickson, 40 Vice President since 2008 | Portfolio Manager and Managing Director since 2010 and Associate Portfolio Manager from 2008–2010 of Thornburg Investment Management, Inc. | Not applicable | ||
William V. Fries, 76 Vice President since 1995 | Portfolio Manager, Vice President, and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Thomas Garcia, 44 Vice President since 2006 | Vice President since 2011, Managing Director, Head Equity Trader, and Associate Portfolio Manager of Thornburg Investment Management, Inc. | Not applicable | ||
Joshua Gonze, 52 Vice President since 1999 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Ben Kirby, 35 Vice President since 2014 | Portfolio Manager and Managing Director since 2013, Associate Portfolio Manager from 2011–2013, and Equity Research Analyst from 2008–2011 of Thornburg Investment Management, Inc. | Not applicable | ||
Leigh Moiola, 48 Vice President since 2001 | Vice President, Managing Director, and Director of Marketing of Thornburg Investment Management, Inc. | Not applicable | ||
Christopher Ryon, 59 Vice President since 2008 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Leon Sandersfeld, 49 Vice President since 2003 | Managing Director and Fund Accounting Director of Thornburg Investment Management, Inc. | Not applicable | ||
Vinson Walden, 45 Vice President since 2004 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable | ||
Lei Wang, 44 Vice President since 2006 | Portfolio Manager and Managing Director of Thornburg Investment Management, Inc. | Not applicable |
Annual Report 19
TRUSTEES AND OFFICERS, CONTINUED | ||
Thornburg Capital Management Fund | September 30, 2015 (Unaudited) |
Name, Age, Year Elected Position Held with Fund | Principal Occupation(s) During Past Five Years | Other Directorships Held by Trustee | ||
Sasha Wilcoxon, 41 Vice President since 2003 Secretary since 2007(6) | Managing Director, Director of Mutual Fund Operations, and Vice President of Thornburg Investment Management, Inc. | Not applicable |
(1) | Each person’s address is 2300 North Ridgetop Road, Santa Fe, New Mexico 87506. |
(2) | The Fund is one of twenty separate investment “Funds” or “series” of Thornburg Investment Trust (the “Trust”), which comprises the Thornburg mutual fund complex and is organized as a Massachusetts business trust. Thornburg Investment Management, Inc. is the investment advisor to, and manages, the twenty Funds of the Trust. Each Trustee oversees the twenty Funds of the Trust. |
(3) | Mr. Thornburg is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the sole director and controlling shareholder of Thornburg Investment Management, Inc., the investment advisor to the twenty active Funds of the Trust, and is the sole director and controlling shareholder of Thornburg Securities Corporation, the distributor of shares for the Trust. |
(4) | The Bylaws of the Trust currently require that each Trustee shall retire by the end of the calendar year during which the Trustee reached the age of 75 years. Otherwise each Trustee serves in office until the election and qualification of a successor or until the Trustee sooner dies, resigns, retires or is removed. |
(5) | Mr. McMahon is considered an “interested” Trustee under the Investment Company Act of 1940 because he is the chief executive officer and president of Thornburg Investment Management, Inc. |
(6) | The Trust’s president, secretary, and treasurer each serves a one-year term or until the election and qualification of a successor; each other officer serves at the pleasure of the Trustees. |
(7) | Mr. Gardner became a Trustee of the Trust effective October 1, 2015. |
(8) | Assistant vice presidents, assistant secretaries, and assistant treasurers are not shown. |
The Statement of Additional Information for each Fund of the Trust includes additional information about the Trustees and is available, without charge and upon request, by calling 1-800-847-0200.
20 Annual Report
OTHER INFORMATION | ||
Thornburg Capital Management Fund | September 30, 2015 (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.
No proxy voting information is currently available because the Fund commenced operations on July 31, 2015. The Fund expects to begin making annual proxy voting information available in accordance with applicable regulations commencing on or before August 31, 2016. 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 intends to file with the Securities and Exchange Commission schedules of its portfolio holdings on Form N-Q for the first and third quarters of each fiscal year. Because the Fund commenced investment operations on July 31, 2015, it will file its first Form N-Q for the quarter ending December 31, 2015. 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 upon request by calling 1-800-847-0200.
STATEMENT RESPECTING RENEWAL OF INVESTMENT ADVISORY AGREEMENT
Thornburg Investment Management, Inc. (the “Advisor”) provides investment management services to Thornburg Capital Management Fund pursuant to an investment advisory agreement. The Trustees considered this agreement for renewal for the first time since its initial approval, and determined to renew the agreement on September 15, 2015.
The information below summarizes certain factors considered by the Trustees in connection with the determination to renew the advisory agreement. In determining to renew the agreement, the Trustees did not identify any single factor as controlling, and this summary does not describe all of the factors and other matters considered by the Trustees in making their determination.
Nature, Extent and Quality of Services. Information noted by the Trustees in their evaluation as having been considered included information previously received from the Advisor respecting the Advisor’s proposed selection of investments and execution of the Fund’s investment strategies, and other factors. Portfolio holdings and related information confirmed that the Advisor had managed the Fund in the short period since commencement of investment operations in accordance with the Fund’s prospectus.
Investment Performance. Dividend distribution information appeared consistent with expectations respecting the Fund’s investment performance in view of current market conditions.
Comparisons of Fee and Expense Levels. The Trustees did not consider advisory fee levels because the Advisor does not charge advisory fees to the Fund. Expense information was consistent with expectations.
Costs and Profitability of Advisor. The Trustees did not consider the profitability of the Advisor in reviewing the advisory agreement, because the Advisor does not charge fees under that agreement.
Potential Economies of Scale. The Trustees did not consider any economies of scale potentially available to the Fund in reviewing the advisory agreement, because the Advisor does not receive a fee under that agreement.
Potential Ancillary Benefits. The Trustees did not identify any collateral benefits to the Advisor because of its relationship to the Fund.
Summary of Conclusions. The Trustees concluded that the nature, extent and quality of the Advisor’s services performed under the advisory agreement remained sufficient. The Trustees further concluded that the investment performance of the Fund over the limited period of time considered was satisfactory in the context of the Fund’s objectives and strategies, and that the Advisor has actively and competently pursued the Fund’s stated investment objectives and adhered to the Fund’s investment policies.
The Trustees further concluded that the level of the Fund’s expenses was reasonable.
Annual Report 21
TRUSTEES’ STATEMENT TO SHAREHOLDERS
Revised and Readopted September 15, 2015
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 2015 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, we are conscious of costs and the effect that costs have on shareholders’ returns. 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.
Trustees of Thornburg Investment Trust
22 Annual Report
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Annual Report 23
This communication must be preceded or accompanied by an effective prospectus.
Investment Advisor: | Distributor: | |||
Thornburg Investment Management® | Thornburg Securities Corporation® | |||
800.847.0200 | 800.847.0200 | TH3477 |
Item 2. | Code of Ethics |
Thornburg Investment Trust (the “Trust”) has adopted a code of ethics described in Item 2 of Form N-CSR. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert |
The Trustees of Thornburg Investment Trust have determined that three members of the Trust’s audit committee, David A. Ater, David D. Chase and Sally Corning, are each audit committee financial experts as defined in Item 3 of Form N-CSR. Mr. Ater, Mr. Chase and Ms. Corning are each independent for purposes of Item 3 of Form N-CSR. The Trustees’ determinations in this regard were based upon their current understandings of the definition of “audit committee financial expert” and current interpretations of the definition. The Trustees call attention to the lack of clarity in the definition, and that shareholders and prospective investors may wish to evaluate independently this definition and the qualifications of the Trust’s audit committee. The definition of “audit committee financial expert,” together with comments on the definition, is set forth in the Securities and Exchange Commission’s website (www.sec.gov).
Item 4. | Principal Accountant Fees and Services |
Audit Fees
The aggregate fees billed to Thornburg Investment Trust in each of the last two fiscal years for the audit of the Trust’s financial statements and for services that are normally provided by PricewaterhouseCoopers LLP, registered independent public accounting firm (“PWC”), in connection with statutory and regulatory filings or requirements for those fiscal years are set out below.
Year Ended September 30, 2014 | Year Ended September 30, 2015 | |||||||
Thornburg Investment Trust | $ | 679,000 | $ | 730,000 |
Audit-Related Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for assurance and related services that are reasonably related to the audit or review of the Trust’s financial statements (and that are not reflected in “Audit Fees,” above) are set out below.
Year Ended September 30, 2014 | Year Ended September 30, 2015 | |||||||
Thornburg Investment Trust | $ | 5,000 | $ | -0- |
Tax Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for professional services rendered by PWC for tax compliance, tax advice or tax planning, including amounts paid in connection with filing foreign tax reclaims, are set out below.
Year Ended September 30, 2014 | Year Ended September 30, 2015 | |||||||
Thornburg Investment Trust | $ | 326,304 | $ | 444,068 |
All Other Fees
The fees billed to Thornburg Investment Trust by PWC in each of the last two fiscal years for all other services rendered by PWC to the Trust are set out below.
Year Ended September 30, 2014 | Year Ended September 30, 2015 | |||||||
Thornburg Investment Trust | $ | 7,902 | $ | 8,245 |
The figure shown under All Other Fees for the year ended September 30, 2014 includes amounts from out of pocket expenses during the 2013 annual audit. The figure shown under All Other Fees for the year ended September 30, 2015 includes amounts from out of pocket expenses during the 2014 annual audit.
PWC performs no services for the investment advisor, the Funds’ principal underwriter or any other person controlling, controlled by, or under common control with the investment advisor which provides ongoing services to the Funds.
Audit Committee Pre-Approval Policies and Procedures
As of September 30, 2015, the Trust’s Audit Committee has not adopted pre-approval policies and procedures.
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 fourth 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) | Code of Business Conduct and Ethics. | |
(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: Low Duration Municipal Fund, Limited Term Municipal Fund, California Limited Term Municipal Fund, Intermediate Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Low Duration Income Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Value Fund, International Value Fund, Core Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, International Growth Fund, Strategic Income Fund, Strategic Municipal Income Fund, Developing World Fund, and Capital Management Fund.
By: | /s/ Brian J. McMahon | |
Brian J. McMahon | ||
President and principal executive officer | ||
Date: | November 25, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian J. McMahon | |
Brian J. McMahon | ||
President and principal executive officer | ||
Date: | November 25, 2015 |
By: | /s/ Jason H. Brady | |
Jason H. Brady | ||
Treasurer and principal financial officer | ||
Date: | November 25, 2015 |