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
Date of reporting period: March 31, 2021
Item 1. Reports to Stockholders
The following Semi-annual reports are attached hereto, in order:
Thornburg Short 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 Ultra Short Income Fund
Thornburg Strategic Income Fund
Thornburg Small/Mid Cap Core Fund
Thornburg International Equity Fund
Thornburg Small/Mid Cap Growth Fund
Thornburg International Growth Fund
Thornburg Investment Income Builder Fund
Thornburg Global Opportunities Fund
Thornburg Developing World Fund
Thornburg Better World International Fund
Thornburg Capital Management Fund
Thornburg Long/Short Equity Fund
Thornburg Summit Fund
Semi-Annual Report
March 31, 2021
| THORNBURG EQUITY FUNDS |
| Multi Asset |
| Thornburg Investment Income Builder Fund |
| Thornburg Summit Fund |
| Global Equity |
| Thornburg Global Opportunities Fund |
| International Equity |
| Thornburg International Equity Fund (Thornburg International Value Fund) |
| Thornburg Better World International Fund |
| Thornburg International Growth Fund |
| Thornburg Developing World Fund |
| Domestic Equity |
| Thornburg Small/Mid Cap Core Fund (Thornburg Value Fund) |
| Thornburg Small/Mid Cap Growth Fund (Thornburg Core Growth Fund) |
| Alternatives |
| Thornburg Long/Short Equity Fund |
At Thornburg, we believe unconstrained investing leads to better outcomes for our clients. Our investment solutions are highly active, high conviction, and benchmark agnostic. When it comes to finding economic opportunity for clients, it’s more than what we do.
It’s how we do it. Active As bottom-up, fundamental, active managers, we look beyond conventional benchmarks. Long Term We take a long-term view in how we manage our firm and our portfolios. Benchmark Agnostic Investment strategies should have the flexibility to pursue solutions for clients, not stay within the conventional confines of benchmarks. Flexible Perspective Our approach to portfolio construction is guided by our convictions rather than convention. High Conviction We focus our attention and capital on thoroughly researched, well-understood positions. The best form of risk management is to know what you own, and why. Repeatable & Robust Our long-term outperformance of benchmarks verifies that our process works and outperforms conventional thinking. Independent We are independently owned and far from the herd of other investment managers. Investment Driven All members of the investment team are resources for all of our strategies. Collaborative Our team collaborates on opportunities across geography, sector, or asset class.
Thornburg Equity Funds
Semi-Annual Reports | March 31, 2021
Table of Contents
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. A short position will lose value as the security’s price increases. Theoretically, the loss on a short sale can be unlimited. 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 Funds’ prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds are not FDIC insured, nor are they deposits of or guaranteed by a bank or any other entity.
Thornburg Equity Funds Semi-Annual Report | 3
Letter to Shareholders
March 31, 2021 (Unaudited)
Dear Shareholder:
Given the opportunity to write to you about how our portfolios are delivering in the context of continued volatile and fascinating global markets, there is a great temptation to look backwards and reflect on the past year. Given that these letters are semi-annual, the last two occasions have been more fraught, being in the throes of the early and uncertain stages of the global pandemic, and then moving into a contentious presidential election here in the U.S. This moment in time has a brighter tone, and the ongoing vaccination drive is clearly bearing fruit.
But rather than simply detail what has occurred, it seems more worthwhile to connect that past experience with future possibilities, both good and bad. If 2020’s story was a significant disconnect between the reality that many individuals endured and the ultimately strong upwards movement of risk assets, it seems equally possible that disconnect could endure, but in the opposite direction. While we expect further economic recovery in the moment, markets, as always, are working to price the future. It is worth noting that the plaudits for saving the world from economic catastrophe are going to many of the policymakers that ordered up stimulus and easy monetary policy. It’s also important to note that the cost of U.S. stimulus thus far is about in line, inflation-adjusted, with the cost to the U.S. of fighting World War II. It’s also important to keep the perspective that the virus-induced crash was truly horrific, and the vaccine-induced bounce may be equally euphoric, but neither experience has policy at its core. As we look at the rest of 2021 and beyond, we will be in truly uncharted territory. We here at Thornburg remain skeptical of simple historical comparisons.
Prices in the global marketplace are generally high, perhaps especially in credit and global rates. At the same time, despite the unusually quick economic recovery occasioned by miraculous work around vaccines, our economic mandarins remain steadfast in providing stimulus. Their apparent goal is to pull forward growth from the future into the present, to further the recovery. In addition, they wish to produce inflation so as to escape a deflationary spiral that looms large over the global economy due to a combination of high debt, aging demographics, and slowing productivity. Whether this stew of conditions produces a positive result in the future is unknowable, but what is as clear as ever is that the road is likely to be very bumpy. It is a road that will not likely be smoothed by further infrastructure spending.
At Thornburg, while the past has served as a wonderful proof point for the value of our global perspective and flexible approach, we are focused on continuing to invest for future results in your portfolios. Combined with our focus on breaking down silos within the investment universe, we are designed to see the world with better perspective. Many firms have good products, but we believe that our firm’s approach is our differentiator: we evaluate individual opportunities for each portfolio with a clear understanding of the bigger picture of what you need from us. This is what underlies the excellent long-term outcomes we’ve been able to achieve. It is our understanding of and participation in the interconnectedness of markets that is our core competency: we’re built to deliver on the promise of active management.
Thank you so much for your time and your business.
| |
Jason Brady, cfa
Portfolio Manager
CEO, President, and
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
4 | Thornburg Equity Funds Semi-Annual Report
Letter to Shareholders, Continued
March 31, 2021 (Unaudited)
Thornburg Investment Income Builder Fund |
March 31, 2021 (Unaudited)
Dear Fellow Shareholder:
This letter discusses the results of the Fund’s investment portfolio for the six-month period ended March 31, 2021. The Fund’s fiscal year ends on September 30.
Thornburg Investment Income Builder Fund paid ordinary dividends of $0.54 per Class I share in six-month period ended March 31, 2021. This was approximately 3.9% above the $0.52 per share dividend paid in the prior comparable semiannual period ending March 31, 2020. Dividend amounts for other classes of Fund shares varied based on class-specific expenses.
The net asset value of the Class I shares increased by $4.33 per share ($18.84 to $23.17) over the six-month period. The Fund’s Class I share total return of 26.01% for the semi-annual period exceeded its blended benchmark (75% MSCI World Index and 25% Bloomberg Barclays U.S. Aggregate Bond Index), which returned 13.75% for the period. For the 12 months ending March 31, 2021, the Fund’s Class I share return of 46.06% exceeded the blended benchmark return of 38.96%. Performance comparisons of the Fund to its blended benchmark over various periods are shown elsewhere in this report.
The Fund has recovered all of the $6.46 share price decline that occurred from February 14, 2020 to March 31, 2020, as the COVID-19 pandemic gained momentum globally and set off a chain reaction of selling across a range of financial assets early last year.
The quarter ending March 31, 2021 was the 73rd full calendar quarter since the inception of the Fund in December 2002. In 55 of these quarters the Fund delivered a positive total return. The Fund has delivered positive total returns in 14 of its 18 calendar years of existence. Importantly, the Fund has delivered an average annualized total return of more than 9% since its inception, split between quarterly income distributions and share price appreciation.
Despite share price recoveries for many of the Fund’s equity investments in recent quarters, share prices of 12 of the 25 largest equity positions in the Fund remain below their first quarter 2020 highs as of March 31, 2021. We believe these 12 firms have constructive forward business prospects. We believe the Fund is a bargain-priced portfolio of income-producing assets.
Listed below in descending order are the 25 largest equity holdings in the Fund at quarter end, along with their 2020 calendar year and March 2021 quarter share price changes. Also noted are dividend yields at closing March 31, 2021 stock prices. Together, these 25 firms comprised 67% of the Fund’s total assets as of March 31, 2021. Cash & interest-bearing debt and three preferred stocks comprised around 17% of Fund assets and 23 other common equities comprised a total of approximately 15% of fund assets. Individual position sizes range from 4.8%
(Taiwan Semiconductor) to approximately 1.3% for those shown near the bottom of the list.
Thornburg Equity Funds Semi-Annual Report | 5
Letter to Shareholders, Continued
March 31, 2021 (Unaudited)
These are not trivial businesses. These firms occupy important positions in their respective markets and they tend to be well capitalized.
The reader will notice a significant number of telecommunications, communications infrastructure, financial, and health care firms among these top 25 holdings, as well as other providers of various ingredients important to modern life. Aside from the fact that they have paid attractive dividends, the COVID-19 crisis reinforces the essential nature of the products and services they provide.
The 23 equity investments shown below comprised approximately 15% of the Fund’s total net assets as of March 31, 2021. These are shown by weighting, top to bottom and left to right. Some of these are non-cyclical businesses (electric utilities Electricite de France and E.ON, or telecommunications network operator China Telecom). Others are cyclical businesses that have paid attractive dividends in recent years (investment managers M&G and UBS), non-bank financials that traded to
significant discounts to their net asset values in 2020 (Chimera Investment, SLR Investment), industrial materials producers that should benefit from any 2021 economic recovery (LyondellBasell, Norilsk Nickel) or industrial conglomerate Siemens. In general, share prices of the cyclical businesses in the Fund declined more than the entire portfolio during calendar 2020, but have recovered to varying degrees in 2021 through March 31.
We have increased the Fund’s exposure to dividend paying firms that we believe have resilient businesses with strong capital structures. We have reduced or eliminated exposures to less resilient businesses. Compare the sector allocations of the equities in the Fund from March 31, 2020 to March 31, 2021:
All 11 sectors of the MSCI World Net Total Return USD Index delivered positive returns for the semi-annual period, ranging from more than 50% for the energy sector to just over 5% for the consumer staples sector. The MSCI World Net Total Return
6 | Thornburg Equity Funds Semi-Annual Report
Letter to Shareholders, Continued
March 31, 2021 (Unaudited)
USD Index comprises 75%, and the entire equity portion, of the Fund’s global performance benchmark. In the Fund’s portfolio, 32 equity investments contributed positive returns of at least 0.25% to overall portfolio performance during the period under review. (The most positive contributors included Taiwan Semiconductor, Samsung Electronics, Vodafone Group, Equitable Holdings, JPMorgan Chase, Regions Financial, Orange SA, Total, Walgreen’s Boots Alliance, UBS Group and Broadcom). None of the Fund’s equity investments detracted more than -0.25% from overall portfolio performance, though three global pharmaceutical firms made small negative contributions.
The Fund’s bond holdings delivered positive returns during the six months ended March 31, 2021 despite generally rising U.S. interest rates. This reflects solid credit performance from these investments. U.S. government bond prices declined, as 10-year U.S. Treasury yields increased from 0.68% at September 30, 2020 to 1.74% at March 31, 2021. Corporate and asset-backed bond prices in many cases increased, overcoming much of the headwind of higher U.S. Treasury rates with tighter yield spreads. The Bloomberg Barclays U.S. Corporate High Yield Index declined from a 5.77% yield at September 30, 2020 to 4.23% at March 31, 2021, despite a heavy supply of new financings. Investor appetite for interest income from lower rated borrowers fully offset the new supply of these securities and the higher rates on government bonds.
We are optimistic about the future return potential of the Thornburg Investment Income Builder Fund. Why? When the COVID-19 pandemic passes, we believe people around the world will continue to buy goods and services and trade with each other. The global economy will likely gradually repair, albeit with important differences. Virtually all the businesses in your portfolio currently retain their market positions providing important products and services that generate cash flows to pay attractive dividends. If high-quality bond yields, bank deposit yields and money market yields remain at low levels in line with the guidance of major global central banks, we believe investors will likely direct capital into dividend paying stocks and certain bonds, supporting prices of these.
Thornburg Equity Funds Semi-Annual Report | 7
Letter to Shareholders, Continued
March 31, 2021 (Unaudited)
Thornburg Global Opportunities Fund |
March 31, 2021 (Unaudited)
Dear Fellow Shareholder:
This letter discusses the results of the Thornburg Global Opportunities Fund for the six-month period ended March 31, 2021. The Fund’s fiscal year ends on September 30.
The net asset value of the Class I shares increased by $6.25 per share ($31.81 to $38.06) during the semiannual period under review. In addition, the Fund paid $2.39/share of dividends (Class I shares), bringing the total return for the six month period to 28.35%, a positive advantage of 8.42% vis-a-vis its benchmark index (MSCI All Country World Net Total Return USD Index), which returned 19.93% for the period. Dividend amounts for other classes of Fund shares varied based on class-specific expenses.
For the trailing 12-month period ending March 31, 2021, the Fund’s Class I share return of 74.18% exceeded the 54.60% return of the MSCI All Country World Index by 19.58%. From its inception on July 28, 2006 through March 31, 2021, the Fund has outpaced the ACWI by an average margin of over 3.4% per year, resulting in a total cumulative return since inception of 342% (Class I shares) versus 177% for the ACWI index. Performance comparisons of the Fund to its blended benchmark over various periods are shown elsewhere in this report.
Most equities in the Fund recovered strongly in the last 12 months from their March 2020 price troughs. Listed below in descending order are the 20 largest equity holdings in the Fund as of March 31, 2021, along with full year 2020 returns and first quarter 2021 returns [the latter in parentheses]. We also show the trailing five-year average annual revenue growth rates for these businesses through year end 2020, or the latest reported fiscal year end. Together, these firms comprise approximately 77% of the Fund’s total assets, near-cash debt comprises 4% of assets, and 11 other equities comprise a total of approximately 19% of Fund assets. Individual position sizes of the Fund’s top 20 positions range from 5% or more (Capital One, Samsung Electronics, NN Group, Alphabet) to approximately 2.7% for those shown near the bottom of this list.
The Fund’s businesses whose share price performances lagged the overall market in 2020 performed best in first quarter 2021. All seven of the 20 largest investments listed below that delivered negative returns in calendar 2020 turned around to deliver positive returns in the March 2021 quarter. The reader will notice a high incidence of investments in firms tied to the digital economy and to tools to facilitate digital communications.
Thornburg Global Opportunities Fund – Top 20 Equity Holdings as of March 31, 2021
(Together, these 20 investments accounted for approximately 77% of Fund assets as of March 31, 2021; near cash interest bearing debt accounted for 4% of assets, and 11 other equity investments accounted for 19% of Fund assets).
8 | Thornburg Equity Funds Semi-Annual Report
Letter to Shareholders, Continued
March 31, 2021 (Unaudited)
These are not trivial businesses. They tend to be well capitalized. We believe these businesses will likely emerge from the present economic valley with their competitive positions intact or improved. Most have been growing faster than the global economy in recent years as the trailing annual revenue growth rates indicate. Some of the slower growers over recent years appear to be advantaged in their industries at this time.
The following table summarizes major sector weightings within the Fund’s portfolio as of March 31, 2021 and six months earlier. The reader will notice an increase in portfolio exposure to more cyclical financials, materials and energy sector firms funded in part by decreased exposure to health care and industrial sector firms, the latter decrease largely resulting from taking profits in Vestas Wind Systems. The Fund’s increased exposure to financial firms year-on-year reflects bargain hunting in an unloved sector that has delivered more resilient results than it is being given credit for.
During the six-month period under review, 25 of the Fund’s equity investments contributed at least 0.25% to overall portfolio performance. Only two of the Fund’s equity investments (Alibaba and Reliance Industries) detracted at least negative 0.25% from portfolio performance. The top contributors to portfolio performance for the semiannual period included U.S. banks Capital One Financial and Citigroup, Samsung Electronics, Charles Schwab Corporation, U.K. homebuilder Barratt Developments, semiconductor supplier Qorvo, Google’s
holding company Alphabet, Vestas Wind Systems, European insurer NN Group and the Australian mine operator Mineral Resources.
We believe the extreme dislocation caused by the COVID-19 pandemic will likely be temporary. As we write these words many countries, including parts of the United States, remain under restrictive orders that reduce normal economic activity. These restrictions are being reduced in the United States, tightened in some other countries. When the COVID-19 pandemic passes, we believe people around the world will likely continue to buy goods and services and trade with each other, though there will be certain differences from prior norms. The global economy will likely gradually repair, albeit with important differences. In the meantime, we anticipate most governments will make reasonable attempts to bridge the material dislocations we currently witness.
Our Investment Framework
Thornburg Global Opportunities Fund seeks capital appreciation from a portfolio of global equity investments. We believe the structure of the fund—built on our core investment principles of flexibility, focus and value—provides a durable framework for value-added investing.
We urge shareholders of the Fund to maintain a long-term investment perspective rather than placing too much emphasis on return figures that are available daily, weekly, monthly and quarterly. Clear examples of the need to keep a longer-term investment perspective are illustrated by comparing the trailing 12-month return of the Fund (Class I shares) as of March 31, 2021 [+74.18%] with the returns from the single quarter ending last March 31, 2020 [-24.78%]. In general, the businesses in the Fund have managed well through the COVID-19 impacted quarters despite the initial impact of the pandemic on their share prices. We continue to follow our core investment principles of flexibility, focus and value, as we have since the Fund’s inception back in 2006.
Thank you for being a shareholder of Thornburg Global Opportunities Fund. Remember that you can monitor the Fund’s holdings and other portfolio information on our website, www.thornburg.com.
Sincerely,
| 
|
Brian McMahon
Portfolio Manager
Chief Investment Strategist
and Managing Director | Miguel Oleaga
Portfolio Manager
and Managing Director |
Thornburg Equity Funds Semi-Annual Report | 9
Thornburg Investment Income Builder Fund
Investment Goal and Fund Overview
The Investment Income Builder 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 pursues its investment goals by investing in a broad range of income producing securities, primarily stocks and bonds. Equity investments normally will be weighted in favor of companies which pay dividends. The Fund may invest in securities of issuers domiciled in or economically tied to countries outside the United States, including developing countries. Investment decisions are based on domestic and international economic developments, outlooks for securities markets, interest rates and inflation, the supply and demand for debt and equity securities, and analysis of specific issuers.
See letter beginning on page 5 of this report for a discussion of factors affecting the Fund’s performance for the reporting period ended March 31, 2021.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG INVESTMENT INCOME BUILDER FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG INVESTMENT INCOME BUILDER FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/24/02) | | | | | |
| Without sales charge | 45.76% | 7.46% | 8.43% | 6.53% | 9.08% |
| With sales charge | 39.17% | 5.82% | 7.43% | 6.04% | 8.81% |
| Class C Shares (Incep: 12/24/02) | | | | | |
| Without sales charge | 44.74% | 6.66% | 7.63% | 5.76% | 8.39% |
| With sales charge | 43.74% | 6.66% | 7.63% | 5.76% | 8.39% |
| Class I Shares (Incep: 11/3/03) | 46.06% | 7.72% | 8.73% | 6.85% | 8.55% |
| Class R3 Shares (Incep: 2/1/05) | 45.17% | 7.08% | 8.07% | 6.18% | 7.14% |
| Class R4 Shares (Incep: 2/1/08) | 45.38% | 7.17% | 8.15% | 6.30% | 5.65% |
| Class R5 Shares (Incep: 2/1/07) | 45.94% | 7.61% | 8.61% | 6.72% | 6.34% |
| Class R6 Shares (Incep: 4/10/17) | 46.19% | 7.81% | - | - | 8.10% |
| MSCI World Net Total Return USD Index (Since 12/24/02) | 54.03% | 12.81% | 13.36% | 9.88% | 9.26% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s 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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.22%; C shares, 1.95%; I shares, 0.98%; R3 shares, 1.56%; R4 shares, 1.58%; R5 shares, 1.12%; R6 shares, 0.91%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: R4 shares, 1.47%; R5 shares, 1.06%; R6 shares, 0.87%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
30-day SEC Yield as of 3/31/21 (Class A Shares) : 2.55%
10 | Thornburg Equity Funds Semi-Annual Report
Investment Goal and Fund Overview
The Summit Fund seeks to grow real wealth over time. “Real wealth” for this purpose is a mix of capital appreciation and current income that is intended to exceed the rate of inflation. Under normal conditions the Fund’s investments are expected to emphasize long positions in equity securities and fixed income obligations, though the Fund may also invest a significant amount of its assets in short positions in equity securities and fixed income obligations, in commodities-related investments, in derivative instruments, in currencies, and in cash or cash equivalents.
There are no specific percentage limitations on the amount of the Fund’s portfolio that may be invested in a particular asset class, and the proportions of the Fund’s assets that are invested in the respective asset classes are expected to vary over time and from time to time depending upon Thornburg’s perceptions of which types of investments represent better values and opportunities to achieve the Fund’s investment goal.
Performance drivers and detractors for the reporting period ending March 31, 2021
» Selection effect in both equities and fixed income contributed positively to relative outperformance during the trailing six-month period ending March 31, 2021. The Fund’s allocation to commodities and cash was modestly detractive.
» Within equities, stock selection from communication services and consumer discretionary were especially additive to relative performance.
» The Fund’s underweight allocation to financials and utilities detracted from relative performance.
» Exposure to asset-backed securities and collateralized mortgage obligations contributed positively to relative performance during the trailing six-month period.
» The Fund’s overweight exposure to U.S. treasuries detracted from relative results.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG SUMMIT FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG SUMMIT FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class I Shares (Incep: 3/1/19) | 48.43% | - | - | - | 20.64% |
| 60% MSCI ACWI Net / 40% Bloomberg Barclays Global (Since 3/1/19) | 32.72% | - | - | - | 12.39% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s 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%. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.72%; I shares, 1.47%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.40%; I shares, 1.15%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Thornburg Equity Funds Semi-Annual Report | 11
Thornburg Global Opportunities Fund
Investment Goal and Fund Overview
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world.
A flexible mandate allows the Fund to pursue long-term performance using a broad approach to geography and market capitalization. The Fund invests primarily in a broad range of equity securities, including common stocks, preferred stocks and publicly traded real estate investment trusts, including smaller companies with market capitalizations less than $500 million. The Fund may also invest in debt obligations of any kind, including corporate bonds, government obligations and other obligations. Investment decisions are based on domestic and international economic developments, outlooks for securities markets, interest rates and inflation, the supply and demand for debt and equity securities, and analysis of specific issuers.
See letter beginning on page 8 of this report for a discussion of factors affecting the Fund’s performance for the reporting period ended March 31, 2021.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG GLOBAL OPPORTUNITIES FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG GLOBAL OPPORTUNITIES FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 7/28/06) | | | | | |
| Without sales charge | 73.68% | 11.96% | 11.33% | 10.46% | 10.21% |
| With sales charge | 65.88% | 10.25% | 10.31% | 9.96% | 9.87% |
| Class C Shares (Incep: 7/28/06) | | | | | |
| Without sales charge | 72.43% | 11.13% | 10.51% | 9.63% | 9.37% |
| With sales charge | 71.43% | 11.13% | 10.51% | 9.63% | 9.37% |
| Class I Shares (Incep: 7/28/06) | 74.18% | 12.29% | 11.68% | 10.87% | 10.67% |
| Class R3 Shares (Incep: 2/1/08) | 73.34% | 11.73% | 11.12% | 10.31% | 7.62% |
| Class R4 Shares (Incep: 2/1/08) | 73.48% | 11.84% | 11.22% | 10.42% | 7.72% |
| Class R5 Shares (Incep: 2/1/08) | 74.21% | 12.29% | 11.67% | 10.87% | 8.18% |
| Class R6 Shares (Incep: 4/10/17) | 74.40% | 12.44% | - | - | 11.16% |
| MSCI AC World Net Total Return USD Index (Since 7/28/06) | 54.60% | 12.07% | 13.21% | 9.14% | 7.20% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.32%; C shares, 2.06%; I shares, 1.08%; R3 shares, 2.00%; R4 shares, 1.62%; R5 shares, 1.28%; R6 shares, 1.03%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, 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, 0.85%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
12 | Thornburg Equity Funds Semi-Annual Report
Thornburg International Equity Fund
Investment Goal and Fund Overview
The International Equity Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. The secondary, nonfundamental goal of the Fund is to seek some current income. The Fund invests in foreign common stocks selected on a value basis using fundamental research. The portfolio is diversified to include basic value stocks, but also includes stocks of companies with consistent earnings characteristics and those of emerging franchises, when these issues are value priced.
Performance drivers and detractors for the reporting period ending March 31, 2021
» For the six-month period ended March 31, 2021, the Fund (Class I shares) returned 19.93% compared to a return of 21.10% for the MSCI AC World ex-USA Net Total Return USD Index and 20.08% for the MSCI EAFE Net Total Return USD Index.
» The Fund trailed its benchmark indices in the fourth quarter of 2020 as markets performed strongly on the news of effective vaccines for COVID-19 and a number of sectors, countries and companies which had lagged over the first three quarters of the year outperformed. The Fund outperformed its benchmarks in the first quarter of 2021, but not enough to offset earlier underperformance.
» Most of the Fund’s underperformance over the period was caused by negative currency effects, primarily due to underweights in the U.K., Canada, Australia and South Africa and overweights in the eurozone, Switzerland and international companies domiciled in the U.S.
» Sector and country allocation were both positive for performance. An underweight in health care was positive, while an underweight in financials was negative. An overweight in the eurozone, an underweight in the U.K. and holdings in international companies domiciled in the U.S. were positives, while overweights in China and Switzerland were negatives.
» Stock selection was also positive and was strongest in financials and consumer staples and most negative in materials and information technology.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG INTERNATIONAL EQUITY FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG INTERNATIONAL EQUITY FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 5/28/98) | | | | | |
| Without sales charge | 58.39% | 10.34% | 10.74% | 5.84% | 8.01% |
| With sales charge | 51.29% | 8.65% | 9.72% | 5.35% | 7.79% |
| Class C Shares (Incep: 5/28/98) | | | | | |
| Without sales charge | 57.27% | 9.53% | 9.93% | 5.06% | 7.17% |
| With sales charge | 56.27% | 9.53% | 9.93% | 5.06% | 7.17% |
| Class I Shares (Incep: 3/30/01) | 58.88% | 10.67% | 11.11% | 6.22% | 7.94% |
| Class R3 Shares (Incep: 7/1/03) | 58.08% | 10.12% | 10.54% | 5.65% | 8.78% |
| Class R4 Shares (Incep: 2/1/07) | 58.35% | 10.33% | 10.76% | 5.85% | 5.10% |
| Class R5 Shares (Incep: 2/1/05) | 58.74% | 10.61% | 11.05% | 6.13% | 7.52% |
| Class R6 Shares (Incep: 5/1/12) | 59.11% | 10.83% | 11.27% | - | 8.10% |
| MSCI EAFE Net Total Return USD Index (Since 5/28/98) | 44.57% | 6.02% | 8.85% | 5.52% | 4.65% |
| MSCI AC World ex USA Net Total Return USD Index (Since 5/28/98) | 49.41% | 6.51% | 9.76% | 4.93% | 5.21% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.26%; C shares, 1.94%; I shares, 0.93%; R3 shares, 1.58%; R4 shares, 1.32%; R5 shares, 1.02%; R6 shares, 0.90%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, 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.
Thornburg Equity Funds Semi-Annual Report | 13
Thornburg Better World International Fund
Investment Goal and Fund Overview
The Better World International Fund seeks long-term capital appreciation. The Fund invests primarily in a broad range of companies that demonstrate one or more positive environmental, social and governance (ESG) characteristics that the investment manager identifies as significant. The Fund targets companies of any size or country of origin, and which are high-quality, attractively valued and, in our view, making, or will make, a positive impact on the world.
Performance drivers and detractors for the reporting period ending March 31, 2021
» For the six-month period ended March 31, 2021, the Fund (Class I shares) returned 24.72% compared to a return of 21.10% for the MSCI AC World ex-USA Net Total Return USD Index.
» The Fund trailed its benchmark in the fourth quarter of 2020 as markets performed strongly on the news of effective vaccines for COVID-19 and as a number of sectors, countries and companies which had lagged over the first three quarters of the year outperformed. The Fund outperformed its benchmark strongly in the first quarter of 2021, however, led by favorable bottom-up stock selection.
» Most of the Fund’s outperformance over the period was due to strong stock selection, in particular our participation in initial public offerings ("IPOs") of three international companies in the first quarter of 2021, all of which performed favorably.
» Sector and country allocation detracted during the period, with the portfolio’s allocation to cash and underweights in financials, energy, Taiwan, Korea and Japan the biggest negatives.
» Currency effect was negative, driven by underweights in Canada, Australia, South Africa, the U.K. and Korea.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG BETTER WORLD INTERNATIONAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
THORNBURG BETTER WORLD
INTERNATIONAL FUND | 1-YR | 3-YR | 5-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 10/1/15) | | | | |
| Without sales charge | 70.58% | 13.96% | 13.56% | 13.12% |
| With sales charge | 62.88% | 12.23% | 12.51% | 12.19% |
| Class C Shares (Incep: 10/1/15) | | | | |
| Without sales charge | 69.49% | 13.30% | 12.92% | 12.48% |
| With sales charge | 68.49% | 13.30% | 12.92% | 12.48% |
| Class I Shares (Incep: 10/1/15) | 71.78% | 14.75% | 14.40% | 13.96% |
| MSCI AC World ex USA Net Total Return USD Index (Since 9/30/15) | 49.41% | 6.51% | 9.76% | 9.39% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.94%; C shares, 3.31%; I shares, 1.33%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.83%; C shares, 2.38%; I shares, 1.09%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
14 | Thornburg Equity Funds Semi-Annual Report
Thornburg International Growth Fund
Investment Goal and Fund Overview
The International Growth Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential.
The Fund invests in a selection of quality growth stocks, from issuers around the world, that management believes will have growing revenues and earnings. The Fund can invest in companies of any size, from large, well-established firms to small, emerging growth franchises. Management uses traditional fundamental research to evaluate securities and make buy/sell decisions.
Performance drivers and detractors for the reporting period ending March 31, 2021
» Stock selection was the primary driver of performance over the past six months, not allocation impacts from sectors or regions.
» Currency had a neutral impact on relative performance due to a weakening dollar against the pound and underexposure to the Japanese yen during the time period.
» Positions in Sweden and Canada were the primary positive contributors for the period, while positions in China, Japan and France detracted from relative performance.
» An overweight position to information technology and an underweight position to consumer staples helped drive performance from a sector perspective.
» Significant detracting sectors for the period were communication services, industrials and financials. The underperformance stemmed from an under-allocation to cyclicals and stock selection within communication services.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG INTERNATIONAL GROWTH FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG INTERNATIONAL GROWTH FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 2/1/07) | | | | | |
| Without sales charge | 51.86% | 9.92% | 12.29% | 9.56% | 8.43% |
| With sales charge | 45.02% | 8.24% | 11.26% | 9.05% | 8.08% |
| Class C Shares (Incep: 2/1/07) | | | | | |
| Without sales charge | 50.69% | 9.07% | 11.44% | 8.72% | 7.65% |
| With sales charge | 49.69% | 9.07% | 11.44% | 8.72% | 7.65% |
| Class I Shares (Incep: 2/1/07) | 52.34% | 10.26% | 12.68% | 9.99% | 8.93% |
| Class R3 Shares (Incep: 2/1/08) | 51.53% | 9.70% | 12.11% | 9.43% | 7.56% |
| Class R4 Shares (Incep: 2/1/08) | 51.75% | 9.81% | 12.22% | 9.56% | 7.68% |
| Class R5 Shares (Incep: 2/1/08) | 52.33% | 10.26% | 12.68% | 9.99% | 8.11% |
| Class R6 Shares (Incep: 2/1/13) | 52.50% | 10.36% | 12.80% | - | 9.92% |
| MSCI AC World ex USA Growth Net Total Return USD Index (Since 2/1/07) | 49.36% | 10.31% | 12.03% | 6.69% | 5.04% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.31%; C shares, 2.07%; I shares, 1.02%; R3 shares, 2.03%; R4 shares, 1.45%; R5 shares, 1.31%; R6 shares, 0.99%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, 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.
Thornburg Equity Funds Semi-Annual Report | 15
Thornburg Developing World Fund
Investment Goal and Fund Overview
The Developing World Fund’s primary investment goal is long-term capital appreciation. 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 portfolio is diversified to include basic value stocks, companies with consistent earnings, and emerging franchises.
Performance drivers and detractors for the reporting period ending March 31, 2021
» For the trailing six-month period ending March 31, 2021, more than 100% of the Fund’s outperformance on a sector basis was attributable to stock selection, with sector and currency allocation decisions modestly detractive.
» Stock selection within industrials, information technology and consumer staples were especially additive to relative performance.
» Stock selection within consumer discretionary and energy detracted from relative performance, as the Fund’s overweighting to Alibaba Group during 4Q 2020 was a drag on relative results.
» On a geographic basis, the Fund’s outperformance was driven by a combination of strong stock selection and country allocation, with currency detracting from relative performance.
» Stock selection in China and India were especially additive to the Fund’s relative performance, while stock selection in Latin America and currency impact of underweight positioning in Europe, the Middle East, and Africa ("EMEA") was detractive.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG DEVELOPING WORLD FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG DEVELOPING WORLD FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/16/09) | | | | | |
| Without sales charge | 65.54% | 11.08% | 12.84% | 6.30% | 8.22% |
| With sales charge | 58.04% | 9.39% | 11.81% | 5.81% | 7.78% |
| Class C Shares (Incep: 12/16/09) | | | | | |
| Without sales charge | 64.25% | 10.24% | 11.97% | 5.50% | 7.44% |
| With sales charge | 63.25% | 10.24% | 11.97% | 5.50% | 7.44% |
| Class I Shares (Incep: 12/16/09) | 66.10% | 11.50% | 13.27% | 6.77% | 8.72% |
| Class R5 Shares (Incep: 2/1/13) | 66.16% | 11.51% | 13.27% | - | 7.03% |
| Class R6 Shares (Incep: 2/1/13) | 66.31% | 11.60% | 13.38% | - | 7.13% |
| MSCI Emerging Markets Net Total Return USD Index (Since 12/16/09) | 58.39% | 6.48% | 12.07% | 3.65% | 5.17% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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, R5 and R6 shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.48%; C shares, 2.23%; I shares, 1.18%; R5 shares, 1.89%; R6 shares, 1.15%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: I shares, 1.09%; R5 shares, 1.09%; R6 shares, 0.99%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
16 | Thornburg Equity Funds Semi-Annual Report
Thornburg Small/Mid Cap Core Fund
Investment Goal and Fund Overview
The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types. The secondary, non-fundamental goal of the Fund is to seek some current income. Under normal conditions, the Fund invests at least 80% of its net assets in small- and mid-capitalization companies.
With its core approach to stock selection, the Fund seeks to invest in a broadly diversified portfolio of companies the Fund categorizes as basic values, consistent earners, and emerging franchises, as described in more detail in the Fund Prospectus. The relative proportions of securities invested in each of those categories will vary over time.
Performance drivers and detractors for the reporting period ending March 31, 2021
Note: During the reporting period the Fund underwent a formal name and benchmark index change. Prior to 12/18/20 the Fund name was Thornburg Value Fund and the benchmark was the S&P 500 Total Return Index.
09/30/2020 to 12/18/2020 (Benchmark S&P 500 Total Return Index)
» Through December 18, 2020, the Fund outperformed the listed benchmark, the S&P 500 Total Return Index, primarily due to stock selection.
» A relative overweight and stock selection within the top-performing financials sector boosted performance during the period as did stock selection within the information technology sector. Holdings in consumer discretionary and communications services detracted from performance.
» An overallocation to small- and mid-cap stocks contributed to performance during the period as small- and mid-caps, broadly, outperformed large-cap stocks.
12/18/2020 to 03/31/2021 (Benchmark Russell 2500 Total Return Index)
» The Fund underperformed the listed benchmark, the Russell 2500 Total Return Index, primarily due to stock selection. Market capitalization and sector allocation decisions did not have a material impact on performance during the period.
» Fund holdings in the financials, health care and energy sectors were positive contributors. The positive relative impact was not enough to overcome the performance detraction from industrials, consumer discretionary and information technology.
» Returns of small-cap companies slightly outpaced returns from mid- and large-cap companies within the benchmark. Stock selection within the mid-cap segment, which makes up the majority of the index and portfolio, was the primary drag on performance, followed by small-cap stock selection.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG SMALL/MID CAP CORE FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG SMALL/MID CAP CORE FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 10/2/95) | | | | | |
| Without sales charge | 61.42% | 12.13% | 13.30% | 9.91% | 10.16% |
| With sales charge | 54.16% | 10.42% | 12.26% | 9.40% | 9.96% |
| Class C Shares (Incep: 10/2/95) | | | | | |
| Without sales charge | 60.13% | 11.20% | 12.40% | 9.05% | 9.31% |
| With sales charge | 59.13% | 11.20% | 12.40% | 9.05% | 9.31% |
| Class I Shares (Incep: 11/2/98) | 61.99% | 12.51% | 13.71% | 10.32% | 8.45% |
| Class R3 Shares (Incep: 7/1/03) | 61.42% | 12.10% | 13.30% | 9.91% | 8.76% |
| Class R4 Shares (Incep: 2/1/07) | 61.58% | 12.21% | 13.41% | 10.02% | 7.19% |
| Class R5 Shares (Incep: 2/1/05) | 62.00% | 12.50% | 13.71% | 10.31% | 8.91% |
S&P 500 Total Return Index
(Since 10/2/95) | 56.35% | 16.78% | 16.29% | 13.91% | 9.89% |
Russell 2500 Total Return Index
(Since 10/2/95) | 89.40% | 15.34% | 15.93% | 12.20% | 10.73% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.34%; C shares, 2.12%; I shares, 1.09%; R3 shares, 1.73%; R4 shares, 1.74%; R5 shares, 1.43%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.18%; C shares, 2.04%; I shares, 0.84%; R3 shares, 1.20%; R4 shares, 1.10%; R5 shares, 0.84%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Thornburg Equity Funds Semi-Annual Report | 17
Thornburg Small/Mid Cap Growth Fund
Investment Goal and Fund Overview
The Fund seeks long-term growth of capital by investing in equity securities selected for their growth potential. Under normal conditions, the Fund invests at least 80% of its net assets in small- and mid-capitalization companies.
The Fund seeks to invest in a diversified portfolio of companies the Fund categorizes as consistent earners, growth industry leaders, and emerging franchises, as described in more detail in the Fund’s prospectus. The relative proportions of securities invested in each of those categories will vary over time.
Performance drivers and detractors for the reporting period ending March 31, 2021
Note: During the reporting period the Fund underwent a formal name and benchmark index change. Prior to 12/18/20 the Fund name was Thornburg Core Growth Fund and the benchmark was the Russell 3000 Growth Total Return Index.
09/30/2020 to 12/18/2020 (Benchmark Russell 3000 Growth Total Return Index)
» Through December 18, 2020, the Fund outperformed the listed benchmark, the Russell 3000 Growth Total Return Index, primarily due to stock selection.
» Information technology holdings were the primary drivers of positive performance. Holdings in financials and consumer staples also made a positive contribution. No sectors were relative detractors during the period, but cash was a drag on performance due to strong, broad-based returns.
» Small- and mid-cap stocks outperformed large cap stocks but comprised under 10% of the benchmark and portfolio during the period. Thus, the relative impact of stock selection attributable to market capitalization was muted.
12/18/2020 to 03/31/2021 (Benchmark Russell 2500 Growth Total Return Index)
» During the period, the Fund underperformed its benchmark, the Russell 2500 Growth Total Return Index, primarily due to stock selection as opposed to market capitalization and sector allocation decisions.
» Industrials holdings were slight positive contributors to performance. The relative impact was not enough to overcome the performance drag from information technology, consumer discretionary and health care. Together, these sectors made up just over 70% of the benchmark.
» Returns of small-cap companies slightly outpaced mid- and large-cap companies within the benchmark. Stock selection within mid-caps, which make up the majority of the index and portfolio, was the primary drag on performance, followed by small-cap stock selection.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG SMALL/MID CAP GROWTH FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
THORNBURG SMALL/MID CAP
GROWTH FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/27/00) | | | | | |
| Without sales charge | 54.83% | 16.98% | 17.20% | 13.46% | 8.17% |
| With sales charge | 47.85% | 15.19% | 16.12% | 12.94% | 7.93% |
| Class C Shares (Incep: 12/27/00) | | | | | |
| Without sales charge | 53.70% | 16.05% | 16.28% | 12.58% | 7.32% |
| With sales charge | 52.70% | 16.05% | 16.28% | 12.58% | 7.32% |
| Class I Shares (Incep: 11/3/03) | 55.36% | 17.37% | 17.63% | 13.92% | 10.66% |
| Class R3 Shares (Incep: 7/1/03) | 54.56% | 16.78% | 17.03% | 13.33% | 10.67% |
| Class R4 Shares (Incep: 2/1/07) | 54.73% | 16.91% | 17.15% | 13.45% | 8.22% |
| Class R5 Shares (Incep: 10/3/05) | 55.37% | 17.39% | 17.63% | 13.91% | 10.02% |
| Russell 2500 Growth Total Return Index(Since 12/27/00) | 87.50% | 19.96% | 19.91% | 14.21% | 9.50% |
| Russell 3000 Growth Total Return Index(Since 12/27/00) | 64.31% | 22.39% | 20.87% | 16.35% | 8.17% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: A shares, 1.33%; C shares, 2.09%; I shares, 1.06%; R3 shares, 1.71%; R4 shares, 2.00%; R5 shares, 1.26%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 1.20%; C shares, 2.03%; I shares, 0.84%; R3 shares, 1.35%; R4 shares, 1.25%; R5 shares, 0.84%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
18 | Thornburg Equity Funds Semi-Annual Report
Thornburg Long/Short Equity Fund
Investment Goal and Fund Overview
The Long/Short Equity Fund seeks long-term capital appreciation.
The Fund pursues its investment goal by investing a significant amount of its assets in long and short positions in a broad range of equity securities. While the Fund normally expects to invest a larger portion of its portfolio in long positions than short positions, the Fund expects to invest a significant portion of its assets in short positions.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund underperformed the S&P 500 Total Return Index during the six-month period ending March 31, 2021.
» The Fund’s long market exposure was able to keep up the performance pace relative to the index during the period, but the Fund’s short market exposure proved no match for the incredible recovery staged by the equity markets that appears to be completely disconnected from the economic reality that still grips the nation.
» The strong performance of the long book was driven by both sector allocation and stock performance within the communication services and financials sectors, which benefited from rising rates in the first three months of 2021.
» The challenging performance of the short book was driven by the allocations to the industrials and consumer discretionary sectors. The consumer discretionary sector, in particular, accounted for a large part of the Fund’s underperformance due to the large weighting and holdings within the sector. The thematic market rally led investors to bid up perceived beneficiaries of the pandemic regardless of business fundamentals and valuation.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG LONG/SHORT EQUITY FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG LONG/SHORT EQUITY FUND* | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class I Shares (Incep: 12/30/16) | -6.01% | -3.94% | 2.05% | 5.29% | 4.56% |
| S&P 500 Total Return Index (Since 12/30/16) | 56.35% | 16.78% | 16.29% | 13.91% | 10.67% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers or expense reimbursements are as follows: I shares, 3.18%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
*Performance prior to 12/30/2016 is from the predecessor fund, which was managed in a materially equivalent manner to the Thornburg Long/Short Equity Fund. The predecessor fund was not a registered mutual fund and was not subject to the same investment restrictions as the Long/Short Equity Fund. If the predecessor fund had been registered under the 1940 Act, the performance may have been different.
Thornburg Equity Funds Semi-Annual Report | 19
Glossary
March 31, 2021 (Unaudited)
The Bloomberg Barclays US Aggregate Bond Total Return Index Value USD is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
The Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan European Aggregate, and the Asian-Pacific Aggregate indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.
Thornburg Investment Income Builder Fund’s Blended Index is composed of 25% Bloomberg Barclays US Aggregate Bond Total Return Index Value USD and 75% MSCI World Net Total Return USD Index, rebalanced monthly.
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.
The MSCI World Net Total Return USD 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.
The MSCI All Country (AC) World Net Total Return USD Index is a market capitalization weighted index that is representative of the market structure of 47 developed and emerging market countries in North and South America, Europe, Africa, the Middle East, and the Pacific Rim. The index is calculated with net dividends reinvested in U.S. dollars.
The MSCI All Country (AC) World ex-USA Total Return Index is 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. Beginning in January 2001, the index is calculated with net dividends reinvested in U.S. dollars. Prior data is calculated with gross dividends.
The MSCI World ESG Leaders Index is a capitalization weighted index that provides exposure to companies with high Environmental, Social and Governance (ESG) performance relative to their sector peers. MSCI World ESG Leaders Index is constructed by aggregating the following regional Index MSCI Pacific ESG Leaders Index, MSCI Europe & Middle East ESG Leaders Index, MSCI Canada ESG Leaders Index and MSCI USA ESG Leaders Index. The parent index is MSCI World Index, which consists of large and mid-cap companies in 23 Developed Markets Countries.
The MSCI EAFE (Europe, Australasia, Far East) Net Total Return USD Index is an unmanaged index. It is a generally accepted benchmark for major overseas markets. Index weightings represent the relative capitalizations of the major overseas developed markets on a U.S. dollar adjusted basis. The index is calculated with net dividends reinvested in U.S. dollars.
The MSCI All Country (AC) World ex USA Growth Net Total Return USD Index is a market capitalization weighted index that includes growth companies in developed and emerging markets throughout the world, excluding the United States.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 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.
The S&P 500 Total Return Index is an unmanaged broad measure of the U.S. stock market. Source: Frank Russell Company.
The Russell 2500 Growth Total Return Index measures the performance of the small to mid-cap growth segment of the US equity universe. It includes those Russell 2500™ companies with higher growth earning potential as defined by FTSE Russell’s leading style methodology. Source: Frank Russell Company.
The Russell 3000 Total Return Growth Index is an unmanaged index comprised of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell 1000 Growth or the Russell 2000 Growth indices. Source: Frank Russell Company.
Net Adjusted S&P 500 Index – For illustration purposes, the net adjusted S&P 500 Index adjusts the total return of the S&P 500 Index to reflect the same net exposure as the Fund.
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.
Price/Book ratio (P/B ratio) – A ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
Yield to Worst (YTW) – The lowest potential yield that can be received on a bond without the issuer actually defaulting.
The performance of any index is not indicative of the performance of any particular investment. 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.
Any securities, sectors, or countries mentioned are for illustration purposes only. Holdings are subject to change. Under no circumstances does the information contained within represent a recommendation to buy or sell any security.
The information given should not be considered tax advice. Please consult your tax advisor for personal tax questions and concerns.
20 | Thornburg Equity Funds Semi-Annual Report
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Thornburg Equity Funds Semi-Annual Report | 21
The Dividend Landscape
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
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.
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%.
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 Payout Ratio
Source: Bloomberg, beginning in 1999 (uses operating earnings); “Irrational Exuberance”
by Robert J. Shiller, through 1998 (uses reported earnings).
Percentage of Companies Paying Dividends in Russell 1000 Index
Source: CSFB Quantitative and Equity Derivatives Strategy, Baseline, and FactSet.
S&P 500 Index Average Yield vs. Annual Dividends from a Hypothetical $100,000 Investment (Dividends not Reinvested)
Source: Bloomberg and FactSet as of 3/31/21.
Past performance does not guarantee future results.
22 | Thornburg Equity Funds Semi-Annual Report
The Dividend Landscape, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
The Top 100 Dividend Yields
| | RUSSELL 1000
INDEX | RUSSELL 2000
INDEX |
| Real Estate | 29% | 37% |
| Financials | 23% | 33% |
| Utilities | 13% | 3% |
| Energy | 12% | 10% |
| Consumer Staples | 5% | 4% |
| Materials | 5% | 1% |
| Communication Services | 5% | 5% |
| Information Technology | 4% | 1% |
| Health Care | 3% | 0% |
| Consumer Discretionary | 1% | 3% |
| Industrials | 0% | 3% |
Source: FactSet as of March 31, 2021.
Estimated Average Dividend Yields (MSCI Indices) of Markets Around the Globe
Source: Bloomberg as of March 31, 2021.
A Truly Diversified Dividend-Paying Portfolio Must Look Beyond the Obvious High-Yield Stocks!
In the (large cap) Russell 1000 Index, 52% of the top 100 dividend payers are in the real estate and financials sectors. In the (small cap) Russell 2000 Index, 70% of the top 100 dividend-yielding stocks are real estate or financials companies. To construct a diversified portfolio of attractive yielding stocks, one must look beyond these 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.
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.
Thornburg Equity Funds Semi-Annual Report | 23
Fund Summary
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
PORTFOLIO COMPOSITION
| TOP TEN EQUITY HOLDINGS |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 4.8% |
| Vodafone Group plc | 4.3% |
| Orange SA | 4.2% |
| Samsung Electronics Co. Ltd. | 3.6% |
| Deutsche Telekom AG | 3.6% |
| China Mobile Ltd. | 3.3% |
| Broadcom, Inc. | 3.3% |
| Total SE | 3.3% |
| CME Group, Inc. | 3.1% |
| JPMorgan Chase & Co. | 2.9% |
SECTOR EXPOSURE
(percent of equity holdings) |
| Financials | 25.7% |
| Communication Services | 19.9% |
| Information Technology | 18.1% |
| Health Care | 10.8% |
| Consumer Staples | 6.0% |
| Energy | 4.6% |
| Materials | 4.3% |
| Consumer Discretionary | 4.1% |
| Utilities | 2.9% |
| Real Estate | 2.1% |
| Industrials | 1.5% |
24 | Thornburg Equity Funds Semi-Annual Report
Fund Summary, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (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¢ | 25.3¢ | 81.8¢ |
| 2016 | 17.0¢ | 18.5¢ | 19.5¢ | 21.5¢ | 76.5¢ |
| 2017 | 17.0¢ | 20.0¢ | 26.0¢ | 29.5¢ | 92.5¢ |
| 2018 | 18.0¢ | 20.0¢ | 24.0¢ | 28.0¢ | 90.0¢ |
| 2019 | 19.0¢ | 21.5¢ | 25.0¢ | 30.0¢ | 95.5¢ |
| 2020 | 19.0¢ | 19.0¢ | 21.0¢ | 29.0¢ | 88.0¢ |
| 2021 | 22.5¢ | | | | |
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.
Thornburg Equity Funds Semi-Annual Report | 25
Fund Summary, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
EVOLUTION OF INDUSTRY GROUP EXPOSURE
Top 10 industry groups quarter by quarter (percent of equity holdings)
| As of 3/31/2021 | |
| Telecommunication Services | 19.9% |
| Semiconductors & Semiconductor Equipment | 12.6% |
| Diversified Financials | 12.6% |
| Pharmaceuticals, Biotechnology & Life Sciences | 10.8% |
| Banks | 7.4% |
| Insurance | 5.8% |
| Technology Hardware & Equipment | 5.5% |
| Food & Staples Retailing | 5.1% |
| Energy | 4.6% |
| Materials | 4.3% |
| As of 12/31/2020 | |
| Telecommunication Services | 18.9% |
| Semiconductors & Semiconductor Equipment | 14.3% |
| Diversified Financials | 12.8% |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.2% |
| Banks | 6.6% |
| Technology Hardware & Equipment | 6.0% |
| Food Staples & Retailing | 5.0% |
| Energy | 4.9% |
| Insurance | 4.6% |
| Materials | 4.1% |
| As of 9/30/2020 | |
| Telecommunication Services | 19.7% |
| Semiconductors & Semiconductor Equipment | 13.1% |
| Diversified Financials | 13.0% |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.8% |
| Banks | 6.7% |
| Energy | 5.2% |
| Technology Hardware & Equipment | 4.7% |
| Food & Staples Retailing | 4.6% |
| Insurance | 4.4% |
| Retailing | 4.1% |
| As of 6/30/2020 | |
| Telecommunication Services | 22.3% |
| Pharmaceuticals, Biotechnology & Life Sciences | 13.0% |
| Diversified Financials | 12.0% |
| Semiconductors & Semiconductor Equipment | 10.3% |
| Energy | 6.8% |
| Insurance | 6.3% |
| Utilities | 5.1% |
| Banks | 5.0% |
| Real Estate | 4.0% |
| Technology Hardware & Equipment | 3.9% |
THORNBURG INVESTMENT INCOME
BUILDER FUND | NASDAQ SYMBOLS | CUSIPS |
| 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 R6 | TIBOX | 885-216-663 |
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.
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.
26 | Thornburg Equity Funds Semi-Annual Report
Fund Summary
Thornburg Summit Fund | March 31, 2021 (Unaudited)
PORTFOLIO COMPOSITION
SECTOR EXPOSURE
(percent of equity holdings) |
| Communication Services | 21.3% |
| Information Technology | 20.1% |
| Consumer Discretionary | 18.6% |
| Financials | 13.2% |
| Health Care | 9.3% |
| Energy | 7.0% |
| Materials | 4.3% |
| Consumer Staples | 3.8% |
| Industrials | 2.4% |
| TOP TEN LONG HOLDINGS |
| Amazon.com, Inc. | 2.3% |
| Capital One Financial Corp. | 2.0% |
| Facebook, Inc. Class A | 1.7% |
| Total SE | 1.7% |
| Deutsche Telekom AG | 1.6% |
| Citigroup, Inc. | 1.5% |
| Tencent Holdings Ltd. | 1.3% |
| Merck & Co., Inc. | 1.3% |
| Meituan Class B | 1.2% |
| Reliance Industries Ltd. | 1.2% |
| THORNBURG SUMMIT FUND | NASDAQ SYMBOLS | CUSIPS |
| Class I | TSUMX | 885-216-580 |
Class I shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes. Class A shares are not currently available for purchase.
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.
Thornburg Equity Funds Semi-Annual Report | 27
Fund Summary
Thornburg Global Opportunities Fund | March 31, 2021 (Unaudited)
ASSET STRUCTURE
MARKET CAPITALIZATION EXPOSURE
| TOP TEN EQUITY HOLDINGS |
| Capital One Financial Corp. | 5.9% |
| Samsung Electronics Co. Ltd. | 5.1% |
| Reliance Industries Ltd. | 4.9% |
| NN Group N.V. | 4.8% |
| Alphabet, Inc. Class A | 4.8% |
| Barratt Developments plc | 4.6% |
| Citigroup, Inc. | 4.5% |
| Qorvo, Inc. | 4.3% |
| Facebook, Inc. Class A | 4.2% |
| China Telecom Corp. Ltd. | 4.0% |
| SECTOR EXPOSURE |
| Financials | 18.9% |
| Information Technology | 17.2% |
| Communication Services | 16.4% |
| Consumer Discretionary | 12.2% |
| Materials | 9.5% |
| Energy | 7.5% |
| Health Care | 6.3% |
| Industrials | 5.9% |
| Consumer Staples | 2.6% |
| Other Assets Less Liabilities | 3.5% |
| TOP TEN INDUSTRY GROUPS |
| Semiconductors & Semiconductor Equipment | 9.9% |
| Diversified Financials | 9.6% |
| Materials | 9.5% |
| Media & Entertainment | 9.0% |
| Energy | 7.5% |
| Telecommunication Services | 7.4% |
| Retailing | 6.2% |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.6% |
| Technology Hardware & Equipment | 5.1% |
| Insurance | 4.8% |
THORNBURG GLOBAL
OPPORTUNITIES FUND | NASDAQ SYMBOLS | CUSIPS |
| 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 R6 | THOGX | 885-216-655 |
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.
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.
28 | Thornburg Equity Funds Semi-Annual Report
Fund Summary
Thornburg International Equity Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| Citigroup, Inc. | 3.5% |
| Telefonaktiebolaget LM Ericsson Class B | 2.9% |
| TOTAL S.A. | 2.9% |
| JPMorgan Chase & Co. | 2.8% |
| Tencent Holdings Ltd. | 2.7% |
| Ping An Bank Co. Ltd. Class A | 2.6% |
| Alibaba Group Holding Ltd. | 2.6% |
| LVMH Moet Hennessy Louis Vuitton SE | 2.5% |
| Sika AG | 2.5% |
| adidas AG | 2.5% |
| SECTOR EXPOSURE |
| Industrials | 18.9% |
| Financials | 18.4% |
| Information Technology | 14.1% |
| Consumer Discretionary | 11.9% |
| Materials | 8.8% |
| Communication Services | 8.2% |
| Consumer Staples | 5.4% |
| Utilities | 5.0% |
| Health Care | 3.4% |
| Energy | 2.9% |
| Other Assets Less Liabilities | 3.0% |
| TOP TEN INDUSTRY GROUPS |
| Banks | 15.1% |
| Capital Goods | 12.6% |
| Materials | 8.8% |
| Consumer Durables & Apparel | 7.9% |
| Media & Entertainment | 7.2% |
| Technology Hardware & Equipment | 6.4% |
| Utilities | 5.0% |
| Transportation | 4.5% |
| Semiconductors & Semiconductor Equipment | 4.4% |
| Retailing | 4.0% |
THORNBURG INTERNATIONAL
EQUITY FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | TGVAX | 885-215-657 |
| 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.
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.
Thornburg Equity Funds Semi-Annual Report | 29
Fund Summary
Thornburg Better World International Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| Coursera, Inc. | 3.5% |
| Tencent Holdings Ltd. | 2.7% |
| ING Groep N.V. | 2.6% |
| Mitsubishi UFJ Financial Group, Inc. | 2.5% |
| Barratt Developments plc | 2.4% |
| Intesa Sanpaolo S.p.A. | 2.3% |
| Kuehne + Nagel International AG | 2.2% |
| CME Group, Inc. | 2.1% |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 2.0% |
| Recruit Holdings Co. Ltd. | 2.0% |
| SECTOR EXPOSURE |
| Industrials | 20.6% |
| Consumer Discretionary | 17.3% |
| Financials | 16.6% |
| Information Technology | 12.8% |
| Materials | 8.6% |
| Utilities | 6.4% |
| Communication Services | 5.3% |
| Consumer Staples | 2.9% |
| Health Care | 2.5% |
| Real Estate | 2.0% |
| Other Assets Less Liabilities | 5.0% |
| TOP TEN INDUSTRY GROUPS |
| Capital Goods | 11.3% |
| Banks | 9.2% |
| Consumer Durables & Apparel | 8.8% |
| Materials | 8.6% |
| Utilities | 6.4% |
| Commercial & Professional Services | 5.3% |
| Software & Services | 4.6% |
| Insurance | 4.5% |
| Semiconductors & Semiconductor Equipment | 4.4% |
| Media & Entertainment | 4.4% |
THORNBURG BETTER WORLD
INTERNATIONAL FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | TBWAX | 885-216-721 |
| Class C | TBWCX | 885-216-713 |
| Class I | TBWIX | 885-216-697 |
Class I shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
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.
30 | Thornburg Equity Funds Semi-Annual Report
Fund Summary
Thornburg International Growth Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| Alibaba Group Holding Ltd. | 5.6% |
| Tencent Holdings Ltd. | 5.0% |
| Adyen N.V. | 4.8% |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 4.3% |
| Activision Blizzard, Inc. | 3.7% |
| AstraZeneca plc | 3.2% |
| MercadoLibre, Inc. | 3.0% |
| Ubisoft Entertainment S.A. | 3.0% |
| Nestle S.A. | 3.0% |
| ASML Holding N.V. | 2.8% |
| SECTOR EXPOSURE |
| Information Technology | 30.0% |
| Consumer Discretionary | 25.0% |
| Communication Services | 18.2% |
| Health Care | 8.8% |
| Industrials | 6.1% |
| Consumer Staples | 3.0% |
| Materials | 2.8% |
| Financials | 2.2% |
| Real Estate | 1.2% |
| Energy | 0.5% |
| Other Assets Less Liabilities | 2.2% |
| TOP TEN INDUSTRY GROUPS |
| Software & Services | 20.4% |
| Media & Entertainment | 16.4% |
| Retailing | 14.5% |
| Semiconductors & Semiconductor Equipment | 9.6% |
| Pharmaceuticals, Biotechnology & Life Sciences | 7.5% |
| Consumer Durables & Apparel | 4.9% |
| Commercial & Professional Services | 4.8% |
| Consumer Services | 3.5% |
| Food, Beverage & Tobacco | 3.0% |
| Materials | 2.8% |
THORNBURG INTERNATIONAL
GROWTH FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
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.
Thornburg Equity Funds Semi-Annual Report | 31
Fund Summary
Thornburg Developing World Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 7.1% |
| Tencent Holdings Ltd. | 5.9% |
| Alibaba Group Holding Ltd. | 5.4% |
| Samsung Electronics Co. Ltd. | 4.4% |
| AIA Group Ltd. | 3.5% |
| Micron Technology, Inc. | 3.0% |
| Adani Ports & Special Economic Zone Ltd. | 3.0% |
| HDFC Bank Ltd. | 2.9% |
| China Gas Holdings Ltd. | 2.8% |
| Ping An Insurance Group Co. of China Ltd. Class H | 2.6% |
| SECTOR EXPOSURE |
| Information Technology | 23.8% |
| Financials | 20.1% |
| Consumer Discretionary | 14.7% |
| Communication Services | 12.0% |
| Consumer Staples | 9.4% |
| Industrials | 5.2% |
| Utilities | 4.1% |
| Materials | 3.7% |
| Energy | 2.9% |
| Other Assets Less Liabilities | 4.1% |
| TOP TEN INDUSTRY GROUPS |
| Semiconductors & Semiconductor Equipment | 12.0% |
| Retailing | 11.6% |
| Banks | 9.4% |
| Media & Entertainment | 9.3% |
| Technology Hardware & Equipment | 6.7% |
| Insurance | 6.1% |
| Transportation | 5.2% |
| Software & Services | 5.1% |
| Diversified Financials | 4.6% |
| Utilities | 4.1% |
| THORNBURG DEVELOPING WORLD FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
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.
32 | Thornburg Equity Funds Semi-Annual Report
Fund Summary
Thornburg Small/Mid Cap Core Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| LPL Financial Holdings, Inc. | 3.2% |
| Avantor, Inc. | 3.1% |
| Pinnacle Financial Partners, Inc. | 2.7% |
| Jones Lang LaSalle, Inc. | 2.6% |
| AES Corp. | 2.5% |
| Assured Guaranty Ltd. | 2.5% |
| Zynga, Inc. Class A | 2.4% |
| Spirit AeroSystems Holdings, Inc. Class A | 2.3% |
| Diamondback Energy, Inc. | 2.3% |
| Horizon Therapeutics plc | 2.3% |
| SECTOR EXPOSURE |
| Industrials | 21.1% |
| Information Technology | 18.6% |
| Financials | 12.8% |
| Health Care | 11.8% |
| Consumer Discretionary | 10.7% |
| Materials | 7.2% |
| Consumer Staples | 6.8% |
| Communication Services | 3.5% |
| Real Estate | 2.6% |
| Utilities | 2.5% |
| Energy | 2.3% |
| Other Assets Less Liabilities | 0.1% |
| TOP TEN INDUSTRY GROUPS |
| Capital Goods | 12.7% |
| Software & Services | 11.2% |
| Materials | 7.2% |
| Commercial & Professional Services | 6.9% |
| Health Care Equipment & Services | 6.4% |
| Consumer Services | 5.5% |
| Diversified Financials | 5.4% |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.4% |
| Banks | 4.9% |
| Food, Beverage & Tobacco | 4.8% |
THORNBURG SMALL/MID CAP
CORE FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | TVAFX | 885-215-731 |
| 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.
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.
Thornburg Equity Funds Semi-Annual Report | 33
Fund Summary
Thornburg Small/Mid Cap Growth Fund | March 31, 2021 (Unaudited)
MARKET CAPITALIZATION EXPOSURE
BASKET STRUCTURE
| TOP TEN EQUITY HOLDINGS |
| Horizon Therapeutics plc | 3.7% |
| Zynga, Inc. Class A | 3.6% |
| Freshpet, Inc. | 2.8% |
| Avantor, Inc. | 2.8% |
| Fox Factory Holding Corp. | 2.6% |
| Floor & Decor Holdings, Inc. Class A | 2.6% |
| Globant S.A. | 2.5% |
| Amedisys, Inc. | 2.5% |
| Black Knight, Inc. | 2.5% |
| Entegris, Inc. | 2.4% |
| SECTOR EXPOSURE |
| Information Technology | 31.1% |
| Health Care | 23.1% |
| Industrials | 18.4% |
| Consumer Discretionary | 13.4% |
| Consumer Staples | 6.0% |
| Communication Services | 4.6% |
| Financials | 3.4% |
| Other Assets Less Liabilities | 0.0% |
| TOP TEN INDUSTRY GROUPS |
| Software & Services | 21.7% |
| Pharmaceuticals, Biotechnology & Life Sciences | 13.8% |
| Capital Goods | 11.7% |
| Health Care Equipment & Services | 9.3% |
| Semiconductors & Semiconductor Equipment | 7.9% |
| Commercial & Professional Services | 5.0% |
| Media & Entertainment | 4.6% |
| Food, Beverage & Tobacco | 4.4% |
| Retailing | 3.7% |
| Consumer Durables & Apparel | 3.6% |
THORNBURG SMALL/MID CAP
GROWTH FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
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.
34 | Thornburg Equity Funds Semi-Annual Report
Fund Summary
Thornburg Long/Short Equity Fund | March 31, 2021 (Unaudited)
| SECTOR EXPOSURE |
| Financials | 8.5% |
| Information Technology | 7.8% |
| Communication Services | 7.1% |
| Health Care | 7.0% |
| Industrials | 6.6% |
| Materials | 4.5% |
| Consumer Discretionary | 3.5% |
| Consumer Staples | 1.8% |
| Energy | 1.6% |
| Real Estate | -1.5% |
| Other Assets Less Liabilities | 53.1% |
| PORTFOLIO EXPOSURE | | |
| | 1Q21 | 4Q20 |
| Gross Long | 89.31% | 96.04% |
| Gross Short | -42.29% | -54.07% |
| Net Equity | 47.03% | 41.97% |
| ASSETS BY GEOGRAPHY | | |
| | Long | Short |
| United States | 68.07% | 31.93% |
| Ex-U.S | 63.76% | 36.24% |
| TOP TEN LONG HOLDINGS |
| Quanta Services, Inc. | 5.6% |
| Alphabet, Inc. Class C | 4.3% |
| Mastercard, Inc. Class A | 4.1% |
| Assured Guaranty Ltd. | 3.6% |
| ITT, Inc. | 3.4% |
| OneMain Holdings, Inc. | 3.3% |
| AbbVie, Inc. | 3.1% |
| Sonos, Inc. | 3.1% |
| PTC, Inc. | 3.1% |
| Capital One Financial Corp. | 3.0% |
| THORNBURG LONG/SHORT EQUITY FUND | NASDAQ SYMBOLS | CUSIPS |
| Class I | THLSX | 885-216-689 |
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.
Thornburg Equity Funds Semi-Annual Report | 35
Schedule of Investments
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Common Stock — 82.2% | | |
| | Automobiles & Components — 0.5% | | |
| | Automobiles — 0.5% | | |
| | Stellantis N.V. | 2,764,000 | $ 48,892,415 |
| | | | 48,892,415 |
| | Banks — 6.0% | | |
| | Banks — 6.0% | | |
| | Citigroup, Inc. | 1,309,352 | 95,255,358 |
| | JPMorgan Chase & Co. | 2,103,084 | 320,152,477 |
| | Regions Financial Corp. | 11,467,529 | 236,919,149 |
| | | | 652,326,984 |
| | Capital Goods — 1.3% | | |
| | Aerospace & Defense — 0.5% | | |
| | BAE Systems plc | 7,148,500 | 49,767,327 |
| | Industrial Conglomerates — 0.8% | | |
| | Siemens AG | 536,500 | 88,081,498 |
| | | | 137,848,825 |
| | Diversified Financials — 10.4% | | |
| | Capital Markets — 5.9% | | |
| a | Apollo Investment Corp. | 4,244,410 | 58,233,305 |
| | CME Group, Inc. | 1,637,124 | 334,349,835 |
| a | SLR Investment Corp. | 4,607,900 | 81,836,304 |
| | UBS Group AG | 11,179,372 | 173,104,914 |
| | Diversified Financial Services — 2.4% | | |
| | Equitable Holdings, Inc. | 5,802,340 | 189,272,331 |
| | M&G plc | 24,604,000 | 70,348,118 |
| | Mortgage Real Estate Investment Trusts — 2.1% | | |
| a | Chimera Investment Corp. | 16,496,159 | 209,501,219 |
| | Granite Point Mortgage Trust, Inc. | 1,417,500 | 16,967,475 |
| | | | 1,133,613,501 |
| | Energy — 3.6% | | |
| | Oil, Gas & Consumable Fuels — 3.6% | | |
| | LUKOIL PJSC Sponsored ADR | 530,900 | 42,928,574 |
| a,b,c | Malamute Energy, Inc. | 12,439 | 12,439 |
| | Total SE | 7,589,800 | 354,019,717 |
| | | | 396,960,730 |
| | Food & Staples Retailing — 4.2% | | |
| | Food & Staples Retailing — 4.2% | | |
| | Tesco plc | 78,027,630 | 246,171,260 |
| | Walgreens Boots Alliance, Inc. | 3,970,066 | 217,956,623 |
| | | | 464,127,883 |
| | Food, Beverage & Tobacco — 0.7% | | |
| | Food Products — 0.7% | | |
| | Nestle S.A. | 710,600 | 79,198,650 |
| | | | 79,198,650 |
| | Insurance — 4.7% | | |
| | Insurance — 4.7% | | |
| | Assicurazioni Generali SpA | 11,464,147 | 229,354,731 |
| | AXA S.A. | 1,020,000 | 27,373,984 |
| | NN Group N.V. | 5,350,300 | 261,575,437 |
| | | | 518,304,152 |
| | Materials — 3.6% | | |
| | Chemicals — 1.2% | | |
| | LyondellBasell Industries N.V. Class A | 1,210,996 | 126,004,134 |
36 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Metals & Mining — 2.4% | | |
| c | Glencore plc | 38,178,800 | $ 149,610,048 |
| | MMC Norilsk Nickel PJSC Sponsored ADR | 3,682,100 | 114,807,878 |
| | | | 390,422,060 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 8.9% | | |
| | Biotechnology — 2.8% | | |
| | AbbVie, Inc. | 2,871,000 | 310,699,620 |
| | Pharmaceuticals — 6.1% | | |
| | AstraZeneca plc | 1,326,900 | 132,566,708 |
| | Merck & Co., Inc. | 1,794,638 | 138,348,643 |
| | Novartis AG | 288,200 | 24,628,804 |
| | Pfizer, Inc. | 3,657,727 | 132,519,449 |
| | Roche Holding AG | 735,700 | 237,760,742 |
| | | | 976,523,966 |
| | Real Estate — 1.7% | | |
| | Equity Real Estate Investment Trusts — 1.7% | | |
| | Crown Castle International Corp. | 352,254 | 60,633,481 |
| | Lamar Advertising Co. Class A | 587,275 | 55,156,868 |
| | Washington Real Estate Investment Trust | 3,063,074 | 67,693,935 |
| | | | 183,484,284 |
| | Retailing — 2.9% | | |
| | Specialty Retail — 2.9% | | |
| | Home Depot, Inc. | 1,021,257 | 311,738,699 |
| b,c | RGIS Restructure Equity | 338,576 | 6,094,368 |
| | | | 317,833,067 |
| | Semiconductors & Semiconductor Equipment — 10.4% | | |
| | Semiconductors & Semiconductor Equipment — 10.4% | | |
| | Broadcom, Inc. | 777,839 | 360,652,831 |
| | QUALCOMM, Inc. | 1,909,206 | 253,141,623 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | 25,568,000 | 526,002,033 |
| | | | 1,139,796,487 |
| | Technology Hardware & Equipment — 4.5% | | |
| | Communications Equipment — 0.9% | | |
| | Cisco Systems, Inc. | 1,841,551 | 95,226,602 |
| | Technology Hardware, Storage & Peripherals — 3.6% | | |
| | Samsung Electronics Co. Ltd. | 5,570,789 | 400,673,492 |
| | | | 495,900,094 |
| | Telecommunication Services — 16.4% | | |
| | Diversified Telecommunication Services — 8.8% | | |
| | China Telecom Corp. Ltd. | 334,555,000 | 114,902,285 |
| | Deutsche Telekom AG | 19,287,100 | 388,350,758 |
| | Orange S.A. | 37,020,780 | 456,066,898 |
| | Wireless Telecommunication Services — 7.6% | | |
| | China Mobile Ltd. | 55,120,774 | 361,251,262 |
| | Vodafone Group plc | 259,891,924 | 472,508,622 |
| | | | 1,793,079,825 |
| | Utilities — 2.4% | | |
| | Electric Utilities — 2.1% | | |
| c | Electricite de France S.A. | 2,860,000 | 38,368,868 |
| | Enel SpA | 18,941,171 | 188,649,162 |
| | Multi-Utilities — 0.3% | | |
| | E.ON SE | 2,954,200 | 34,380,610 |
| | | | 261,398,640 |
| | Total Common Stock (Cost $6,365,643,887) | | 8,989,711,563 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 37 |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Preferred Stock — 0.3% | | |
| | Banks — 0.1% | | |
| | Banks — 0.1% | | |
| d,e,f | First Horizon Bank 3.75% (LIBOR 3 Month + 0.85%) | 12,000 | $ 10,020,000 |
| | | | 10,020,000 |
| | Diversified Financials — 0.0% | | |
| | Capital Markets — 0.0% | | |
| e,f | Morgan Stanley Series A, 4.00% (LIBOR 3 Month + 0.70%) | 120,000 | 2,910,000 |
| | | | 2,910,000 |
| | Energy — 0.2% | | |
| | Oil, Gas & Consumable Fuels — 0.2% | | |
| e | Crestwood Equity Partners, L.P. 9.25% | 2,166,596 | 18,719,389 |
| | | | 18,719,389 |
| | Total Preferred Stock (Cost $34,858,652) | | 31,649,389 |
| | Asset Backed Securities — 2.8% | | |
| | Auto Receivables — 1.5% | | |
| | ACC Trust, | | |
| d | Series 2019-1 Class C, 6.41% due 2/20/2024 | $ 2,500,000 | 2,584,118 |
| d | Series 2020-A Class A, 6.00% due 3/20/2023 | 12,216,707 | 12,586,658 |
| d | Series 2020-A Class B, 12.50% due 6/20/2025 | 6,680,000 | 6,876,545 |
| | American Credit Acceptance Receivables Trust, | | |
| d | Series 2019-3 Class B1, 5.42% due 5/12/2026 | 6,850,000 | 7,166,275 |
| d | Series 2019-4 Class F, 5.37% due 9/14/2026 | 5,000,000 | 5,224,651 |
| d | Series 2020-1 Class F, 4.75% due 11/13/2026 | 5,460,000 | 5,601,105 |
| | Carvana Auto Receivables Trust, | | |
| b,d | Series 2019-4A Class R, due 10/15/2026 | 32,000 | 14,800,000 |
| b,d | Series 2021-N1 Class R, due 1/10/2028 | 24,500 | 11,989,075 |
| b,d | Series 2021-P1 Class R, due 12/10/2027 | 24,000 | 5,814,000 |
| b,d | Chase Auto Credit Linked Notes, Series 2021-1 Class R, 28.348% due 9/25/2028 | 3,950,000 | 3,950,000 |
| | CPS Auto Receivables Trust, | | |
| d | Series 2018-B Class E, 5.61% due 12/16/2024 | 5,158,000 | 5,473,561 |
| d | Series 2019-A Class E, 5.81% due 3/16/2026 | 1,000,000 | 1,066,494 |
| d | Series 2020-A Class E, 4.09% due 12/15/2025 | 2,000,000 | 2,086,659 |
| d | Series 2020-C Class F, 6.67% due 11/15/2027 | 3,000,000 | 3,188,369 |
| b,d | Credit Suisse ABS Trust Series 2020-AT1 Class CERT, due 6/15/2026 | 40,000 | 2,920,000 |
| d | DT Auto Owner Trust, Series 2020-1A Class E, 3.48% due 2/16/2027 | 4,500,000 | 4,615,570 |
| | Flagship Credit Auto Trust, | | |
| b,d | Series 2018-4 Class R, due 3/16/2026 | 53,000 | 8,904,000 |
| b,d | Series 2019-1 Class R, due 6/15/2026 | 6,000 | 1,008,000 |
| b,d | Series 2019-2 Class R, due 12/15/2026 | 53,000 | 13,753,500 |
| b,d | Series 2019-3 Class R, due 12/15/2026 | 60,000 | 17,730,000 |
| b,d | Series 2019-4 Class R, due 3/15/2027 | 42,000 | 15,120,000 |
| d | Foursight Capital Automobile Receivables Trust, Series 2020-1 Class F, 4.62% due 6/15/2027 | 3,180,000 | 3,217,814 |
| b,d | Santander Consumer Auto Receivables Trust Series 2020-AA Class R, due 1/16/2029 | 45,588 | 1,937,490 |
| d | Veros Automobile Receivables Trust, Series 2020-1 Class D, 5.64% due 2/16/2027 | 5,000,000 | 5,057,104 |
| d | Westlake Automobile Receivables Trust, Series 2019-3A Class F, 4.72% due 4/15/2026 | 8,000,000 | 8,214,754 |
| | | | 170,885,742 |
| | Other Asset Backed — 1.3% | | |
| d | Amur Equipment Finance Receivables VIII, LLC, Series 2020-1A Class E, 7.00% due 1/20/2027 | 5,536,362 | 5,420,347 |
| d | Aqua Finance Trust, Series 2020-AA Class D, 7.15% due 7/17/2046 | 8,200,000 | 8,505,202 |
| d | CFG Investments Ltd., Series 2019-1 Class A, 5.56% due 8/15/2029 | 13,500,000 | 13,549,290 |
| d | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1 Class C, 4.61% due 3/15/2028 | 5,000,000 | 5,147,023 |
| | Consumer Loan Underlying Bond Credit Trust, | | |
| d | Series 2018-P3 Class C, 5.54% due 1/15/2026 | 4,000,000 | 4,126,025 |
| d | Series 2019-HP1 Class C, 4.70% due 12/15/2026 | 6,700,000 | 6,907,717 |
| b,d,f | Series 2019-HP1 Class CERT, due 12/15/2026 | 400,000 | 5,960,000 |
| d | Series 2019-P1 Class C, 4.66% due 7/15/2026 | 7,500,000 | 7,705,452 |
38 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | LendingClub Receivables Trust, | | |
| b,d | Series 2019-1 Class CERT, due 7/17/2045 | $ 281,200 | $ 4,639,800 |
| d | Series 2019-7 Class R1, due 1/15/2027 | 6,250,000 | 3,125,000 |
| d | Series 2019-7 Class R2, due 1/15/2027 | 1,250,000 | 625,000 |
| b,d | Series 2020-JPSL Class R, due 2/15/2025 | 170,000 | 7,318,500 |
| | LendingPoint Asset Securitization Trust, | | |
| d | Series 2020-REV1 Class B, 4.494% due 10/15/2028 | 8,000,000 | 8,426,066 |
| d | Series 2020-REV1 Class C, 7.699% due 10/15/2028 | 25,750,000 | 26,491,747 |
| d | Marlette Funding Trust, Series 2019-1A Class C, 4.42% due 4/16/2029 | 5,344,000 | 5,493,053 |
| | Mosaic Solar Loan Trust, | | |
| b,d | Series 2020-2A Class R, due 8/20/2046 | 6,200,000 | 3,172,941 |
| b,d | Series 2021-1A Class R, due 12/20/2046 | 8,500,000 | 3,054,921 |
| | Prosper Pass-Thru Trust, | | |
| d | Series 2019-ST1 Class CERT, due 7/15/2025 | 38,500,000 | 8,877,457 |
| d | Series 2019-ST2 Class R1, due 11/15/2025 | 17,477,134 | 7,320,362 |
| d | Series 2019-ST2 Class R2, due 11/15/2025 | 8,738,067 | 3,659,972 |
| | | | 139,525,875 |
| | Total Asset Backed Securities (Cost $272,348,318) | | 310,411,617 |
| | Corporate Bonds — 8.7% | | |
| | Automobiles & Components — 0.0% | | |
| | Auto Components — 0.0% | | |
| d,g | Nexteer Automotive Group Ltd., 5.875% due 11/15/2021 | 4,300,000 | 4,300,000 |
| | | | 4,300,000 |
| | Capital Goods — 0.1% | | |
| | Machinery — 0.1% | | |
| | Mueller Industries, Inc., 6.00% due 3/1/2027 | 7,679,000 | 7,833,118 |
| | | | 7,833,118 |
| | Commercial & Professional Services — 0.3% | | |
| | Commercial Services & Supplies — 0.3% | | |
| d,g | Cimpress plc, 7.00% due 6/15/2026 | 27,804,000 | 29,394,389 |
| d | Nielsen Finance, LLC / Nielsen Finance Co., 5.00% due 4/15/2022 | 5,987,000 | 5,992,867 |
| | | | 35,387,256 |
| | Consumer Services — 0.3% | | |
| | Hotels, Restaurants & Leisure — 0.3% | | |
| d | Nathan’s Famous, Inc., 6.625% due 11/1/2025 | 6,188,000 | 6,342,762 |
| d | SeaWorld Parks & Entertainment, Inc., 8.75% due 5/1/2025 | 21,000,000 | 22,740,480 |
| | | | 29,083,242 |
| | Diversified Financials — 0.6% | | |
| | Capital Markets — 0.2% | | |
| b,c,h | JPR Royalty Sub, LLC, 14.00% due 9/1/2020 | 5,000,000 | 0 |
| d | StoneX Group, Inc., 8.625% due 6/15/2025 | 19,973,000 | 21,130,835 |
| | Diversified Financial Services — 0.4% | | |
| | Antares Holdings L.P., | | |
| d | 6.00% due 8/15/2023 | 18,000,000 | 19,245,060 |
| d | 8.50% due 5/18/2025 | 11,500,000 | 13,568,160 |
| e,f | JPMorgan Chase & Co., Series I, 3.682% (LIBOR 3 Month + 3.47%) due 4/30/2021 | 7,334,000 | 7,309,871 |
| | | | 61,253,926 |
| | Energy — 2.8% | | |
| | Energy Equipment & Services — 0.1% | | |
| | Odebrecht Offshore Drilling Finance Ltd., | | |
| d,g | 6.72% due 12/1/2022 | 2,037,249 | 1,990,371 |
| d,g,i | 7.72% due 12/1/2026 PIK | 18,066,281 | 3,063,861 |
| d,e,g | Odebrecht Oil & Gas Finance Ltd. (Guaranty: Odebrecht Oleo e Gas S.A.), Zero coupon due 4/26/2021 | 2,337,727 | 17,556 |
| c,d,g,h | Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | 11,396,734 | 719,590 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 39 |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Oil, Gas & Consumable Fuels — 2.7% | | |
| d | Citgo Holding, Inc., 9.25% due 8/1/2024 | $ 14,196,000 | $ 14,231,632 |
| d | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 8,000,000 | 8,227,040 |
| f | Energy Transfer Operating L.P., 3.223% (LIBOR 3 Month + 3.02%) due 11/1/2066 | 13,820,000 | 9,635,995 |
| f | Enterprise TE Partners L.P., Series 1, 2.968% (LIBOR 3 Month + 2.78%) due 6/1/2067 | 7,000,000 | 5,586,000 |
| | Kinder Morgan Energy Partners L.P., | | |
| | 5.00% due 3/1/2043 | 10,000,000 | 11,257,300 |
| | 5.80% due 3/15/2035 | 10,000,000 | 12,226,900 |
| | Kinder Morgan, Inc., | | |
| | 5.30% due 12/1/2034 | 23,630,000 | 28,047,156 |
| | 5.55% due 6/1/2045 | 5,000,000 | 5,985,500 |
| b,c,d,h | Linc USA GP / Linc Energy Finance USA, Inc., 9.625% due 10/31/2017 | 14,760,101 | 295,202 |
| | ONEOK Partners L.P., 4.90% due 3/15/2025 | 9,544,000 | 10,621,040 |
| d | Par Petroleum, LLC / Par Petroleum Finance Corp., 7.75% due 12/15/2025 | 1,672,000 | 1,692,733 |
| | Petroleos Mexicanos, | | |
| g | 5.95% due 1/28/2031 | 7,820,000 | 7,485,695 |
| d,g | 6.875% due 10/16/2025 | 2,000,000 | 2,161,460 |
| c,h | RAAM Global Energy Co., 12.50% due 10/1/2015 | 15,000,000 | 1,500 |
| | Summit Midstream Holdings, LLC / Summit Midstream Finance Corp., 5.50% due 8/15/2022 | 7,497,000 | 7,354,632 |
| e,f | Summit Midstream Partners L.P., Series A, 9.50% (LIBOR 3 Month + 7.43%) due 12/15/2022 | 16,097,000 | 9,982,233 |
| | Transcontinental Gas Pipe Line Co., LLC, 7.85% due 2/1/2026 | 32,700,000 | 41,476,680 |
| | Williams Companies, Inc., | | |
| | 3.70% due 1/15/2023 | 29,129,000 | 30,477,673 |
| | 4.55% due 6/24/2024 | 69,318,000 | 76,421,015 |
| | 5.75% due 6/24/2044 | 14,198,000 | 17,316,875 |
| | | | 306,275,639 |
| | Food & Staples Retailing — 0.0% | | |
| | Food & Staples Retailing — 0.0% | | |
| d | KeHE Distributors, LLC / KeHE Finance Corp., 8.625% due 10/15/2026 | 5,267,000 | 5,876,129 |
| | | | 5,876,129 |
| | Food, Beverage & Tobacco — 0.5% | | |
| | Tobacco — 0.5% | | |
| | Vector Group Ltd., | | |
| d | 5.75% due 2/1/2029 | 7,475,000 | 7,705,455 |
| d | 10.50% due 11/1/2026 | 40,305,000 | 43,152,145 |
| | | | 50,857,600 |
| | Insurance — 0.7% | | |
| | Insurance — 0.7% | | |
| d,e,f,g | Dai-ichi Life Insurance Co. Ltd., 7.25% (LIBOR 3 Month + 4.56%) due 7/25/2021 | 9,000,000 | 9,158,310 |
| d | MetLife, Inc., 9.25% due 4/8/2068 | 12,000,000 | 17,794,200 |
| d,f,g | QBE Insurance Group Ltd., 7.50% (USSW10 + 6.03%) due 11/24/2043 | 40,000,000 | 44,584,400 |
| | | | 71,536,910 |
| | Materials — 0.3% | | |
| | Chemicals — 0.1% | | |
| d,g | Consolidated Energy Finance S.A., 6.875% due 6/15/2025 | 13,000,000 | 13,261,170 |
| | Containers & Packaging — 0.1% | | |
| d | Matthews International Corp., 5.25% due 12/1/2025 | 14,969,000 | 15,476,898 |
| | Metals & Mining — 0.1% | | |
| d | Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | 5,000,000 | 5,435,200 |
| | | | 34,173,268 |
| | Media & Entertainment — 0.1% | | |
| | Media — 0.1% | | |
| d,g | Telenet Finance Luxembourg Notes Sarl, 5.50% due 3/1/2028 | 10,000,000 | 10,478,200 |
| | | | 10,478,200 |
| | Real Estate — 0.2% | | |
| | Equity Real Estate Investment Trusts — 0.2% | | |
| | CoreCivic, Inc., | | |
40 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | 4.625% due 5/1/2023 | $ 11,364,000 | $ 11,222,973 |
| | 4.75% due 10/15/2027 | 15,935,000 | 14,204,618 |
| | | | 25,427,591 |
| | Retailing — 0.2% | | |
| | Specialty Retail — 0.2% | | |
| d | Michaels Stores, Inc., 8.00% due 7/15/2027 | 20,055,000 | 22,191,459 |
| | | | 22,191,459 |
| | Software & Services — 0.2% | | |
| | Software — 0.2% | | |
| d | Solera, LLC / Solera Finance, Inc., 10.50% due 3/1/2024 | 24,990,000 | 25,788,680 |
| | | | 25,788,680 |
| | Telecommunication Services — 2.0% | | |
| | Diversified Telecommunication Services — 1.5% | | |
| g | Deutsche Telekom International Finance B.V. (Guaranty: Deutsche Telekom AG), 8.75% due 6/15/2030 | 26,150,000 | 38,789,079 |
| | Qwest Corp., 6.75% due 12/1/2021 | 9,000,000 | 9,293,670 |
| g | Telefonica Emisiones SAU (Guaranty: Telefonica S.A.), 7.045% due 6/20/2036 | 85,390,000 | 118,908,991 |
| | Wireless Telecommunication Services — 0.5% | | |
| | Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd., | | |
| d,g | 8.00% due 12/31/2026 | 10,003,281 | 9,681,375 |
| d,g | 8.75% due 5/25/2024 | 36,785,955 | 38,016,938 |
| | | | 214,690,053 |
| | Transportation — 0.3% | | |
| | Airlines — 0.3% | | |
| | American Airlines Pass Through Trust, | | |
| | Series 2013-2 Class A, 4.95% due 7/15/2024 | 7,484,963 | 7,478,301 |
| | Series 2016-3 Class B, 3.75% due 4/15/2027 | 13,554,299 | 12,727,351 |
| | Series 2019-1 Class B, 3.85% due 8/15/2029 | 9,195,273 | 8,390,134 |
| | US Airways Pass Through Trust, Series 2010-1 Class A, 6.25% due 10/22/2024 | 1,160,063 | 1,165,864 |
| | | | 29,761,650 |
| | Utilities — 0.1% | | |
| | Gas Utilities — 0.1% | | |
| d,g | Rockpoint Gas Storage Canada Ltd., 7.00% due 3/31/2023 | 12,648,000 | 12,792,440 |
| | | | 12,792,440 |
| | Total Corporate Bonds (Cost $836,247,988) | | 947,707,161 |
| | Convertible Bonds — 0.5% | | |
| | Diversified Financials — 0.5% | | |
| | Mortgage Real Estate Investment Trusts — 0.5% | | |
| | Chimera Investment Corp., 7.00% due 4/1/2023 | 25,000,000 | 48,642,250 |
| | | | 48,642,250 |
| | Total Convertible Bonds (Cost $25,000,000) | | 48,642,250 |
| | Other Government — 0.0% | | |
| | Brazilian Government International Bond (BRL), 12.50% due 1/5/2022 | 20,000,000 | 3,762,003 |
| | Total Other Government (Cost $12,359,554) | | 3,762,003 |
| | Mortgage Backed — 1.4% | | |
| d,f | Angel Oak Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class B1, 4.099% due 5/25/2059 | 5,000,000 | 5,020,080 |
| f | Bear Stearns ARM Trust, Whole Loan Securities Trust CMO, Series 2003-6 Class 2B1, 2.766% due 8/25/2033 | 34,659 | 34,659 |
| | Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,f | Series 2019-1 Class B4, 3.945% due 3/25/2050 | 1,074,083 | 1,087,659 |
| d,f | Series 2019-1 Class B5, 3.945% due 3/25/2050 | 489,808 | 465,041 |
| d,f | Series 2019-1 Class B6, 3.025% due 3/25/2050 | 972,054 | 543,828 |
| d,f | Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, Series 2016-SH2 Class M4, 3.75% due 12/25/2045 | 923,071 | 946,211 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 41 |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | CIM Trust, Whole Loan Securities Trust CMO, | | |
| d,f,j | Series 2020-J1 Class AIO1, 0.476% due 7/25/2050 | $154,903,839 | $ 1,574,567 |
| d,f,j | Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | 138,161,577 | 1,563,243 |
| d,f,j | Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | 168,333,025 | 768,053 |
| d,f | Series 2020-J1 Class B4, 3.476% due 7/25/2050 | 1,426,847 | 1,361,150 |
| d,f | Series 2020-J1 Class B5, 3.476% due 7/25/2050 | 713,917 | 599,360 |
| d,f | Series 2020-J1 Class B6, 3.476% due 7/25/2050 | 1,299,775 | 631,052 |
| d,f,j | Series 2020-J2 Class AX1, 0.31% due 1/25/2051 | 147,750,875 | 1,028,080 |
| d,f,j | Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | 155,078,446 | 776,354 |
| d,f | Series 2020-J2 Class B4, 2.81% due 1/25/2051 | 491,000 | 322,574 |
| d,f | Series 2020-J2 Class B5, 2.81% due 1/25/2051 | 164,000 | 90,401 |
| d,f | Series 2020-J2 Class B6, 2.81% due 1/25/2051 | 655,000 | 209,647 |
| | Citigroup Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, | | |
| f | Series 2004-HYB2 Class B1, 2.615% due 3/25/2034 | 277,554 | 277,554 |
| d,f | Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | 2,150,000 | 2,102,557 |
| d,f | Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | 1,450,000 | 1,239,784 |
| d,f | Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | 725,000 | 379,447 |
| d,j | Series 2020-EXP1 Class XS, 0.000% due 5/25/2060 | 129,016,930 | 3,695,174 |
| d,f,j | Series 2020-EXP2 Class A3IW, 1.099% due 8/25/2050 | 152,857,239 | 3,158,734 |
| d,f,j | Series 2020-EXP2 Class A4IW, 1.099% due 8/25/2050 | 16,432,153 | 339,564 |
| d,f | Series 2020-EXP2 Class B5, 3.599% due 8/25/2050 | 577,660 | 411,164 |
| d,f | Series 2020-EXP2 Class B6, 3.599% due 8/25/2050 | 1,385,008 | 623,443 |
| | CSMC Trust, Whole Loan Securities Trust CMO, | | |
| d,f | Series 2020-AFC1 Class M1, 2.841% due 2/25/2050 | 3,808,500 | 3,865,364 |
| b,d,f,j | Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | 145,000,000 | 1,015,000 |
| d,f | Series 2021-AFC1 Class B3, 4.413% due 3/25/2056 | 215,000 | 204,710 |
| b,d,f,j | Series 2021-AFC1 Class XS, 3.423% due 3/25/2056 | 145,000,000 | 11,863,204 |
| | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,f,j | Series 2020-2 Class AX1, 0.758% due 8/1/2050 | 298,995,771 | 5,113,067 |
| d,f,j | Series 2020-2 Class AX2, 0.50% due 8/1/2050 | 51,246,320 | 606,275 |
| d,f | Series 2020-2 Class B4, 3.758% due 8/1/2050 | 880,170 | 773,347 |
| d,f | Series 2020-2 Class B5, 3.758% due 8/1/2050 | 2,640,509 | 2,276,959 |
| d,f | Series 2020-2 Class B6C, 3.687% due 8/1/2050 | 3,520,678 | 1,931,684 |
| d,f | Galton Funding Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-H1 Class B1, 3.386% due 1/25/2060 | 4,379,900 | 4,371,121 |
| | GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, | | |
| d,f,j | Series 2020-INV1 Class A11X, 3.50% due 10/25/2050 | 3,116,978 | 176,105 |
| d,f,j | Series 2020-INV1 Class A12X, 3.00% due 10/25/2050 | 37,320,392 | 1,808,457 |
| d,f,j | Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | 166,190,342 | 839,245 |
| d,f,j | Series 2020-INV1 Class AX1, 0.02% due 10/25/2050 | 134,938,878 | 3,198 |
| d,f,j | Series 2020-INV1 Class AX2, 0.50% due 10/25/2050 | 6,726,109 | 60,795 |
| d,f,j | Series 2020-INV1 Class AX4, 0.95% due 10/25/2050 | 7,241,231 | 126,044 |
| d,f | Series 2020-INV1 Class B4, 3.97% due 10/25/2050 | 1,989,577 | 1,998,075 |
| d,f | Series 2020-INV1 Class B5, 3.97% due 10/25/2050 | 1,989,577 | 1,790,217 |
| d,f | Series 2020-INV1 Class B6, 3.97% due 10/25/2050 | 4,565,182 | 3,038,813 |
| d,f,j | Series 2020-INV1 Class BX, 0.47% due 10/25/2050 | 22,707,025 | 460,803 |
| d,f | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, Series 2019-2 Class B1, 4.087% due 9/25/2059 | 3,000,000 | 3,026,383 |
| | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,f | Series 2016-5 Class B5, 2.542% due 12/25/2046 | 2,000,000 | 1,302,747 |
| d,f,j | Series 2020-3 Class AX1, 0.199% due 8/25/2050 | 50,925,815 | 152,380 |
| d,f,j | Series 2020-4 Class A11X, 5.132% (5.25% - LIBOR 1 Month) due 11/25/2050 | 9,284,659 | 760,471 |
| d,f,j | Series 2020-4 Class A3X, 0.50% due 11/25/2050 | 42,090,454 | 369,167 |
| d,f,j | Series 2020-4 Class A4X, 0.50% due 11/25/2050 | 5,831,082 | 13,241 |
| d,f,j | Series 2020-4 Class AX1, 0.195% due 11/25/2050 | 155,466,973 | 470,645 |
| d,f,j | Series 2020-4 Class AX3, 3.50% due 11/25/2050 | 4,301,376 | 264,086 |
| d,f,j | Series 2020-4 Class AX4, 0.55% due 11/25/2050 | 9,926,848 | 95,773 |
| d,f | Series 2020-4 Class B4, 3.745% due 11/25/2050 | 2,052,499 | 2,009,246 |
| d,f | Series 2020-4 Class B5, 3.745% due 11/25/2050 | 947,459 | 844,585 |
| d,f | Series 2020-4 Class B6, 3.65% due 11/25/2050 | 1,603,555 | 1,137,561 |
| d,f,j | Series 2020-7 Class A3X, 0.50% due 1/25/2051 | 74,994,363 | 741,889 |
| d,f,j | Series 2020-7 Class AX1, 0.215% due 1/25/2051 | 356,408,855 | 1,288,988 |
| d,f,j | Series 2020-7 Class AX3, 3.50% due 1/25/2051 | 24,503,109 | 1,681,465 |
| d,f,j | Series 2020-7 Class AX4, 0.40% due 1/25/2051 | 22,721,065 | 157,807 |
| d,f | Series 2020-7 Class B4, 3.615% due 1/25/2051 | 2,513,150 | 2,372,157 |
42 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| d,f | Series 2020-7 Class B5, 3.615% due 1/25/2051 | $ 1,761,184 | $ 1,414,971 |
| d,f | Series 2020-7 Class B6, 3.615% due 1/25/2051 | 2,290,000 | 1,032,675 |
| f | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.187% due 8/25/2034 | 1,525,150 | 1,537,165 |
| d,f | Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class B1, 3.81% due 9/25/2059 | 1,500,000 | 1,518,226 |
| b,d | Saluda Grade Alternative Mortgage Grade, Whole Loan Securities Trust CMO, Series 2020-FIG1 Class C, due 9/25/2050 | 47,282,669 | 5,787,493 |
| d,f | Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-7 Class B3, 3.738% due 10/25/2047 | 2,289,822 | 2,356,635 |
| | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,f,j | Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | 175,227,424 | 611,141 |
| d,f | Series 2019-3 Class B2, 5.663% due 9/25/2059 | 7,910,000 | 7,570,604 |
| d,f | Series 2019-3 Class B3, 5.942% due 9/25/2059 | 3,366,214 | 2,148,112 |
| b,d,f | Series 2019-3 Class C, due 9/25/2059 | 950 | 950 |
| b,d | Series 2019-3 Class XS1, due 9/25/2059 | 175,021,557 | 4,620,114 |
| b,d | Series 2019-3 Class XS2, due 9/25/2059 | 180,603,979 | 3,091,796 |
| | Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, | | |
| d,f | Series 2018-IMC2 Class B1, 5.669% due 10/25/2048 | 3,000,000 | 3,070,455 |
| d,f | Series 2019-1 Class B1, 4.766% due 6/25/2049 | 2,000,000 | 2,009,635 |
| d,f | Series 2019-INV1 Class B1, 3.657% due 9/27/2049 | 10,000,000 | 10,178,074 |
| | Verus Securitization Trust, Whole Loan Securities Trust CMO, | | |
| d,f | Series 2019-2 Class B1, 4.437% due 5/25/2059 | 1,577,000 | 1,578,519 |
| d | Series 2019-INV1 Class B1, 4.991% due 12/25/2059 | 4,700,000 | 4,700,000 |
| d,f | Series 2020-1 Class B1, 3.624% due 1/25/2060 | 2,000,000 | 2,016,746 |
| d,f | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B2, 5.375% due 3/25/2065 | 4,500,000 | 4,508,429 |
| | Wells Fargo Mortgage Backed Securities Trust, Whole Loan Securities Trust CMO, | | |
| d,f,j | Series 2020-3 Class AIO1, 0.241% due 6/25/2050 | 352,157,925 | 1,724,870 |
| d,f | Series 2020-3 Class B5, 3.241% due 6/25/2050 | 1,046,000 | 660,385 |
| d,f | Series 2020-3 Class B6, 3.241% due 6/25/2050 | 2,091,953 | 1,230,407 |
| | Total Mortgage Backed (Cost $144,398,597) | | 151,627,856 |
| | Loan Participations — 0.8% | | |
| | Commercial & Professional Services — 0.5% | | |
| | Professional Services — 0.5% | | |
| k | Harland Clarke Holdings Corp., 5.75% (LIBOR 3 Month + 4.75%) due 11/3/2023 | 19,096,954 | 16,906,151 |
| k | Par Pacific Holdings, Inc., 7.00% (LIBOR 3 Month + 6.75%) due 1/12/2026 | 13,312,987 | 13,213,139 |
| k | R.R. Donnelley & Sons Company, 5.109% (LIBOR 1 Month + 5.00%) due 1/15/2024 | 16,617,500 | 16,503,338 |
| k | RGIS Services, LLC, 8.50% (LIBOR 1 Month + 7.50%) due 6/25/2025 | 7,002,093 | 6,879,557 |
| | | | 53,502,185 |
| | Energy — 0.1% | | |
| | Oil, Gas & Consumable Fuels — 0.1% | | |
| k | Citgo Holding, Inc., 8.00% (LIBOR 3 Month + 7.00%) due 8/1/2023 | 7,974,027 | 7,651,079 |
| b,i,k | Malamute Energy, Inc., 0.203% (LIBOR 3 Month + 1.50% PIK) due 11/22/2022 | 320,916 | 3,209 |
| | | | 7,654,288 |
| | Real Estate — 0.2% | | |
| | Equity Real Estate Investment Trusts — 0.2% | | |
| k | CoreCivic, Inc., 5.50% (LIBOR 1 Month + 4.50%) due 12/18/2024 | 13,130,625 | 12,632,712 |
| k | GEO Group, Inc., 2.75% (LIBOR 1 Month + 2.00%) due 3/22/2024 | 7,835,968 | 6,955,832 |
| | | | 19,588,544 |
| | Transportation — 0.0% | | |
| | Airlines — 0.0% | | |
| b,k | Wheels Up Partners, LLC, 7.50% (3 Month LIBOR + 6.50%) due 8/17/2025 | 9,286,956 | 7,568,870 |
| | | | 7,568,870 |
| | Total Loan Participations (Cost $91,474,877) | | 88,313,887 |
| | Short-Term Investments — 2.9% | | |
| a | Thornburg Capital Management Fund | 31,298,168 | 312,981,685 |
| | Total Short-Term Investments (Cost $312,981,685) | | 312,981,685 |
| | Total Investments — 99.6% (Cost $8,095,313,558) | | $10,884,807,411 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 43 |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Other Assets Less Liabilities — 0.4% | | 47,003,866 |
| | Net Assets — 100.0% | | $10,931,811,277 |
| Outstanding Forward Currency Contracts To Buy Or Sell At March 31, 2021 |
Contract
Description | Contract
Party* | Buy/Sell | Contract
Amount | Contract
Value Date | Value
USD | Unrealized
Appreciation | Unrealized
Depreciation |
| Great Britain Pound | SSB | Sell | 393,459,900 | 4/14/2021 | 542,437,180 | $ — | $ (6,182,026) |
| Swiss Franc | SSB | Sell | 40,482,500 | 4/26/2021 | 42,855,108 | 2,944,497 | — |
| Euro | SSB | Sell | 239,498,400 | 5/18/2021 | 281,105,532 | 9,311,425 | — |
| |
| Total | | | | | | $ 12,255,922 | $ (6,182,026) |
| |
| Net unrealized appreciation (depreciation) | | | | | | $ 6,073,896 | |
| * | Counterparty includes State Street Bank and Trust Company ("SSB"). |
| Footnote Legend |
| a | Investment in Affiliates. |
| b | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
| c | Non-income producing. |
| d | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $906,717,092, representing 8.29% of the Fund’s net assets. |
| e | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| f | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| g | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| h | Bond in default. |
| i | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at March 31, 2021. |
| j | Interest only. |
| k | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at March 31, 2021. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
| ARM | Adjustable Rate Mortgage |
| BRL | Denominated in Brazilian Real |
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rates |
| PIK | Payment-in-kind |
| SPV | Special Purpose Vehicle |
| USSW10 | USD 10 Year Swap Rate |
44 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Investment Income Builder Fund | March 31, 2021 (Unaudited)
COUNTRY EXPOSURE *
(percent of Fund) |
| United States | 44.8% |
| United Kingdom | 8.9% |
| France | 8.0% |
| Germany | 5.0% |
| Switzerland | 4.8% |
| Taiwan | 4.8% |
| China | 4.4% |
| Italy | 3.8% |
| South Korea | 3.7% |
| Netherlands | 2.4% |
| Australia | 1.8% |
| Russian Federation | 1.5% |
| Spain | 1.1% |
| Jamaica | 0.4% |
| Canada | 0.4% |
| Ireland | 0.3% |
| Cayman Islands | 0.1% |
| Denmark | 0.1% |
| Belgium | 0.1% |
| Mexico | 0.1% |
| Brazil | 0.1% |
| Japan | 0.1% |
| Other Assets Less Liabilities | 3.3% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 45 |
Schedule of Investments
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Common Stock — 53.9% | | |
| | Automobiles & Components — 1.7% | | |
| | Auto Components — 0.0% | | |
| a | Faurecia SE | 505 | $ 26,888 |
| | Automobiles — 1.7% | | |
| | Ferrari N.V. | 2,134 | 446,604 |
| | Stellantis N.V. | 29,638 | 527,260 |
| | | | 1,000,752 |
| | Banks — 2.3% | | |
| | Banks — 2.3% | | |
| | Citigroup, Inc. | 12,096 | 879,984 |
| a | HDFC Bank Ltd. ADR | 6,155 | 478,182 |
| | | | 1,358,166 |
| | Capital Goods — 0.8% | | |
| | Machinery — 0.8% | | |
| a | Kornit Digital Ltd. | 4,551 | 451,095 |
| | | | 451,095 |
| | Consumer Durables & Apparel — 1.4% | | |
| | Household Durables — 1.4% | | |
| a | Barratt Developments plc | 38,770 | 399,152 |
| | Sony Corp. | 3,879 | 406,204 |
| | | | 805,356 |
| | Consumer Services — 0.5% | | |
| | Hotels, Restaurants & Leisure — 0.5% | | |
| | Wyndham Hotels & Resorts, Inc. | 4,387 | 306,125 |
| | | | 306,125 |
| | Diversified Financials — 2.5% | | |
| | Capital Markets — 0.5% | | |
| | CME Group, Inc. | 1,466 | 299,401 |
| | Consumer Finance — 2.0% | | |
| | Capital One Financial Corp. | 9,204 | 1,171,025 |
| | | | 1,470,426 |
| | Energy — 3.8% | | |
| | Oil, Gas & Consumable Fuels — 3.8% | | |
| | Diamondback Energy, Inc. | 7,154 | 525,747 |
| | Reliance Industries Ltd. | 26,084 | 715,534 |
| | Total SE | 21,057 | 982,186 |
| | | | 2,223,467 |
| | Food & Staples Retailing — 0.8% | | |
| | Food & Staples Retailing — 0.8% | | |
| a | Grocery Outlet Holding Corp. | 12,489 | 460,719 |
| | | | 460,719 |
| | Food, Beverage & Tobacco — 0.7% | | |
| | Beverages — 0.7% | | |
| | Kweichow Moutai Co. Ltd. Class A | 1,330 | 407,623 |
| | | | 407,623 |
| | Health Care Equipment & Services — 0.5% | | |
| | Health Care Equipment & Supplies — 0.5% | | |
| | Cooper Companies, Inc. | 790 | 303,431 |
| | | | 303,431 |
| | Household & Personal Products — 0.6% | | |
| | Personal Products — 0.6% | | |
46 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Estee Lauder Cos, Inc. Class A | 1,110 | $ 322,844 |
| | | | 322,844 |
| | Insurance — 2.3% | | |
| | Insurance — 2.3% | | |
| | AIA Group Ltd. | 34,000 | 412,421 |
| | Assured Guaranty Ltd. | 8,111 | 342,933 |
| | NN Group N.V. | 12,133 | 593,181 |
| | | | 1,348,535 |
| | Materials — 2.3% | | |
| | Chemicals — 1.6% | | |
| | International Flavors & Fragrances, Inc. | 4,162 | 581,057 |
| | PPG Industries, Inc. | 2,508 | 376,852 |
| | Metals & Mining — 0.7% | | |
| | Lundin Mining Corp. | 39,415 | 405,535 |
| | | | 1,363,444 |
| | Media & Entertainment — 7.9% | | |
| | Entertainment — 3.5% | | |
| | Activision Blizzard, Inc. | 4,253 | 395,529 |
| | Nintendo Co. Ltd. | 677 | 377,922 |
| a | Sea Ltd. ADR | 3,043 | 679,289 |
| a | Zynga, Inc. Class A | 59,517 | 607,668 |
| | Interactive Media & Services — 4.4% | | |
| a | Cargurus, Inc. | 22,375 | 533,196 |
| a | Facebook, Inc. Class A | 3,366 | 991,388 |
| | Tencent Holdings Ltd. | 10,100 | 792,504 |
| | Z Holdings Corp. | 55,600 | 276,481 |
| | | | 4,653,977 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 4.5% | | |
| | Life Sciences Tools & Services — 1.0% | | |
| a | Avantor, Inc. | 20,882 | 604,116 |
| | Pharmaceuticals — 3.5% | | |
| | AstraZeneca plc | 7,105 | 709,840 |
| | Merck & Co., Inc. | 9,626 | 742,068 |
| | Roche Holding AG | 1,736 | 561,034 |
| | | | 2,617,058 |
| | Retailing — 6.4% | | |
| | Internet & Direct Marketing Retail — 4.7% | | |
| a | Amazon.com, Inc. | 429 | 1,327,361 |
| a,b | Meituan Class B | 19,300 | 740,312 |
| a | MercadoLibre, Inc. | 473 | 696,322 |
| | Specialty Retail — 1.7% | | |
| | Home Depot, Inc. | 2,333 | 712,148 |
| | TJX Companies, Inc. | 4,406 | 291,457 |
| | | | 3,767,600 |
| | Semiconductors & Semiconductor Equipment — 3.5% | | |
| | Semiconductors & Semiconductor Equipment — 3.5% | | |
| | ASML Holding N.V. | 1,140 | 691,166 |
| a | Micron Technology, Inc. | 8,006 | 706,209 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 5,259 | 622,035 |
| | | | 2,019,410 |
| | Software & Services — 6.8% | | |
| | Information Technology Services — 4.9% | | |
| a | 21Vianet Group, Inc. ADR | 17,065 | 551,200 |
| a,b | Adyen N.V. | 203 | 453,144 |
| a | GDS Holdings Ltd. ADR | 3,666 | 297,276 |
| | Mastercard, Inc. Class A | 1,321 | 470,342 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 47 |
Schedule of Investments, Continued
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| a | Shopify, Inc. Class A | 555 | $ 614,107 |
| | Visa, Inc. Class A | 2,317 | 490,578 |
| | Software — 1.9% | | |
| | Microsoft Corp. | 3,006 | 708,725 |
| a | ServiceNow, Inc. | 831 | 415,591 |
| | | | 4,000,963 |
| | Technology Hardware & Equipment — 0.6% | | |
| | Electronic Equipment, Instruments & Components — 0.6% | | |
| | Keyence Corp. | 746 | 338,690 |
| | | | 338,690 |
| | Telecommunication Services — 3.5% | | |
| | Diversified Telecommunication Services — 3.5% | | |
| a | Converge ICT Solutions, Inc. | 1,151,061 | 443,468 |
| | Deutsche Telekom AG | 46,472 | 935,726 |
| | Telefonica Brasil S.A. ADR | 88,398 | 695,692 |
| | | | 2,074,886 |
| | Transportation — 0.5% | | |
| | Air Freight & Logistics — 0.5% | | |
| a | InPost S.A. | 18,163 | 297,472 |
| | | | 297,472 |
| | Total Common Stock (Cost $26,749,669) | | 31,592,039 |
| | Asset Backed Securities — 4.1% | | |
| | Auto Receivables — 0.1% | | |
| b | American Credit Acceptance Receivables Trust, Series 2019-2 Class B, 3.05% due 5/12/2023 | $ 27,023 | 27,037 |
| b | Flagship Credit Auto Trust, Series 2018-3 Class A, 3.07% due 2/15/2023 | 1,150 | 1,150 |
| | | | 28,187 |
| | Other Asset Backed — 3.5% | | |
| | Aqua Finance Trust, | | |
| b | Series 2019-A Class A, 3.14% due 7/16/2040 | 56,261 | 57,734 |
| b | Series 2019-A, 3.47% due 7/16/2040 | 200,000 | 210,322 |
| b | Avant Loans Funding Trust, Series 2019-B Class B, 3.15% due 10/15/2026 | 525,000 | 529,568 |
| | Conn’s Receivables Funding, LLC, | | |
| b | Series 2019-A Class A, 3.40% due 10/16/2023 | 115,772 | 116,136 |
| b | Series 2020-A Class A, 1.71% due 6/16/2025 | 66,359 | 66,386 |
| b | Consumer Lending Receivables Trust, Series 2019-A Class A, 3.52% due 4/15/2026 | 2,188 | 2,190 |
| b | Diamond Resorts Owner Trust, Series 2018-1 Class A, 3.70% due 1/21/2031 | 34,101 | 35,610 |
| b,c | ECAF I Ltd., Series 2015-1A Class A2, 4.947% due 6/15/2040 | 196,172 | 183,110 |
| b | Foundation Finance Trust, Series 2019-1A Class A, 3.86% due 11/15/2034 | 94,060 | 97,215 |
| b | Freed ABS Trust, Series 2019-1 Class B, 3.87% due 6/18/2026 | 138,834 | 140,407 |
| b | Marlette Funding Trust, Series 2018-4A Class A, 3.71% due 12/15/2028 | 23,027 | 23,046 |
| b | MelTel Land Funding, LLC, Series 2019-1A Class A, 3.768% due 4/15/2049 | 98,766 | 104,149 |
| b | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1 Class DT1, 3.011% due 8/15/2053 | 250,000 | 251,429 |
| b,d | SBA Tower Trust, Series 2014-2A Class C, 3.869% due 10/15/2049 | 30,000 | 32,099 |
| b | Sierra Timeshare Receivables Funding, LLC, Series 2019-1A Class A, 3.20% due 1/20/2036 | 37,890 | 39,279 |
| b | SoFi Consumer Loan Program Trust, Series 2018-3 Class C, 4.67% due 8/25/2027 | 125,000 | 129,968 |
| b | SoFi Consumer Loan Program, LLC, Series 2017-6 Class A2, 2.82% due 11/25/2026 | 19,284 | 19,304 |
| b | Upstart Securitization Trust, Series 2019-1 Class B, 4.19% due 4/20/2026 | 6,153 | 6,161 |
| | | | 2,044,113 |
| | Student Loan — 0.5% | | |
| | SMB Private Education Loan Trust, | | |
| b | Series 2015-C Class A2A, 2.75% due 7/15/2027 | 63,510 | 64,125 |
| b | Series 2020-BA Class A1A, 1.29% due 7/15/2053 | 253,935 | 254,414 |
| | | | 318,539 |
| | Total Asset Backed Securities (Cost $2,307,095) | | 2,390,839 |
| | Corporate Bonds — 1.1% | | |
48 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Commercial & Professional Services — 0.0% | | |
| | Commercial Services & Supplies — 0.0% | | |
| b | Nielsen Finance, LLC / Nielsen Finance Co., 5.00% due 4/15/2022 | $ 23,000 | $ 23,022 |
| | | | 23,022 |
| | Diversified Financials — 0.0% | | |
| | Capital Markets — 0.0% | | |
| b | Owl Rock Technology Finance Corp., 4.75% due 12/15/2025 | 11,000 | 11,734 |
| | | | 11,734 |
| | Food, Beverage & Tobacco — 0.4% | | |
| | Tobacco — 0.4% | | |
| b | Vector Group Ltd., 10.50% due 11/1/2026 | 251,000 | 268,731 |
| | | | 268,731 |
| | Real Estate — 0.1% | | |
| | Equity Real Estate Investment Trusts — 0.1% | | |
| | Service Properties Trust, 4.95% due 2/15/2027 | 40,000 | 39,540 |
| | | | 39,540 |
| | Telecommunication Services — 0.6% | | |
| | Wireless Telecommunication Services — 0.6% | | |
| | Sprint Communications, Inc., 9.25% due 4/15/2022 | 310,000 | 333,938 |
| | | | 333,938 |
| | Total Corporate Bonds (Cost $648,495) | | 676,965 |
| | Convertible Bonds — 0.3% | | |
| | Diversified Financials — 0.3% | | |
| | Consumer Finance — 0.3% | | |
| | EZCORP, Inc., 2.375% due 5/1/2025 | 230,000 | 187,390 |
| | | | 187,390 |
| | Total Convertible Bonds (Cost $182,998) | | 187,390 |
| | U.S. Treasury Securities — 19.1% | | |
| | United States Treasury Notes, | | |
| | 0.125%, 5/31/2022 - 2/15/2024 | 2,000,000 | 1,996,063 |
| | 0.625%, 5/15/2030 - 8/15/2030 | 3,475,000 | 3,156,988 |
| | 1.125%, 2/15/2031 | 1,950,000 | 1,842,445 |
| | 1.375%, 4/30/2021 | 750,000 | 750,732 |
| | 2.625%, 6/15/2021 | 750,000 | 753,984 |
| | United States Treasury Notes Inflationary Index, | | |
| | 0.125%, 1/15/2030 - 7/15/2030 | 1,119,997 | 1,214,662 |
| | 0.25%, 2/15/2050 | 508,655 | 533,379 |
| | 0.50%, 1/15/2028 | 657,405 | 732,537 |
| | 3.625%, 4/15/2028 | 147,154 | 198,150 |
| | Total U.S. Treasury Securities (Cost $11,458,262) | | 11,178,940 |
| | Mortgage Backed — 8.5% | | |
| b,d | Angel Oak Mortgage Trust I, LLC, Whole Loan Securities Trust CMO, Series 2019-2 Class A1, 3.628% due 3/25/2049 | 62,169 | 63,457 |
| b,d | Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1, 3.805% due 1/25/2049 | 95,882 | 97,705 |
| | Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, Series 2019-1 Class MA, 3.50% due 7/25/2058 | 82,874 | 89,136 |
| | Federal Home Loan Mtg Corp., UMBS Collateral, | | |
| | Pool RC1535, 2.00% due 8/1/2035 | 637,510 | 654,838 |
| | Pool SB0308, 2.50% due 1/1/2035 | 326,321 | 343,620 |
| | Pool SB0448, 2.00% due 11/1/2035 | 480,805 | 496,522 |
| | Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, Series 2017-SC02 Class 1A, 3.00% due 5/25/2047 | 134,323 | 133,263 |
| | Federal National Mtg Assoc., UMBS Collateral, | | |
| | Pool BP8943, 2.00% due 7/1/2035 | 198,134 | 203,400 |
| | Pool BP9550, 2.50% due 7/1/2035 | 231,434 | 242,352 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 49 |
Schedule of Investments, Continued
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Pool CA7128, 2.00% due 9/1/2030 | $ 618,034 | $ 639,047 |
| | Pool FM3758, 2.50% due 8/1/2031 | 193,820 | 202,418 |
| | Pool MA4012, 2.00% due 5/1/2035 | 146,088 | 149,971 |
| | Pool MA4045, 2.00% due 6/1/2040 | 164,774 | 167,267 |
| | Pool MA4095, 2.00% due 8/1/2035 | 521,887 | 535,758 |
| | Pool MA4279, 2.00% due 3/1/2036 | 497,005 | 510,491 |
| b,d | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-2 Class B3, 4.125% due 12/25/2049 | 121,751 | 127,022 |
| b,d | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-6 Class A5, 3.50% due 12/25/2048 | 3,672 | 3,679 |
| b,d | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 118,827 | 123,448 |
| b,d | TIAA Bank Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2018-2 Class B3, 3.791% due 7/25/2048 | 172,338 | 178,927 |
| | Total Mortgage Backed (Cost $4,944,181) | | 4,962,321 |
| | Loan Participations — 0.1% | | |
| | Real Estate — 0.1% | | |
| | Equity Real Estate Investment Trusts — 0.1% | | |
| e | CoreCivic, Inc., 5.50% (LIBOR 1 Month + 4.50%) due 12/18/2024 | 74,500 | 71,675 |
| | | | 71,675 |
| | Total Loan Participations (Cost $71,521) | | 71,675 |
| | Exchange-Traded Funds — 3.3% | | |
| a | Invesco DB Agriculture Fund | 14,323 | 242,631 |
| a | Invesco DB Base Metals Fund | 47,028 | 876,132 |
| a | SPDR Gold Shares Fund | 4,950 | 791,802 |
| | Total Exchange-Traded Funds (Cost $1,708,874) | | 1,910,565 |
| | Short-Term Investments — 9.0% | | |
| | Egypt Treasury Bills (EGP), 13.75% due 1/18/2022 | 2,600,000 | 149,220 |
| | Egypt Treasury Bills (EGP), 13.82% due 10/12/2021 | 3,500,000 | 207,824 |
| f | Thornburg Capital Management Fund | 492,787 | 4,927,871 |
| | Total Short-Term Investments (Cost $5,287,994) | | 5,284,915 |
| | Total Investments — 99.4% (Cost $53,359,089) | | $58,255,649 |
| | Other Assets Less Liabilities — 0.6% | | 324,997 |
| | Net Assets — 100.0% | | $58,580,646 |
| Outstanding Forward Currency Contracts To Buy Or Sell At March 31, 2021 |
Contract
Description | Contract
Party* | Buy/Sell | Contract
Amount | Contract
Value Date | Value
USD | Unrealized
Appreciation | Unrealized
Depreciation |
| Euro | MSC | Buy | 433,820 | 4/28/2021 | 508,973 | $ — | $ (19,643) |
| Japanese Yen | MSC | Buy | 121,100,000 | 4/28/2021 | 1,093,976 | — | (75,688) |
| |
| Total | | | | | | — | $ (95,331) |
| |
| Net unrealized appreciation (depreciation) | | | | | | | $ (95,331) |
| * | Counterparty includes Morgan Stanely & Co. Inc. ("MSC"). |
50 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Summit Fund | March 31, 2021 (Unaudited)
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $4,482,020, representing 7.65% of the Fund’s net assets. |
| c | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| d | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| e | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at March 31, 2021. |
| f | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
| CMO | Collateralized Mortgage Obligation |
| EGP | Denominated in Egyptian Pound |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| UMBS | Uniform Mortgage Backed Securities |
COUNTRY EXPOSURE *
(percent of Fund) |
| United States | 61.9% |
| China | 4.8% |
| Netherlands | 3.0% |
| Japan | 2.4% |
| Taiwan | 2.2% |
| India | 2.0% |
| United Kingdom | 1.9% |
| France | 1.7% |
| Germany | 1.6% |
| Argentina | 1.2% |
| Brazil | 1.2% |
| Canada | 1.0% |
| Switzerland | 1.0% |
| Israel | 0.8% |
| Italy | 0.8% |
| Philippines | 0.7% |
| Hong Kong | 0.7% |
| Chile | 0.7% |
| Poland | 0.5% |
| Ireland | 0.3% |
| Other Assets Less Liabilities | 9.6% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 51 |
Schedule of Investments
Thornburg Global Opportunities Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 96.5% | | |
| | Banks — 4.5% | | |
| | Banks — 4.5% | | |
| | Citigroup, Inc. | 671,318 | $ 48,838,384 |
| | | | 48,838,384 |
| | Capital Goods — 3.5% | | |
| | Electrical Equipment — 3.5% | | |
| | Vestas Wind Systems A/S | 185,024 | 37,977,574 |
| | | | 37,977,574 |
| | Commercial & Professional Services — 2.4% | | |
| | Professional Services — 2.4% | | |
| a | CACI International, Inc. Class A | 103,000 | 25,405,980 |
| | | | 25,405,980 |
| | Consumer Durables & Apparel — 4.6% | | |
| | Household Durables — 4.6% | | |
| a | Barratt Developments plc | 4,834,780 | 49,775,891 |
| | | | 49,775,891 |
| | Consumer Services — 1.4% | | |
| | Hotels, Restaurants & Leisure — 1.4% | | |
| a | Galaxy Entertainment Group Ltd. | 1,634,462 | 14,717,117 |
| | | | 14,717,117 |
| | Diversified Financials — 9.6% | | |
| | Capital Markets — 3.7% | | |
| | Charles Schwab Corp. | 621,929 | 40,537,332 |
| | Consumer Finance — 5.9% | | |
| | Capital One Financial Corp. | 499,156 | 63,507,618 |
| | | | 104,044,950 |
| | Energy — 7.5% | | |
| | Oil, Gas & Consumable Fuels — 7.5% | | |
| | Reliance Industries Ltd. | 1,992,913 | 52,301,827 |
| | Total SE | 611,899 | 28,541,505 |
| | | | 80,843,332 |
| | Food & Staples Retailing — 2.6% | | |
| | Food & Staples Retailing — 2.6% | | |
| | Tesco plc | 8,832,699 | 27,866,496 |
| | | | 27,866,496 |
| | Health Care Equipment & Services — 0.7% | | |
| | Health Care Providers & Services — 0.7% | | |
| a | DaVita, Inc. | 74,297 | 8,006,988 |
| | | | 8,006,988 |
| | Insurance — 4.8% | | |
| | Insurance — 4.8% | | |
| | NN Group N.V. | 1,069,674 | 52,296,216 |
| | | | 52,296,216 |
| | Materials — 9.5% | | |
| | Chemicals — 5.2% | | |
| | CF Industries Holdings, Inc. | 623,240 | 28,282,631 |
| a | OCI N.V. | 1,301,962 | 28,139,124 |
| | Metals & Mining — 4.3% | | |
| | Lundin Mining Corp. | 1,886,186 | 19,406,688 |
| | Mineral Resources Ltd. | 919,290 | 26,547,341 |
| | | | 102,375,784 |
| | Media & Entertainment — 9.0% | | |
52 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Global Opportunities Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Interactive Media & Services — 9.0% | | |
| a | Alphabet, Inc. Class A | 24,948 | $ 51,455,749 |
| a | Facebook, Inc. Class A | 153,509 | 45,213,006 |
| | | | 96,668,755 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 5.6% | | |
| | Biotechnology — 3.4% | | |
| | AbbVie, Inc. | 342,680 | 37,084,829 |
| | Pharmaceuticals — 2.2% | | |
| | Roche Holding AG | 71,626 | 23,147,820 |
| | | | 60,232,649 |
| | Retailing — 6.2% | | |
| | Internet & Direct Marketing Retail — 3.1% | | |
| a | Alibaba Group Holding Ltd. Sponsored ADR | 148,401 | 33,646,959 |
| | Specialty Retail — 3.1% | | |
| | TJX Companies, Inc. | 499,007 | 33,009,313 |
| | | | 66,656,272 |
| | Semiconductors & Semiconductor Equipment — 9.9% | | |
| | Semiconductors & Semiconductor Equipment — 9.9% | | |
| a | Micron Technology, Inc. | 316,913 | 27,954,896 |
| a | Qorvo, Inc. | 255,504 | 46,680,581 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | 1,558,114 | 32,054,565 |
| | | | 106,690,042 |
| | Software & Services — 2.2% | | |
| | Information Technology Services — 2.2% | | |
| a | GDS Holdings Ltd. ADR | 288,603 | 23,402,817 |
| | | | 23,402,817 |
| | Technology Hardware & Equipment — 5.1% | | |
| | Technology Hardware, Storage & Peripherals — 5.1% | | |
| | Samsung Electronics Co. Ltd. | 765,727 | 55,074,158 |
| | | | 55,074,158 |
| | Telecommunication Services — 7.4% | | |
| | Diversified Telecommunication Services — 4.5% | | |
| | China Telecom Corp. Ltd. | 124,622,045 | 42,801,207 |
| a | Converge ICT Solutions, Inc. | 16,520,723 | 6,364,924 |
| | Wireless Telecommunication Services — 2.9% | | |
| a | T-Mobile US, Inc. | 249,308 | 31,235,799 |
| | | | 80,401,930 |
| | Total Common Stock (Cost $624,363,095) | | 1,041,275,335 |
| | Short-Term Investments — 3.9% | | |
| b | Thornburg Capital Management Fund | 4,162,748 | 41,627,476 |
| | Total Short-Term Investments (Cost $41,627,476) | | 41,627,476 |
| | Total Investments — 100.4% (Cost $665,990,571) | | $1,082,902,811 |
| | Liabilities Net of Other Assets — (0.4)% | | (4,242,291) |
| | Net Assets — 100.0% | | $1,078,660,520 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 53 |
Schedule of Investments, Continued
Thornburg Global Opportunities Fund | March 31, 2021 (Unaudited)
| Outstanding Forward Currency Contracts To Buy Or Sell At March 31, 2021 |
Contract
Description | Contract
Party* | Buy/Sell | Contract
Amount | Contract
Value Date | Value
USD | Unrealized
Appreciation | Unrealized
Depreciation |
| Great Britain Pound | SSB | Sell | 30,161,600 | 4/14/2021 | 41,581,806 | $ — | $ (473,898) |
| Euro | SSB | Sell | 17,028,000 | 5/18/2021 | 19,986,209 | 662,029 | — |
| |
| Total | | | | | | $ 662,029 | $ (473,898) |
| |
| Net unrealized appreciation (depreciation) | | | | | | $ 188,131 | |
| * | Counterparty includes State Street Bank and Trust Company ("SSB"). |
| Footnote Legend |
| a | Non-income producing. |
| b | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
COUNTRY EXPOSURE *
(percent of equity holdings) |
| United States | 46.8% |
| China | 9.6% |
| Netherlands | 7.7% |
| United Kingdom | 7.5% |
| South Korea | 5.3% |
| India | 5.0% |
| Denmark | 3.6% |
| Taiwan | 3.1% |
| France | 2.7% |
| Australia | 2.6% |
| Switzerland | 2.2% |
| Chile | 1.9% |
| Macao | 1.4% |
| Philippines | 0.6% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
54 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg International Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 97.0% | | |
| | Banks — 15.1% | | |
| | Banks — 15.1% | | |
| | China Merchants Bank Co. Ltd. Class A | 11,572,481 | $ 90,214,154 |
| | Citigroup, Inc. | 1,820,967 | 132,475,349 |
| a | Intesa Sanpaolo SpA | 28,373,760 | 76,879,366 |
| | JPMorgan Chase & Co. | 688,576 | 104,821,925 |
| | Mitsubishi UFJ Financial Group, Inc. | 13,745,984 | 73,456,751 |
| | Ping An Bank Co. Ltd. Class A | 28,809,658 | 96,735,404 |
| | | | 574,582,949 |
| | Capital Goods — 12.6% | | |
| | Aerospace & Defense — 2.2% | | |
| a | Safran S.A. | 603,602 | 82,145,305 |
| | Construction & Engineering — 3.5% | | |
| | Ferrovial S.A. | 2,390,799 | 62,326,029 |
| | Vinci S.A. | 683,348 | 70,007,003 |
| | Electrical Equipment — 5.0% | | |
| | ABB Ltd. | 2,904,875 | 87,777,845 |
| | Schneider Electric SE | 484,596 | 74,019,217 |
| a | Siemens Energy AG | 789,086 | 28,325,305 |
| | Machinery — 1.9% | | |
| | Knorr-Bremse AG | 278,140 | 34,711,520 |
| | Kone OYJ Class B | 481,223 | 39,311,243 |
| | | | 478,623,467 |
| | Commercial & Professional Services — 1.8% | | |
| | Professional Services — 1.8% | | |
| | Recruit Holdings Co. Ltd. | 1,422,883 | 69,406,106 |
| | | | 69,406,106 |
| | Consumer Durables & Apparel — 7.9% | | |
| | Household Durables — 1.8% | | |
| | Sony Corp. | 651,453 | 68,219,440 |
| | Textiles, Apparel & Luxury Goods — 6.1% | | |
| a | adidas AG | 303,532 | 94,754,417 |
| | Kering S.A. | 56,573 | 39,049,583 |
| | LVMH Moet Hennessy Louis Vuitton SE | 143,828 | 95,819,778 |
| | | | 297,843,218 |
| | Diversified Financials — 2.3% | | |
| | Capital Markets — 2.3% | | |
| | CME Group, Inc. | 420,210 | 85,819,488 |
| | | | 85,819,488 |
| | Energy — 2.9% | | |
| | Oil, Gas & Consumable Fuels — 2.9% | | |
| | Total SE | 2,365,587 | 110,340,778 |
| | | | 110,340,778 |
| | Food, Beverage & Tobacco — 4.0% | | |
| | Beverages — 2.8% | | |
| | Kweichow Moutai Co. Ltd. Class A | 154,060 | 47,216,863 |
| | Wuliangye Yibin Co. Ltd. Class A | 1,426,608 | 58,322,260 |
| | Tobacco — 1.2% | | |
| | Swedish Match AB | 580,219 | 45,296,339 |
| | | | 150,835,462 |
| | Household & Personal Products — 1.4% | | |
| | Personal Products — 1.4% | | |
| | Shiseido Co. Ltd. | 784,360 | 52,576,382 |
| | | | 52,576,382 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 55 |
Schedule of Investments, Continued
Thornburg International Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Insurance — 1.0% | | |
| | Insurance — 1.0% | | |
| | Assicurazioni Generali SpA | 1,896,334 | $ 37,938,555 |
| | | | 37,938,555 |
| | Materials — 8.8% | | |
| | Chemicals — 5.9% | | |
| | Air Liquide S.A. | 368,641 | 60,220,129 |
| | Linde plc | 240,426 | 67,357,275 |
| | Sika AG | 332,437 | 94,966,926 |
| | Construction Materials — 2.9% | | |
| | Anhui Conch Cement Co. Ltd. Class A | 8,869,004 | 69,301,356 |
| | Beijing Oriental Yuhong Waterproof Technology Co. Ltd. Class A | 5,142,826 | 40,138,364 |
| | | | 331,984,050 |
| | Media & Entertainment — 7.2% | | |
| | Entertainment — 2.9% | | |
| | Nintendo Co. Ltd. | 79,775 | 44,532,786 |
| | Walt Disney Co. | 347,423 | 64,106,492 |
| | Interactive Media & Services — 4.3% | | |
| | Tencent Holdings Ltd. | 1,323,292 | 103,832,999 |
| | Z Holdings Corp. | 12,154,249 | 60,439,192 |
| | | | 272,911,469 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 3.4% | | |
| | Life Sciences Tools & Services — 1.3% | | |
| | Lonza Group AG | 85,794 | 47,964,397 |
| | Pharmaceuticals — 2.1% | | |
| | AstraZeneca plc | 400,496 | 40,012,387 |
| | Roche Holding AG | 125,718 | 40,629,067 |
| | | | 128,605,851 |
| | Retailing — 4.0% | | |
| | Internet & Direct Marketing Retail — 4.0% | | |
| a | Alibaba Group Holding Ltd. Sponsored ADR | 424,878 | 96,332,589 |
| a,b | Meituan Class B | 1,421,861 | 54,539,940 |
| | | | 150,872,529 |
| | Semiconductors & Semiconductor Equipment — 4.4% | | |
| | Semiconductors & Semiconductor Equipment — 4.4% | | |
| | Infineon Technologies AG | 2,058,209 | 87,265,939 |
| | LONGi Green Energy Technology Co. Ltd. Class A | 1,290,996 | 17,331,449 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 521,777 | 61,715,784 |
| | | | 166,313,172 |
| | Software & Services — 3.3% | | |
| | Information Technology Services — 3.3% | | |
| | Amadeus IT Group S.A. | 804,735 | 56,981,376 |
| | Mastercard, Inc. Class A | 193,440 | 68,874,312 |
| | | | 125,855,688 |
| | Technology Hardware & Equipment — 6.4% | | |
| | Communications Equipment — 2.9% | | |
| | Telefonaktiebolaget LM Ericsson Class B | 8,462,437 | 111,964,298 |
| | Electronic Equipment, Instruments & Components — 1.7% | | |
| | Keyence Corp. | 146,001 | 66,285,575 |
| | Technology Hardware, Storage & Peripherals — 1.8% | | |
| | Samsung Electronics Co. Ltd. | 924,305 | 66,479,723 |
| | | | 244,729,596 |
| | Telecommunication Services — 1.0% | | |
| | Diversified Telecommunication Services — 1.0% | | |
| a | Vantage Towers AG | 1,383,718 | 38,944,467 |
56 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg International Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | | | 38,944,467 |
| | Transportation — 4.5% | | |
| | Marine — 2.4% | | |
| | Kuehne + Nagel International AG | 312,794 | $ 89,256,247 |
| | Road & Rail — 2.1% | | |
| | Canadian Pacific Railway Ltd. | 213,086 | 80,821,389 |
| | | | 170,077,636 |
| | Utilities — 5.0% | | |
| | Electric Utilities — 3.8% | | |
| a | Electricite de France S.A. | 1,364,067 | 18,299,898 |
| | Enel SpA | 5,915,401 | 58,915,863 |
| | Iberdrola S.A. | 5,291,187 | 68,161,651 |
| | Multi-Utilities — 1.2% | | |
| | E.ON SE | 3,742,361 | 43,553,129 |
| | | | 188,930,541 |
| | Total Common Stock (Cost $2,603,134,313) | | 3,677,191,404 |
| | Short-Term Investments — 4.4% | | |
| c | Thornburg Capital Management Fund | 16,681,605 | 166,816,051 |
| | Total Short-Term Investments (Cost $166,816,051) | | 166,816,051 |
| | Total Investments — 101.4% (Cost $2,769,950,364) | | $3,844,007,455 |
| | Liabilities Net of Other Assets — (1.4)% | | (52,977,142) |
| | Net Assets — 100.0% | | $3,791,030,313 |
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $54,539,940, representing 1.44% of the Fund’s net assets. |
| c | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
COUNTRY EXPOSURE *
(percent of equity holdings) |
| China | 18.3% |
| France | 15.0% |
| United States | 12.4% |
| Japan | 11.8% |
| Switzerland | 9.8% |
| Germany | 8.9% |
| Spain | 5.1% |
| Italy | 4.7% |
| Sweden | 4.3% |
| United Kingdom | 2.9% |
| Canada | 2.2% |
| South Korea | 1.8% |
| Taiwan | 1.7% |
| Finland | 1.1% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 57 |
Schedule of Investments
Thornburg Better World International Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 95.0% | | |
| | Banks — 9.2% | | |
| | Banks — 9.2% | | |
| | DNB ASA | 171,359 | $ 3,646,298 |
| | ING Groep N.V. | 417,518 | 5,107,751 |
| a | Intesa Sanpaolo SpA | 1,666,634 | 4,515,784 |
| | Mitsubishi UFJ Financial Group, Inc. | 916,700 | 4,898,726 |
| | | | 18,168,559 |
| | Capital Goods — 11.3% | | |
| | Construction & Engineering — 1.3% | | |
| | Vinci S.A. | 24,699 | 2,530,341 |
| | Electrical Equipment — 7.9% | | |
| | ABB Ltd. | 124,079 | 3,749,348 |
| a | Ballard Power Systems, Inc. | 68,505 | 1,667,412 |
| | Schneider Electric SE | 25,079 | 3,830,671 |
| a | Shoals Technologies Group, Inc. Class A | 25,000 | 869,500 |
| a | Siemens Energy AG | 106,515 | 3,823,499 |
| | Vestas Wind Systems A/S | 8,494 | 1,743,458 |
| | Machinery — 2.1% | | |
| a | Alstom S.A. | 44,804 | 2,234,071 |
| a | Sandvik AB | 71,068 | 1,941,595 |
| | | | 22,389,895 |
| | Commercial & Professional Services — 5.3% | | |
| | Professional Services — 5.3% | | |
| | Experian plc | 111,626 | 3,842,571 |
| | Recruit Holdings Co. Ltd. | 81,100 | 3,955,937 |
| | RELX plc | 104,564 | 2,622,122 |
| | | | 10,420,630 |
| | Consumer Durables & Apparel — 8.8% | | |
| | Household Durables — 4.3% | | |
| a | Barratt Developments plc | 462,977 | 4,766,524 |
| | Sony Corp. | 35,404 | 3,707,468 |
| | Textiles, Apparel & Luxury Goods — 4.5% | | |
| a | adidas AG | 10,892 | 3,400,185 |
| a | Dr. Martens plc | 150,000 | 937,172 |
| | LVMH Moet Hennessy Louis Vuitton SE | 4,471 | 2,978,629 |
| | Shenzhou International Group Holdings Ltd. | 77,300 | 1,601,861 |
| | | | 17,391,839 |
| | Consumer Services — 4.3% | | |
| | Diversified Consumer Services — 4.3% | | |
| a | Coursera, Inc. | 154,072 | 6,933,240 |
| a | TAL Education Group ADR | 28,094 | 1,512,862 |
| | | | 8,446,102 |
| | Diversified Financials — 2.9% | | |
| | Capital Markets — 2.9% | | |
| | CME Group, Inc. | 20,071 | 4,099,100 |
| | Hong Kong Exchanges & Clearing Ltd. | 26,400 | 1,553,281 |
| | | | 5,652,381 |
| | Food, Beverage & Tobacco — 2.9% | | |
| | Food Products — 2.9% | | |
| a | Darling Ingredients, Inc. | 47,747 | 3,513,224 |
| a | Nomad Foods Ltd. | 80,717 | 2,216,489 |
| | | | 5,729,713 |
| | Health Care Equipment & Services — 0.6% | | |
| | Health Care Providers & Services — 0.6% | | |
| a | Innovage Holding Corp. | 48,363 | 1,247,282 |
58 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Better World International Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | | | 1,247,282 |
| | Insurance — 4.5% | | |
| | Insurance — 4.5% | | |
| | AIA Group Ltd. | 242,205 | $ 2,937,952 |
| | Assicurazioni Generali SpA | 117,046 | 2,341,653 |
| | AXA S.A. | 135,270 | 3,630,273 |
| | | | 8,909,878 |
| | Materials — 8.6% | | |
| | Chemicals — 3.4% | | |
| | Koninklijke DSM N.V. | 5,723 | 968,449 |
| | Linde plc | 13,902 | 3,894,757 |
| | Sika AG | 6,483 | 1,851,992 |
| | Construction Materials — 1.3% | | |
| | CRH plc | 54,881 | 2,565,594 |
| | Containers & Packaging — 2.5% | | |
| a | SCG Packaging PCL | 2,291,500 | 3,428,084 |
| | SIG Combibloc Group AG | 62,042 | 1,434,945 |
| | Paper & Forest Products — 1.4% | | |
| | Mondi plc | 108,472 | 2,766,479 |
| | | | 16,910,300 |
| | Media & Entertainment — 4.4% | | |
| | Interactive Media & Services — 4.2% | | |
| a | Bilibili, Inc. Class Z | 9,400 | 1,001,171 |
| a | Bumble, Inc. Class A | 32,773 | 2,044,380 |
| | Tencent Holdings Ltd. | 67,589 | 5,303,416 |
| | Media — 0.2% | | |
| a | Zhihu, Inc. ADR | 38,802 | 314,684 |
| | | | 8,663,651 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 1.9% | | |
| | Life Sciences Tools & Services — 1.0% | | |
| | Lonza Group AG | 3,478 | 1,944,427 |
| | Pharmaceuticals — 0.9% | | |
| | Roche Holding AG | 5,676 | 1,834,348 |
| | | | 3,778,775 |
| | Real Estate — 2.0% | | |
| | Real Estate Management & Development — 2.0% | | |
| | Vonovia SE | 59,835 | 3,908,386 |
| | | | 3,908,386 |
| | Retailing — 4.2% | | |
| | Internet & Direct Marketing Retail — 3.0% | | |
| a,b | Meituan Class B | 87,072 | 3,339,920 |
| a | Pinduoduo, Inc. ADR | 18,471 | 2,472,897 |
| | Specialty Retail — 1.2% | | |
| | China Tourism Group Duty Free Corp. Ltd. Class A | 52,070 | 2,431,363 |
| | | | 8,244,180 |
| | Semiconductors & Semiconductor Equipment — 4.4% | | |
| | Semiconductors & Semiconductor Equipment — 4.4% | | |
| | Infineon Technologies AG | 84,952 | 3,601,877 |
| | LONGi Green Energy Technology Co. Ltd. Class A | 75,810 | 1,017,739 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 34,232 | 4,048,961 |
| | | | 8,668,577 |
| | Software & Services — 4.6% | | |
| | Information Technology Services — 4.6% | | |
| a | Amadeus IT Group S.A. | 50,072 | 3,545,479 |
| a | Appier Group, Inc. | 33,086 | 481,088 |
| | Edenred | 31,305 | 1,635,125 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 59 |
Schedule of Investments, Continued
Thornburg Better World International Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Visa, Inc. Class A | 16,413 | $ 3,475,124 |
| | | | 9,136,816 |
| | Technology Hardware & Equipment — 3.8% | | |
| | Communications Equipment — 1.7% | | |
| | Telefonaktiebolaget LM Ericsson Class B | 263,365 | 3,484,514 |
| | Electronic Equipment, Instruments & Components — 2.1% | | |
| | Keyence Corp. | 2,862 | 1,299,370 |
| | Murata Manufacturing Co. Ltd. | 34,900 | 2,786,957 |
| | | | 7,570,841 |
| | Telecommunication Services — 0.9% | | |
| | Diversified Telecommunication Services — 0.9% | | |
| a | Vantage Towers AG | 66,071 | 1,859,555 |
| | | | 1,859,555 |
| | Transportation — 4.0% | | |
| | Marine — 2.2% | | |
| | Kuehne + Nagel International AG | 15,328 | 4,373,868 |
| | Road & Rail — 1.8% | | |
| | Canadian Pacific Railway Ltd. | 9,048 | 3,431,816 |
| | | | 7,805,684 |
| | Utilities — 6.4% | | |
| | Electric Utilities — 2.8% | | |
| | Enel SpA | 341,841 | 3,404,648 |
| | Iberdrola S.A. | 170,472 | 2,196,039 |
| | Independent Power and Renewable Electricity Producers — 2.0% | | |
| | China Longyuan Power Group Corp. Ltd. Class H | 2,847,000 | 3,867,241 |
| | Multi-Utilities — 1.6% | | |
| | E.ON SE | 266,753 | 3,104,438 |
| | | | 12,572,366 |
| | Total Common Stock (Cost $165,663,979) | | 187,475,410 |
| | Short-Term Investments — 8.8% | | |
| c | Thornburg Capital Management Fund | 1,743,726 | 17,437,255 |
| | Total Short-Term Investments (Cost $17,437,255) | | 17,437,255 |
| | Total Investments — 103.8% (Cost $183,101,234) | | $204,912,665 |
| | Liabilities Net of Other Assets — (3.8)% | | (7,571,945) |
| | Net Assets — 100.0% | | $197,340,720 |
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $3,339,920, representing 1.69% of the Fund’s net assets. |
| c | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
60 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Better World International Fund | March 31, 2021 (Unaudited)
COUNTRY EXPOSURE *
(percent of equity holdings) |
| China | 12.2% |
| United States | 11.8% |
| United Kingdom | 11.2% |
| Germany | 10.5% |
| Japan | 9.1% |
| France | 9.0% |
| Switzerland | 8.1% |
| Italy | 5.5% |
| Netherlands | 3.2% |
| Spain | 3.1% |
| Sweden | 2.9% |
| Canada | 2.7% |
| Hong Kong | 2.4% |
| Taiwan | 2.2% |
| Norway | 2.0% |
| Thailand | 1.8% |
| Ireland | 1.4% |
| Denmark | 0.9% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 61 |
Schedule of Investments
Thornburg International Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 97.8% | | |
| | Automobiles & Components — 2.1% | | |
| | Automobiles — 2.1% | | |
| | Ferrari N.V. | 197,400 | $ 41,311,872 |
| | | | 41,311,872 |
| | Capital Goods — 1.3% | | |
| | Trading Companies & Distributors — 1.3% | | |
| | MonotaRO Co. Ltd. | 981,492 | 26,539,508 |
| | | | 26,539,508 |
| | Commercial & Professional Services — 4.8% | | |
| | Professional Services — 4.8% | | |
| | Experian plc | 1,133,600 | 39,022,618 |
| | Nihon M&A Center, Inc. | 1,412,600 | 38,183,895 |
| | Wolters Kluwer N.V. | 202,312 | 17,585,065 |
| | | | 94,791,578 |
| | Consumer Durables & Apparel — 4.9% | | |
| | Textiles, Apparel & Luxury Goods — 4.9% | | |
| a | adidas AG | 146,339 | 45,683,047 |
| | LVMH Moet Hennessy Louis Vuitton SE | 76,636 | 51,055,737 |
| | | | 96,738,784 |
| | Consumer Services — 3.5% | | |
| | Diversified Consumer Services — 1.5% | | |
| a | TAL Education Group ADR | 559,182 | 30,111,951 |
| | Hotels, Restaurants & Leisure — 2.0% | | |
| b | Evolution Gaming Group AB | 261,139 | 38,452,702 |
| | | | 68,564,653 |
| | Diversified Financials — 2.2% | | |
| | Capital Markets — 2.2% | | |
| | Japan Exchange Group, Inc. | 1,814,600 | 42,527,767 |
| | | | 42,527,767 |
| | Energy — 0.5% | | |
| | Oil, Gas & Consumable Fuels — 0.5% | | |
| | Reliance Industries Ltd. | 387,900 | 10,640,839 |
| | | | 10,640,839 |
| | Food, Beverage & Tobacco — 3.0% | | |
| | Food Products — 3.0% | | |
| | Nestle S.A. | 522,487 | 58,232,852 |
| | | | 58,232,852 |
| | Health Care Equipment & Services — 1.3% | | |
| | Health Care Equipment & Supplies — 1.3% | | |
| b | Siemens Healthineers AG | 464,054 | 25,141,861 |
| | | | 25,141,861 |
| | Materials — 2.8% | | |
| | Chemicals — 2.0% | | |
| | Air Liquide S.A. | 115,600 | 18,884,082 |
| | Sika AG | 70,200 | 20,053,960 |
| | Containers & Packaging — 0.8% | | |
| | SIG Combibloc Group AG | 733,844 | 16,972,787 |
| | | | 55,910,829 |
| | Media & Entertainment — 16.4% | | |
| | Entertainment — 7.3% | | |
| | Activision Blizzard, Inc. | 785,375 | 73,039,875 |
62 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg International Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| a | Sea Ltd. ADR | 49,364 | $ 11,019,526 |
| a | Ubisoft Entertainment S.A. | 775,908 | 59,034,787 |
| | Interactive Media & Services — 9.1% | | |
| | carsales.com Ltd. | 2,668,722 | 36,101,366 |
| | Tencent Holdings Ltd. | 1,256,900 | 98,623,506 |
| a | Yandex N.V. Class A | 711,576 | 45,583,558 |
| | | | 323,402,618 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 7.5% | | |
| | Biotechnology — 1.7% | | |
| | CSL Ltd. | 160,443 | 32,251,435 |
| | Life Sciences Tools & Services — 2.6% | | |
| | Lonza Group AG | 92,500 | 51,713,485 |
| | Pharmaceuticals — 3.2% | | |
| | AstraZeneca plc | 630,982 | 63,039,571 |
| | | | 147,004,491 |
| | Real Estate — 1.2% | | |
| | Real Estate Management & Development — 1.2% | | |
| a | KE Holdings, Inc. ADR | 397,857 | 22,669,892 |
| | | | 22,669,892 |
| | Retailing — 14.5% | | |
| | Internet & Direct Marketing Retail — 12.4% | | |
| a | Alibaba Group Holding Ltd. | 328,400 | 9,293,423 |
| a | Alibaba Group Holding Ltd. Sponsored ADR | 442,854 | 100,408,288 |
| a,b | Boozt AB | 1,167,293 | 24,352,436 |
| a,b | Just Eat Takeaway.com N.V. | 316,870 | 29,214,677 |
| a | MercadoLibre, Inc. | 40,852 | 60,139,863 |
| | Prosus N.V. | 183,197 | 20,366,370 |
| | Multiline Retail — 1.9% | | |
| | B&M European Value Retail S.A. | 5,299,337 | 38,559,282 |
| | Specialty Retail — 0.2% | | |
| a,b | Auto1 Group SE | 69,612 | 3,947,004 |
| | | | 286,281,343 |
| | Semiconductors & Semiconductor Equipment — 9.6% | | |
| | Semiconductors & Semiconductor Equipment — 9.6% | | |
| | ASML Holding N.V. | 90,229 | 54,704,571 |
| | SK Hynix, Inc. | 425,644 | 49,832,410 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | 4,121,000 | 84,779,974 |
| | | | 189,316,955 |
| | Software & Services — 20.4% | | |
| | Information Technology Services — 18.0% | | |
| a | 21Vianet Group, Inc. ADR | 1,155,427 | 37,320,292 |
| a,b | Adyen N.V. | 42,179 | 94,153,418 |
| a | Amadeus IT Group S.A. | 280,984 | 19,895,810 |
| | Edenred | 497,037 | 25,961,266 |
| a | Globant S.A. | 48,952 | 10,162,925 |
| | Mastercard, Inc. Class A | 126,123 | 44,906,094 |
| a | Shopify, Inc. Class A | 40,267 | 44,555,435 |
| | Visa, Inc. Class A | 198,311 | 41,988,388 |
| a | Wix.com Ltd. | 124,836 | 34,856,708 |
| | Software — 2.4% | | |
| a | Atlassian Corp. plc Class A | 130,494 | 27,502,916 |
| a | Blue Prism Group plc | 611,224 | 10,701,438 |
| a | Unifiedpost Group S.A. | 443,632 | 9,634,979 |
| | | | 401,639,669 |
| | Telecommunication Services — 1.8% | | |
| | Diversified Telecommunication Services — 1.8% | | |
| b | Cellnex Telecom S.A. | 607,840 | 34,999,166 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 63 |
Schedule of Investments, Continued
Thornburg International Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | | | 34,999,166 |
| | Total Common Stock (Cost $1,269,577,982) | | 1,925,714,677 |
| | Short-Term Investments — 2.1% | | |
| c | Thornburg Capital Management Fund | 4,181,815 | $ 41,818,152 |
| | Total Short-Term Investments (Cost $41,818,152) | | 41,818,152 |
| | Total Investments — 99.9% (Cost $1,311,396,134) | | $1,967,532,829 |
| | Other Assets Less Liabilities — 0.1% | | 1,611,286 |
| | Net Assets — 100.0% | | $1,969,144,115 |
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $250,261,264, representing 12.71% of the Fund’s net assets. |
| c | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
COUNTRY EXPOSURE *
(percent of equity holdings) |
| China | 16.6% |
| United States | 10.3% |
| Netherlands | 8.6% |
| France | 8.0% |
| United Kingdom | 7.9% |
| Switzerland | 7.6% |
| Japan | 5.6% |
| Germany | 5.4% |
| Taiwan | 5.0% |
| Australia | 3.5% |
| Sweden | 3.3% |
| Argentina | 3.1% |
| Spain | 2.8% |
| South Korea | 2.6% |
| Russian Federation | 2.4% |
| Canada | 2.3% |
| Italy | 2.1% |
| Israel | 1.8% |
| India | 0.6% |
| Belgium | 0.5% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
64 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg Developing World Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 95.0% | | |
| | Automobiles & Components — 0.8% | | |
| | Automobiles — 0.8% | | |
| | Geely Automobile Holdings Ltd. | 3,934,273 | $ 10,010,152 |
| | | | 10,010,152 |
| | Banks — 9.4% | | |
| | Banks — 9.4% | | |
| a | Bank Rakyat Indonesia Persero Tbk PT | 68,330,338 | 20,699,035 |
| | Credicorp Ltd. | 156,290 | 21,344,525 |
| a | Grupo Financiero Banorte SAB de C.V. | 2,991,932 | 16,870,284 |
| a | HDFC Bank Ltd. | 1,705,941 | 34,868,383 |
| a | ICICI Bank Ltd. | 2,263,014 | 18,037,256 |
| | | | 111,819,483 |
| | Consumer Durables & Apparel — 1.5% | | |
| | Textiles, Apparel & Luxury Goods — 1.5% | | |
| | Shenzhou International Group Holdings Ltd. | 887,208 | 18,385,306 |
| | | | 18,385,306 |
| | Consumer Services — 0.8% | | |
| | Hotels, Restaurants & Leisure — 0.8% | | |
| a | Galaxy Entertainment Group Ltd. | 1,099,374 | 9,899,047 |
| | | | 9,899,047 |
| | Diversified Financials — 4.6% | | |
| | Capital Markets — 2.8% | | |
| | Banco BTG Pactual S.A. | 684,982 | 11,810,559 |
| | East Money Information Co. Ltd. Class A | 2,830,916 | 11,772,810 |
| | Hong Kong Exchanges & Clearing Ltd. | 167,958 | 9,882,043 |
| | Consumer Finance — 1.8% | | |
| | SBI Cards & Payment Services Ltd. | 1,644,531 | 20,946,395 |
| | | | 54,411,807 |
| | Energy — 2.9% | | |
| | Oil, Gas & Consumable Fuels — 2.9% | | |
| | LUKOIL PJSC Sponsored ADR | 242,967 | 19,646,312 |
| | Reliance Industries Ltd. | 597,932 | 15,418,489 |
| | | | 35,064,801 |
| | Food & Staples Retailing — 3.9% | | |
| | Food & Staples Retailing — 3.9% | | |
| a | Empreendimentos Pague Menos S/A | 2,448,868 | 3,933,051 |
| | Magnit PJSC Sponsored GDR | 1,315,291 | 19,716,212 |
| | Wal-Mart de Mexico SAB de CV | 7,212,321 | 22,777,236 |
| | | | 46,426,499 |
| | Food, Beverage & Tobacco — 2.7% | | |
| | Beverages — 1.3% | | |
| | Wuliangye Yibin Co. Ltd. Class A | 373,584 | 15,272,775 |
| | Food Products — 1.4% | | |
| b | China Feihe Ltd. | 5,900,293 | 16,697,296 |
| | | | 31,970,071 |
| | Household & Personal Products — 2.8% | | |
| | Household Products — 0.9% | | |
| a,b | Blue Moon Group Holdings Ltd. | 7,940,734 | 11,358,352 |
| | Personal Products — 1.9% | | |
| a | Natura & Co. Holding S.A. | 1,890,345 | 16,167,501 |
| a | Yatsen Holding Ltd. ADR | 485,663 | 5,997,938 |
| | | | 33,523,791 |
| | Insurance — 6.1% | | |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 65 |
Schedule of Investments, Continued
Thornburg Developing World Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Insurance — 6.1% | | |
| | AIA Group Ltd. | 3,490,883 | $ 42,344,486 |
| | Ping An Insurance Group Co. of China Ltd. Class H | 2,571,205 | 30,609,977 |
| | | | 72,954,463 |
| | Materials — 3.7% | | |
| | Chemicals — 1.3% | | |
| | Sociedad Quimica y Minera de Chile S.A. Sponsored ADR | 293,898 | 15,597,167 |
| | Construction Materials — 1.3% | | |
| | Beijing Oriental Yuhong Waterproof Technology Co. Ltd. Class A | 1,876,668 | 14,646,886 |
| | Metals & Mining — 1.1% | | |
| | Severstal PAO GDR | 664,863 | 13,416,935 |
| | | | 43,660,988 |
| | Media & Entertainment — 9.3% | | |
| | Entertainment — 1.4% | | |
| | NetEase, Inc. | 835,687 | 17,005,915 |
| | Interactive Media & Services — 7.9% | | |
| | NAVER Corp. | 71,239 | 23,730,597 |
| | Tencent Holdings Ltd. | 892,034 | 69,994,049 |
| | | | 110,730,561 |
| | Retailing — 10.7% | | |
| | Internet & Direct Marketing Retail — 9.2% | | |
| a | Alibaba Group Holding Ltd. | 2,260,460 | 63,968,974 |
| a,b | Meituan Class B | 517,630 | 19,855,323 |
| | Prosus N.V. | 228,926 | 25,450,152 |
| | Multiline Retail — 0.7% | | |
| a,b | Fix Price Group Ltd. GDR | 847,808 | 8,274,606 |
| | Specialty Retail — 0.8% | | |
| | Lojas Quero Quero S/A | 3,596,667 | 9,789,370 |
| | | | 127,338,425 |
| | Semiconductors & Semiconductor Equipment — 12.0% | | |
| | Semiconductors & Semiconductor Equipment — 12.0% | | |
| | MediaTek, Inc. | 647,913 | 22,003,564 |
| a | Micron Technology, Inc. | 410,841 | 36,240,285 |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | 4,100,112 | 84,350,252 |
| | | | 142,594,101 |
| | Software & Services — 5.1% | | |
| | Information Technology Services — 5.1% | | |
| a | 21Vianet Group, Inc. ADR | 568,007 | 18,346,626 |
| a | EPAM Systems, Inc. | 21,956 | 8,709,726 |
| a | Globant S.A. | 36,801 | 7,640,256 |
| | Infosys Ltd. Sponsored ADR | 317,464 | 5,942,926 |
| a | Pagseguro Digital Ltd. Class A | 273,417 | 12,659,207 |
| | TravelSky Technology Ltd. Class H | 3,503,450 | 8,192,938 |
| | | | 61,491,679 |
| | Technology Hardware & Equipment — 6.7% | | |
| | Electronic Equipment, Instruments & Components — 2.3% | | |
| | Hon Hai Precision Industry Co. Ltd. | 1,364,471 | 5,929,779 |
| a | IPG Photonics Corp. | 41,734 | 8,803,370 |
| | Sunny Optical Technology Group Co. Ltd. | 527,431 | 12,022,070 |
| | Technology Hardware, Storage & Peripherals — 4.4% | | |
| | Samsung Electronics Co. Ltd. | 731,747 | 52,630,180 |
| | | | 79,385,399 |
| | Telecommunication Services — 2.7% | | |
| | Diversified Telecommunication Services — 2.7% | | |
| a | Converge ICT Solutions, Inc. | 51,676,210 | 19,909,248 |
| | Telefonica Brasil S.A. | 1,641,924 | 12,902,259 |
66 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Developing World Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | | | 32,811,507 |
| | Transportation — 5.2% | | |
| | Air Freight & Logistics — 1.0% | | |
| a | InPost S.A. | 707,327 | $ 11,584,551 |
| | Transportation Infrastructure — 4.2% | | |
| a | Adani Ports & Special Economic Zone Ltd. | 3,684,464 | 35,396,454 |
| a | Grupo Aeroportuario del Pacifico SAB de CV Class B | 1,418,756 | 14,809,843 |
| | | | 61,790,848 |
| | Utilities — 4.1% | | |
| | Gas Utilities — 4.1% | | |
| | China Gas Holdings Ltd. | 8,063,974 | 33,037,596 |
| a | Infraestructura Energetica Nova SAB de CV | 3,986,918 | 15,409,698 |
| | | | 48,447,294 |
| | Total Common Stock (Cost $755,370,469) | | 1,132,716,222 |
| | Preferred Stock — 0.9% | | |
| | Retailing — 0.9% | | |
| | Multiline Retail — 0.9% | | |
| | Lojas Americanas S.A. 0.054% | 2,644,831 | 10,506,679 |
| | | | 10,506,679 |
| | Total Preferred Stock (Cost $12,197,093) | | 10,506,679 |
| | Rights — 0.0% | | |
| | Materials — 0.0% | | |
| | Chemicals — 0.0% | | |
| a | Sociedad Quimica y Minera de Chile S.A., 4/19/2021 | 54,791 | 169,853 |
| | | | 169,853 |
| | Total Rights (Cost $0) | | 169,853 |
| | Short-Term Investments — 4.8% | | |
| c | Thornburg Capital Management Fund | 5,695,858 | 56,958,577 |
| | Total Short-Term Investments (Cost $56,958,577) | | 56,958,577 |
| | Total Investments — 100.7% (Cost $824,526,139) | | $1,200,351,331 |
| | Liabilities Net of Other Assets — (0.7)% | | (8,185,175) |
| | Net Assets — 100.0% | | $1,192,166,156 |
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $56,185,577, representing 4.71% of the Fund’s net assets. |
| c | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
| GDR | Global Depositary Receipt |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 67 |
Schedule of Investments, Continued
Thornburg Developing World Fund | March 31, 2021 (Unaudited)
COUNTRY EXPOSURE *
(percent of equity holdings) |
| China | 35.2% |
| India | 11.4% |
| Taiwan | 9.8% |
| Brazil | 6.8% |
| South Korea | 6.7% |
| Mexico | 6.1% |
| United States | 5.4% |
| Russian Federation | 5.3% |
| Hong Kong | 4.6% |
| Peru | 1.9% |
| Indonesia | 1.8% |
| Philippines | 1.7% |
| Chile | 1.4% |
| Poland | 1.0% |
| Macao | 0.9% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
68 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg Small/Mid Cap Core Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 99.9% | | |
| | Banks — 4.9% | | |
| | Banks — 4.9% | | |
| | Pinnacle Financial Partners, Inc. | 252,607 | $ 22,396,136 |
| | Signature Bank | 86,168 | 19,482,585 |
| | | | 41,878,721 |
| | Capital Goods — 12.7% | | |
| | Aerospace & Defense — 5.9% | | |
| a | Kratos Defense & Security Solutions, Inc. | 437,411 | 11,932,572 |
| | Spirit AeroSystems Holdings, Inc. Class A | 407,453 | 19,822,588 |
| a | Teledyne Technologies, Inc. | 44,994 | 18,611,768 |
| | Building Products — 1.8% | | |
| a | Builders FirstSource, Inc. | 325,552 | 15,095,846 |
| | Electrical Equipment — 1.3% | | |
| a | TPI Composites, Inc. | 194,648 | 10,983,987 |
| | Machinery — 3.7% | | |
| a | Chart Industries, Inc. | 119,168 | 16,963,565 |
| | ITT, Inc. | 153,198 | 13,927,230 |
| | | | 107,337,556 |
| | Commercial & Professional Services — 6.9% | | |
| | Commercial Services & Supplies — 5.3% | | |
| a | Casella Waste Systems, Inc. Class A | 283,879 | 18,046,188 |
| a | Clean Harbors, Inc. | 158,421 | 13,316,869 |
| a | IAA, Inc. | 249,086 | 13,734,602 |
| | Professional Services — 1.6% | | |
| | Booz Allen Hamilton Holding Corp. Class A | 166,458 | 13,404,863 |
| | | | 58,502,522 |
| | Consumer Durables & Apparel — 1.9% | | |
| | Household Durables — 1.9% | | |
| a | Sonos, Inc. | 431,948 | 16,185,092 |
| | | | 16,185,092 |
| | Consumer Services — 5.5% | | |
| | Diversified Consumer Services — 3.6% | | |
| a | Bright Horizons Family Solutions, Inc. | 77,122 | 13,222,567 |
| a | Terminix Global Holdings, Inc. | 356,802 | 17,008,751 |
| | Hotels, Restaurants & Leisure — 1.9% | | |
| a | Norwegian Cruise Line Holdings Ltd. | 584,984 | 16,139,709 |
| | | | 46,371,027 |
| | Diversified Financials — 5.4% | | |
| | Capital Markets — 3.2% | | |
| | LPL Financial Holdings, Inc. | 191,554 | 27,231,316 |
| | Consumer Finance — 2.2% | | |
| | OneMain Holdings, Inc. | 351,711 | 18,893,915 |
| | | | 46,125,231 |
| | Energy — 2.3% | | |
| | Oil, Gas & Consumable Fuels — 2.3% | | |
| | Diamondback Energy, Inc. | 268,371 | 19,722,585 |
| | | | 19,722,585 |
| | Food & Staples Retailing — 2.0% | | |
| | Food & Staples Retailing — 2.0% | | |
| a | Grocery Outlet Holding Corp. | 462,232 | 17,051,738 |
| | | | 17,051,738 |
| | Food, Beverage & Tobacco — 4.8% | | |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 69 |
Schedule of Investments, Continued
Thornburg Small/Mid Cap Core Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Food Products — 4.8% | | |
| a | Darling Ingredients, Inc. | 202,740 | $ 14,917,609 |
| a | Freshpet, Inc. | 71,685 | 11,384,295 |
| a | SunOpta, Inc. | 978,426 | 14,451,352 |
| | | | 40,753,256 |
| | Health Care Equipment & Services — 6.4% | | |
| | Health Care Equipment & Supplies — 3.0% | | |
| a | Haemonetics Corp. | 112,800 | 12,521,928 |
| a | Heska Corp. | 76,686 | 12,918,524 |
| | Health Care Providers & Services — 3.4% | | |
| a | Amedisys, Inc. | 56,309 | 14,910,060 |
| a | PetIQ, Inc. | 388,674 | 13,704,645 |
| | | | 54,055,157 |
| | Insurance — 2.5% | | |
| | Insurance — 2.5% | | |
| | Assured Guaranty Ltd. | 494,953 | 20,926,613 |
| | | | 20,926,613 |
| | Materials — 7.2% | | |
| | Chemicals — 5.0% | | |
| | Element Solutions, Inc. | 730,170 | 13,354,809 |
| | Huntsman Corp. | 449,233 | 12,951,388 |
| | Sensient Technologies Corp. | 200,462 | 15,636,036 |
| | Containers & Packaging — 2.2% | | |
| | Crown Holdings, Inc. | 194,576 | 18,881,655 |
| | | | 60,823,888 |
| | Media & Entertainment — 2.4% | | |
| | Entertainment — 2.4% | | |
| a | Zynga, Inc. Class A | 2,014,108 | 20,564,043 |
| | | | 20,564,043 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 5.4% | | |
| | Life Sciences Tools & Services — 3.1% | | |
| a | Avantor, Inc. | 892,657 | 25,824,567 |
| | Pharmaceuticals — 2.3% | | |
| a | Horizon Therapeutics plc | 213,291 | 19,631,304 |
| | | | 45,455,871 |
| | Real Estate — 2.6% | | |
| | Real Estate Management & Development — 2.6% | | |
| a | Jones Lang LaSalle, Inc. | 121,551 | 21,762,491 |
| | | | 21,762,491 |
| | Retailing — 3.3% | | |
| | Multiline Retail — 1.6% | | |
| a | Ollie’s Bargain Outlet Holdings, Inc. | 150,077 | 13,056,699 |
| | Specialty Retail — 1.7% | | |
| a | Floor & Decor Holdings, Inc. Class A | 153,347 | 14,641,572 |
| | | | 27,698,271 |
| | Semiconductors & Semiconductor Equipment — 4.8% | | |
| | Semiconductors & Semiconductor Equipment — 4.8% | | |
| a | Cohu, Inc. | 297,794 | 12,459,701 |
| | Entegris, Inc. | 146,006 | 16,323,471 |
| a | MaxLinear, Inc. | 348,543 | 11,878,345 |
| | | | 40,661,517 |
| | Software & Services — 11.2% | | |
| | Information Technology Services — 8.1% | | |
| a | Black Knight, Inc. | 222,817 | 16,486,230 |
| a | Globant S.A. | 61,370 | 12,741,026 |
70 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Small/Mid Cap Core Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| a | LiveRamp Holdings, Inc. | 232,513 | $ 12,062,774 |
| a,b | Nuvei Corp. | 217,215 | 13,084,408 |
| a | Repay Holdings Corp. Class A | 610,963 | 14,345,411 |
| | Software — 3.1% | | |
| a | Elastic N.V. | 115,653 | 12,860,614 |
| a | Varonis Systems, Inc. Class B | 261,978 | 13,449,950 |
| | | | 95,030,413 |
| | Technology Hardware & Equipment — 2.6% | | |
| | Electronic Equipment, Instruments & Components — 2.6% | | |
| a | Flex Ltd. | 747,481 | 13,686,377 |
| a | PAR Technology Corp. | 123,290 | 8,064,399 |
| | | | 21,750,776 |
| | Telecommunication Services — 1.1% | | |
| | Diversified Telecommunication Services — 1.1% | | |
| a | Radius Global Infrastructure, Inc. Class A | 667,242 | 9,808,457 |
| | | | 9,808,457 |
| | Transportation — 1.5% | | |
| | Air Freight & Logistics — 1.5% | | |
| a | XPO Logistics, Inc. | 104,262 | 12,855,505 |
| | | | 12,855,505 |
| | Utilities — 2.5% | | |
| | Independent Power and Renewable Electricity Producers — 2.5% | | |
| | AES Corp. | 791,068 | 21,208,533 |
| | | | 21,208,533 |
| | Total Common Stock (Cost $768,323,252) | | 846,529,263 |
| | Short-Term Investments — 0.1% | | |
| c | Thornburg Capital Management Fund | 96,017 | 960,169 |
| | Total Short-Term Investments (Cost $960,169) | | 960,169 |
| | Total Investments — 100.0% (Cost $769,283,421) | | $847,489,432 |
| | Other Assets Less Liabilities — 0.0% | | 44,194 |
| | Net Assets — 100.0% | | $847,533,626 |
| Footnote Legend |
| a | Non-income producing. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $13,084,408, representing 1.54% of the Fund’s net assets. |
| c | Investment in Affiliates. |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 71 |
Schedule of Investments
Thornburg Small/Mid Cap Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Common Stock — 100.0% | | |
| | Automobiles & Components — 2.6% | | |
| | Auto Components — 2.6% | | |
| a | Fox Factory Holding Corp. | 144,990 | $ 18,422,429 |
| | | | 18,422,429 |
| | Banks — 2.0% | | |
| | Banks — 2.0% | | |
| | Signature Bank | 62,969 | 14,237,291 |
| | | | 14,237,291 |
| | Capital Goods — 11.7% | | |
| | Aerospace & Defense — 1.9% | | |
| a | Teledyne Technologies, Inc. | 31,784 | 13,147,452 |
| | Building Products — 2.2% | | |
| a | Trex Co., Inc. | 168,935 | 15,464,310 |
| | Electrical Equipment — 3.0% | | |
| a | Plug Power, Inc. | 293,252 | 10,510,152 |
| a | TPI Composites, Inc. | 195,835 | 11,050,969 |
| | Machinery — 4.6% | | |
| a | Chart Industries, Inc. | 118,084 | 16,809,257 |
| a | Kornit Digital Ltd. | 163,274 | 16,183,719 |
| | | | 83,165,859 |
| | Commercial & Professional Services — 5.0% | | |
| | Commercial Services & Supplies — 3.4% | | |
| a | Casella Waste Systems, Inc. Class A | 222,299 | 14,131,548 |
| a | IAA, Inc. | 180,895 | 9,974,550 |
| | Professional Services — 1.6% | | |
| | Booz Allen Hamilton Holding Corp. Class A | 142,818 | 11,501,133 |
| | | | 35,607,231 |
| | Consumer Durables & Apparel — 3.6% | | |
| | Household Durables — 2.1% | | |
| a | Sonos, Inc. | 399,513 | 14,969,752 |
| | Leisure Products — 1.5% | | |
| a | YETI Holdings, Inc. | 147,882 | 10,678,559 |
| | | | 25,648,311 |
| | Consumer Services — 3.5% | | |
| | Hotels, Restaurants & Leisure — 3.5% | | |
| a | Penn National Gaming, Inc. | 116,274 | 12,190,166 |
| a | Planet Fitness, Inc. Class A | 165,230 | 12,772,279 |
| | | | 24,962,445 |
| | Diversified Financials — 1.4% | | |
| | Capital Markets — 1.4% | | |
| a | Open Lending Corp. Class A | 279,912 | 9,914,483 |
| | | | 9,914,483 |
| | Food & Staples Retailing — 1.6% | | |
| | Food & Staples Retailing — 1.6% | | |
| a | Grocery Outlet Holding Corp. | 307,137 | 11,330,284 |
| | | | 11,330,284 |
| | Food, Beverage & Tobacco — 4.4% | | |
| | Food Products — 4.4% | | |
| a | Darling Ingredients, Inc. | 156,472 | 11,513,210 |
| a | Freshpet, Inc. | 125,976 | 20,006,248 |
| | | | 31,519,458 |
| | Health Care Equipment & Services — 9.3% | | |
72 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Small/Mid Cap Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | Health Care Equipment & Supplies — 5.0% | | |
| a | Eargo, Inc. | 114,951 | $ 5,741,802 |
| a | Establishment Labs Holdings, Inc. | 54,430 | 3,403,508 |
| a | Heska Corp. | 96,987 | 16,338,430 |
| a | Nevro Corp. | 69,363 | 9,676,139 |
| | Health Care Providers & Services — 4.3% | | |
| a | Amedisys, Inc. | 66,645 | 17,646,929 |
| a | PetIQ, Inc. | 373,626 | 13,174,053 |
| | | | 65,980,861 |
| | Media & Entertainment — 4.6% | | |
| | Entertainment — 3.6% | | |
| a | Zynga, Inc. Class A | 2,509,979 | 25,626,886 |
| | Interactive Media & Services — 1.0% | | |
| a | Eventbrite, Inc. Class A | 317,975 | 7,046,326 |
| | | | 32,673,212 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 13.8% | | |
| | Biotechnology — 3.9% | | |
| a | Kodiak Sciences, Inc. | 61,810 | 7,008,636 |
| a | Mirati Therapeutics, Inc. | 41,397 | 7,091,306 |
| a | Natera, Inc. | 131,398 | 13,342,153 |
| | Life Sciences Tools & Services — 6.2% | | |
| a | Avantor, Inc. | 675,784 | 19,550,431 |
| a | NanoString Technologies, Inc. | 156,736 | 10,299,123 |
| a | Repligen Corp. | 72,554 | 14,105,223 |
| | Pharmaceuticals — 3.7% | | |
| a | Horizon Therapeutics plc | 284,543 | 26,189,338 |
| | | | 97,586,210 |
| | Retailing — 3.7% | | |
| | Specialty Retail — 3.7% | | |
| a | Floor & Decor Holdings, Inc. Class A | 191,062 | 18,242,600 |
| a | Leslie’s, Inc. | 339,283 | 8,309,040 |
| | | | 26,551,640 |
| | Semiconductors & Semiconductor Equipment — 7.9% | | |
| | Semiconductors & Semiconductor Equipment — 7.9% | | |
| | Cohu, Inc. | 329,386 | 13,781,510 |
| | Entegris, Inc. | 154,687 | 17,294,007 |
| a | MaxLinear, Inc. | 330,532 | 11,264,531 |
| | Monolithic Power Systems, Inc. | 37,716 | 13,321,668 |
| | | | 55,661,716 |
| | Software & Services — 21.7% | | |
| | Information Technology Services — 10.8% | | |
| a | Black Knight, Inc. | 236,670 | 17,511,213 |
| a | Globant S.A. | 87,169 | 18,097,156 |
| a | LiveRamp Holdings, Inc. | 264,702 | 13,732,740 |
| a | Repay Holdings Corp. Class A | 705,920 | 16,575,002 |
| a | Shift4 Payments, Inc. Class A | 126,699 | 10,390,585 |
| | Software — 10.9% | | |
| a | Alteryx, Inc. Class A | 135,495 | 11,240,665 |
| a | Avalara, Inc. | 106,105 | 14,157,590 |
| a | Elastic N.V. | 141,627 | 15,748,922 |
| a | Lightspeed POS, Inc. | 179,438 | 11,270,501 |
| a | LivePerson, Inc. | 184,569 | 9,734,169 |
| a | Varonis Systems, Inc. Class B | 298,206 | 15,309,896 |
| | | | 153,768,439 |
| | Technology Hardware & Equipment — 1.5% | | |
| | Electronic Equipment, Instruments & Components — 1.5% | | |
| a | nLight, Inc. | 323,495 | 10,481,238 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 73 |
Schedule of Investments, Continued
Thornburg Small/Mid Cap Growth Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES | VALUE |
| | | | 10,481,238 |
| | Transportation — 1.7% | | |
| | Air Freight & Logistics — 1.7% | | |
| a | XPO Logistics, Inc. | 99,685 | $ 12,291,161 |
| | | | 12,291,161 |
| | Total Common Stock (Cost $706,264,617) | | 709,802,268 |
| | Short-Term Investments — 0.1% | | |
| b | Thornburg Capital Management Fund | 44,923 | 449,233 |
| | Total Short-Term Investments (Cost $449,233) | | 449,233 |
| | Total Investments — 100.1% (Cost $706,713,850) | | $710,251,501 |
| | Liabilities Net of Other Assets — (0.1)% | | (489,298) |
| | Net Assets — 100.0% | | $709,762,203 |
| Footnote Legend |
| a | Non-income producing. |
| b | Investment in Affiliates. |
COUNTRY EXPOSURE *
(percent of equity holdings) |
| United States | 95.6% |
| Israel | 2.3% |
| Canada | 1.6% |
| Costa Rica | 0.5% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
74 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg Long/Short Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Common Stock — 89.5% | | |
| | Capital Goods — 14.7% | | |
| | Aerospace & Defense — 3.9% | | |
| | Spirit AeroSystems Holdings, Inc. Class A | 5,829 | $ 283,581 |
| a,b | Teledyne Technologies, Inc. | 997 | 412,409 |
| | Construction & Engineering — 5.6% | | |
| b | Quanta Services, Inc. | 11,163 | 982,121 |
| | Machinery — 5.2% | | |
| a,b | Chart Industries, Inc. | 2,216 | 315,447 |
| b | ITT, Inc. | 6,537 | 594,279 |
| | | | 2,587,837 |
| | Commercial & Professional Services — 3.5% | | |
| | Commercial Services & Supplies — 0.9% | | |
| a | Clean Harbors, Inc. | 2,019 | 169,717 |
| | Professional Services — 2.6% | | |
| b | Booz Allen Hamilton Holding Corp. Class A | 5,635 | 453,787 |
| | | | 623,504 |
| | Consumer Durables & Apparel — 3.1% | | |
| | Household Durables — 3.1% | | |
| a,b | Sonos, Inc. | 14,492 | 543,015 |
| | | | 543,015 |
| | Diversified Financials — 6.3% | | |
| | Consumer Finance — 6.3% | | |
| b | Capital One Financial Corp. | 4,124 | 524,697 |
| b | OneMain Holdings, Inc. | 10,888 | 584,903 |
| | | | 1,109,600 |
| | Energy — 1.6% | | |
| | Oil, Gas & Consumable Fuels — 1.6% | | |
| b | Diamondback Energy, Inc. | 3,721 | 273,456 |
| | | | 273,456 |
| | Food & Staples Retailing — 1.4% | | |
| | Food & Staples Retailing — 1.4% | | |
| a,b | Grocery Outlet Holding Corp. | 6,622 | 244,286 |
| | | | 244,286 |
| | Food, Beverage & Tobacco — 1.8% | | |
| | Food Products — 1.8% | | |
| a | Nomad Foods Ltd. | 11,783 | 323,561 |
| | | | 323,561 |
| | Health Care Equipment & Services — 4.0% | | |
| | Health Care Equipment & Supplies — 4.0% | | |
| | Cooper Companies, Inc. | 534 | 205,104 |
| a,b | Haemonetics Corp. | 4,534 | 503,319 |
| | | | 708,423 |
| | Insurance — 5.6% | | |
| | Insurance — 5.6% | | |
| | Assured Guaranty Ltd. | 15,185 | 642,022 |
| | James River Group Holdings Ltd. | 7,528 | 343,427 |
| | | | 985,449 |
| | Materials — 4.5% | | |
| | Chemicals — 1.6% | | |
| b | Huntsman Corp. | 10,111 | 291,500 |
| | Containers & Packaging — 2.9% | | |
| b | Crown Holdings, Inc. | 5,206 | 505,190 |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 75 |
Schedule of Investments, Continued
Thornburg Long/Short Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | | | 796,690 |
| | Media & Entertainment — 10.4% | | |
| | Entertainment — 3.5% | | |
| b | Activision Blizzard, Inc. | 2,957 | $ 275,001 |
| a,b | Zynga, Inc. Class A | 33,308 | 340,075 |
| | Interactive Media & Services — 6.9% | | |
| a | Alphabet, Inc. Class C | 365 | 755,050 |
| a,b | Facebook, Inc. Class A | 1,591 | 468,597 |
| | | | 1,838,723 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 5.3% | | |
| | Biotechnology — 3.1% | | |
| b | AbbVie, Inc. | 5,124 | 554,519 |
| | Life Sciences Tools & Services — 2.2% | | |
| a,b | Avantor, Inc. | 13,389 | 387,344 |
| | | | 941,863 |
| | Real Estate — 1.6% | | |
| | Real Estate Management & Development — 1.6% | | |
| a | Jones Lang LaSalle, Inc. | 1,524 | 272,857 |
| | | | 272,857 |
| | Retailing — 9.9% | | |
| | Internet & Direct Marketing Retail — 4.8% | | |
| a | Alibaba Group Holding Ltd. Sponsored ADR | 1,574 | 356,873 |
| a | Amazon.com, Inc. | 156 | 482,677 |
| | Multiline Retail — 1.9% | | |
| a,b | Ollie’s Bargain Outlet Holdings, Inc. | 3,880 | 337,560 |
| | Specialty Retail — 3.2% | | |
| a,b | CarMax, Inc. | 2,765 | 366,805 |
| | Home Depot, Inc. | 680 | 207,570 |
| | | | 1,751,485 |
| | Software & Services — 15.8% | | |
| | Information Technology Services — 10.1% | | |
| a,b | Black Knight, Inc. | 5,579 | 412,790 |
| a | LiveRamp Holdings, Inc. | 5,311 | 275,535 |
| b | Mastercard, Inc. Class A | 2,035 | 724,562 |
| a,b | Repay Holdings Corp. Class A | 15,093 | 354,383 |
| | Software — 5.7% | | |
| a,b | Elastic N.V. | 1,825 | 202,940 |
| a,b | PTC, Inc. | 3,908 | 537,936 |
| a,b | Varonis Systems, Inc. Class B | 5,193 | 266,609 |
| | | | 2,774,755 |
| | Total Common Stock (Cost $11,568,377) | | 15,775,504 |
| | Total Long-Term Investments — 89.5% (Cost $11,568,377) | | 15,775,504 |
| | Short-Term Investments — 53.9% | | |
| c | Thornburg Capital Management Fund | 949,723 | 9,497,233 |
| | Total Short-Term Investments (Cost $9,497,233) | | 9,497,233 |
| | Total Investments — 143.4% (Cost $21,065,610) | | $25,272,737 |
| | Liabilities Net of Other Assets — (43.4)% | | (7,651,414) |
| | Common Stock Sold Short — (42.6)% | | |
| | Automobiles & Components — (2.0)% | | |
| | Automobiles — (2.0)% | | |
76 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Long/Short Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Harley-Davidson, Inc. | (8,848) | $ (354,805) |
| | | | (354,805) |
| | Capital Goods — (5.2)% | | |
| | Machinery — (3.2)% | | |
| a | Proto Labs, Inc. | (1,327) | (161,562) |
| | Snap-on, Inc. | (1,738) | (401,026) |
| | Trading Companies & Distributors — (2.0)% | | |
| | GATX Corp. | (3,824) | (354,638) |
| | | | (917,226) |
| | Commercial & Professional Services — (4.2)% | | |
| | Commercial Services & Supplies — (1.7)% | | |
| | HNI Corp. | (7,459) | (295,078) |
| | Professional Services — (2.5)% | | |
| | Robert Half International, Inc. | (5,668) | (442,501) |
| | | | (737,579) |
| | Consumer Durables & Apparel — (0.6)% | | |
| | Household Durables — (0.6)% | | |
| a | Tupperware Brands Corp. | (4,133) | (109,152) |
| | | | (109,152) |
| | Consumer Services — (3.6)% | | |
| | Hotels, Restaurants & Leisure — (3.6)% | | |
| a | Brinker International, Inc. | (3,237) | (230,021) |
| | Cracker Barrel Old Country Store, Inc. | (2,294) | (396,587) |
| | | | (626,608) |
| | Diversified Financials — (1.8)% | | |
| | Capital Markets — (1.8)% | | |
| a | Focus Financial Partners, Inc. Class A | (7,808) | (324,969) |
| | | | (324,969) |
| | Food, Beverage & Tobacco — (1.4)% | | |
| | Food Products — (1.4)% | | |
| | Hormel Foods Corp. | (5,117) | (244,490) |
| | | | (244,490) |
| | Health Care Equipment & Services — (2.3)% | | |
| | Health Care Providers & Services — (2.3)% | | |
| | Patterson Cos, Inc. | (12,407) | (396,403) |
| | | | (396,403) |
| | Insurance — (1.6)% | | |
| | Insurance — (1.6)% | | |
| a | Lemonade, Inc. | (1,442) | (134,294) |
| a | Trupanion, Inc. | (2,016) | (153,639) |
| | | | (287,933) |
| | Media & Entertainment — (1.1)% | | |
| | Interactive Media & Services — (1.1)% | | |
| a | TripAdvisor, Inc. | (3,592) | (193,214) |
| | | | (193,214) |
| | Real Estate — (3.1)% | | |
| | Equity Real Estate Investment Trusts — (2.1)% | | |
| | Extra Space Storage, Inc. | (2,845) | (377,105) |
| | Real Estate Management & Development — (1.0)% | | |
| a | Redfin Corp. | (2,561) | (170,537) |
| | | | (547,642) |
| | Retailing — (3.3)% | | |
See notes to financial statements.
| Thornburg Equity Funds Semi-Annual Report | 77 |
Schedule of Investments, Continued
Thornburg Long/Short Equity Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Multiline Retail — (2.3)% | | |
| | Canadian Tire Corp. Ltd. Class A | (2,823) | $ (400,593) |
| | Specialty Retail — (1.0)% | | |
| a | Sleep Number Corp. | (1,308) | (187,685) |
| | | | (588,278) |
| | Software & Services — (7.4)% | | |
| | Information Technology Services — (6.9)% | | |
| | International Business Machines Corp. | (3,019) | (402,312) |
| | Paychex, Inc. | (4,797) | (470,202) |
| | Western Union Co. | (13,942) | (343,810) |
| | Software — (0.5)% | | |
| a | Asana, Inc. Class A | (2,744) | (78,423) |
| | | | (1,294,747) |
| | Technology Hardware & Equipment — (0.6)% | | |
| | Electronic Equipment, Instruments & Components — (0.6)% | | |
| | Badger Meter, Inc. | (1,114) | (103,680) |
| | | | (103,680) |
| | Telecommunication Services — (2.2)% | | |
| | Diversified Telecommunication Services — (2.2)% | | |
| | AT&T, Inc. | (13,045) | (394,872) |
| | | | (394,872) |
| | Transportation — (2.2)% | | |
| | Air Freight & Logistics — (2.2)% | | |
| | CH Robinson Worldwide, Inc. | (3,974) | (379,240) |
| | | | (379,240) |
| | Total Common Stock Sold Short (Proceeds $6,562,831) | | (7,500,838) |
| | Exchange-Traded Funds Sold Short — (0.1)% | | |
| a | Direxion Daily Emerging Markets Bear 3X | (919) | (8,050) |
| a | Direxion Daily Energy Bear 3X | (535) | (9,855) |
| a | Direxion Daily Financial Bear 3X | (90) | (3,128) |
| a | Direxion Daily S&P 500 Bear 3X | (26) | (815) |
| a | Direxion Daily Small Cap Bear 3X | (6) | (217) |
| | ProShares UltraPro Short QQQ | (11) | (144) |
| | Total Exchange-Traded Funds Sold Short (Proceeds $3,579,243) | | (22,209) |
| | Total Securities Sold Short (Proceeds $10,142,074) | | $ (7,523,047) |
| | Net Assets — 100.0% | | $17,621,323 |
| Footnote Legend |
| a | Non-income producing. |
| b | All or a portion of the security is pledged as collateral for securities sold short. At March 31, 2021, the value of securities pledged was $9,832,416. |
| c | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ADR | American Depositary Receipt |
78 | Thornburg Equity Funds Semi-Annual Report
| See notes to financial statements. |
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Thornburg Equity Funds Semi-Annual Report | 79
Statements of Assets and Liabilities
March 31, 2021 (Unaudited)
| | THORNBURG
INVESTMENT
INCOME BUILDER
FUND | THORNBURG
SUMMIT
FUND | THORNBURG
GLOBAL
OPPORTUNITIES
FUND | THORNBURG
INTERNATIONAL
EQUITY
FUND | THORNBURG
BETTER WORLD
INTERNATIONAL
FUND |
| ASSETS | | | | | |
| Investments at cost | | | | | |
| Non-affiliated issuers | $ 7,418,371,212 | $ 48,431,218 | $ 624,363,095 | $ 2,603,134,313 | $ 165,663,979 |
| Non-controlled affiliated issuers | 676,942,346 | 4,927,871 | 41,627,476 | 166,816,051 | 17,437,255 |
| Investments at value | | | | | |
| Non-affiliated issuers | 10,222,242,459 | 53,327,778 | 1,041,275,335 | 3,677,191,404 | 187,475,410 |
| Non-controlled affiliated issuers | 662,564,952 | 4,927,871 | 41,627,476 | 166,816,051 | 17,437,255 |
| Cash | 1,107,662 | 1,883 | - | - | - |
| Foreign currency at value (a) | 90 | 50 | 25 | 1,598,196 | 68,296 |
| Unrealized appreciation on forward currency contracts | 12,255,922 | - | 662,029 | - | - |
| Receivable for investments sold | 43,526,214 | 1,488,107 | 7,132 | - | 1,425,838 |
| Receivable for fund shares sold | 8,510,436 | - | 611,247 | 4,200,735 | 721,658 |
| Dividends receivable | 36,467,303 | 70,217 | 2,078,313 | 8,435,086 | 239,769 |
| Tax reclaims receivable | 30,244,251 | 14,874 | 376,067 | 3,421,581 | 84,986 |
| Principal and interest receivable | 21,064,403 | 62,743 | - | - | - |
| Prepaid expenses and other assets | 292,772 | 35,579 | 114,642 | 192,350 | 41,531 |
| Total Assets | 11,038,276,464 | 59,929,102 | 1,086,752,266 | 3,861,855,403 | 207,494,743 |
| Liabilities | | | | | |
| Unrealized depreciation on forward currency contracts | 6,182,026 | 95,331 | 473,898 | - | - |
| Payable for investments purchased | 38,699,300 | 1,143,580 | 1,381,837 | 34,421,685 | 9,845,779 |
| Payable for fund shares redeemed | 7,925,878 | - | 825,066 | 3,677,596 | 41,823 |
| Payable to investment advisor and other affiliates | 9,198,245 | 31,582 | 954,470 | 3,006,018 | 155,752 |
| Payable for short sale financing | - | 11 | - | - | - |
| IRS compliance fees for foreign withholding tax claims payable | 21,030,131 | - | - | 27,591,120 | - |
| Deferred taxes payable | - | 11,426 | 3,386,257 | - | - |
| Accounts payable and accrued expenses | 7,767,795 | 66,526 | 1,070,218 | 2,128,671 | 110,669 |
| Dividends payable | 15,347,437 | - | - | - | - |
| Total Liabilities | 106,150,812 | 1,348,456 | 8,091,746 | 70,825,090 | 10,154,023 |
| Commitments and contingencies | | | | | |
| Unrealized depreciation on unfunded commmitments | (314,375) | - | - | - | - |
| Net Assets | $ 10,931,811,277 | $ 58,580,646 | $ 1,078,660,520 | $ 3,791,030,313 | $ 197,340,720 |
| NET ASSETS CONSIST OF | | | | | |
| Net capital paid in on shares of beneficial interest | $ 9,322,642,733 | $ 46,094,770 | $ 593,208,801 | $ 2,519,447,683 | $ 151,162,361 |
| Distributable earnings | 1,609,168,544 | 12,485,876 | 485,451,719 | 1,271,582,630 | 46,178,359 |
| Net Assets | $ 10,931,811,277 | $ 58,580,646 | $ 1,078,660,520 | $ 3,791,030,313 | $ 197,340,720 |
80 | Thornburg Equity Funds Semi-Annual Report
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
INVESTMENT
INCOME BUILDER
FUND | THORNBURG
SUMMIT
FUND | THORNBURG
GLOBAL
OPPORTUNITIES
FUND | THORNBURG
INTERNATIONAL
EQUITY
FUND | THORNBURG
BETTER WORLD
INTERNATIONAL
FUND |
| NET ASSET VALUE | | | | | |
| Class A Shares: | | | | | |
| Net assets applicable to shares outstanding | $ 3,829,294,546 | $ - | $ 265,623,259 | $ 956,765,190 | $ 21,602,469 |
| Shares outstanding | 166,514,637 | - | 6,999,548 | 33,245,604 | 1,109,084 |
| Net asset value and redemption price per share | $ 23.00 | $ - | $ 37.95 | $ 28.78 | $ 19.48 |
| Maximum offering price per share (net asset value, plus 4.50% of offering price) | $ 24.08 | $ - | $ 39.74 | $ 30.14 | $ 20.40 |
| Class C Shares: | | | | | |
| Net assets applicable to shares outstanding | 1,115,056,234 | - | 124,915,932 | 31,917,262 | 3,604,286 |
| Shares outstanding | 48,552,886 | - | 3,450,940 | 1,261,474 | 187,541 |
| Net asset value and redemption price per share* | 22.97 | - | 36.20 | 25.30 | 19.22 |
| Class I Shares: | | | | | |
| Net assets applicable to shares outstanding | 5,789,839,611 | 58,580,646 | 586,663,503 | 2,039,948,729 | 172,133,965 |
| Shares outstanding | 249,929,484 | 4,328,163 | 15,412,468 | 68,341,952 | 8,628,074 |
| Net asset value and redemption price per share | 23.17 | 13.53 | 38.06 | 29.85 | 19.95 |
| Class R3 Shares: | | | | | |
| Net assets applicable to shares outstanding | 26,361,859 | - | 4,032,313 | 171,733,866 | - |
| Shares outstanding | 1,146,833 | - | 107,508 | 5,963,904 | - |
| Net asset value and redemption price per share | 22.99 | - | 37.51 | 28.80 | - |
| Class R4 Shares: | | | | | |
| Net assets applicable to shares outstanding | 13,713,094 | - | 6,463,024 | 109,256,887 | - |
| Shares outstanding | 595,727 | - | 171,515 | 3,823,820 | - |
| Net asset value and redemption price per share | 23.02 | - | 37.68 | 28.57 | - |
| Class R5 Shares: | | | | | |
| Net assets applicable to shares outstanding | 47,118,973 | - | 33,848,983 | 156,167,193 | - |
| Shares outstanding | 2,035,462 | - | 888,393 | 5,236,485 | - |
| Net asset value and redemption price per share | 23.15 | - | 38.10 | 29.82 | - |
| Class R6 Shares: | | | | | |
| Net assets applicable to shares outstanding | 110,426,960 | - | 57,113,506 | 325,241,186 | - |
| Shares outstanding | 4,781,987 | - | 1,495,722 | 10,949,481 | - |
| Net asset value and redemption price per share | 23.09 | - | 38.18 | 29.70 | - |
| (a) | Cost of foreign currency is $90; $51; $26; $1,603,030; $68,503 respectively. |
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 81
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
INTERNATIONAL
GROWTH
FUND | THORNBURG
DEVELOPING
WORLD
FUND | THORNBURG
SMALL/MID CAP
CORE
FUND | THORNBURG
SMALL/MID CAP
GROWTH
FUND | THORNBURG
LONG/SHORT
EQUITY
FUND |
| ASSETS | | | | | |
| Investments at cost | | | | | |
| Non-affiliated issuers | $ 1,269,577,982 | $ 767,567,562 | $ 768,323,252 | $ 706,264,617 | $ 11,568,377 |
| Non-controlled affiliated issuers | 41,818,152 | 56,958,577 | 960,169 | 449,233 | 9,497,233 |
| Investments at value | | | | | |
| Non-affiliated issuers | 1,925,714,677 | 1,143,392,754 | 846,529,263 | 709,802,268 | 15,775,504 |
| Non-controlled affiliated issuers | 41,818,152 | 56,958,577 | 960,169 | 449,233 | 9,497,233 |
| Foreign currency at value (a) | 56 | 6,259,881 | - | - | - |
| Receivable for investments sold | - | 16,185,921 | 8,972,714 | 5,790,571 | - |
| Receivable for fund shares sold | 3,249,134 | 4,701,619 | 134,366 | 211,772 | - |
| Dividends receivable | 2,255,354 | 2,426,571 | 40,406 | 23,012 | 3,726 |
| Tax reclaims receivable | 375,005 | 458,012 | - | - | 16,655 |
| Prepaid expenses and other assets | 173,908 | 97,980 | 85,468 | 96,745 | 35,550 |
| Total Assets | 1,973,586,286 | 1,230,481,315 | 856,722,386 | 716,373,601 | 25,328,668 |
| Liabilities | | | | | |
| Securities sold short | - | - | - | - | 7,523,047(b) |
| Payable for investments purchased | 981,906 | 29,045,978 | 7,587,913 | 5,440,778 | 1,156 |
| Payable for fund shares redeemed | 1,372,662 | 379,694 | 566,812 | 433,465 | 15,461 |
| Payable to investment advisor and other affiliates | 1,560,245 | 1,081,859 | 687,358 | 583,541 | 3,463 |
| Payable for short sale financing | - | - | - | - | 4,569 |
| Deferred taxes payable | 14,263 | 7,073,301 | - | - | - |
| Accounts payable and accrued expenses | 513,095 | 734,327 | 346,677 | 153,614 | 147,556 |
| Dividends payable for short sales | - | - | - | - | 12,093 |
| Total Liabilities | 4,442,171 | 38,315,159 | 9,188,760 | 6,611,398 | 7,707,345 |
| Net Assets | $ 1,969,144,115 | $ 1,192,166,156 | $ 847,533,626 | $ 709,762,203 | $ 17,621,323 |
| NET ASSETS CONSIST OF | | | | | |
| Net capital paid in on shares of beneficial interest | $ 1,261,819,479 | $ 901,042,215 | $ 566,655,931 | $ 427,864,911 | $ 24,396,578 |
| Distributable earnings (accumulated loss) | 707,324,636 | 291,123,941 | 280,877,695 | 281,897,292 | (6,775,255) |
| Net Assets | $ 1,969,144,115 | $ 1,192,166,156 | $ 847,533,626 | $ 709,762,203 | $ 17,621,323 |
82 | Thornburg Equity Funds Semi-Annual Report
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
INTERNATIONAL
GROWTH
FUND | THORNBURG
DEVELOPING
WORLD
FUND | THORNBURG
SMALL/MID CAP
CORE
FUND | THORNBURG
SMALL/MID CAP
GROWTH
FUND | THORNBURG
LONG/SHORT
EQUITY
FUND |
| NET ASSET VALUE | | | | | |
| Class A Shares: | | | | | |
| Net assets applicable to shares outstanding | $ 159,902,929 | $ 128,645,776 | $ 449,981,657 | $ 342,395,428 | $ - |
| Shares outstanding | 5,297,846 | 4,547,456 | 4,844,678 | 6,958,647 | - |
| Net asset value and redemption price per share | $ 30.18 | $ 28.29 | $ 92.88 | $ 49.20 | $ - |
| Maximum offering price per share (net asset value, plus 4.50% of offering price) | $ 31.60 | $ 29.62 | $ 97.26 | $ 51.52 | $ - |
| Class C Shares: | | | | | |
| Net assets applicable to shares outstanding | 33,538,743 | 52,998,828 | 20,140,744 | 27,919,566 | - |
| Shares outstanding | 1,216,021 | 1,985,699 | 241,170 | 685,796 | - |
| Net asset value and redemption price per share* | 27.58 | 26.69 | 83.51 | 40.71 | - |
| Class I Shares: | | | | | |
| Net assets applicable to shares outstanding | 1,642,116,227 | 927,115,437 | 333,702,323 | 282,299,922 | 17,621,323 |
| Shares outstanding | 52,649,212 | 32,088,500 | 3,477,677 | 5,241,892 | 1,876,784 |
| Net asset value and redemption price per share | 31.19 | 28.89 | 95.96 | 53.85 | 9.39 |
| Class R3 Shares: | | | | | |
| Net assets applicable to shares outstanding | 8,279,774 | - | 24,363,612 | 31,094,406 | - |
| Shares outstanding | 278,274 | - | 263,604 | 639,738 | - |
| Net asset value and redemption price per share | 29.75 | - | 92.43 | 48.60 | - |
| Class R4 Shares: | | | | | |
| Net assets applicable to shares outstanding | 9,402,438 | - | 5,089,432 | 2,342,701 | - |
| Shares outstanding | 313,858 | - | 54,421 | 47,504 | - |
| Net asset value and redemption price per share | 29.96 | - | 93.52 | 49.32 | - |
| Class R5 Shares: | | | | | |
| Net assets applicable to shares outstanding | 40,045,064 | 4,249,340 | 14,255,858 | 23,710,180 | - |
| Shares outstanding | 1,280,262 | 147,562 | 148,782 | 440,810 | - |
| Net asset value and redemption price per share | 31.28 | 28.80 | 95.82 | 53.79 | - |
| Class R6 Shares: | | | | | |
| Net assets applicable to shares outstanding | 75,858,940 | 79,156,775 | - | - | - |
| Shares outstanding | 2,416,893 | 2,737,013 | - | - | - |
| Net asset value and redemption price per share | 31.39 | 28.92 | - | - | - |
| (a) | Cost of foreign currency is $57; $6,251,426; $0; $0; $0 respectively. |
| (b) | Proceeds $10,142,074. |
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 83
Statements of Operations
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
INVESTMENT
INCOME BUILDER
FUND | THORNBURG
SUMMIT
FUND | THORNBURG
GLOBAL
OPPORTUNITIES
FUND | THORNBURG
INTERNATIONAL
EQUITY
FUND | THORNBURG
BETTER WORLD
INTERNATIONAL
FUND |
| INVESTMENT INCOME | | | | | |
| Dividend income | | | | | |
| Non-affiliated issuers | $ 248,744,928 | $ 285,851 | $ 14,816,322 | $ 27,864,694 | $ 1,130,155 |
| Non-controlled affiliated issuers | 16,967,527 | 3,192 | 29,932 | 97,884 | 8,073 |
| Dividend taxes withheld | (13,084,028) | (18,737) | (618,304) | (3,140,892) | (157,336) |
| Interest income | 99,731,554 | 209,795 | - | 12,554,683 | - |
| Foreign withholding tax claims | 34,790,606 | - | - | 33,530,114 | - |
| Less: IRS compliance fees for foreign withholding tax claims | (21,030,131) | - | - | (27,591,120) | - |
| Total Income | 366,120,456 | 480,101 | 14,227,950 | 43,315,363 | 980,892 |
| EXPENSES | | | | | |
| Investment management fees | 36,154,127 | 192,212 | 4,282,223 | 13,321,657 | 701,354 |
| Administration fees | 4,476,771 | 22,172 | 437,018 | 1,548,236 | 62,107 |
| Distribution and service fees | | | | | |
| Class A Shares | 4,417,727 | - | 309,236 | 1,151,750 | 20,779 |
| Class C Shares | 5,837,609 | - | 611,676 | 168,609 | 13,926 |
| Class R3 Shares | 64,381 | - | 9,704 | 410,608 | - |
| Class R4 Shares | 16,887 | - | 7,414 | 135,036 | - |
| Transfer agent fees | | | | | |
| Class A Shares | 1,139,200 | - | 110,480 | 511,300 | 12,606 |
| Class C Shares | 749,250 | - | 75,850 | 11,887 | 1,590 |
| Class I Shares | 2,823,499 | 977 | 312,266 | 636,410 | 20,092 |
| Class R3 Shares | 29,622 | - | 4,049 | 166,032 | - |
| Class R4 Shares | 24,386 | - | 10,775 | 128,702 | - |
| Class R5 Shares | 58,504 | - | 45,841 | 180,834 | - |
| Class R6 Shares | 5,311 | - | 1,435 | 4,592 | - |
| Registration and filing fees | | | | | |
| Class A Shares | 37,219 | - | 8,757 | 12,394 | 6,586 |
| Class C Shares | 12,824 | - | 7,233 | 6,353 | 9,166 |
| Class I Shares | 96,806 | 15,914 | 23,993 | 40,519 | 10,344 |
| Class R3 Shares | 6,220 | - | 6,211 | 8,317 | - |
| Class R4 Shares | 6,212 | - | 6,200 | 11,141 | - |
| Class R5 Shares | 6,076 | - | 6,198 | 6,243 | - |
| Class R6 Shares | 6,340 | - | 6,031 | 8,554 | - |
| Dividend expense on securities sold short | - | 10,228 | - | - | - |
| Short sale financing fees | - | 3,162 | - | - | - |
| Custodian fees | 551,650 | 37,196 | 88,683 | 236,336 | 31,839 |
| Professional fees | 172,993 | 28,841 | 38,345 | 80,771 | 29,915 |
| Trustee and officer fees | 336,607 | 1,310 | 32,841 | 103,062 | 3,605 |
| Tax reclaim collection fees | 6,988,181 | - | - | 6,912,961 | - |
| Other expenses | 569,792 | 8,902 | 66,632 | 178,285 | 11,046 |
| Total Expenses | 64,588,194 | 320,914 | 6,509,091 | 25,980,589 | 934,955 |
| Less: | | | | | |
| Expenses reimbursed | (337,789) | (53,805) | (281,126) | (392,212) | (86,462) |
| Investment management fees waived | - | - | (219,290) | - | - |
| Net Expenses | 64,250,405 | 267,109 | 6,008,675 | 25,588,377 | 848,493 |
| Net Investment Income (Loss) | $ 301,870,051 | $ 212,992 | $ 8,219,275 | $ 17,726,986 | $ 132,399 |
84 | Thornburg Equity Funds Semi-Annual Report
Statements of Operations, Continued
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
INVESTMENT
INCOME BUILDER
FUND | THORNBURG
SUMMIT
FUND | THORNBURG
GLOBAL
OPPORTUNITIES
FUND | THORNBURG
INTERNATIONAL
EQUITY
FUND | THORNBURG
BETTER WORLD
INTERNATIONAL
FUND |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | | | |
| Net realized gain (loss) on: | | | | | |
| Investments | | | | | |
| Non-affiliated issuer investments* | $ 214,182,722 | $ 9,450,826 | $ 66,521,758 | $ 200,611,717 | $ 24,956,083 |
| Non-controlled affiliated issuers | (101,710,588) | - | - | - | - |
| Securities sold short | - | (418,144) | - | - | - |
| Options written | - | 85,725 | - | - | - |
| Forward currency contracts | (40,095,935) | 65,822 | (2,033,581) | (1,362,743) | - |
| Foreign currency transactions | 1,470,324 | (13,482) | 16,013 | (508,997) | 8,496 |
| Net realized gain (loss) | 73,846,523 | 9,170,747 | 64,504,190 | 198,739,977 | 24,964,579 |
| Net change in unrealized appreciation (depreciation) on: | | | | | |
| Investments | | | ��� | | |
| Non-affiliated issuers investments** | 1,747,019,237 | (747,078) | 173,477,844 | 413,386,751 | 5,114,362 |
| Non-controlled affiliated issuers | 228,085,372 | - | - | - | - |
| Securities sold short | - | (26,894) | - | - | - |
| Forward currency contracts | 13,421,873 | (110,856) | 300,185 | - | - |
| Foreign currency translations | (2,222,671) | (1,602) | (47,317) | (89,256) | (6,026) |
| Change in net unrealized appreciation (depreciation) | 1,986,303,811 | (886,430) | 173,730,712 | 413,297,495 | 5,108,336 |
| Net Realized and Unrealized Gain (Loss) | 2,060,150,334 | 8,284,317 | 238,234,902 | 612,037,472 | 30,072,915 |
| Change in Net Assets Resulting from Operations | $ 2,362,020,385 | $ 8,497,309 | $ 246,454,177 | $ 629,764,458 | $ 30,205,314 |
| * Net of foreign capital gain taxes | $ - | $ - | $ 51,739 | $ - | $ 102,575 |
| ** Net of change in deferred taxes | $ - | $ 7,907 | $ 780,662 | $ - | $ - |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 85
Statements of Operations, Continued
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
INTERNATIONAL
GROWTH
FUND | THORNBURG
DEVELOPING
WORLD
FUND | THORNBURG
SMALL/MID CAP
CORE
FUND | THORNBURG
SMALL/MID CAP
GROWTH
FUND | THORNBURG
LONG/SHORT
EQUITY
FUND |
| INVESTMENT INCOME | | | | | |
| Dividend income | | | | | |
| Non-affiliated issuers | $ 9,745,285 | $ 5,871,987 | $ 4,837,281 | $ 936,656 | $ 200,002 |
| Non-controlled affiliated issuers | 52,775 | 27,261 | 5,542 | 15,075 | 5,658 |
| Dividend taxes withheld | (1,156,200) | (949,697) | (13,848) | - | (540) |
| Interest income | 39 | 13,274 | 149,570 | - | - |
| Foreign withholding tax claims | 4,961 | 46,702 | 473,479 | - | - |
| Total Income | 8,646,860 | 5,009,527 | 5,452,024 | 951,731 | 205,120 |
| EXPENSES | | | | | |
| Investment management fees | 7,779,684 | 5,132,627 | 3,508,972 | 3,228,252 | 188,107 |
| Administration fees | 840,139 | 470,727 | 355,129 | 325,714 | 13,095 |
| Distribution and service fees | | | | | |
| Class A Shares | 199,711 | 154,289 | 543,006 | 448,761 | - |
| Class C Shares | 185,200 | 268,952 | 102,817 | 162,712 | - |
| Class R3 Shares | 19,278 | - | 64,766 | 85,389 | - |
| Class R4 Shares | 10,768 | - | 6,328 | 3,241 | - |
| Transfer agent fees | | | | | |
| Class A Shares | 55,009 | 58,282 | 180,170 | 120,060 | - |
| Class C Shares | 22,072 | 29,810 | 12,012 | 12,676 | - |
| Class I Shares | 429,810 | 243,670 | 133,674 | 75,804 | 42,639 |
| Class R3 Shares | 7,853 | - | 28,264 | 38,297 | - |
| Class R4 Shares | 11,060 | - | 6,115 | 3,207 | - |
| Class R5 Shares | 48,813 | 3,767 | 26,504 | 28,015 | - |
| Class R6 Shares | 2,512 | 5,896 | - | - | - |
| Registration and filing fees | | | | | |
| Class A Shares | 9,079 | 6,414 | 5,520 | 9,168 | - |
| Class C Shares | 6,353 | 5,414 | 4,314 | 5,629 | - |
| Class I Shares | 40,930 | 14,311 | 6,132 | 4,427 | 18,039 |
| Class R3 Shares | 6,163 | - | 7,015 | 6,819 | - |
| Class R4 Shares | 6,159 | - | 6,103 | 6,039 | - |
| Class R5 Shares | 6,611 | 6,554 | 6,291 | 4,722 | - |
| Class R6 Shares | 6,188 | 6,716 | - | - | - |
| Dividend expense on securities sold short | - | - | - | - | 169,749 |
| Short sale financing fees | - | - | - | - | 69,554 |
| Custodian fees | 114,767 | 116,967 | 37,576 | 31,597 | 24,818 |
| Professional fees | 53,765 | 34,711 | 45,246 | 39,900 | 24,249 |
| Trustee and officer fees | 54,223 | 29,662 | 25,759 | 22,235 | 1,953 |
| Tax reclaim collection fees | 1,028 | 9,008 | 93,457 | - | - |
| Other expenses | 98,535 | 62,213 | 47,554 | 44,490 | 14,228 |
| Total Expenses | 10,015,710 | 6,659,990 | 5,252,724 | 4,707,154 | 566,431 |
| Less: | | | | | |
| Expenses reimbursed | (80,837) | (246,752) | (219,827) | (148,056) | (101,400) |
| Investment management fees waived | - | - | (615,330) | (564,290) | - |
| Net Expenses | 9,934,873 | 6,413,238 | 4,417,567 | 3,994,808 | 465,031 |
| Net Investment Income (Loss) | $ (1,288,013) | $ (1,403,711) | $ 1,034,457 | $ (3,043,077) | $ (259,911) |
86 | Thornburg Equity Funds Semi-Annual Report
Statements of Operations, Continued
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
INTERNATIONAL
GROWTH
FUND | THORNBURG
DEVELOPING
WORLD
FUND | THORNBURG
SMALL/MID CAP
CORE
FUND | THORNBURG
SMALL/MID CAP
GROWTH
FUND | THORNBURG
LONG/SHORT
EQUITY
FUND |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | | | |
| Net realized gain (loss) on: | | | | | |
| Non-affiliated issuer investments* | $ 60,301,562 | $ 77,410,078 | $ 190,838,157 | $ 282,439,098 | $ 18,647,072 |
| Securities sold short | - | - | - | - | (5,937,763) |
| Forward currency contracts | - | - | (1,003,750) | - | - |
| Foreign currency transactions | (82,821) | 60,359 | (10,795) | (7,926) | 2,775 |
| Net realized gain (loss) | 60,218,741 | 77,470,437 | 189,823,612 | 282,431,172 | 12,712,084 |
| Net change in unrealized appreciation (depreciation) on: | | | | | |
| Non-affiliated issuers investments** | 78,781,572 | 129,790,396 | (16,262,056) | (214,840,350) | (12,802,865) |
| Securities sold short | - | - | - | - | (32,137) |
| Forward currency contracts | - | - | (266,046) | - | - |
| Foreign currency translations | (45,938) | (38,373) | (2,573) | - | - |
| Change in net unrealized appreciation (depreciation) | 78,735,634 | 129,752,023 | (16,530,675) | (214,840,350) | (12,835,002) |
| Net Realized and Unrealized Gain (Loss) | 138,954,375 | 207,222,460 | 173,292,937 | 67,590,822 | (122,918) |
| Change in Net Assets Resulting from Operations | $ 137,666,362 | $ 205,818,749 | $ 174,327,394 | $ 64,547,745 | $ (382,829) |
| * Net of foreign capital gain taxes | $ - | $ 1,289,765 | $ - | $ - | $ 13,220 |
| ** Net of change in deferred taxes | $ (14,263) | $ (4,778,087) | $ - | $ - | $ 5,703 |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 87
Statements of Changes in Net Assets
| | THORNBURG INVESTMENT INCOME BUILDER FUND | THORNBURG SUMMIT FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 301,870,051 | $ 510,658,547 | $ 212,992 | $ 308,428 |
| Net realized gain (loss) | 73,846,523 | (577,191,926) | 9,170,747 | 1,557,455 |
| Net change in unrealized appreciation (depreciation) | 1,986,303,811 | (1,428,530,575) | (886,430) | 4,633,041 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,362,020,385 | (1,495,063,954) | 8,497,309 | 6,498,924 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (86,673,924) | (140,160,970) | - | - |
| Class C Shares | (24,080,277) | (79,560,108) | - | - |
| Class I Shares | (138,974,056) | (314,611,492) | (3,131,550) | (621,180) |
| Class R3 Shares | (583,927) | (1,267,495) | - | - |
| Class R4 Shares | (313,221) | (812,804) | - | - |
| Class R5 Shares | (1,175,660) | (2,414,331) | - | - |
| Class R6 Shares | (2,592,303) | (6,442,480) | - | - |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 209,194,929 | (49,476,916) | - | - |
| Class C Shares | (589,068,148) | (868,358,997) | - | - |
| Class I Shares | (414,540,809) | (1,543,717,711) | 7,328,938 | 4,518,788 |
| Class R3 Shares | (3,266,899) | (7,352,750) | - | - |
| Class R4 Shares | (2,107,116) | (8,875,014) | - | - |
| Class R5 Shares | (7,886,271) | (7,465,990) | - | - |
| Class R6 Shares | 3,513,319 | (52,296,768) | - | - |
| Net Increase (Decrease) in Net Assets | 1,303,466,022 | (4,577,877,780) | 12,694,697 | 10,396,532 |
| NET ASSETS | | | | |
| Beginning of Period | 9,628,345,255 | 14,206,223,035 | 45,885,949 | 35,489,417 |
| End of Period | $ 10,931,811,277 | $ 9,628,345,255 | $ 58,580,646 | $ 45,885,949 |
See notes to financial statements.
88 | Thornburg Equity Funds Semi-Annual Report
Statements of Changes in Net Assets, Continued
| | THORNBURG GLOBAL OPPORTUNITIES FUND | THORNBURG INTERNATIONAL EQUITY FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 8,219,275 | $ 3,625,850 | $ 17,726,986 | $ 15,405,945 |
| Net realized gain (loss) | 64,504,190 | 91,290,872 | 198,739,977 | 89,230,219 |
| Net change in unrealized appreciation (depreciation) | 173,730,712 | 55,658,913 | 413,297,495 | 341,282,065 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 246,454,177 | 150,575,635 | 629,764,458 | 445,918,229 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (15,556,948) | (3,426,643) | (27,537,806) | (42,355,549) |
| Class C Shares | (8,198,327) | (1,537,470) | (1,051,963) | (4,756,124) |
| Class I Shares | (35,542,985) | (13,354,554) | (59,075,703) | (110,539,987) |
| Class R3 Shares | (248,649) | (49,078) | (4,557,933) | (10,029,695) |
| Class R4 Shares | (365,924) | (78,406) | (3,204,878) | (7,549,189) |
| Class R5 Shares | (2,182,325) | (717,913) | (4,382,041) | (10,042,628) |
| Class R6 Shares | (3,376,167) | (912,732) | (9,265,153) | (15,441,134) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 5,929,730 | (49,299,840) | (3,311,973) | 99,533,983 |
| Class C Shares | (13,293,975) | (51,909,198) | (18,020,253) | (39,363,578) |
| Class I Shares | (35,038,553) | (311,808,803) | 48,669,551 | (108,657,322) |
| Class R3 Shares | (296,970) | (1,256,092) | (5,326,075) | (22,070,273) |
| Class R4 Shares | 329,247 | (5,125,432) | (8,991,598) | (30,031,627) |
| Class R5 Shares | (4,849,615) | (14,791,789) | 1,606,710 | (29,013,912) |
| Class R6 Shares | 4,090,703 | (7,851,038) | 32,959,734 | 12,559,232 |
| Net Increase (Decrease) in Net Assets | 137,853,419 | (311,543,353) | 568,275,077 | 128,160,426 |
| NET ASSETS | | | | |
| Beginning of Period | 940,807,101 | 1,252,350,454 | 3,222,755,236 | 3,094,594,810 |
| End of Period | $ 1,078,660,520 | $ 940,807,101 | $ 3,791,030,313 | $ 3,222,755,236 |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 89
Statements of Changes in Net Assets, Continued
| | THORNBURG BETTER WORLD INTERNATIONAL FUND | THORNBURG INTERNATIONAL GROWTH FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 132,399 | $ 474,031 | $ (1,288,013) | $ (1,385,908) |
| Net realized gain (loss) | 24,964,579 | 232,885 | 60,218,741 | 17,984,192 |
| Net change in unrealized appreciation (depreciation) | 5,108,336 | 15,450,789 | 78,735,634 | 409,550,877 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 30,205,314 | 16,157,705 | 137,666,362 | 426,149,161 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | - | (63,296) | (1,957,081) | (553,089) |
| Class C Shares | - | (1,257) | (510,190) | (259,350) |
| Class I Shares | (467,138) | (847,463) | (19,125,765) | (9,871,216) |
| Class R3 Shares | - | - | (88,563) | (31,060) |
| Class R4 Shares | - | - | (114,616) | (43,446) |
| Class R5 Shares | - | - | (406,256) | (238,867) |
| Class R6 Shares | - | - | (845,284) | (427,726) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 6,301,396 | 475,565 | 11,595,435 | (658,225) |
| Class C Shares | 863,179 | 67,109 | (11,184,507) | (17,565,314) |
| Class I Shares | 63,211,613 | 10,539,620 | 91,688,695 | (92,300,016) |
| Class R3 Shares | - | - | 1,486,101 | (1,468,341) |
| Class R4 Shares | - | - | 522,764 | (1,153,056) |
| Class R5 Shares | - | - | 3,846,352 | (3,155,973) |
| Class R6 Shares | - | - | 10,513,220 | 1,479,004 |
| Net Increase (Decrease) in Net Assets | 100,114,364 | 26,327,983 | 223,086,667 | 299,902,486 |
| NET ASSETS | | | | |
| Beginning of Period | 97,226,356 | 70,898,373 | 1,746,057,448 | 1,446,154,962 |
| End of Period | $ 197,340,720 | $ 97,226,356 | $ 1,969,144,115 | $ 1,746,057,448 |
See notes to financial statements.
90 | Thornburg Equity Funds Semi-Annual Report
Statements of Changes in Net Assets, Continued
| | THORNBURG DEVELOPING WORLD FUND | THORNBURG SMALL/MID CAP CORE FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ (1,403,711) | $ 3,274,034 | $ 1,034,457 | $ 1,744,940 |
| Net realized gain (loss) | 77,470,437 | (2,003,259) | 189,823,612 | 11,874,128 |
| Net change in unrealized appreciation (depreciation) | 129,752,023 | 94,509,590 | (16,530,675) | 17,621,872 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 205,818,749 | 95,780,365 | 174,327,394 | 31,240,940 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | - | (1,058,043) | - | (1,021,543) |
| Class C Shares | - | (162,600) | - | - |
| Class I Shares | (1,240,033) | (8,943,418) | - | (2,037,070) |
| Class R3 Shares | - | - | - | (56,105) |
| Class R4 Shares | - | - | - | (16,670) |
| Class R5 Shares | (5,775) | (37,097) | - | (99,060) |
| Class R6 Shares | (173,993) | (910,491) | - | - |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 2,960,085 | (5,603,232) | (30,673,408) | (51,175,123) |
| Class C Shares | (6,831,823) | (19,685,805) | (7,366,147) | (13,648,455) |
| Class I Shares | 104,472,056 | 16,516,659 | (22,078,435) | (83,209,561) |
| Class R3 Shares | - | - | (6,230,624) | (5,633,179) |
| Class R4 Shares | - | - | (549,087) | (1,844,975) |
| Class R5 Shares | 889,548 | 41,232 | (3,130,884) | (4,640,120) |
| Class R6 Shares | 1,422,687 | (505,210) | - | - |
| Net Increase (Decrease) in Net Assets | 307,311,501 | 75,432,360 | 104,298,809 | (132,140,921) |
| NET ASSETS | | | | |
| Beginning of Period | 884,854,655 | 809,422,295 | 743,234,817 | 875,375,738 |
| End of Period | $ 1,192,166,156 | $ 884,854,655 | $ 847,533,626 | $ 743,234,817 |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 91
Statements of Changes in Net Assets, Continued
| | THORNBURG SMALL/MID CAP GROWTH FUND | THORNBURG LONG/SHORT EQUITY FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ (3,043,077) | $ (3,874,283) | $ (259,911) | $ (2,385,554) |
| Net realized gain (loss) | 282,431,172 | 50,944,890 | 12,712,084 | (23,621,017) |
| Net change in unrealized appreciation (depreciation) | (214,840,350) | 142,486,057 | (12,835,002) | 12,752,397 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 64,547,745 | 189,556,664 | (382,829) | (13,254,174) |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (21,786,815) | (23,521,075) | - | - |
| Class C Shares | (2,420,920) | (3,795,871) | - | - |
| Class I Shares | (16,872,585) | (21,867,930) | - | (3,836,877) |
| Class R3 Shares | (2,196,040) | (2,684,133) | - | - |
| Class R4 Shares | (173,350) | (332,371) | - | - |
| Class R5 Shares | (1,374,412) | (1,703,398) | - | - |
| From return of capital | | | | |
| Class I Shares | - | - | - | (116,403) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 8,462,394 | 5,416,106 | - | - |
| Class C Shares | (9,939,265) | (6,578,344) | - | - |
| Class I Shares | (4,930,251) | (33,564,742) | (32,389,754) | (152,774,131) |
| Class R3 Shares | (3,275,618) | (2,857,103) | - | - |
| Class R4 Shares | (493,759) | (1,963,162) | - | - |
| Class R5 Shares | 305,475 | (1,806,614) | - | - |
| Net Increase (Decrease) in Net Assets | 9,852,599 | 94,298,027 | (32,772,583) | (169,981,585) |
| NET ASSETS | | | | |
| Beginning of Period | 699,909,604 | 605,611,577 | 50,393,906 | 220,375,491 |
| End of Period | $ 709,762,203 | $ 699,909,604 | $ 17,621,323 | $ 50,393,906 |
See notes to financial statements.
92 | Thornburg Equity Funds Semi-Annual Report
Statement of Cash Flows
Thornburg Long/Short Equity Fund | Six Months Ended March 31, 2021 (Unaudited)
| Cash Flows from Operating Activities: | |
| Net change in net assets resulting from operations | $ (382,829) |
| Changes in assets and liabilities: | |
| (Increase) decrease in assets: | |
| Cash segregated as collateral on securities sold short | 19,644,064 |
| Dividends receivable | 11,064 |
| Prepaid expenses and other assets | (30,319) |
| Increase (decrease) in liabilities: | |
| Payable for short sale financing | (8,506) |
| Payable for dividends on securities sold short | 3,006 |
| Payable to investment adviser | (50,664) |
| Payable for deferred taxes | (5,703) |
| Accrued expenses and other payables | 15,672 |
| Adjustments to reconcile net change in net assets resulting from operations to net cash provided by (used for) operating activities: | |
| Purchases of investments in securities | (11,693,873) |
| Payments to cover securities sold short | (37,662,273) |
| Proceeds from disposition of investments in securities | 54,315,804 |
| Proceeds from securities sold short | 6,202,554 |
| Purchases of short term investments, net | 1,875,471 |
| Net realized (gain) loss: | |
| Investment transactions | (18,647,072) |
| Securities sold short | 5,937,763 |
| Net unrealized (gain) loss: | |
| Investments | 12,802,865 |
| Securities sold short | 32,137 |
| Net cash provided by (used in) operating activities | $ 32,359,161 |
| Cash Flows from Financing Activities: | |
| Fund shares sold | $ 584,043 |
| Fund shares redeemed | (32,949,774) |
| Net cash provided by (used in) financing activities | $ (32,365,731) |
| Net decrease in cash during the period | $ (6,570) |
| Cash and foreign currency, beginning of period: | $ 6,570 |
| Cash and foreign currency, end of period: | $ 0 |
See notes to financial statements.
Thornburg Equity Funds Semi-Annual Report | 93
Notes to Financial Statements
March 31, 2021 (Unaudited)
NOTE 1 – ORGANIZATION
Thornburg Investment Income Builder Fund ("Income Builder Fund"), Thornburg Summit Fund ("Summit Fund"), Thornburg Global Opportunities Fund ("Global Opportunities Fund"), Thornburg International Equity Fund ("International Equity Fund", prior to February 1, 2021, the International Value Fund), Thornburg Better World International Fund ("Better World International Fund"), Thornburg International Growth Fund ("International Growth Fund"), Thornburg Developing World Fund ("Developing World Fund"), Thornburg Small/Mid Cap Core Fund ("Small/Mid Cap Core Fund", prior to December 18, 2020, the Value Fund), and Thornburg Small/Mid Cap Growth Fund ("Small/Mid Cap Growth Fund", prior to December 18, 2020, the Growth Fund), collectively the ("Funds"), are diversified series of Thornburg Investment Trust (the “Trust”). Thornburg Long/Short Equity Fund ("Long/Short Equity Fund") is a non-diversified series of 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 "1940 Act"). The Funds are currently ten of twenty-two 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.
Income Builder Fund: 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’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, small and mid-cap company risk, credit risk, high-yield risk, interest rate risk, prepayment and extension risk, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, liquidity risk, and real estate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Summit Fund: The Fund’s investment goal is to seek to grow real wealth over time. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, small and mid-cap company risk, short sale risk, credit risk, high yield risk, interest rate risk, prepayment and extension risk, liquidity risk, inflation risk, structured products risk, commodities-related investment risk, real estate risk and derivatives risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Global Opportunities Fund: The Fund seeks long-term capital appreciation by investing in equity and debt securities of all types from issuers around the world. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, small and mid-cap company risk, credit risk, liquidity risk, and real estate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
International Equity Fund: 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’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, risks affecting investments in China, small and mid-cap company risk, credit risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Better World International Fund: The Fund seeks long-term capital appreciation. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, small and mid-cap company risk, credit risk, liquidity risk, social investing risk, and real estate risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
International Growth Fund: The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, small and mid-cap company risk, credit risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Developing World Fund: The Fund seeks long-term capital appreciation. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, risks affecting specific countries or regions, risks affecting investments in China, small and mid-cap company risk, credit risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Small/Mid Cap Core Fund: 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’s investments subject it to risks including, but not limited to,
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March 31, 2021 (Unaudited)
management risk, market and economic risk, equity risk, risks affecting specific issuers, small and mid-cap company risk, foreign investment risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Small/Mid Cap Growth Fund: The Fund seeks long-term capital appreciation by investing in equity securities selected for their growth potential. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, small and mid-cap company risk, foreign investment risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Long/Short Equity Fund: The Fund seeks long-term capital appreciation. The Fund’s investments subject it to risks including, but not limited to, management risk, market and economic risk, equity risk, risks affecting specific issuers, foreign investment risk, developing country risk, foreign currency risk, small and mid-cap company risk, short sale risk, non-diversification risk, credit risk, and liquidity risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
All countries are vulnerable economically to the impact of a public health crisis, such as the novel virus known as COVID-19. Such crises may depress consumer demand, disrupt supply chains, slow economic growth, and potentially lead to market closures, travel restrictions, government-imposed shutdowns, and quarantines, all of which could adversely affect the economies of many of the markets in which the Funds invest, and which could in turn lead to declines in the value of the Funds’ investments or decrease the liquidity of those investments.
As of March 31, 2021, the Funds currently offer from one to seven classes of shares of beneficial interest:
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 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, but bear both a service fee and a 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, each Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including administration fees, transfer agent fees, government registration fees, certain printing and postage costs and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, transfer agent fees, and certain registration and filing fees.
At March 31, 2021, the following classes of shares are offered in each respective Fund:
| | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
| Income Builder Fund | X | X | X | X | X | X | X |
| Summit Fund | | | X | | | | |
| Global Opportunities Fund | X | X | X | X | X | X | X |
| International Equity Fund | X | X | X | X | X | X | X |
| Better World International Fund | X | X | X | | | | |
| International Growth Fund | X | X | X | X | X | X | X |
| Developing World Fund | X | X | X | | | X | X |
| Small/Mid Cap Core Fund | X | X | X | X | X | X | |
| Small/Mid Cap Growth Fund | X | X | X | X | X | X | |
| Long/Short Equity Fund | | | X | | | | |
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by each of the Funds in the preparation of its financial statements. Each Fund 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.
Allocation of Income, Gains, Losses and Expenses: 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 daily among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.
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Notes to Financial Statements, Continued
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Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income dividends, if any, are declared daily and paid quarterly or annually. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends and distributions are paid and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.
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 Funds purchase or sell foreign investments, they 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 Funds do 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 (depreciation) from investments in the Statement of Operations.
Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and 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 Funds’ books, and the U.S. dollar equivalent of the amounts actually received or paid. These amounts are included in foreign currency transactions in the Statement of Operations.
Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.
Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Funds. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to first call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Investment Income in the Statement of Operations.
Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.
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.
Security Valuation: All investments in securities held by the Funds are valued as described in Note 3.
Short Sales: A short sale involves the sale by the Funds of a security that the Funds do not own. The Funds borrow the security that they intend to sell from a broker or other institution, and at a later date the Funds complete the short sale by purchasing that same security on the open market and delivering it to the lending institution. The Funds may be required to pay a premium, fee, or other amount to the lender in exchange for borrowing the security. These amounts are included in "Short sale financing fees" on the Statement of Operations. When it enters into a short sale, the Funds seek to profit on a decline in the price of the security between the date the Funds borrow the security and the date the Funds purchase the security to deliver it to the lender. If, however, the price of the security increases between those dates, or if the price of the security declines by an amount which is not sufficient to cover the expenses of borrowing the security, the Funds will experience a loss. Although the potential for gain as a result of a short sale is limited to the price at which the Funds sold the security short less the cost of borrowing the security, the potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. Short sales held by the Funds during the six month period were fully collateralized by segregated cash or other securities, which are denoted on the Schedule of Investments.
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Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Unfunded Loan Commitments: The Income Builder Fund has entered into a loan commitment with Malamute Energy, Inc., of which at March 31, 2021, $320,915 of the $638,466 par commitment had been funded. The maturity date is June 30, 2021.
Use of Estimates: 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.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent the Funds engage in such transactions, they will do so for the purpose of acquiring portfolio investments consistent with the Funds’ investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Funds make a commitment to purchase an investment on a when-issued or delayed delivery basis, the Funds 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 Funds’ records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date. The values of these securities held at March 31, 2021 are detailed in the Schedule of Investments.
NOTE 3 – SECURITY VALUATION
Valuation of the Funds’ portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.
The Trustees of the Trust have appointed the Advisor to assist the Trustees with obtaining fair market values for portfolio investments, evaluating and monitoring professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assisting in calculating fair values for portfolio investments in certain circumstances, and performing other functions in connection with the 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, reviews 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 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 Securities: 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 Funds’ 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 Funds’ 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 Funds may be valued using alternative methods. The Committee customarily obtains valuations in these instances
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Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
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 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.
Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.
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 is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Funds are likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
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 Funds may be traded on days and at times when the Funds are not open for business. Consequently, the value of Funds’ investments may be significantly affected on days when shareholders cannot purchase or sell Funds’ shares.
Valuation Hierarchy: The Funds categorize their 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 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 ratings, 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 Funds are typically calculated by pricing service providers approved by the Audit Committee and are generally 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 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 is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Funds are likely to obtain if they sought a bid for the investment, or is otherwise unreliable, the Committee calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
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 a fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
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March 31, 2021 (Unaudited)
The following tables display a summary of the fair value hierarchy measurements of each Fund’s investments as of March 31, 2021:
| INCOME BUILDER FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 8,989,711,563 | $ 8,983,604,756 | $ — | $ 6,106,807 |
| Preferred Stock | 31,649,389 | 21,629,389 | 10,020,000 | — |
| Asset Backed Securities | 310,411,617 | — | 188,339,390 | 122,072,227 |
| Corporate Bonds | 947,707,161 | — | 947,411,959 | 295,202 |
| Convertible Bonds | 48,642,250 | — | 48,642,250 | — |
| Other Government | 3,762,003 | — | 3,762,003 | — |
| Mortgage Backed | 151,627,856 | — | 125,249,299 | 26,378,557 |
| Loan Participations | 88,313,887 | — | 80,741,808 | 7,572,079 |
| Short-Term Investments | 312,981,685 | 312,981,685 | — | — |
| Total Investments in Securities | $ 10,884,807,411 | $ 9,318,215,830 | $ 1,404,166,709 | $ 162,424,872(a) |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ 12,255,922 | $ — | $ 12,255,922 | $ — |
| Total Assets | $ 10,897,063,333 | $ 9,318,215,830 | $ 1,416,422,631 | $ 162,424,872 |
| Liabilities | | | | |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ (6,182,026) | $ — | $ (6,182,026) | $ — |
| Total Liabilities | $ (6,182,026) | $ — | $ (6,182,026) | $— |
| (a) In accordance with the guidance prescribed in Accounting Standards Update ("ASU") No. 2011-04, the following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments for the period ended at March 31, 2021. |
| | FAIR VALUE AT
March 31, 2021 | VALUATION
TECHNIQUE(S) | UNOBSERVABLE
INPUT | RANGE
(WEIGHTED AVERAGE) |
| Common Stock | $ 12,439 | Reference instrument | Discount for lack of marketability | 95.24%/(N/A) (a) |
| | 6,094,368 | Broker quote | Broker quote | $18.00/(N/A) |
| Asset-Backed Securities | 122,072,227 | Purchase price | Purchase price | $35.94-$48,935.00/($25,246.98) |
| Corporate Bond | 295,202 | Recovery analysis | Expected recovery | $2.00/(N/A) (a) |
| Loan Participations | 3,209 | Reference instrument | Expected recovery | $1.00/(N/A) (a) |
| | 7,568,870 | Discounted cash flows | Credit spread | $20.0%/(N/A) |
| Mortgage Backed | 26,378,557 | Purchase price | Purchase price | $0.70-$100/($7.06) |
| Total | $ 162,424,872 | | | |
| (a) Represents price used after factoring in market impact including discounts, as applicable. | | |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2021 is as follows:
| INCOME BUILDER FUND | COMMON
STOCK | MORTGAGE
BACKED | ASSET BACKED
SECURITIES | CORPORATE
BONDS | LOAN
PARTICIPATIONS | TOTAL (e) |
| Beginning Balance 9/30/2020 | $ 4,362,810 | $ 11,864,214 | $ 79,275,090 | $ 799,823 | $ 7,896,518 | $ 104,198,455 |
| Accrued Discounts (Premiums) | – | (456,755) | (8,373,181) | – | 5,221 | (8,824,715) |
| Net Realized Gain (Loss)(a) | – | (2,846,276) | 32,281 | – | 3,543 | (2,810,452) |
| Gross Purchases | – | 21,899,395 | 43,100,937 | – | 2,420 | 65,002,752 |
| Gross Sales | – | – | (306,250) | (231,063) | (710,435) | (1,247,748) |
| Net Change in Unrealized Appreciation (Depreciation)(b)(c) | 1,743,997 | 438,073 | 8,343,350 | (273,558) | 374,812 | 10,626,674 |
| Transfers into Level 3 | – | – | – | – | – | – |
| Transfers out of Level 3(d) | – | (4,520,094) | – | – | – | (4,520,094) |
| Ending Balance 3/31/2021 | $ 6,106,807 | $ 26,378,557 | $ 122,072,227 | $ 295,202 | $ 7,572,079 | $ 162,424,872 |
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March 31, 2021 (Unaudited)
| (a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2021. |
| (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 six months ended March 31, 2021. |
| (c) | The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2021, which were valued using significant unobservable inputs, was $10,656,822. This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s the Statement of Operations for the six months ended March 31, 2021. |
| (d) | Transfers out of Level 3 were into Level 2, and were due to changes in other significant observable inputs available during the six months ended March 31, 2021. Transfers out of Level 3 are based on the beginning market value of the period in which they occurred. |
| (e) | Level 3 investments represent 1.49% of total net assets at the six months ended March 31, 2021. 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. |
| SUMMIT FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 31,592,039 | $ 31,592,039 | $ — | $ — |
| Asset Backed Securities | 2,390,839 | — | 2,390,839 | — |
| Corporate Bonds | 676,965 | — | 676,965 | — |
| Convertible Bonds | 187,390 | — | 187,390 | — |
| U.S. Treasury Securities | 11,178,940 | 11,178,940 | — | — |
| Mortgage Backed | 4,962,321 | — | 4,962,321 | — |
| Loan Participations | 71,675 | — | 71,675 | — |
| Exchange-Traded Funds | 1,910,565 | 1,910,565 | — | — |
| Short-Term Investments | 5,284,915 | 4,927,871 | 357,044 | — |
| Total Investments in Securities | $ 58,255,649 | $ 49,609,415 | $ 8,646,234 | $ — |
| Total Assets | $ 58,255,649 | $ 49,609,415 | $ 8,646,234 | $ — |
| Liabilities | | | | |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ (95,331) | $ — | $ (95,331) | $ — |
| Total Liabilities | $ (95,331) | $ — | $ (95,331) | $ — |
| GLOBAL OPPORTUNITIES FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 1,041,275,335 | $ 1,041,275,335 | $ — | $ — |
| Short-Term Investments | 41,627,476 | 41,627,476 | — | — |
| Total Investments in Securities | $ 1,082,902,811 | $ 1,082,902,811 | $ — | $ — |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ 662,029 | $ — | $ 662,029 | $ — |
| Total Assets | $ 1,083,564,840 | $ 1,082,902,811 | $ 662,029 | $ — |
| Liabilities | | | | |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ (473,898) | $ — | $ (473,898) | $ — |
| Total Liabilities | $ (473,898) | $ — | $ (473,898) | $ — |
| INTERNATIONAL EQUITY FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 3,677,191,404 | $ 3,677,191,404 | $ — | $ — |
| Short-Term Investments | 166,816,051 | 166,816,051 | — | — |
| Total Investments in Securities | $ 3,844,007,455 | $ 3,844,007,455 | $ — | $ — |
| Total Assets | $ 3,844,007,455 | $ 3,844,007,455 | $ — | $— |
100 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| BETTER WORLD INTERNATIONAL FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 187,475,410 | $ 187,475,410 | $ — | $ — |
| Short-Term Investments | 17,437,255 | 17,437,255 | — | — |
| Total Investments in Securities | $ 204,912,665 | $ 204,912,665 | $ — | $ — |
| Total Assets | $ 204,912,665 | $ 204,912,665 | $ — | $ — |
| INTERNATIONAL GROWTH FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 1,925,714,677 | $ 1,925,714,677 | $ — | $ — |
| Short-Term Investments | 41,818,152 | 41,818,152 | — | — |
| Total Investments in Securities | $ 1,967,532,829 | $ 1,967,532,829 | $ — | $ — |
| Total Assets | $ 1,967,532,829 | $ 1,967,532,829 | $ — | $ — |
| DEVELOPING WORLD FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 1,132,716,222 | $ 1,132,716,222 | $ — | $ — |
| Preferred Stock | 10,506,679 | 10,506,679 | — | — |
| Rights | 169,853 | 169,853 | — | — |
| Short-Term Investments | 56,958,577 | 56,958,577 | — | — |
| Total Investments in Securities | $ 1,200,351,331 | $ 1,200,351,331 | $ — | $ — |
| Total Assets | $ 1,200,351,331 | $ 1,200,351,331 | $ — | $ — |
| SMALL/MID CAP CORE FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 846,529,263 | $ 846,529,263 | $ — | $ — |
| Short-Term Investments | 960,169 | 960,169 | — | — |
| Total Investments in Securities | $ 847,489,432 | $ 847,489,432 | $ — | $ — |
| Total Assets | $ 847,489,432 | $ 847,489,432 | $ — | $ — |
| SMALL/MID CAP GROWTH FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 709,802,268 | $ 709,802,268 | $ — | $ — |
| Short-Term Investments | 449,233 | 449,233 | — | — |
| Total Investments in Securities | $ 710,251,501 | $ 710,251,501 | $ — | $ — |
| Total Assets | $ 710,251,501 | $ 710,251,501 | $ — | $— |
Thornburg Equity Funds Semi-Annual Report | 101
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| LONG/SHORT EQUITY FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 15,775,504 | $ 15,775,504 | $ — | $ — |
| Short-Term Investments | 9,497,233 | 9,497,233 | — | — |
| Total Investments in Securities | $ 25,272,737 | $ 25,272,737 | $ — | $ — |
| Total Assets | $ 25,272,737 | $ 25,272,737 | $ — | $ — |
| Liabilities | | | | |
| Investment in Securities Sold Short | | | | |
| Common Stock | $ (7,500,838) | $ (7,500,838) | $ — | $ — |
| Exchange-Traded Funds | (22,209) | (22,209) | — | — |
| Total Investment in Securities Sold Short | $ (7,523,047) | $ (7,523,047) | $ — | $ — |
| Total Liabilities | $ (7,523,047) | $ (7,523,047) | $ — | $— |
NOTE 4 – INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment management 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. Under the investment advisory agreement, each Fund pays the Advisor a management fee based on the average daily net assets of the Funds at an annual rate as shown in the following table:
INCOME BUILDER FUND,
GLOBAL OPPORTUNITIES FUND,
INTERNATIONAL EQUITY FUND,
INTERNATIONAL GROWTH FUND,
SMALL/MID CAP CORE FUND,
SMALL/MID CAP GROWTH FUND | SUMMIT FUND | BETTER WORLD
INTERNATIONAL FUND,
DEVELOPING WORLD FUND | LONG/SHORT EQUITY FUND |
| DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE |
| Up to $500 million | 0.875% | Up to $500 million | 0.750% | Up to $500 million | 0.975% | Up to $500 million | 1.250% |
| Next $500 million | 0.825 | Next $500 million | 0.700 | Next $500 million | 0.925 | Next $500 million | 1.200 |
| Next $500 million | 0.775 | Next $500 million | 0.650 | Next $500 million | 0.875 | Next $1 billion | 1.150 |
| Next $500 million | 0.725 | Next $500 million | 0.625 | Next $500 million | 0.825 | Over $2 billion | 1.100 |
| Over $2 billion | 0.675 | Over $2 billion | 0.600 | Over $2 billion | 0.775 | | |
The Funds’ effective management fee of the Funds’ average daily net assets (before applicable management fee waivers) for the six months ended March 31, 2021 were as shown in the following table. Total management fees incurred by the Funds for the six months ended March 31, 2021 are set forth in the Statement of Operations.
| | Effective
Management
Fee |
| Income Builder Fund | 0.699% |
| Summit Fund | 0.750 |
| Global Opportunities Fund | 0.848 |
| International Equity Fund | 0.745 |
| Better World International Fund | 0.975 |
| International Growth Fund | 0.801 |
| Developing World Fund | 0.943 |
| Small/Mid Cap Core Fund | 0.855 |
| Small/Mid Cap Growth Fund | 0.858 |
| Long/Short Equity Fund | 1.250 |
102 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
The Trust has entered into an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Funds’ shares. The fees are computed as an annual percentage of the aggregate average daily net assets of all shares classes of all Funds in the Trust as follows:
| Administrative Services Fee Schedule |
| Daily Net Assets | Fee Rate |
| Up to $20 billion | 0.100% |
| $20 billion to $40 billion | 0.075 |
| $40 billion to $60 billion | 0.040 |
| Over $60 billion | 0.030 |
The aggregate fee amount is allocated on a daily basis to each Fund based on net assets and subsequently allocated to each class of shares of the Funds. Total administrative services fees incurred by each class of shares of the Funds for the six months ended March 31, 2021, are set forth in the Statement of Operations.
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 six months ended March 31, 2021, the Distributor has advised the Funds that they earned net commissions from the sale of Class A shares and collected contingent deferred sales charges ("CDSC Fees") from redemptions of Class C shares as follows:
| | Commissions | CDSC fees |
| Income Builder Fund | $ 75,148 | $ 27,688 |
| Global Opportunities Fund | 3,851 | 1,534 |
| International Equity Fund | 6,073 | 694 |
| Better World International Fund | 3,401 | — |
| International Growth Fund | 7,393 | 120 |
| Developing World Fund | 4,991 | — |
| Small/Mid Cap Core Fund | 3,948 | 711 |
| Small/Mid Cap Growth Fund | 7,332 | 634 |
Pursuant to a service plan under Rule 12b-1 of the 1940 Act, the Funds may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to the applicable Class A, Class C, Class I, Class R3, Class R4, and Class R5 shares of the Income Builder Fund, Global Opportunities Fund, International Equity Fund, International Growth Fund, Small/Mid Cap Core Fund and Small/Mid Cap Growth Fund, Class A, Class C, Class I, and Class R5 shares of the Developing World Fund, Class A, Class C, Class I shares of the Better World International Fund and Class I shares of the Summit Fund and Long/Short Equity Fund. For the six months ended March 31, 2021, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. Class R6 shares are not subject to a service plan. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of each Fund’s shares and shareholder services.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds’ Class C and Class R3 shares, under which the Funds compensate the Distributor for services in promoting the sale of Class C and Class 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 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 Funds under their respective service and distribution plans for the six months ended March 31, 2021 are set forth in the Statements of Operations.
The Advisor has contractually agreed to waive fees and reimburse expenses incurred by the Funds. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor before February 1, 2022 unless the Advisor ceases to be the investment advisor to the Funds prior to that date. The Advisor may recoup amounts waived or reimbursed during the six months ended March 31, 2021 if, during the fiscal year, expenses fall below the contractual limit that was in place at the time these fees and expenses were waived or reimbursed. The Advisor will not recoup fees or expenses as described in the preceding sentence if that recoupment would cause the Fund’s total annual operating expenses (after the recoupment is taken into account) to exceed the lesser of: (a) the expense cap that was in place at the time the waiver or reimbursement occurred; or (b) the expense cap that is in place at the time of the recoupment.
Thornburg Equity Funds Semi-Annual Report | 103
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Actual expenses of certain share classes do not exceed levels as specified in each Fund’s most recent prospectus as shown in the following table:
| | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
| Income Builder Fund | —% | —% | —% | —% | 1.40% | 0.99% | 0.80% |
| Summit Fund | — | — | 0.99 | — | — | — | — |
| Global Opportunities Fund | — | — | — | 1.50 | 1.40 | 0.99 | 0.85 |
| International Equity Fund | — | — | — | 1.45 | 1.25 | 0.99 | — |
| Better World International Fund | 1.83 | 2.38 | 1.09 | — | — | — | — |
| International Growth Fund | — | — | — | 1.50 | 0.40 | 0.99 | 0.89 |
| Developing World Fund | — | — | 1.09 | — | — | 1.09 | 0.99 |
| Small/Mid Cap Core Fund | 1.18 | 2.04 | 0.84 | 1.20 | 1.10 | 0.84 | — |
| Small/Mid Cap Growth Fund | 1.20 | 2.03 | 0.84 | 1.35 | 1.25 | 0.84 | — |
For the six months ended March 31, 2021, the Advisor contractually reimbursed certain class specific expenses and distribution fees and voluntarily waived Fund level investment advisory fees as follows:
| Contractual: | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| Income Builder Fund | $ — | $ — | $ — | $ 7,002 | $ 8,086 | $ 23,970 | $ 20,409 | $ 59,467 |
| Summit Fund | — | — | 53,805 | — | — | — | — | 53,805 |
| Global Opportunities Fund | — | — | — | 9,013 | 10,656 | 43,172 | 29,825 | 92,666 |
| International Equity Fund | — | — | — | 104,302 | 66,437 | 98,612 | — | 269,351 |
| Better World International Fund | — | 7,798 | 78,664 | — | — | — | — | 86,462 |
| International Growth Fund | — | — | — | 10,991 | 7,364 | 42,353 | 20,129 | 80,837 |
| Developing World Fund | — | — | 192,545 | — | — | 10,045 | 44,162 | 246,752 |
| Small/Mid Cap Core Fund | 325,925 | 15,397 | 363,810 | 71,410 | 15,510 | 43,105 | — | 835,157 |
| Small/Mid Cap Growth Fund | 269,320 | 24,359 | 291,703 | 67,543 | 8,993 | 50,428 | — | 712,346 |
| Voluntary: | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| Income Builder Fund | $ — | $ 273,078 | $ — | $ 5,244 | $ — | $ — | $ — | $ 278,322 |
| Global Opportunities Fund | 53,738 | 26,553 | 307,039 | 842 | 1,289 | 7,064 | 11,225 | 407,750 |
| International Equity Fund | — | — | — | — | — | — | 122,861 | 122,861 |
| Long/Short Equity Fund | — | — | 101,400 | — | — | — | — | 101,400 |
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of the independent Trustees is borne by the Trust. The Trust also pays a portion of the Chief Compliance Officer’s compensation. These amounts are reflected as Trustee and officer fees in the Statement of Operations.
As of March 31, 2021, the percentage of direct investments in the Funds held by the Trustees, officers of the Trust, and the Advisor is approximately as follows.
| | Percentage of Direct Investments |
| Income Builder Fund | 1.33% |
| Summit Fund | 90.46 |
| Global Opportunities Fund | 5.20 |
| International Equity Fund | 1.22 |
| Better World International Fund | 22.70 |
| International Growth Fund | 2.34 |
| Developing World Fund | 4.27 |
| Small/Mid Cap Core Fund | 5.24 |
| Small/Mid Cap Growth Fund | 4.73 |
| Long/Short Equity Fund | 36.58 |
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 all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended at March 31, 2021, the Rule 17a-7 purchases, sales and gains/(losses) were as follows.
| | Purchases | Sales | Realized gains/(losses) |
| Small/Mid Cap Core Fund | $ — | $ 19,996,628 | $ 7,234,838 |
| Small/Mid Cap Growth Fund | 19,996,628 | — | — |
104 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Shown below are holdings of voting securities of each portfolio company which is considered "affiliated" to the Funds under the 1940 Act, including companies for which the Funds’ holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Funds’ invested for cash management purposes during the period:
| INCOME BUILDER FUND | Market Value
9/30/20 | Purchases
at Cost | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appr./(Depr.) | Market Value
3/31/21 | Dividend
Income |
| Apollo Investment Corp. | $ 40,544,502 | $ - | $ (7,305,170) | $ (8,062,557) | $ 33,056,530 | $ 58,233,305 | $ 3,313,872 |
| Chimera Investment Corp | 119,720,189 | 18,582,666 | - | - | 71,198,364 | 209,501,219 | 9,747,695 |
| Malamute Energy, Inc. | 130,610 | - | - | - | (118,171) | 12,439 | - |
| MFA Financial, Inc. | 66,249,600 | - | (87,749,129) | (93,648,031) | 115,147,560 | - | - |
| SLR Investment Corp | 73,035,215 | - | - | - | 8,801,089 | 81,836,304 | 3,778,478 |
| Thornburg Capital Mgmt. Fund | 76,840,627 | 908,350,192 | (672,209,134) | - | - | 312,981,685 | 127,482 |
| Total | $376,520,743 | $926,932,858 | $(767,263,433) | $(101,710,588) | $228,085,372 | $662,564,952 | $16,967,527 |
| SUMMIT FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 5,456,497 | $ 25,738,039 | $ (26,266,665) | $ - | $ - | $ 4,927,871 | $ 3,192 |
| GLOBAL OPPORTUNITIES FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 69,189,955 | $150,441,085 | $(178,003,564) | $ - | $ - | $ 41,627,476 | $ 29,932 |
| INTERNATIONAL EQUITY FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 91,288,131 | $628,149,243 | $(552,621,323) | $ - | $ - | $166,816,051 | $ 97,884 |
| BETTER WORLD INTERNATIONAL FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 6,414,924 | $ 80,116,533 | $ (69,094,202) | $ - | $ - | $ 17,437,255 | $ 8,073 |
| INTERNATIONAL GROWTH FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $138,392,151 | $204,186,205 | $(300,760,204) | $ - | $ - | $ 41,818,152 | $ 52,775 |
| DEVELOPING WORLD FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 38,182,670 | $149,359,428 | $(130,583,521) | $ - | $ - | $ 56,958,577 | $ 27,261 |
| SMALL/MID CAP CORE FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 20,456,644 | $100,744,091 | $(120,240,566) | $ - | $ - | $ 960,169 | $ 5,542 |
| SMALL/MID CAP GROWTH FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 50,196,079 | $105,253,857 | $(155,000,703) | $ - | $ - | $ 449,233 | $ 15,075 |
| LONG/SHORT EQUITY FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 11,372,704 | $ 30,809,259 | $ (32,684,730) | $ - | $ - | $ 9,497,233 | $ 5,658 |
NOTE 5 – TAXES
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 investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Funds. Therefore, no provision for federal income or excise tax is required.
The Funds file income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Funds’ tax return filings generally remains open for the three years following a return’s filing date. The Funds have analyzed each uncertain tax position believed to be material in the preparation of the Funds’ financial statements for the six month period ended March 31, 2021, including open tax years, to assess whether it is more likely than not that the position would be sustained upon examination, based on the technical
Thornburg Equity Funds Semi-Annual Report | 105
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
merits of the position. The Funds have not identified any such position for which an asset or liability must be reflected in the Statements of Assets and Liabilities.
At March 31, 2021, information on the tax components of capital were as follows:
| | Cost | Unrealized
Appreciation | Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Income Builder Fund | $ 8,095,313,558 | $ 3,257,494,716 | $ (468,000,863) | $ 2,789,493,853 |
| Summit Fund | 53,359,089 | 5,831,761 | (935,201) | 4,896,560 |
| Global Opportunities Fund | 665,990,571 | 422,708,403 | (5,796,163) | 416,912,240 |
| International Equity Fund | 2,769,950,364 | 1,082,380,905 | (8,323,814) | 1,074,057,091 |
| Better World International Fund | 183,101,234 | 26,105,638 | (4,294,207) | 21,811,431 |
| International Growth Fund | 1,311,396,134 | 684,044,821 | (27,908,126) | 656,136,695 |
| Developing World Fund | 824,526,139 | 406,395,746 | (30,570,554) | 375,825,192 |
| Small/Mid Cap Core Fund | 769,283,421 | 103,291,693 | (25,085,682) | 78,206,011 |
| Small/Mid Cap Growth Fund | 706,713,850 | 53,734,264 | (50,196,613) | 3,537,651 |
| Long/Short Equity Fund | 10,923,536 | 8,412,519 | (1,586,365) | 6,826,154 |
At March 31, 2021, the Funds had deferred tax basis late-year ordinary investment losses and deferred tax basis capital losses occurring subsequent to October 31, 2019 through September 30, 2020 per the following table. For tax purposes, such losses will be recognized in the year ending September 30, 2021.
| | Deferred Tax Basis |
| | Late-Year Ordinary Losses | Capital Losses |
| Income Builder Fund | $ — | $ 642,612,020 |
| Small/Mid Cap Core Fund | — | 4,051,938 |
| Long/Short Equity Fund | 1,547,334 | 22,158,746 |
At March 31, 2021, the Funds had cumulative tax basis capital losses from prior fiscal years as shown on the following table, 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.
| | Cumulative Capital Losses |
| | Short-Term | Long-Term |
| Income Builder Fund | $ 565,486,574 | $ 5,698,378 |
| Better World International Fund | 488,669 | — |
| Developing World Fund | 153,467,637 | — |
| Long/Short Equity Fund | 1,600,832 | — |
Foreign Withholding Taxes: The Funds are subject to foreign tax withholding imposed by certain foreign countries in which the Funds 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 Funds may file 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 Funds would expect to record a receivable for such a tax reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention.
As a result of several court rulings in France, the French tax authorities recently paid several of the Funds’ tax reclaims for prior tax withholding. These tax reclaim payments are reflected as “Foreign withholding tax claims” in the Statements of Operations and any related interest is included in “Interest Income”. Reducing the “Foreign withholding tax claim” amounts are fees paid by the Funds to a third-party service provider that assisted in the recovery of the tax reclaims by pursuing administrative and judicial proceedings on the Funds’ behalf. These third-party service provider fees are reflected in the Statement of Operations under “Tax reclaim collection fees.” For U.S. income tax purposes, tax reclaims paid by France and received by the Funds will reduce the amount of foreign taxes paid in a fiscal year that Fund shareholders can use as tax credits in their individual income tax returns.
In the event that tax reclaims received by the Funds during the fiscal year ending September 30, 2021 exceed the foreign withholding taxes paid by the Funds for other foreign investments, and the Funds have previously passed foreign tax credits on to their shareholders, the Funds will have a U.S. tax liability. The Funds will enter into a closing agreement with the Internal Revenue Service (IRS) in order to pay the associated tax liability (fees) on behalf of the Funds’ shareholders. These IRS fees are estimated thru the six months period ended March 31, 2021 and are reflected as “IRS Compliance Fees” in the Statements of Operations.
106 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Deferred Foreign Capital Gain Taxes: The Funds are subject to a tax imposed on net realized gains of securities of certain foreign countries. The Funds record an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements. Such changes are included in net unrealized appreciation (depreciation) from investments in the Statement of Operations.
NOTE 6 – SHARES OF BENEFICIAL INTEREST
At March 31, 2021, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INCOME BUILDER FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 27,609,034 | $ 559,525,206 | 33,954,304 | $ 671,006,488 |
Shares issued to shareholders in
reinvestment of dividends | 3,507,983 | 77,348,275 | 6,804,754 | 130,105,110 |
| Shares repurchased | (20,303,413) | (427,678,552) | (44,294,126) | (850,588,514) |
| Net increase (decrease) | 10,813,604 | $ 209,194,929 | (3,535,068) | $ (49,476,916) |
| Class C Shares | | | | |
| Shares sold | 1,357,004 | $ 29,209,679 | 5,035,779 | $ 103,086,006 |
Shares issued to shareholders in
reinvestment of dividends | 1,085,900 | 23,824,500 | 3,776,942 | 72,439,023 |
| Shares repurchased | (31,652,892) | (642,102,327) | (53,608,115) | (1,043,884,026) |
| Net increase (decrease) | (29,209,988) | $ (589,068,148) | (44,795,394) | $ (868,358,997) |
| Class I Shares | | | | |
| Shares sold | 15,477,297 | $ 335,145,746 | 55,456,674 | $ 1,115,101,799 |
Shares issued to shareholders in
reinvestment of dividends | 5,578,499 | 123,843,745 | 14,622,421 | 281,259,056 |
| Shares repurchased | (41,519,677) | (873,530,300) | (156,683,732) | (2,940,078,566) |
| Net increase (decrease) | (20,463,881) | $ (414,540,809) | (86,604,637) | $ (1,543,717,711) |
| Class R3 Shares | | | | |
| Shares sold | 53,207 | $ 1,136,226 | 155,368 | $ 3,111,082 |
Shares issued to shareholders in
reinvestment of dividends | 25,555 | 562,423 | 61,979 | 1,188,934 |
| Shares repurchased | (233,984) | (4,965,548) | (580,564) | (11,652,766) |
| Net increase (decrease) | (155,222) | $ (3,266,899) | (363,217) | $ (7,352,750) |
| Class R4 Shares | | | | |
| Shares sold | 45,734 | $ 970,570 | 240,918 | $ 4,861,777 |
Shares issued to shareholders in
reinvestment of dividends | 12,226 | 269,415 | 29,673 | 569,279 |
| Shares repurchased | (158,974) | (3,347,101) | (733,982) | (14,306,070) |
| Net increase (decrease) | (101,014) | $ (2,107,116) | (463,391) | $ (8,875,014) |
| Class R5 Shares | | | | |
| Shares sold | 213,767 | $ 4,617,405 | 820,902 | $ 15,807,888 |
Shares issued to shareholders in
reinvestment of dividends | 38,525 | 853,331 | 103,929 | 2,006,543 |
| Shares repurchased | (623,456) | (13,357,007) | (1,257,618) | (25,280,421) |
| Net increase (decrease) | (371,164) | $ (7,886,271) | (332,787) | $ (7,465,990) |
Thornburg Equity Funds Semi-Annual Report | 107
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INCOME BUILDER FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R6 Shares | | | | |
| Shares sold | 314,103 | $ 6,895,581 | 701,888 | $ 14,357,341 |
Shares issued to shareholders in
reinvestment of dividends | 106,941 | 2,368,251 | 307,076 | 5,895,100 |
| Shares repurchased | (265,989) | (5,750,513) | (3,624,270) | (72,549,209) |
| Net increase (decrease) | 155,055 | $ 3,513,319 | (2,615,306) | $ (52,296,768) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SUMMIT FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class I Shares | | | | |
| Shares sold | 446,084 | $ 6,123,997 | 444,858 | $ 5,392,575 |
Shares issued to shareholders in
reinvestment of dividends | 241,184 | 3,005,041 | 54,495 | 546,992 |
| Shares repurchased | (126,679) | (1,800,100) | (122,156) | (1,420,779) |
| Net increase (decrease) | 560,589 | $ 7,328,938 | 377,197 | $ 4,518,788 |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| GLOBAL OPPORTUNITIES FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 478,529 | $ 16,662,817 | 919,497 | $ 26,340,798 |
Shares issued to shareholders in
reinvestment of dividends | 442,778 | 14,478,834 | 108,824 | 3,274,818 |
| Shares repurchased | (720,461) | (25,211,921) | (2,811,987) | (78,915,456) |
| Net increase (decrease) | 200,846 | $ 5,929,730 | (1,783,666) | $ (49,299,840) |
| Class C Shares | | | | |
| Shares sold | 58,827 | $ 1,956,476 | 157,029 | $ 4,196,787 |
Shares issued to shareholders in
reinvestment of dividends | 255,394 | 7,988,719 | 50,480 | 1,438,786 |
| Shares repurchased | (697,167) | (23,239,170) | (2,077,863) | (57,544,771) |
| Net increase (decrease) | (382,946) | $ (13,293,975) | (1,870,354) | $ (51,909,198) |
| Class I Shares | | | | |
| Shares sold | 988,911 | $ 35,796,995 | 2,616,768 | $ 74,537,277 |
Shares issued to shareholders in
reinvestment of dividends | 991,331 | 32,632,180 | 401,346 | 12,189,854 |
| Shares repurchased | (3,013,832) | (103,467,728) | (14,134,777) | (398,535,934) |
| Net increase (decrease) | (1,033,590) | $ (35,038,553) | (11,116,663) | $ (311,808,803) |
| Class R3 Shares | | | | |
| Shares sold | 6,971 | $ 241,653 | 19,293 | $ 557,451 |
Shares issued to shareholders in
reinvestment of dividends | 7,186 | 232,451 | 1,382 | 40,806 |
| Shares repurchased | (22,435) | (771,074) | (63,158) | (1,854,349) |
| Net increase (decrease) | (8,278) | $ (296,970) | (42,483) | $ (1,256,092) |
| Class R4 Shares | | | | |
| Shares sold | 19,815 | $ 712,383 | 101,219 | $ 2,951,799 |
Shares issued to shareholders in
reinvestment of dividends | 9,046 | 293,903 | 1,970 | 57,789 |
| Shares repurchased | (19,014) | (677,039) | (280,309) | (8,135,020) |
| Net increase (decrease) | 9,847 | $ 329,247 | (177,120) | $ (5,125,432) |
108 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| GLOBAL OPPORTUNITIES FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R5 Shares | | | | |
| Shares sold | 83,796 | $ 2,996,187 | 305,578 | $ 8,968,629 |
Shares issued to shareholders in
reinvestment of dividends | 58,719 | 1,934,612 | 22,000 | 668,594 |
| Shares repurchased | (284,777) | (9,780,414) | (826,155) | (24,429,012) |
| Net increase (decrease) | (142,262) | $ (4,849,615) | (498,577) | $ (14,791,789) |
| Class R6 Shares | | | | |
| Shares sold | 91,872 | $ 3,382,804 | 69,831 | $ 1,970,397 |
Shares issued to shareholders in
reinvestment of dividends | 101,230 | 3,347,578 | 28,664 | 874,386 |
| Shares repurchased | (72,815) | (2,639,679) | (368,733) | (10,695,821) |
| Net increase (decrease) | 120,287 | $ 4,090,703 | (270,238) | $ (7,851,038) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERNATIONAL EQUITY FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 1,809,726 | $ 49,197,634 | 11,036,296 | $ 241,090,076 |
Shares issued to shareholders in
reinvestment of dividends | 967,980 | 25,503,852 | 1,690,808 | 38,525,668 |
| Shares repurchased | (2,852,066) | (78,013,459) | (8,031,502) | (180,081,761) |
| Net increase (decrease) | (74,360) | $ (3,311,973) | 4,695,602 | $ 99,533,983 |
| Class C Shares | | | | |
| Shares sold | 74,717 | $ 1,823,727 | 195,610 | $ 3,778,936 |
Shares issued to shareholders in
reinvestment of dividends | 43,045 | 994,770 | 191,682 | 3,835,544 |
| Shares repurchased | (892,020) | (20,838,750) | (2,354,864) | (46,978,058) |
| Net increase (decrease) | (774,258) | $ (18,020,253) | (1,967,572) | $ (39,363,578) |
| Class I Shares | | | | |
| Shares sold | 6,315,208 | $ 183,598,333 | 11,666,281 | $ 261,415,569 |
Shares issued to shareholders in
reinvestment of dividends | 1,980,851 | 54,339,971 | 4,341,837 | 102,568,667 |
| Shares repurchased | (6,633,812) | (189,268,753) | (20,858,200) | (472,641,558) |
| Net increase (decrease) | 1,662,247 | $ 48,669,551 | (4,850,082) | $ (108,657,322) |
| Class R3 Shares | | | | |
| Shares sold | 667,214 | $ 18,854,789 | 1,461,732 | $ 32,465,771 |
Shares issued to shareholders in
reinvestment of dividends | 170,983 | 4,488,294 | 413,171 | 9,398,883 |
| Shares repurchased | (1,041,618) | (28,669,158) | (2,891,680) | (63,934,927) |
| Net increase (decrease) | (203,421) | $ (5,326,075) | (1,016,777) | $ (22,070,273) |
| Class R4 Shares | | | | |
| Shares sold | 286,904 | $ 7,839,148 | 1,014,688 | $ 22,543,980 |
Shares issued to shareholders in
reinvestment of dividends | 102,231 | 2,670,773 | 260,515 | 5,889,205 |
| Shares repurchased | (723,308) | (19,501,519) | (2,630,333) | (58,464,812) |
| Net increase (decrease) | (334,173) | $ (8,991,598) | (1,355,130) | $ (30,031,627) |
Thornburg Equity Funds Semi-Annual Report | 109
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERNATIONAL EQUITY FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R5 Shares | | | | |
| Shares sold | 799,113 | $ 23,490,831 | 832,970 | $ 19,366,221 |
Shares issued to shareholders in
reinvestment of dividends | 158,583 | 4,338,871 | 419,984 | 9,913,022 |
| Shares repurchased | (932,587) | (26,222,992) | (2,520,371) | (58,293,155) |
| Net increase (decrease) | 25,109 | $ 1,606,710 | (1,267,417) | $ (29,013,912) |
| Class R6 Shares | | | | |
| Shares sold | 2,116,222 | $ 59,699,759 | 2,995,276 | $ 68,309,226 |
Shares issued to shareholders in
reinvestment of dividends | 300,976 | 8,231,829 | 595,017 | 14,007,969 |
| Shares repurchased | (1,254,193) | (34,971,854) | (3,097,513) | (69,757,963) |
| Net increase (decrease) | 1,163,005 | $ 32,959,734 | 492,780 | $ 12,559,232 |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| BETTER WORLD INTERNATIONAL FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 436,631 | $ 7,831,337 | 114,611 | $ 1,657,250 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 4,491 | 63,453 |
| Shares repurchased | (84,900) | (1,529,941) | (91,706) | (1,245,138) |
| Net increase (decrease) | 351,731 | $ 6,301,396 | 27,396 | $ ��475,565 |
| Class C Shares | | | | |
| Shares sold | 62,580 | $ 1,105,413 | 34,557 | $ 461,786 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 98 | 1,371 |
| Shares repurchased | (14,312) | (242,234) | (28,068) | (396,048) |
| Net increase (decrease) | 48,268 | $ 863,179 | 6,587 | $ 67,109 |
| Class I Shares | | | | |
| Shares sold | 3,822,836 | $ 70,355,436 | 1,328,088 | $ 19,955,598 |
Shares issued to shareholders in
reinvestment of dividends | 23,974 | 433,682 | 52,598 | 757,411 |
| Shares repurchased | (400,580) | (7,577,505) | (744,884) | (10,173,389) |
| Net increase (decrease) | 3,446,230 | $ 63,211,613 | 635,802 | $ 10,539,620 |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERNATIONAL GROWTH FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 1,093,958 | $ 33,316,888 | 1,297,427 | $ 31,637,514 |
Shares issued to shareholders in
reinvestment of dividends | 61,272 | 1,791,587 | 23,326 | 515,953 |
| Shares repurchased | (771,460) | (23,513,040) | (1,401,138) | (32,811,692) |
| Net increase (decrease) | 383,770 | $ 11,595,435 | (80,385) | $ (658,225) |
| Class C Shares | | | | |
| Shares sold | 91,294 | $ 2,550,062 | 175,714 | $ 3,810,999 |
Shares issued to shareholders in
reinvestment of dividends | 18,333 | 491,332 | 11,608 | 237,299 |
| Shares repurchased | (511,310) | (14,225,901) | (983,986) | (21,613,612) |
| Net increase (decrease) | (401,683) | $ (11,184,507) | (796,664) | $ (17,565,314) |
110 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERNATIONAL GROWTH FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class I Shares | | | | |
| Shares sold | 7,220,141 | $ 227,377,119 | 12,835,206 | $ 318,511,331 |
Shares issued to shareholders in
reinvestment of dividends | 582,668 | 17,584,909 | 391,788 | 9,122,885 |
| Shares repurchased | (4,842,209) | (153,273,333) | (17,920,940) | (419,934,232) |
| Net increase (decrease) | 2,960,600 | $ 91,688,695 | (4,693,946) | $ (92,300,016) |
| Class R3 Shares | | | | |
| Shares sold | 71,036 | $ 2,159,965 | 52,273 | $ 1,302,229 |
Shares issued to shareholders in
reinvestment of dividends | 2,994 | 86,381 | 1,287 | 28,171 |
| Shares repurchased | (25,105) | (760,245) | (119,819) | (2,798,741) |
| Net increase (decrease) | 48,925 | $ 1,486,101 | (66,259) | $ (1,468,341) |
| Class R4 Shares | | | | |
| Shares sold | 125,527 | $ 3,837,889 | 113,210 | $ 2,602,942 |
Shares issued to shareholders in
reinvestment of dividends | 2,535 | 73,581 | 1,043 | 22,891 |
| Shares repurchased | (113,523) | (3,388,706) | (167,124) | (3,778,889) |
| Net increase (decrease) | 14,539 | $ 522,764 | (52,871) | $ (1,153,056) |
| Class R5 Shares | | | | |
| Shares sold | 354,662 | $ 11,150,355 | 263,078 | $ 6,601,246 |
Shares issued to shareholders in
reinvestment of dividends | 13,159 | 398,322 | 9,969 | 232,842 |
| Shares repurchased | (251,050) | (7,702,325) | (404,011) | (9,990,061) |
| Net increase (decrease) | 116,771 | $ 3,846,352 | (130,964) | $ (3,155,973) |
| Class R6 Shares | | | | |
| Shares sold | 473,126 | $ 14,837,952 | 351,598 | $ 8,989,166 |
Shares issued to shareholders in
reinvestment of dividends | 26,476 | 803,816 | 17,210 | 404,097 |
| Shares repurchased | (159,254) | (5,128,548) | (310,608) | (7,914,259) |
| Net increase (decrease) | 340,348 | $ 10,513,220 | 58,200 | $ 1,479,004 |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| DEVELOPING WORLD FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 695,807 | $ 19,003,880 | 1,146,678 | $ 24,308,415 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 43,975 | 993,822 |
| Shares repurchased | (587,028) | (16,043,795) | (1,496,605) | (30,905,469) |
| Net increase (decrease) | 108,779 | $ 2,960,085 | (305,952) | $ (5,603,232) |
| Class C Shares | | | | |
| Shares sold | 141,144 | $ 3,801,346 | 111,773 | $ 2,300,998 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 7,219 | 155,419 |
| Shares repurchased | (411,874) | (10,633,169) | (1,128,640) | (22,142,222) |
| Net increase (decrease) | (270,730) | $ (6,831,823) | (1,009,648) | $ (19,685,805) |
Thornburg Equity Funds Semi-Annual Report | 111
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| DEVELOPING WORLD FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class I Shares | | | | |
| Shares sold | 6,087,672 | $ 177,059,555 | 10,202,334 | $ 215,024,040 |
Shares issued to shareholders in
reinvestment of dividends | 42,677 | 1,197,932 | 375,751 | 8,646,014 |
| Shares repurchased | (2,605,077) | (73,785,431) | (10,311,719) | (207,153,395) |
| Net increase (decrease) | 3,525,272 | $ 104,472,056 | 266,366 | $ 16,516,659 |
| Class R5 Shares | | | | |
| Shares sold | 43,426 | $ 1,264,596 | 33,619 | $ 734,249 |
Shares issued to shareholders in
reinvestment of dividends | 206 | 5,772 | 1,618 | 37,097 |
| Shares repurchased | (13,318) | (380,820) | (34,873) | (730,114) |
| Net increase (decrease) | 30,314 | $ 889,548 | 364 | $ 41,232 |
| Class R6 Shares | | | | |
| Shares sold | 323,196 | $ 9,515,289 | 454,541 | $ 9,880,133 |
Shares issued to shareholders in
reinvestment of dividends | 5,578 | 156,695 | 35,374 | 814,301 |
| Shares repurchased | (280,090) | (8,249,297) | (514,983) | (11,199,644) |
| Net increase (decrease) | 48,684 | $ 1,422,687 | (25,068) | $ (505,210) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SMALL/MID CAP CORE FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 126,117 | $ 10,506,870 | 288,597 | $ 19,780,089 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 12,595 | 978,628 |
| Shares repurchased | (479,629) | (41,180,278) | (1,024,526) | (71,933,840) |
| Net increase (decrease) | (353,512) | $ (30,673,408) | (723,334) | $ (51,175,123) |
| Class C Shares | | | | |
| Shares sold | 12,048 | $ 921,284 | 57,059 | $ 3,443,055 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 6 | 388 |
| Shares repurchased | (110,685) | (8,287,431) | (268,475) | (17,091,898) |
| Net increase (decrease) | (98,637) | $ (7,366,147) | (211,410) | $ (13,648,455) |
| Class I Shares | | | | |
| Shares sold | 113,766 | $ 10,447,730 | 459,761 | $ 30,842,745 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 24,275 | 1,940,096 |
| Shares repurchased | (365,090) | (32,526,165) | (1,618,372) | (115,992,402) |
| Net increase (decrease) | (251,324) | $ (22,078,435) | (1,134,336) | $ (83,209,561) |
| Class R3 Shares | | | | |
| Shares sold | 13,247 | $ 1,168,458 | 42,910 | $ 2,947,610 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 710 | 54,895 |
| Shares repurchased | (84,583) | (7,399,082) | (123,016) | (8,635,684) |
| Net increase (decrease) | (71,336) | $ (6,230,624) | (79,396) | $ (5,633,179) |
112 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SMALL/MID CAP CORE FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R4 Shares | | | | |
| Shares sold | 2,149 | $ 193,955 | 11,761 | $ 812,495 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 193 | 15,077 |
| Shares repurchased | (8,120) | (743,042) | (40,626) | (2,672,547) |
| Net increase (decrease) | (5,971) | $ (549,087) | (28,672) | $ (1,844,975) |
| Class R5 Shares | | | | |
| Shares sold | 11,170 | $ 1,018,237 | 29,790 | $ 2,070,138 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 1,241 | 99,060 |
| Shares repurchased | (46,109) | (4,149,121) | (92,380) | (6,809,318) |
| Net increase (decrease) | (34,939) | $ (3,130,884) | (61,349) | $ (4,640,120) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SMALL/MID CAP GROWTH FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 390,025 | $ 20,099,241 | 829,379 | $ 33,408,666 |
Shares issued to shareholders in
reinvestment of dividends | 427,260 | 20,478,571 | 605,286 | 22,341,083 |
| Shares repurchased | (626,706) | (32,115,418) | (1,265,384) | (50,333,643) |
| Net increase (decrease) | 190,579 | $ 8,462,394 | 169,281 | $ 5,416,106 |
| Class C Shares | | | | |
| Shares sold | 54,686 | $ 2,285,103 | 175,078 | $ 6,081,451 |
Shares issued to shareholders in
reinvestment of dividends | 59,367 | 2,361,004 | 114,950 | 3,593,352 |
| Shares repurchased | (339,088) | (14,585,372) | (465,487) | (16,253,147) |
| Net increase (decrease) | (225,035) | $ (9,939,265) | (175,459) | $ (6,578,344) |
| Class I Shares | | | | |
| Shares sold | 195,599 | $ 11,120,032 | 588,568 | $ 25,800,618 |
Shares issued to shareholders in
reinvestment of dividends | 316,266 | 16,572,326 | 521,773 | 20,870,933 |
| Shares repurchased | (579,135) | (32,622,609) | (1,815,355) | (80,236,293) |
| Net increase (decrease) | (67,270) | $ (4,930,251) | (705,014) | $ (33,564,742) |
| Class R3 Shares | | | | |
| Shares sold | 133,140 | $ 6,880,141 | 141,540 | $ 5,705,049 |
Shares issued to shareholders in
reinvestment of dividends | 45,769 | 2,168,563 | 71,185 | 2,603,937 |
| Shares repurchased | (242,068) | (12,324,322) | (280,132) | (11,166,089) |
| Net increase (decrease) | (63,159) | $ (3,275,618) | (67,407) | $ (2,857,103) |
| Class R4 Shares | | | | |
| Shares sold | 6,820 | $ 341,933 | 348,295 | $ 13,926,331 |
Shares issued to shareholders in
reinvestment of dividends | 2,342 | 112,549 | 3,935 | 145,702 |
| Shares repurchased | (19,032) | (948,241) | (400,790) | (16,035,195) |
| Net increase (decrease) | (9,870) | $ (493,759) | (48,560) | $ (1,963,162) |
Thornburg Equity Funds Semi-Annual Report | 113
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SMALL/MID CAP GROWTH FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R5 Shares | | | | |
| Shares sold | 40,824 | $ 2,268,443 | 101,716 | $ 4,477,449 |
Shares issued to shareholders in
reinvestment of dividends | 24,886 | 1,302,303 | 40,988 | 1,637,470 |
| Shares repurchased | (58,762) | (3,265,271) | (181,180) | (7,921,533) |
| Net increase (decrease) | 6,948 | $ 305,475 | (38,476) | $ (1,806,614) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| LONG/SHORT EQUITY FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class I Shares | | | | |
| Shares sold | 58,885 | $ 574,025 | 2,122,192 | $ 22,307,505 |
Shares issued to shareholders in
reinvestment of dividends | - | - | 356,382 | 3,806,159 |
| Shares repurchased | (3,390,703) | (32,963,779) | (17,661,485) | (178,887,795) |
| Net increase (decrease) | (3,331,818) | $ (32,389,754) | (15,182,911) | $ (152,774,131) |
NOTE 7 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2021, the Funds had purchase and sale transactions of long, cover and sale transactions of securities sold short as below (excluding short term investments).
| | LONG | SOLD SHORT |
| | Purchases | Sales | Cover | Sales |
| Income Builder Fund | $ 869,341,628 | $ 1,815,769,760 | $ — | $ — |
| Summit Fund | 44,840,934 | 44,391,472 | 2,438,363 | — |
| Global Opportunities Fund | 144,557,652 | 223,743,908 | — | — |
| International Equity Fund | 786,710,662 | 845,964,717 | — | — |
| Better World International Fund | 162,994,771 | 96,424,397 | — | — |
| International Growth Fund | 443,326,763 | 263,140,593 | — | — |
| Developing World Fund | 314,858,524 | 232,874,934 | — | — |
| Small/Mid Cap Core Fund | 901,592,548 | 953,430,147 | — | — |
| Small/Mid Cap Growth Fund | 946,063,547 | 954,266,293 | — | — |
| Long/Short Equity Fund | 11,406,908 | 53,316,233 | 37,662,273 | 6,202,554 |
NOTE 8 – DERIVATIVE FINANCIAL INSTRUMENTS
The Funds 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 the 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 Funds and how these derivatives affect the financial position, financial performance and cash flows of the Funds. The Funds do not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2021, the Funds’ principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign currency contracts.
Forward Currency Contracts: During the six months ended March 31, 2021, the Funds entered into forward currency contracts in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Funds’ 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.
The monthly average values of open forward currency sell contracts for the six months ended March 31, 2021 for Income Builder Fund, Summit Fund, Global Opportunities Fund, International Equity Fund and Small/Mid Cap Core Fund were $828,568,069; $1,892,867; $50,597,793; $104,923,811 and $20,561,039, respectively.
114 | Thornburg Equity Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
These contracts are accounted for by the Funds under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in each 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 each Fund’s Statement of Operations.
These outstanding forward currency contracts in the table located in the Schedule of Investments which were entered into with State Street Bank and Trust Company (“SSB”) and with Morgan Stanley & Co. Inc. ("MSC") were entered into pursuant to International Swaps and Derivatives Association (“ISDA”) Master Agreements. In the event of a default or termination under the ISDA Master Agreement with SSB or MSC, 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 with SSB and the ISDA Master Agreement with MSC do not result in an offset of reported amounts of financial assets and liabilities in the Funds’ Statement of Assets and Liabilities unless there has been an event of default or termination event under such agreements, the Funds do not net its outstanding forward currency contracts for the purpose of disclosure in the Funds’ Statement of Assets and Liabilities. Instead the Funds recognize the unrealized appreciation (depreciation) on those forward currency contracts on a gross basis in the Funds’ Statement of Assets and Liabilities.
Option Contracts: Each Fund may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price.
A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlying security, index, or other instrument at the exercise price. To seek to offset some of the risk of a potential decline in value of certain long positions, each Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds (“ETFs”). Each Fund may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Fund’s portfolio, on broad-based securities indexes, or certain ETFs.
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately on the Statements of Operations as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.
Options written by each Fund do not typically give rise to counterparty credit risk since options written obligate each Fund and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to each Fund since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.
As of March 31, 2021, the Fund had no outstanding purchased options and/or written options.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in each Fund’s Statement of Assets and Liabilities at March 31, 2021 is disclosed in the following table:
| | Type of Derivative(a) | Counter
Party | Asset
Derivatives | Liability
Derivatives | Net
Amount |
| Income Builder Fund | Foreign currency contracts | SSB | $ 12,255,922 | $ (6,182,026) | $ 6,073,896 |
| Summit Fund | Foreign currency contracts | MSC | - | (95,331) | (95,331) |
| Global Opportunities Fund | Foreign currency contracts | SSB | 662,029 | (473,898) | 188,131 |
| (a) | Generally, the Statement of Assets and Liabilities location for forward currency contracts is Assets - Unrealized appreciation on forward currency contracts for asset derivatives and Liabilities - Unrealized depreciation on forward currency contracts for liabilities derivatives. |
Because the Funds did not receive or post cash collateral in connection with its currency forward contracts during the period, the net amounts of each Fund’s assets and liabilities which are attributable to those contracts at March 31, 2021 can be determined by offsetting the dollar amounts shown in the asset and liability columns in the preceding table, the results of which are reflected in the "Net Amount" column. The Funds’ forward currency contracts are valued each day, and the net amounts of each Fund’s assets and liabilities which are attributable to those contracts are expected to vary over time.
Thornburg Equity Funds Semi-Annual Report | 115
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
The net realized gain (loss) from forward currency contracts and written options and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in each Fund’s Statement of Operations for the six months ended March 31, 2021 are disclosed in the following table:
| | | | Net Realized | | Net Change in Unrealized |
| | Type of Derivative(a) | | Gain (Loss) | | Appreciation (Depreciation) |
| Income Builder Fund | Foreign currency contracts | | $ (40,095,935) | | $ 13,421,873 |
| Summit Fund | Foreign currency contracts | | 65,822 | | (110,856) |
| Summit Fund | Written Options | | 85,725 | | — |
| Global Opportunities Fund | Foreign currency contracts | | (2,033,581) | | 300,185 |
| International Equity Fund | Foreign currency contracts | | (1,362,743) | | — |
| Small/Mid Cap Core Fund | Foreign currency contracts | | (1,003,750) | | (266,046) |
| (a) | Generally, the Statement of Operations location for forward currency contracts is Net realized gain (loss) on: forward currency contracts and Net change in unrealized appreciation (depreciation) on: forward currency contracts. The Statement of Operations location for written option contracts is Net realized gain (loss) on: options written and Net change in unrealized appreciation (depreciation) on: options written. |
OTHER NOTES
Subsequent Events: The Advisor’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date of issuance of the financial statements and the following items were noted:
Several of the Funds including the Small Mid/Cap Core Fund, International Equity Fund, Income Builder Fund, International Growth Fund, and Developing World Fund have filed reclaims to recover taxes on dividend income withheld by the French Tax Administration during various fiscal years on the basis that France had purportedly violated certain provisions in the Treaty on the Functioning of the European Union. On April 22, 2021, these Funds received tax reclaim payments from the French Tax Administration and the Advisor continues to evaluate potential financial and tax implications to these Funds resulting from any associated U.S. tax liability that may be due from this payment.
At a meeting of the Board of Trustees of the Trust held on May 12, 2021, the Trustees, including all of the Trustees who are not an “interested person” of the Trust (as that term is defined in the 1940 Act) approved the closure and liquidation of the Long/Short Equity Fund pursuant to a Plan of Liquidation on or around June 25, 2021 (the “Liquidation Date”). On the Liquidation Date, the Long/Short Equity Fund will distribute pro rata to its respective shareholders of record all of the assets of the Fund in complete cancellation and redemption of all of the outstanding shares of beneficial interest, except for cash, bank deposits or cash equivalents in an estimated amount necessary to (i) discharge any unpaid liabilities and obligations of the Fund on the Fund’s books on the Liquidation Date, including, but not limited to, income dividends and capital gains distributions, if any, payable through the Liquidation Date, and (ii) pay such contingent liabilities as the officers of the Trust deem appropriate.
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Thornburg Equity Funds Semi-Annual Report | 117
Financial Highlights
Income Builder Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 18.70 | 0.62 | 4.20 | 4.82 | (0.52) | — | — | (0.52) | $23.00 |
| 2020 | $ 21.72 | 0.86 | (2.98) | (2.12) | (0.90) | — | — | (0.90) | $18.70 |
| 2019 | $ 21.80 | 0.93 | (0.07) | 0.86 | (0.94) | — | — | (0.94) | $21.72 |
| 2018 | $ 21.50 | 0.92 | 0.30 | 1.22 | (0.92) | — | — | (0.92) | $21.80 |
| 2017 | $ 19.82 | 0.92 | 1.61 | 2.53 | (0.85) | — | — | (0.85) | $21.50 |
| 2016 | $ 19.07 | 0.93 | 0.62 | 1.55 | (0.80) | — | — | (0.80) | $19.82 |
| CLASS C SHARES |
| 2021 (c) | $ 18.68 | 0.52 | 4.21 | 4.73 | (0.44) | — | — | (0.44) | $22.97 |
| 2020 | $ 21.69 | 0.69 | (2.95) | (2.26) | (0.75) | — | — | (0.75) | $18.68 |
| 2019 | $ 21.78 | 0.76 | (0.06) | 0.70 | (0.79) | — | — | (0.79) | $21.69 |
| 2018 | $ 21.48 | 0.76 | 0.30 | 1.06 | (0.76) | — | — | (0.76) | $21.78 |
| 2017 | $ 19.81 | 0.78 | 1.60 | 2.38 | (0.71) | — | — | (0.71) | $21.48 |
| 2016 | $ 19.06 | 0.79 | 0.62 | 1.41 | (0.66) | — | — | (0.66) | $19.81 |
| CLASS I SHARES |
| 2021 (c) | $ 18.84 | 0.64 | 4.24 | 4.88 | (0.55) | — | — | (0.55) | $23.17 |
| 2020 | $ 21.88 | 0.89 | (2.98) | (2.09) | (0.95) | — | — | (0.95) | $18.84 |
| 2019 | $ 21.96 | 0.99 | (0.07) | 0.92 | (1.00) | — | — | (1.00) | $21.88 |
| 2018 | $ 21.65 | 1.00 | 0.29 | 1.29 | (0.98) | — | — | (0.98) | $21.96 |
| 2017 | $ 19.97 | 1.02 | 1.59 | 2.61 | (0.93) | — | — | (0.93) | $21.65 |
| 2016 | $ 19.21 | 1.00 | 0.62 | 1.62 | (0.86) | — | — | (0.86) | $19.97 |
| CLASS R3 SHARES |
| 2021 (c) | $ 18.70 | 0.57 | 4.20 | 4.77 | (0.48) | — | — | (0.48) | $22.99 |
| 2020 | $ 21.71 | 0.78 | (2.96) | (2.18) | (0.83) | — | — | (0.83) | $18.70 |
| 2019 | $ 21.80 | 0.84 | (0.07) | 0.77 | (0.86) | — | — | (0.86) | $21.71 |
| 2018 | $ 21.49 | 0.83 | 0.32 | 1.15 | (0.84) | — | — | (0.84) | $21.80 |
| 2017 | $ 19.82 | 0.87 | 1.59 | 2.46 | (0.79) | — | — | (0.79) | $21.49 |
| 2016 | $ 19.07 | 0.87 | 0.62 | 1.49 | (0.74) | — | — | (0.74) | $19.82 |
| CLASS R4 SHARES |
| 2021 (c) | $ 18.72 | 0.58 | 4.21 | 4.79 | (0.49) | — | — | (0.49) | $23.02 |
| 2020 | $ 21.74 | 0.77 | (2.94) | (2.17) | (0.85) | — | — | (0.85) | $18.72 |
| 2019 | $ 21.83 | 0.86 | (0.07) | 0.79 | (0.88) | — | — | (0.88) | $21.74 |
| 2018 | $ 21.52 | 0.85 | 0.33 | 1.18 | (0.87) | — | — | (0.87) | $21.83 |
| 2017 | $ 19.85 | 0.89 | 1.59 | 2.48 | (0.81) | — | — | (0.81) | $21.52 |
| 2016 | $ 19.10 | 0.89 | 0.62 | 1.51 | (0.76) | — | — | (0.76) | $19.85 |
| CLASS R5 SHARES |
| 2021 (c) | $ 18.83 | 0.63 | 4.23 | 4.86 | (0.54) | — | — | (0.54) | $23.15 |
| 2020 | $ 21.86 | 0.90 | (3.00) | (2.10) | (0.93) | — | — | (0.93) | $18.83 |
| 2019 | $ 21.95 | 0.97 | (0.09) | 0.88 | (0.97) | — | — | (0.97) | $21.86 |
| 2018 | $ 21.64 | 0.94 | 0.33 | 1.27 | (0.96) | — | — | (0.96) | $21.95 |
| 2017 | $ 19.95 | 0.98 | 1.61 | 2.59 | (0.90) | — | — | (0.90) | $21.64 |
| 2016 | $ 19.20 | 0.98 | 0.62 | 1.60 | (0.85) | — | — | (0.85) | $19.95 |
| CLASS R6 SHARES |
| 2021 (c) | $ 18.78 | 0.66 | 4.21 | 4.87 | (0.56) | — | — | (0.56) | $23.09 |
| 2020 | $ 21.81 | 0.92 | (2.98) | (2.06) | (0.97) | — | — | (0.97) | $18.78 |
| 2019 | $ 21.89 | 1.01 | (0.08) | 0.93 | (1.01) | — | — | (1.01) | $21.81 |
| 2018 | $ 21.58 | 1.16 | 0.14 | 1.30 | (0.99) | — | — | (0.99) | $21.89 |
| 2017 (e) | $ 20.55 | 0.44 | 1.12 | 1.56 | (0.53) | — | — | (0.53) | $21.58 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was April 10, 2017. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
118 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Income Builder Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 5.86 (d) | 1.27 (d) | 1.27 (d) | | 25.90 | 8.71 | $ 3,829,294 |
| 2020 | 4.27 | 1.15 | 1.15 | | (9.78) | 47.60 | $ 2,912,063 |
| 2019 | 4.42 | 1.13 | 1.13 | | 4.13 | 43.69 | $ 3,458,385 |
| 2018 | 4.25 | 1.15 | 1.15 | | 5.79 | 41.17 | $ 3,378,149 |
| 2017 | 4.52 | 1.19 | 1.19 | | 13.01 | 37.37 | $ 3,374,895 |
| 2016 | 4.82 | 1.18 | 1.18 | | 8.35 | 42.81 | $ 3,778,863 |
| CLASS C SHARES |
| 2021 (c) | 4.89 (d) | 2.02 (d) | 2.07 (d) | | 25.44 | 8.71 | $ 1,115,056 |
| 2020 | 3.40 | 1.88 | 1.88 | | (10.44) | 47.60 | $ 1,452,643 |
| 2019 | 3.60 | 1.87 | 1.87 | | 3.35 | 43.69 | $ 2,658,581 |
| 2018 | 3.51 | 1.90 | 1.90 | | 5.01 | 41.17 | $ 3,591,856 |
| 2017 | 3.80 | 1.90 | 1.93 | | 12.19 | 37.37 | $ 4,677,322 |
| 2016 | 4.11 | 1.90 | 1.93 | | 7.59 | 42.81 | $ 5,356,153 |
| CLASS I SHARES |
| 2021 (c) | 6.02 (d) | 1.06 (d) | 1.06 (d) | | 26.01 | 8.71 | $ 5,789,840 |
| 2020 | 4.40 | 0.91 | 0.91 | | (9.55) | 47.60 | $ 5,094,055 |
| 2019 | 4.67 | 0.88 | 0.88 | | 4.39 | 43.69 | $ 7,810,067 |
| 2018 | 4.58 | 0.86 | 0.86 | | 6.12 | 41.17 | $ 7,806,245 |
| 2017 | 4.93 | 0.86 | 0.86 | | 13.30 | 37.37 | $ 7,804,930 |
| 2016 | 5.15 | 0.86 | 0.86 | | 8.71 | 42.81 | $ 6,928,783 |
| CLASS R3 SHARES |
| 2021 (c) | 5.40 (d) | 1.63 (d) | 1.73 (d) | | 25.64 | 8.71 | $ 26,362 |
| 2020 | 3.86 | 1.49 | 1.49 | | (10.06) | 47.60 | $ 24,343 |
| 2019 | 3.97 | 1.50 | 1.58 | | 3.72 | 43.69 | $ 36,155 |
| 2018 | 3.84 | 1.50 | 1.61 | | 5.47 | 41.17 | $ 46,901 |
| 2017 | 4.24 | 1.47 | 1.56 | | 12.63 | 37.37 | $ 67,623 |
| 2016 | 4.53 | 1.50 | 1.59 | | 8.01 | 42.81 | $ 78,188 |
| CLASS R4 SHARES |
| 2021 (c) | 5.48 (d) | 1.53 (d) | 1.65 (d) | | 25.73 | 8.71 | $ 13,713 |
| 2020 | 3.79 | 1.40 | 1.51 | | (10.01) | 47.60 | $ 13,044 |
| 2019 | 4.09 | 1.40 | 1.50 | | 3.79 | 43.69 | $ 25,221 |
| 2018 | 3.91 | 1.40 | 1.56 | | 5.58 | 41.17 | $ 31,132 |
| 2017 | 4.35 | 1.40 | 1.51 | | 12.72 | 37.37 | $ 44,069 |
| 2016 | 4.63 | 1.40 | 1.48 | | 8.12 | 42.81 | $ 45,968 |
| CLASS R5 SHARES |
| 2021 (c) | 5.88 (d) | 1.12 (d) | 1.22 (d) | | 25.93 | 8.71 | $ 47,119 |
| 2020 | 4.44 | 0.99 | 1.05 | | (9.58) | 47.60 | $ 45,308 |
| 2019 | 4.55 | 0.99 | 1.08 | | 4.20 | 43.69 | $ 59,890 |
| 2018 | 4.30 | 0.99 | 1.12 | | 5.99 | 41.17 | $ 59,545 |
| 2017 | 4.76 | 0.99 | 1.09 | | 13.22 | 37.37 | $ 91,735 |
| 2016 | 5.08 | 0.99 | 1.07 | | 8.52 | 42.81 | $ 86,535 |
| CLASS R6 SHARES |
| 2021 (c) | 6.21 (d) | 0.94 (d) | 0.98 (d) | | 26.05 | 8.71 | $ 110,427 |
| 2020 | 4.58 | 0.80 | 0.84 | | (9.44) | 47.60 | $ 86,889 |
| 2019 | 4.76 | 0.80 | 0.82 | | 4.47 | 43.69 | $ 157,924 |
| 2018 | 5.39 | 0.80 | 0.82 | | 6.20 | 41.17 | $ 156,750 |
| 2017 (e) | 4.37 (d) | 0.80 (d) | 1.09 (d) | | 7.65 | 37.37 | $ 36,909 |
Thornburg Equity Funds Semi-Annual Report | 119
Financial Highlights
Summit Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS I SHARES |
| 2021 (d) | $ 12.18 | 0.05 | 2.10 | 2.15 | (0.22) | (0.58) | — | (0.80) | $13.53 |
| 2020 | $ 10.47 | 0.09 | 1.80 | 1.89 | (0.13) | (0.05) | — | (0.18) | $12.18 |
| 2019 (f) | $ 10.00 | 0.11 | 0.43 | 0.54 | (0.07) | — | — | (0.07) | $10.47 |
| (a) | The Fund incurs certain expenses and fees in connection with investments in short positions. If such expenses and fees had not occurred, the Expenses After Expense Reductions ratios for 2021, 2020 and 2019 would have been 0.99%, 0.99% and 0.99% respectively. |
| (b) | The Fund incurs certain expenses and fees in connection with investments in short positions. If such expenses and fees had not occurred, the Expenses Before Expense Reductions ratios for 2021, 2020 and 2019 would have been 1.20%, 1.31% and 1.71% respectively. |
| (c) | Not annualized for periods less than one year. |
| (d) | Unaudited Six Month Period Ended March 31. |
| (e) | Annualized. |
| (f) | Fund commenced operations on March 1, 2019. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
120 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Summit Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%)(a) | Expenses,
Before Expense
Reductions (%)(b) | | Total
Return (%)(c) | Portfolio
Turnover
Rate (%)(c) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS I SHARES |
| 2021 (d) | 0.83 (e) | 1.04 (e) | 1.25 (e) | | 18.33 | 83.60 | $ 58,581 |
| 2020 | 0.81 | 1.09 | 1.41 | | 18.45 | 139.88 | $ 45,886 |
| 2019 (f) | 1.78 (e) | 1.72 (e) | 2.44 (e) | | 5.45 | 53.38 | $ 35,489 |
Thornburg Equity Funds Semi-Annual Report | 121
Financial Highlights
Global Opportunities Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 31.69 | 0.27 | 8.29 | 8.56 | — (d) | (2.30) | — | (2.30) | $37.95 |
| 2020 | $ 27.56 | 0.08 | 4.47 | 4.55 | (0.14) | (0.28) | — | (0.42) | $31.69 |
| 2019 | $ 29.93 | 0.20 | (2.02) | (1.82) | (0.55) | — | — | (0.55) | $27.56 |
| 2018 | $ 30.98 | 0.44 | (1.42) | (0.98) | (0.07) | — | — | (0.07) | $29.93 |
| 2017 | $ 24.90 | 0.13 | 6.05 | 6.18 | (0.10) | — | — | (0.10) | $30.98 |
| 2016 | $ 24.41 | 0.25 | 0.38 | 0.63 | (0.14) | — | — | (0.14) | $24.90 |
| CLASS C SHARES |
| 2021 (c) | $ 30.44 | 0.12 | 7.94 | 8.06 | — | (2.30) | — | (2.30) | $36.20 |
| 2020 | $ 26.55 | (0.14) | 4.31 | 4.17 | — | (0.28) | — | (0.28) | $30.44 |
| 2019 | $ 28.70 | (0.01) | (1.89) | (1.90) | (0.25) | — | — | (0.25) | $26.55 |
| 2018 | $ 29.88 | 0.23 | (1.39) | (1.16) | (0.02) | — | — | (0.02) | $28.70 |
| 2017 | $ 24.13 | (0.08) | 5.84 | 5.76 | (0.01) | — | — | (0.01) | $29.88 |
| 2016 | $ 23.70 | 0.07 | 0.36 | 0.43 | — | — | — | — | $24.13 |
| CLASS I SHARES |
| 2021 (c) | $ 31.81 | 0.32 | 8.32 | 8.64 | (0.09) | (2.30) | — | (2.39) | $38.06 |
| 2020 | $ 27.67 | 0.15 | 4.50 | 4.65 | (0.23) | (0.28) | — | (0.51) | $31.81 |
| 2019 | $ 30.07 | 0.29 | (2.04) | (1.75) | (0.65) | — | — | (0.65) | $27.67 |
| 2018 | $ ��� 31.06 | 0.56 | (1.45) | (0.89) | (0.10) | — | — | (0.10) | $30.07 |
| 2017 | $ 24.96 | 0.23 | 6.07 | 6.30 | (0.20) | — | — | (0.20) | $31.06 |
| 2016 | $ 24.53 | 0.34 | 0.37 | 0.71 | (0.28) | — | — | (0.28) | $24.96 |
| CLASS R3 SHARES |
| 2021 (c) | $ 31.38 | 0.22 | 8.21 | 8.43 | — | (2.30) | — | (2.30) | $37.51 |
| 2020 | $ 27.28 | 0.01 | 4.42 | 4.43 | (0.05) | (0.28) | — | (0.33) | $31.38 |
| 2019 | $ 29.57 | 0.15 | (1.98) | (1.83) | (0.46) | — | — | (0.46) | $27.28 |
| 2018 | $ 30.66 | 0.38 | (1.41) | (1.03) | (0.06) | — | — | (0.06) | $29.57 |
| 2017 | $ 24.66 | 0.08 | 5.99 | 6.07 | (0.07) | — | — | (0.07) | $30.66 |
| 2016 | $ 24.18 | 0.20 | 0.38 | 0.58 | (0.10) | — | — | (0.10) | $24.66 |
| CLASS R4 SHARES |
| 2021 (c) | $ 31.50 | 0.26 | 8.22 | 8.48 | — | (2.30) | — | (2.30) | $37.68 |
| 2020 | $ 27.32 | 0.03 | 4.43 | 4.46 | — | (0.28) | — | (0.28) | $31.50 |
| 2019 | $ 29.62 | 0.19 | (2.00) | (1.81) | (0.49) | — | — | (0.49) | $27.32 |
| 2018 | $ 30.69 | 0.46 | (1.47) | (1.01) | (0.06) | — | — | (0.06) | $29.62 |
| 2017 | $ 24.67 | 0.11 | 6.00 | 6.11 | (0.09) | — | — | (0.09) | $30.69 |
| 2016 | $ 24.22 | 0.24 | 0.35 | 0.59 | (0.14) | — | — | (0.14) | $24.67 |
| CLASS R5 SHARES |
| 2021 (c) | $ 31.84 | 0.31 | 8.34 | 8.65 | (0.09) | (2.30) | — | (2.39) | $38.10 |
| 2020 | $ 27.70 | 0.15 | 4.50 | 4.65 | (0.23) | (0.28) | — | (0.51) | $31.84 |
| 2019 | $ 30.10 | 0.28 | (2.02) | (1.74) | (0.66) | — | — | (0.66) | $27.70 |
| 2018 | $ 31.10 | 0.57 | (1.47) | (0.90) | (0.10) | — | — | (0.10) | $30.10 |
| 2017 | $ 24.99 | 0.22 | 6.08 | 6.30 | (0.19) | — | — | (0.19) | $31.10 |
| 2016 | $ 24.55 | 0.34 | 0.37 | 0.71 | (0.27) | — | — | (0.27) | $24.99 |
| CLASS R6 SHARES |
| 2021 (c) | $ 31.93 | 0.36 | 8.32 | 8.68 | (0.13) | (2.30) | — | (2.43) | $38.18 |
| 2020 | $ 27.77 | 0.21 | 4.50 | 4.71 | (0.27) | (0.28) | — | (0.55) | $31.93 |
| 2019 | $ 30.20 | 0.32 | (2.05) | (1.73) | (0.70) | — | — | (0.70) | $27.77 |
| 2018 | $ 31.16 | 0.90 | (1.75) | (0.85) | (0.11) | — | — | (0.11) | $30.20 |
| 2017 (f) | $ 28.35 | 0.11 | 2.73 | 2.84 | (0.03) | — | — | (0.03) | $31.16 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Dividends from net investment income per share were less than $(0.01). |
| (e) | Annualized. |
| (f) | Effective date of this class of shares was April 10, 2017. |
| (g) | 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.
122 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Global Opportunities Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.55 (e) | 1.28 (e) | 1.33 (e) | | 28.19 | 15.19 | $ 265,623 |
| 2020 | 0.27 | 1.28 | 1.32 | | 16.59 | 35.63 | $ 215,473 |
| 2019 | 0.73 | 1.31 | 1.33 | | (5.78) | 29.12 | $ 236,560 |
| 2018 | 1.40 | 1.28 | 1.28 | | (3.16) | 41.99 | $ 367,449 |
| 2017 | 0.46 | 1.33 | 1.33 | | 24.85 | 43.70 | $ 442,522 |
| 2016 | 1.02 | 1.35 | 1.35 | | 2.57 | 37.11 | $ 443,072 |
| CLASS C SHARES |
| 2021 (c) | 0.70 (e) | 2.07 (e) | 2.12 (e) | | 27.68 | 15.19 | $ 124,916 |
| 2020 | (0.49) | 2.02 | 2.06 | | 15.78 | 35.63 | $ 116,705 |
| 2019 | (0.02) | 2.07 | 2.09 | | (6.49) | 29.12 | $ 151,469 |
| 2018 | 0.78 | 2.03 | 2.03 | | (3.90) | 41.99 | $ 253,907 |
| 2017 | (0.30) | 2.08 | 2.08 | | 23.88 | 43.70 | $ 380,046 |
| 2016 | 0.29 | 2.09 | 2.09 | | 1.81 | 37.11 | $ 359,426 |
| CLASS I SHARES |
| 2021 (c) | 1.83 (e) | 0.99 (e) | 1.10 (e) | | 28.35 | 15.19 | $ 586,664 |
| 2020 | 0.50 | 0.99 | 1.08 | | 16.91 | 35.63 | $ 523,175 |
| 2019 | 1.05 | 0.99 | 1.06 | | (5.46) | 29.12 | $ 762,697 |
| 2018 | 1.79 | 0.97 | 0.97 | | (2.88) | 41.99 | $ 1,200,267 |
| 2017 | 0.80 | 0.97 | 0.98 | | 25.31 | 43.70 | $ 1,514,039 |
| 2016 | 1.39 | 0.99 | 0.99 | | 2.91 | 37.11 | $ 996,970 |
| CLASS R3 SHARES |
| 2021 (c) | 1.26 (e) | 1.50 (e) | 2.01 (e) | | 28.05 | 15.19 | $ 4,032 |
| 2020 | 0.03 | 1.50 | 2.00 | | 16.32 | 35.63 | $ 3,633 |
| 2019 | 0.55 | 1.50 | 2.20 | | (5.95) | 29.12 | $ 4,317 |
| 2018 | 1.22 | 1.50 | 1.92 | | (3.38) | 41.99 | $ 7,577 |
| 2017 | 0.28 | 1.50 | 1.97 | | 24.66 | 43.70 | $ 12,059 |
| 2016 | 0.84 | 1.50 | 2.01 | | 2.38 | 37.11 | $ 10,645 |
| CLASS R4 SHARES |
| 2021 (c) | 1.49 (e) | 1.40 (e) | 1.80 (e) | | 28.10 | 15.19 | $ 6,463 |
| 2020 | 0.09 | 1.40 | 1.62 | | 16.41 | 35.63 | $ 5,093 |
| 2019 | 0.71 | 1.40 | 1.86 | | (5.84) | 29.12 | $ 9,254 |
| 2018 | 1.49 | 1.40 | 1.61 | | (3.29) | 41.99 | $ 20,786 |
| 2017 | 0.38 | 1.40 | 1.65 | | 24.81 | 43.70 | $ 28,061 |
| 2016 | 0.98 | 1.40 | 1.66 | | 2.45 | 37.11 | $ 21,415 |
| CLASS R5 SHARES |
| 2021 (c) | 1.76 (e) | 0.99 (e) | 1.30 (e) | | 28.36 | 15.19 | $ 33,849 |
| 2020 | 0.53 | 0.99 | 1.28 | | 16.89 | 35.63 | $ 32,817 |
| 2019 | 1.04 | 0.99 | 1.27 | | (5.45) | 29.12 | $ 42,354 |
| 2018 | 1.82 | 0.99 | 1.16 | | (2.92) | 41.99 | $ 70,084 |
| 2017 | 0.79 | 0.99 | 1.16 | | 25.29 | 43.70 | $ 80,704 |
| 2016 | 1.38 | 0.99 | 1.07 | | 2.91 | 37.11 | $ 60,252 |
| CLASS R6 SHARES |
| 2021 (c) | 2.01 (e) | 0.85 (e) | 1.01 (e) | | 28.41 | 15.19 | $ 57,114 |
| 2020 | 0.70 | 0.85 | 1.03 | | 17.08 | 35.63 | $ 43,911 |
| 2019 | 1.17 | 0.85 | 1.00 | | (5.34) | 29.12 | $ 45,699 |
| 2018 | 2.93 | 0.85 | 0.98 | | (2.75) | 41.99 | $ 51,836 |
| 2017 (f) | 0.77 (e) | 0.85 (e) | 13.31 (e)(g) | | 10.02 | 43.70 | $ 1,576 |
Thornburg Equity Funds Semi-Annual Report | 123
Financial Highlights
International Equity Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 24.78 | 0.11 | 4.72 | 4.83 | (0.06) | (0.77) | — | (0.83) | $28.78 |
| 2020 | $ 22.91 | 0.07 | 3.29 | 3.36 | (0.21) | (1.28) | — | (1.49) | $24.78 |
| 2019 | $ 22.69 | 0.19 | 0.31 | 0.50 | (0.28) | — | — | (0.28) | $22.91 |
| 2018 | $ 27.63 | 0.19 | (1.10) | (0.91) | — | (4.03) | — | (4.03) | $22.69 |
| 2017 | $ 23.43 | 0.16 | 4.24 | 4.40 | (0.20) | — | — | (0.20) | $27.63 |
| 2016 (e) | $ 27.46 | 0.36 | 0.25 | 0.61 | (0.39) | (4.25) | — | (4.64) | $23.43 |
| CLASS C SHARES |
| 2021 (c) | $ 21.91 | — (f) | 4.16 | 4.16 | — | (0.77) | — | (0.77) | $25.30 |
| 2020 | $ 20.33 | (0.08) | 2.94 | 2.86 | — | (1.28) | — | (1.28) | $21.91 |
| 2019 | $ 20.01 | — (f) | 0.32 | 0.32 | — | — | — | — | $20.33 |
| 2018 | $ 25.00 | 0.02 | (0.98) | (0.96) | — | (4.03) | — | (4.03) | $20.01 |
| 2017 | $ 21.29 | (0.02) | 3.84 | 3.82 | (0.11) | — | — | (0.11) | $25.00 |
| 2016 | $ 25.40 | 0.17 | 0.24 | 0.41 | (0.27) | (4.25) | — | (4.52) | $21.29 |
| CLASS I SHARES |
| 2021 (c) | $ 25.70 | 0.16 | 4.88 | 5.04 | (0.12) | (0.77) | — | (0.89) | $29.85 |
| 2020 | $ 23.69 | 0.15 | 3.42 | 3.57 | (0.28) | (1.28) | — | (1.56) | $25.70 |
| 2019 | $ 23.47 | 0.25 | 0.32 | 0.57 | (0.35) | — | — | (0.35) | $23.69 |
| 2018 | $ 28.37 | 0.29 | (1.15) | (0.86) | (0.01) | (4.03) | — | (4.04) | $23.47 |
| 2017 | $ 24.02 | 0.25 | 4.37 | 4.62 | (0.27) | — | — | (0.27) | $28.37 |
| 2016 | $ 28.04 | 0.47 | 0.23 | 0.70 | (0.47) | (4.25) | — | (4.72) | $24.02 |
| CLASS R3 SHARES |
| 2021 (c) | $ 24.77 | 0.08 | 4.72 | 4.80 | — | (0.77) | — | (0.77) | $28.80 |
| 2020 | $ 22.89 | 0.03 | 3.29 | 3.32 | (0.16) | (1.28) | — | (1.44) | $24.77 |
| 2019 | $ 22.65 | 0.15 | 0.31 | 0.46 | (0.22) | — | — | (0.22) | $22.89 |
| 2018 | $ 27.63 | 0.14 | (1.09) | (0.95) | — | (4.03) | — | (4.03) | $22.65 |
| 2017 | $ 23.44 | 0.14 | 4.22 | 4.36 | (0.17) | — | — | (0.17) | $27.63 |
| 2016 | $ 27.47 | 0.31 | 0.25 | 0.56 | (0.34) | (4.25) | — | (4.59) | $23.44 |
| CLASS R4 SHARES |
| 2021 (c) | $ 24.60 | 0.10 | 4.68 | 4.78 | (0.04) | (0.77) | — | (0.81) | $28.57 |
| 2020 | $ 22.74 | 0.07 | 3.27 | 3.34 | (0.20) | (1.28) | — | (1.48) | $24.60 |
| 2019 | $ 22.52 | 0.19 | 0.30 | 0.49 | (0.27) | — | — | (0.27) | $22.74 |
| 2018 | $ 27.45 | 0.20 | (1.10) | (0.90) | — | (4.03) | — | (4.03) | $22.52 |
| 2017 | $ 23.26 | 0.18 | 4.21 | 4.39 | (0.20) | — | — | (0.20) | $27.45 |
| 2016 | $ 27.30 | 0.37 | 0.23 | 0.60 | (0.39) | (4.25) | — | (4.64) | $23.26 |
| CLASS R5 SHARES |
| 2021 (c) | $ 25.66 | 0.15 | 4.88 | 5.03 | (0.10) | (0.77) | — | (0.87) | $29.82 |
| 2020 | $ 23.67 | 0.13 | 3.42 | 3.55 | (0.28) | (1.28) | — | (1.56) | $25.66 |
| 2019 | $ 23.44 | 0.25 | 0.32 | 0.57 | (0.34) | — | — | (0.34) | $23.67 |
| 2018 | $ 28.35 | 0.27 | (1.15) | (0.88) | — (g) | (4.03) | — | (4.03) | $23.44 |
| 2017 | $ 24.01 | 0.24 | 4.35 | 4.59 | (0.25) | — | — | (0.25) | $28.35 |
| 2016 | $ 28.03 | 0.46 | 0.23 | 0.69 | (0.46) | (4.25) | — | (4.71) | $24.01 |
| CLASS R6 SHARES |
| 2021 (c) | $ 25.59 | 0.18 | 4.86 | 5.04 | (0.16) | (0.77) | — | (0.93) | $29.70 |
| 2020 | $ 23.61 | 0.18 | 3.41 | 3.59 | (0.33) | (1.28) | — | (1.61) | $25.59 |
| 2019 | $ 23.40 | 0.31 | 0.29 | 0.60 | (0.39) | — | — | (0.39) | $23.61 |
| 2018 | $ 28.27 | 0.33 | (1.15) | (0.82) | (0.02) | (4.03) | — | (4.05) | $23.40 |
| 2017 | $ 23.95 | 0.31 | 4.33 | 4.64 | (0.32) | — | — | (0.32) | $28.27 |
| 2016 | $ 27.97 | 0.53 | 0.21 | 0.74 | (0.51) | (4.25) | — | (4.76) | $23.95 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Class B shares converted to Class A shares on August 29, 2016. |
| (f) | Net investment income (loss) was less than $(0.01) per share. |
| (g) | Dividends from net investment income per share were less than $(0.01). |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
124 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
International Equity Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 0.80 (d) | 1.61 (d) | 1.61 (d) | | 19.78 | 23.26 | $ 956,765 |
| 2020 | 0.31 | 1.25 | 1.26 | | 15.33 | 79.05 | $ 825,677 |
| 2019 | 0.86 | 1.26 | 1.26 | | 2.47 | 71.09 | $ 655,807 |
| 2018 | 0.77 | 1.27 | 1.27 | | (4.13) | 44.41 | $ 782,371 |
| 2017 | 0.65 | 1.31 | 1.31 | | 18.78 | 86.88 | $ 840,244 |
| 2016 (e) | 1.51 | 1.28 | 1.28 | | 1.90 | 103.90 | $ 990,194 |
| CLASS C SHARES |
| 2021 (c) | (0.02) (d) | 2.32 (d) | 2.32 (d) | | 19.30 | 23.26 | $ 31,917 |
| 2020 | (0.40) | 1.93 | 1.94 | | 14.69 | 79.05 | $ 44,594 |
| 2019 | (0.02) | 2.09 | 2.09 | | 1.60 | 71.09 | $ 81,401 |
| 2018 | 0.07 | 2.02 | 2.02 | | (4.86) | 44.41 | $ 159,789 |
| 2017 | (0.08) | 2.04 | 2.04 | | 17.94 | 86.88 | $ 400,859 |
| 2016 | 0.77 | 2.02 | 2.02 | | 1.12 | 103.90 | $ 535,169 |
| CLASS I SHARES |
| 2021 (c) | 1.10 (d) | 1.32 (d) | 1.32 (d) | | 19.93 | 23.26 | $ 2,039,949 |
| 2020 | 0.64 | 0.92 | 0.93 | | 15.74 | 79.05 | $ 1,713,358 |
| 2019 | 1.11 | 0.97 | 0.97 | | 2.76 | 71.09 | $ 1,694,780 |
| 2018 | 1.15 | 0.91 | 0.91 | | (3.81) | 44.41 | $ 2,462,564 |
| 2017 | 0.99 | 0.92 | 0.92 | | 19.29 | 86.88 | $ 3,370,930 |
| 2016 | 1.91 | 0.90 | 0.90 | | 2.21 | 103.90 | $ 4,375,955 |
| CLASS R3 SHARES |
| 2021 (c) | 0.56 (d) | 1.83 (d) | 1.96 (d) | | 19.66 | 23.26 | $ 171,734 |
| 2020 | 0.12 | 1.45 | 1.58 | | 15.11 | 79.05 | $ 152,764 |
| 2019 | 0.67 | 1.45 | 1.65 | | 2.25 | 71.09 | $ 164,437 |
| 2018 | 0.59 | 1.45 | 1.64 | | (4.29) | 44.41 | $ 213,007 |
| 2017 | 0.55 | 1.45 | 1.64 | | 18.63 | 86.88 | $ 285,510 |
| 2016 | 1.31 | 1.45 | 1.62 | | 1.67 | 103.90 | $ 325,135 |
| CLASS R4 SHARES |
| 2021 (c) | 0.75 (d) | 1.62 (d) | 1.74 (d) | | 19.73 | 23.26 | $ 109,257 |
| 2020 | 0.30 | 1.25 | 1.32 | | 15.35 | 79.05 | $ 102,266 |
| 2019 | 0.88 | 1.25 | 1.44 | | 2.45 | 71.09 | $ 125,363 |
| 2018 | 0.81 | 1.25 | 1.47 | | (4.11) | 44.41 | $ 164,663 |
| 2017 | 0.74 | 1.25 | 1.46 | | 18.90 | 86.88 | $ 209,066 |
| 2016 | 1.55 | 1.25 | 1.39 | | 1.87 | 103.90 | $ 267,623 |
| CLASS R5 SHARES |
| 2021 (c) | 1.03 (d) | 1.39 (d) | 1.53 (d) | | 19.89 | 23.26 | $ 156,167 |
| 2020 | 0.55 | 0.99 | 1.02 | | 15.64 | 79.05 | $ 133,705 |
| 2019 | 1.10 | 0.99 | 1.12 | | 2.74 | 71.09 | $ 153,366 |
| 2018 | 1.06 | 0.99 | 1.17 | | (3.87) | 44.41 | $ 229,485 |
| 2017 | 0.96 | 0.99 | 1.15 | | 19.17 | 86.88 | $ 298,970 |
| 2016 | 1.88 | 0.95 | 0.95 | | 2.19 | 103.90 | $ 529,330 |
| CLASS R6 SHARES |
| 2021 (c) | 1.28 (d) | 1.19 (d) | 1.28 (d) | | 20.00 | 23.26 | $ 325,241 |
| 2020 | 0.78 | 0.79 | 0.90 | | 15.90 | 79.05 | $ 250,391 |
| 2019 | 1.37 | 0.79 | 0.88 | | 2.95 | 71.09 | $ 219,441 |
| 2018 | 1.33 | 0.79 | 0.83 | | (3.68) | 44.41 | $ 457,006 |
| 2017 | 1.23 | 0.78 | 0.79 | | 19.40 | 86.88 | $ 536,296 |
| 2016 | 2.19 | 0.74 | 0.74 | | 2.40 | 103.90 | $ 473,941 |
Thornburg Equity Funds Semi-Annual Report | 125
Financial Highlights
Better World International Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 15.66 | (0.03) | 3.85 | 3.82 | — | — | — | — | $19.48 |
| 2020 | $ 12.85 | — (e) | 2.90 | 2.90 | (0.09) | — | — | (0.09) | $15.66 |
| 2019 | $ 14.51 | 0.12 | (0.66) | (0.54) | (0.15) | (0.97) | — | (1.12) | $12.85 |
| 2018 | $ 14.13 | 0.09 | 0.66 | 0.75 | — | (0.37) | — | (0.37) | $14.51 |
| 2017 | $ 13.86 | 0.09 | 0.99 | 1.08 | (0.12) | (0.69) | — | (0.81) | $14.13 |
| 2016 (f) | $ 11.94 | 0.03 | 2.04 | 2.07 | (0.15) | — | — | (0.15) | $13.86 |
| CLASS C SHARES |
| 2021 (c) | $ 15.51 | (0.09) | 3.80 | 3.71 | — | — | — | — | $19.22 |
| 2020 | $ 12.72 | (0.08) | 2.88 | 2.80 | (0.01) | — | — | (0.01) | $15.51 |
| 2019 | $ 14.32 | 0.03 | (0.62) | (0.59) | (0.04) | (0.97) | — | (1.01) | $12.72 |
| 2018 | $ 14.02 | — (e) | 0.67 | 0.67 | — | (0.37) | — | (0.37) | $14.32 |
| 2017 | $ 13.79 | 0.02 | 0.97 | 0.99 | (0.07) | (0.69) | — | (0.76) | $14.02 |
| 2016 (f) | $ 11.94 | (0.05) | 2.04 | 1.99 | (0.14) | — | — | (0.14) | $13.79 |
| CLASS I SHARES |
| 2021 (c) | $ 16.06 | 0.03 | 3.93 | 3.96 | (0.07) | — | — | (0.07) | $19.95 |
| 2020 | $ 13.16 | 0.10 | 2.99 | 3.09 | (0.19) | — | — | (0.19) | $16.06 |
| 2019 | $ 14.83 | 0.20 | (0.67) | (0.47) | (0.23) | (0.97) | — | (1.20) | $13.16 |
| 2018 | $ 14.33 | 0.18 | 0.69 | 0.87 | — | (0.37) | — | (0.37) | $14.83 |
| 2017 | $ 13.96 | 0.20 | 1.02 | 1.22 | (0.16) | (0.69) | — | (0.85) | $14.33 |
| 2016 (f) | $ 11.94 | 0.10 | 2.01 | 2.11 | (0.09) | — | — | (0.09) | $13.96 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Net investment income (loss) was less than $0.01 per share. |
| (f) | Fund commenced operations on October 1, 2015. |
| (g) | 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.
126 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Better World International Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | (0.30) (d) | 1.65 (d) | 1.65 (d) | | 24.39 | 72.74 | $ 21,603 |
| 2020 | (0.02) | 1.83 | 1.94 | | 22.65 | 42.87 | $ 11,859 |
| 2019 | 0.91 | 1.82 | 2.10 | | (3.19) | 62.33 | $ 9,378 |
| 2018 | 0.64 | 1.82 | 2.12 | | 5.37 | 111.99 | $ 8,537 |
| 2017 | 0.64 | 1.79 | 3.21 | | 8.61 | 105.55 | $ 6,450 |
| 2016 (f) | 0.21 | 1.83 | 7.27 (g) | | 16.60 | 180.60 | $ 1,666 |
| CLASS C SHARES |
| 2021 (c) | (1.05) (d) | 2.38 (d) | 2.94 (d) | | 23.92 | 72.74 | $ 3,604 |
| 2020 | (0.56) | 2.38 | 3.31 | | 22.02 | 42.87 | $ 2,159 |
| 2019 | 0.25 | 2.38 | 3.48 | | (3.75) | 62.33 | $ 1,687 |
| 2018 | (0.03) | 2.38 | 3.09 | | 4.82 | 111.99 | $ 2,292 |
| 2017 | 0.18 | 2.32 | 4.48 | | 7.97 | 105.55 | $ 2,205 |
| 2016 (f) | (0.40) | 2.38 | 13.13 (g) | | 15.94 | 180.60 | $ 822 |
| CLASS I SHARES |
| 2021 (c) | 0.28 (d) | 1.09 (d) | 1.22 (d) | | 24.72 | 72.74 | $ 172,134 |
| 2020 | 0.74 | 1.09 | 1.33 | | 23.62 | 42.87 | $ 83,208 |
| 2019 | 1.57 | 1.09 | 1.44 | | (2.54) | 62.33 | $ 59,833 |
| 2018 | 1.20 | 1.09 | 1.35 | | 6.15 | 111.99 | $ 55,989 |
| 2017 | 1.48 | 0.94 | 1.62 | | 9.58 | 105.55 | $ 59,951 |
| 2016 (f) | 0.76 | 1.09 | 2.28 | | 17.44 | 180.60 | $ 27,781 |
Thornburg Equity Funds Semi-Annual Report | 127
Financial Highlights
International Growth Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 28.37 | (0.05) | 2.24 | 2.19 | — | (0.38) | — | (0.38) | $30.18 |
| 2020 | $ 21.46 | (0.08) | 7.10 | 7.02 | — (e) | (0.11) | — | (0.11) | $28.37 |
| 2019 | $ 23.78 | — (f) | (1.55) | (1.55) | (0.02) | (0.75) | — | (0.77) | $21.46 |
| 2018 | $ 23.85 | 0.02 | 0.72 | 0.74 | (0.05) | (0.76) | — | (0.81) | $23.78 |
| 2017 | $ 19.22 | (0.01) | 4.65 | 4.64 | (0.01) | — | — | (0.01) | $23.85 |
| 2016 | $ 17.78 | — (f) | 1.45 | 1.45 | (0.01) | — | — | (0.01) | $19.22 |
| CLASS C SHARES |
| 2021 (c) | $ 26.06 | (0.17) | 2.07 | 1.90 | — | (0.38) | — | (0.38) | $27.58 |
| 2020 | $ 19.87 | (0.25) | 6.55 | 6.30 | — | (0.11) | — | (0.11) | $26.06 |
| 2019 | $ 22.21 | (0.15) | (1.44) | (1.59) | — | (0.75) | — | (0.75) | $19.87 |
| 2018 | $ 22.50 | (0.15) | 0.67 | 0.52 | (0.05) | (0.76) | — | (0.81) | $22.21 |
| 2017 | $ 18.26 | (0.13) | 4.37 | 4.24 | — | — | — | — | $22.50 |
| 2016 | $ 17.01 | (0.13) | 1.38 | 1.25 | — | — | — | — | $18.26 |
| CLASS I SHARES |
| 2021 (c) | $ 29.27 | (0.01) | 2.31 | 2.30 | — | (0.38) | — | (0.38) | $31.19 |
| 2020 | $ 22.13 | (0.01) | 7.33 | 7.32 | (0.07) | (0.11) | — | (0.18) | $29.27 |
| 2019 | $ 24.51 | 0.07 | (1.60) | (1.53) | (0.10) | (0.75) | — | (0.85) | $22.13 |
| 2018 | $ 24.48 | 0.12 | 0.72 | 0.84 | (0.05) | (0.76) | — | (0.81) | $24.51 |
| 2017 | $ 19.69 | 0.10 | 4.75 | 4.85 | (0.06) | — | — | (0.06) | $24.48 |
| 2016 | $ 18.20 | 0.08 | 1.49 | 1.57 | (0.08) | — | — | (0.08) | $19.69 |
| CLASS R3 SHARES |
| 2021 (c) | $ 28.01 | (0.09) | 2.21 | 2.12 | — | (0.38) | — | (0.38) | $29.75 |
| 2020 | $ 21.23 | (0.13) | 7.02 | 6.89 | — | (0.11) | — | (0.11) | $28.01 |
| 2019 | $ 23.54 | (0.04) | (1.52) | (1.56) | — | (0.75) | — | (0.75) | $21.23 |
| 2018 | $ 23.66 | (0.02) | 0.71 | 0.69 | (0.05) | (0.76) | — | (0.81) | $23.54 |
| 2017 | $ 19.07 | (0.01) | 4.60 | 4.59 | — | — | — | — | $23.66 |
| 2016 | $ 17.66 | — (f) | 1.42 | 1.42 | (0.01) | — | — | (0.01) | $19.07 |
| CLASS R4 SHARES |
| 2021 (c) | $ 28.18 | (0.07) | 2.23 | 2.16 | — | (0.38) | — | (0.38) | $29.96 |
| 2020 | $ 21.34 | (0.03) | 6.98 | 6.95 | — | (0.11) | — | (0.11) | $28.18 |
| 2019 | $ 23.63 | (0.02) | (1.52) | (1.54) | — | (0.75) | — | (0.75) | $21.34 |
| 2018 | $ 23.73 | (0.01) | 0.72 | 0.71 | (0.05) | (0.76) | — | (0.81) | $23.63 |
| 2017 | $ 19.11 | 0.01 | 4.61 | 4.62 | — (e) | — | — | — | $23.73 |
| 2016 | $ 17.68 | 0.01 | 1.43 | 1.44 | (0.01) | — | — | (0.01) | $19.11 |
| CLASS R5 SHARES |
| 2021 (c) | $ 29.35 | (0.02) | 2.33 | 2.31 | — | (0.38) | — | (0.38) | $31.28 |
| 2020 | $ 22.19 | (0.03) | 7.37 | 7.34 | (0.07) | (0.11) | — | (0.18) | $29.35 |
| 2019 | $ 24.58 | 0.07 | (1.61) | (1.54) | (0.10) | (0.75) | — | (0.85) | $22.19 |
| 2018 | $ 24.54 | 0.10 | 0.75 | 0.85 | (0.05) | (0.76) | — | (0.81) | $24.58 |
| 2017 | $ 19.73 | 0.08 | 4.79 | 4.87 | (0.06) | — | — | (0.06) | $24.54 |
| 2016 | $ 18.25 | 0.09 | 1.47 | 1.56 | (0.08) | — | — | (0.08) | $19.73 |
| CLASS R6 SHARES |
| 2021 (c) | $ 29.44 | — (f) | 2.33 | 2.33 | — | (0.38) | — | (0.38) | $31.39 |
| 2020 | $ 22.26 | 0.02 | 7.37 | 7.39 | (0.10) | (0.11) | — | (0.21) | $29.44 |
| 2019 | $ 24.65 | 0.10 | (1.61) | (1.51) | (0.13) | (0.75) | — | (0.88) | $22.26 |
| 2018 | $ 24.59 | 0.21 | 0.66 | 0.87 | (0.05) | (0.76) | — | (0.81) | $24.65 |
| 2017 | $ 19.77 | 0.09 | 4.81 | 4.90 | (0.08) | — | — | (0.08) | $24.59 |
| 2016 | $ 18.29 | 0.11 | 1.47 | 1.58 | (0.10) | — | — | (0.10) | $19.77 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Dividends from net investment income per share were less than $(0.01). |
| (f) | Net investment income (loss) was less than $0.01 per share. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
128 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
International Growth Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | (0.36) (d) | 1.25 (d) | 1.25 (d) | | 7.75 | 14.49 | $ 159,903 |
| 2020 | (0.35) | 1.31 | 1.31 | | 32.88 | 35.88 | $ 139,429 |
| 2019 | 0.02 | 1.32 | 1.32 | | (6.36) | 25.83 | $ 107,196 |
| 2018 | 0.09 | 1.32 | 1.32 | | 3.28 | 33.28 | $ 127,863 |
| 2017 | (0.05) | 1.42 | 1.43 | | 24.12 | 60.88 | $ 121,989 |
| 2016 | 0.03 | 1.39 | 1.39 | | 8.23 | 104.60 | $ 169,248 |
| CLASS C SHARES |
| 2021 (c) | (1.21) (d) | 2.07 (d) | 2.07 (d) | | 7.32 | 14.49 | $ 33,539 |
| 2020 | (1.13) | 2.07 | 2.07 | | 31.87 | 35.88 | $ 42,164 |
| 2019 | (0.78) | 2.08 | 2.08 | | (7.04) | 25.83 | $ 47,980 |
| 2018 | (0.65) | 2.08 | 2.08 | | 2.47 | 33.28 | $ 77,262 |
| 2017 | (0.69) | 2.15 | 2.16 | | 23.22 | 60.88 | $ 90,689 |
| 2016 | (0.73) | 2.15 | 2.15 | | 7.35 | 104.60 | $ 98,633 |
| CLASS I SHARES |
| 2021 (c) | (0.09) (d) | 0.98 (d) | 0.98 (d) | | 7.89 | 14.49 | $ 1,642,116 |
| 2020 | (0.03) | 0.99 | 1.02 | | 33.31 | 35.88 | $ 1,454,322 |
| 2019 | 0.34 | 0.99 | 1.03 | | (6.02) | 25.83 | $ 1,203,538 |
| 2018 | 0.47 | 0.99 | 0.99 | | 3.61 | 33.28 | $ 1,470,211 |
| 2017 | 0.50 | 0.99 | 1.03 | | 24.66 | 60.88 | $ 1,128,804 |
| 2016 | 0.45 | 0.99 | 1.00 | | 8.63 | 104.60 | $ 1,030,921 |
| CLASS R3 SHARES |
| 2021 (c) | (0.60) (d) | 1.50 (d) | 1.79 (d) | | 7.60 | 14.49 | $ 8,280 |
| 2020 | (0.56) | 1.50 | 2.03 | | 32.61 | 35.88 | $ 6,424 |
| 2019 | (0.17) | 1.50 | 2.02 | | (6.50) | 25.83 | $ 6,274 |
| 2018 | (0.10) | 1.50 | 1.98 | | 3.08 | 33.28 | $ 8,426 |
| 2017 | (0.03) | 1.50 | 2.08 | | 24.07 | 60.88 | $ 10,525 |
| 2016 | (0.02) | 1.50 | 2.04 | | 8.03 | 104.60 | $ 13,086 |
| CLASS R4 SHARES |
| 2021 (c) | (0.49) (d) | 1.40 (d) | 1.57 (d) | | 7.70 | 14.49 | $ 9,402 |
| 2020 | (0.44) | 1.40 | 1.45 | | 32.73 | 35.88 | $ 8,436 |
| 2019 | (0.09) | 1.40 | 1.91 | | (6.39) | 25.83 | $ 7,515 |
| 2018 | (0.02) | 1.40 | 1.88 | | 3.16 | 33.28 | $ 12,644 |
| 2017 | 0.07 | 1.40 | 1.84 | | 24.19 | 60.88 | $ 17,200 |
| 2016 | 0.04 | 1.40 | 1.68 | | 8.17 | 104.60 | $ 40,999 |
| CLASS R5 SHARES |
| 2021 (c) | (0.10) (d) | 0.99 (d) | 1.21 (d) | | 7.90 | 14.49 | $ 40,045 |
| 2020 | (0.03) | 0.99 | 1.31 | | 33.31 | 35.88 | $ 34,152 |
| 2019 | 0.32 | 0.99 | 1.29 | | (6.05) | 25.83 | $ 28,729 |
| 2018 | 0.40 | 0.99 | 1.25 | | 3.64 | 33.28 | $ 38,052 |
| 2017 | 0.40 | 0.99 | 1.28 | | 24.68 | 60.88 | $ 45,591 |
| 2016 | 0.45 | 0.99 | 1.21 | | 8.56 | 104.60 | $ 66,271 |
| CLASS R6 SHARES |
| 2021 (c) | 0.01 (d) | 0.89 (d) | 0.95 (d) | | 7.95 | 14.49 | $ 75,859 |
| 2020 | 0.07 | 0.89 | 0.99 | | 33.42 | 35.88 | $ 61,130 |
| 2019 | 0.47 | 0.89 | 0.99 | | (5.91) | 25.83 | $ 44,923 |
| 2018 | 0.82 | 0.89 | 0.99 | | 3.72 | 33.28 | $ 51,091 |
| 2017 | 0.44 | 0.89 | 1.03 | | 24.82 | 60.88 | $ 12,261 |
| 2016 | 0.60 | 0.89 | 1.34 | | 8.65 | 104.60 | $ 5,854 |
Thornburg Equity Funds Semi-Annual Report | 129
Financial Highlights
Developing World Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 22.92 | (0.07) | 5.44 | 5.37 | — | — | — | — | $28.29 |
| 2020 | $ 20.43 | 0.03 | 2.69 | 2.72 | (0.23) | — | — | (0.23) | $22.92 |
| 2019 | $ 19.13 | 0.23 | 1.22 | 1.45 | (0.15) | — | — | (0.15) | $20.43 |
| 2018 | $ 19.86 | 0.11 | (0.84) | (0.73) | — | — | — | — | $19.13 |
| 2017 | $ 16.98 | 0.09 | 2.89 | 2.98 | (0.10) | — | — | (0.10) | $19.86 |
| 2016 | $ 15.03 | 0.04 | 1.94 | 1.98 | (0.03) | — | — | (0.03) | $16.98 |
| CLASS C SHARES |
| 2021 (c) | $ 21.71 | (0.16) | 5.14 | 4.98 | — | — | — | — | $26.69 |
| 2020 | $ 19.35 | (0.13) | 2.54 | 2.41 | (0.05) | — | — | (0.05) | $21.71 |
| 2019 | $ 18.10 | 0.06 | 1.19 | 1.25 | — | — | — | — | $19.35 |
| 2018 | $ 18.93 | (0.05) | (0.78) | (0.83) | — | — | — | — | $18.10 |
| 2017 | $ 16.26 | (0.03) | 2.74 | 2.71 | (0.04) | — | — | (0.04) | $18.93 |
| 2016 | $ 14.48 | (0.08) | 1.86 | 1.78 | — | — | — | — | $16.26 |
| CLASS I SHARES |
| 2021 (c) | $ 23.40 | (0.02) | 5.55 | 5.53 | (0.04) | — | — | (0.04) | $28.89 |
| 2020 | $ 20.86 | 0.11 | 2.74 | 2.85 | (0.31) | — | — | (0.31) | $23.40 |
| 2019 | $ 19.55 | 0.31 | 1.24 | 1.55 | (0.24) | — | — | (0.24) | $20.86 |
| 2018 | $ 20.21 | 0.19 | (0.85) | (0.66) | — | — | — | — | $19.55 |
| 2017 | $ 17.26 | 0.19 | 2.92 | 3.11 | (0.16) | — | — | (0.16) | $20.21 |
| 2016 | $ 15.27 | 0.11 | 1.97 | 2.08 | (0.09) | — | — | (0.09) | $17.26 |
| CLASS R5 SHARES |
| 2021 (c) | $ 23.33 | (0.03) | 5.54 | 5.51 | (0.04) | — | — | (0.04) | $28.80 |
| 2020 | $ 20.79 | 0.10 | 2.75 | 2.85 | (0.31) | — | — | (0.31) | $23.33 |
| 2019 | $ 19.48 | 0.27 | 1.28 | 1.55 | (0.24) | — | — | (0.24) | $20.79 |
| 2018 | $ 20.14 | 0.19 | (0.85) | (0.66) | — | — | — | — | $19.48 |
| 2017 | $ 17.20 | 0.18 | 2.92 | 3.10 | (0.16) | — | — | (0.16) | $20.14 |
| 2016 | $ 15.22 | 0.12 | 1.96 | 2.08 | (0.10) | — | — | (0.10) | $17.20 |
| CLASS R6 SHARES |
| 2021 (c) | $ 23.43 | (0.01) | 5.57 | 5.56 | (0.07) | — | — | (0.07) | $28.92 |
| 2020 | $ 20.88 | 0.13 | 2.75 | 2.88 | (0.33) | — | — | (0.33) | $23.43 |
| 2019 | $ 19.57 | 0.33 | 1.24 | 1.57 | (0.26) | — | — | (0.26) | $20.88 |
| 2018 | $ 20.21 | 0.24 | (0.88) | (0.64) | — | — | — | — | $19.57 |
| 2017 | $ 17.25 | 0.20 | 2.93 | 3.13 | (0.17) | — | — | (0.17) | $20.21 |
| 2016 | $ 15.25 | 0.13 | 1.98 | 2.11 | (0.11) | — | — | (0.11) | $17.25 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | The total return based on the NAV which reflects the adjustments in accordance with U.S. GAAP is 12.47%. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
130 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Developing World Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | (0.51) (d) | 1.43 (d) | 1.43 (d) | | 23.43 | 22.74 | $ 128,646 |
| 2020 | 0.13 | 1.45 | 1.48 | | 13.31 | 56.55 | $ 101,723 |
| 2019 | 1.18 | 1.47 | 1.50 | | 7.74 | 43.52 | $ 96,935 |
| 2018 | 0.55 | 1.46 | 1.48 | | (3.68) | 58.28 | $ 112,082 |
| 2017 | 0.54 | 1.52 | 1.60 | | 17.58 | 77.61 | $ 125,427 |
| 2016 | 0.25 | 1.52 | 1.57 | | 13.20 | 94.68 | $ 166,655 |
| CLASS C SHARES |
| 2021 (c) | (1.27) (d) | 2.21 (d) | 2.21 (d) | | 23.00 | 22.74 | $ 52,999 |
| 2020 | (0.64) | 2.20 | 2.23 | | 12.42 (e) | 56.55 | $ 48,977 |
| 2019 | 0.30 | 2.23 | 2.26 | | 6.91 | 43.52 | $ 63,203 |
| 2018 | (0.23) | 2.23 | 2.25 | | (4.38) | 58.28 | $ 80,728 |
| 2017 | (0.16) | 2.26 | 2.34 | | 16.65 | 77.61 | $ 109,227 |
| 2016 | (0.51) | 2.29 | 2.34 | | 12.29 | 94.68 | $ 134,129 |
| CLASS I SHARES |
| 2021 (c) | (0.17) (d) | 1.09 (d) | 1.14 (d) | | 23.65 | 22.74 | $ 927,115 |
| 2020 | 0.50 | 1.09 | 1.18 | | 13.68 | 56.55 | $ 668,427 |
| 2019 | 1.53 | 1.09 | 1.19 | | 8.14 | 43.52 | $ 590,196 |
| 2018 | 0.93 | 1.08 | 1.16 | | (3.27) | 58.28 | $ 634,501 |
| 2017 | 1.05 | 1.07 | 1.20 | | 18.06 | 77.61 | $ 793,069 |
| 2016 | 0.70 | 1.07 | 1.16 | | 13.68 | 94.68 | $ 853,866 |
| CLASS R5 SHARES |
| 2021 (c) | (0.18) (d) | 1.09 (d) | 1.64 (d) | | 23.64 | 22.74 | $ 4,249 |
| 2020 | 0.49 | 1.09 | 1.89 | | 13.73 | 56.55 | $ 2,735 |
| 2019 | 1.38 | 1.09 | 2.07 | | 8.16 | 43.52 | $ 2,430 |
| 2018 | 0.90 | 1.09 | 1.71 | | (3.28) | 58.28 | $ 3,340 |
| 2017 | 1.04 | 1.08 | 1.77 | | 18.06 | 77.61 | $ 5,506 |
| 2016 | 0.74 | 1.08 | 1.75 | | 13.65 | 94.68 | $ 6,208 |
| CLASS R6 SHARES |
| 2021 (c) | (0.06) (d) | 0.99 (d) | 1.11 (d) | | 23.72 | 22.74 | $ 79,157 |
| 2020 | 0.60 | 0.99 | 1.15 | | 13.82 | 56.55 | $ 62,993 |
| 2019 | 1.65 | 0.99 | 1.14 | | 8.25 | 43.52 | $ 56,658 |
| 2018 | 1.16 | 0.99 | 1.14 | | (3.17) | 58.28 | $ 56,258 |
| 2017 | 1.14 | 0.97 | 1.13 | | 18.16 | 77.61 | $ 28,652 |
| 2016 | 0.80 | 0.97 | 1.12 | | 13.81 | 94.68 | $ 48,598 |
Thornburg Equity Funds Semi-Annual Report | 131
Financial Highlights
Small/Mid Cap Core Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 74.81 | 0.06 | 18.01 | 18.07 | — | — | — | — | $92.88 |
| 2020 | $ 71.81 | 0.07 | 3.11 | 3.18 | (0.18) | — | — | (0.18) | $74.81 |
| 2019 | $ 72.46 | 0.24 | (0.60) | (0.36) | (0.29) | — | — | (0.29) | $71.81 |
| 2018 | $ 65.26 | 0.39 | 7.17 | 7.56 | (0.36) | — | — | (0.36) | $72.46 |
| 2017 | $ 54.08 | 0.16 | 11.04 | 11.20 | (0.02) | — | — | (0.02) | $65.26 |
| 2016 (e) | $ 49.17 | 0.32 | 4.76 | 5.08 | (0.17) | — | — | (0.17) | $54.08 |
| CLASS C SHARES |
| 2021 (c) | $ 67.54 | (0.26) | 16.23 | 15.97 | — | — | — | — | $83.51 |
| 2020 | $ 65.19 | (0.45) | 2.80 | 2.35 | — | — | — | — | $67.54 |
| 2019 | $ 66.03 | (0.31) | (0.53) | (0.84) | — | — | — | — | $65.19 |
| 2018 | $ 59.87 | (0.11) | 6.52 | 6.41 | (0.25) | — | — | (0.25) | $66.03 |
| 2017 | $ 49.97 | (0.27) | 10.17 | 9.90 | — | — | — | — | $59.87 |
| 2016 | $ 45.63 | (0.06) | 4.40 | 4.34 | — | — | — | — | $49.97 |
| CLASS I SHARES |
| 2021 (c) | $ 77.16 | 0.21 | 18.59 | 18.80 | — | — | — | — | $95.96 |
| 2020 | $ 74.04 | 0.33 | 3.22 | 3.55 | (0.43) | — | — | (0.43) | $77.16 |
| 2019 | $ 74.70 | 0.49 | (0.65) | (0.16) | (0.50) | — | — | (0.50) | $74.04 |
| 2018 | $ 67.10 | 0.64 | 7.38 | 8.02 | (0.42) | — | — | (0.42) | $74.70 |
| 2017 | $ 55.58 | 0.42 | 11.35 | 11.77 | (0.25) | — | — | (0.25) | $67.10 |
| 2016 | $ 50.53 | 0.54 | 4.90 | 5.44 | (0.39) | — | — | (0.39) | $55.58 |
| CLASS R3 SHARES |
| 2021 (c) | $ 74.46 | 0.05 | 17.92 | 17.97 | — | — | — | — | $92.43 |
| 2020 | $ 71.44 | 0.06 | 3.10 | 3.16 | (0.14) | — | — | (0.14) | $74.46 |
| 2019 | $ 72.02 | 0.23 | (0.59) | (0.36) | (0.22) | — | — | (0.22) | $71.44 |
| 2018 | $ 64.88 | 0.39 | 7.11 | 7.50 | (0.36) | — | — | (0.36) | $72.02 |
| 2017 | $ 53.76 | 0.18 | 10.97 | 11.15 | (0.03) | — | — | (0.03) | $64.88 |
| 2016 | $ 48.86 | 0.34 | 4.74 | 5.08 | (0.18) | — | — | (0.18) | $53.76 |
| CLASS R4 SHARES |
| 2021 (c) | $ 75.30 | 0.09 | 18.13 | 18.22 | — | — | — | — | $93.52 |
| 2020 | $ 72.25 | 0.12 | 3.14 | 3.26 | (0.21) | — | — | (0.21) | $75.30 |
| 2019 | $ 72.83 | 0.30 | (0.60) | (0.30) | (0.28) | — | — | (0.28) | $72.25 |
| 2018 | $ 65.55 | 0.47 | 7.19 | 7.66 | (0.38) | — | — | (0.38) | $72.83 |
| 2017 | $ 54.31 | 0.25 | 11.08 | 11.33 | (0.09) | — | — | (0.09) | $65.55 |
| 2016 | $ 49.36 | 0.40 | 4.78 | 5.18 | (0.23) | — | — | (0.23) | $54.31 |
| CLASS R5 SHARES |
| 2021 (c) | $ 77.05 | 0.21 | 18.56 | 18.77 | — | — | — | — | $95.82 |
| 2020 | $ 73.93 | 0.33 | 3.22 | 3.55 | (0.43) | — | — | (0.43) | $77.05 |
| 2019 | $ 74.60 | 0.49 | (0.66) | (0.17) | (0.50) | — | — | (0.50) | $73.93 |
| 2018 | $ 67.01 | 0.63 | 7.38 | 8.01 | (0.42) | — | — | (0.42) | $74.60 |
| 2017 | $ 55.50 | 0.41 | 11.35 | 11.76 | (0.25) | — | — | (0.25) | $67.01 |
| 2016 | $ 50.45 | 0.53 | 4.90 | 5.43 | (0.38) | — | — | (0.38) | $55.50 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Class B shares converted to Class A shares on August 29, 2016. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
132 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Small/Mid Cap Core Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 0.14 (d) | 1.19 (d) | 1.34 (d) | | 24.15 | 113.70 | $ 449,982 |
| 2020 | 0.10 | 1.33 | 1.34 | | 4.42 | 20.39 | $ 388,895 |
| 2019 | 0.35 | 1.33 | 1.33 | | (0.42) | 24.94 | $ 425,218 |
| 2018 | 0.56 | 1.33 | 1.33 | | 11.62 | 57.33 | $ 473,740 |
| 2017 | 0.27 | 1.39 | 1.39 | | 20.72 | 43.53 | $ 383,118 |
| 2016 (e) | 0.63 | 1.39 | 1.39 | | 10.33 | 31.10 | $ 374,237 |
| CLASS C SHARES |
| 2021 (c) | (0.68) (d) | 2.01 (d) | 2.16 (d) | | 23.64 | 113.70 | $ 20,141 |
| 2020 | (0.69) | 2.12 | 2.12 | | 3.59 | 20.39 | $ 22,951 |
| 2019 | (0.50) | 2.19 | 2.19 | | (1.26) | 24.94 | $ 35,934 |
| 2018 | (0.17) | 2.11 | 2.11 | | 10.73 | 57.33 | $ 52,023 |
| 2017 | (0.49) | 2.14 | 2.14 | | 19.81 | 43.53 | $ 160,663 |
| 2016 | (0.12) | 2.14 | 2.14 | | 9.51 | 31.10 | $ 168,821 |
| CLASS I SHARES |
| 2021 (c) | 0.47 (d) | 0.86 (d) | 1.09 (d) | | 24.37 | 113.70 | $ 333,702 |
| 2020 | 0.44 | 0.99 | 1.09 | | 4.77 | 20.39 | $ 287,746 |
| 2019 | 0.70 | 0.99 | 1.07 | | (0.07) | 24.94 | $ 360,070 |
| 2018 | 0.90 | 0.99 | 1.06 | | 12.00 | 57.33 | $ 422,302 |
| 2017 | 0.68 | 0.99 | 1.06 | | 21.20 | 43.53 | $ 368,790 |
| 2016 | 1.02 | 0.99 | 1.07 | | 10.77 | 31.10 | $ 280,570 |
| CLASS R3 SHARES |
| 2021 (c) | 0.11 (d) | 1.22 (d) | 1.77 (d) | | 24.13 | 113.70 | $ 24,364 |
| 2020 | 0.09 | 1.35 | 1.73 | | 4.40 | 20.39 | $ 24,939 |
| 2019 | 0.34 | 1.35 | 1.79 | | (0.43) | 24.94 | $ 29,601 |
| 2018 | 0.57 | 1.35 | 1.78 | | 11.60 | 57.33 | $ 39,211 |
| 2017 | 0.30 | 1.35 | 1.82 | | 20.75 | 43.53 | $ 45,668 |
| 2016 | 0.67 | 1.35 | 1.81 | | 10.40 | 31.10 | $ 50,089 |
| CLASS R4 SHARES |
| 2021 (c) | 0.21 (d) | 1.12 (d) | 1.73 (d) | | 24.20 | 113.70 | $ 5,089 |
| 2020 | 0.17 | 1.25 | 1.74 | | 4.50 | 20.39 | $ 4,548 |
| 2019 | 0.44 | 1.25 | 1.75 | | (0.33) | 24.94 | $ 6,434 |
| 2018 | 0.68 | 1.25 | 1.77 | | 11.72 | 57.33 | $ 7,868 |
| 2017 | 0.42 | 1.24 | 1.78 | | 20.87 | 43.53 | $ 10,159 |
| 2016 | 0.78 | 1.25 | 1.75 | | 10.50 | 31.10 | $ 9,539 |
| CLASS R5 SHARES |
| 2021 (c) | 0.47 (d) | 0.86 (d) | 1.44 (d) | | 24.36 | 113.70 | $ 14,256 |
| 2020 | 0.45 | 0.99 | 1.43 | | 4.76 | 20.39 | $ 14,156 |
| 2019 | 0.70 | 0.99 | 1.43 | | (0.07) | 24.94 | $ 18,119 |
| 2018 | 0.89 | 0.99 | 1.38 | | 12.00 | 57.33 | $ 19,085 |
| 2017 | 0.68 | 0.99 | 1.42 | | 21.21 | 43.53 | $ 17,060 |
| 2016 | 1.00 | 0.99 | 1.46 | | 10.78 | 31.10 | $ 14,738 |
Thornburg Equity Funds Semi-Annual Report | 133
Financial Highlights
Small/Mid Cap Growth Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 48.17 | (0.23) | 4.48 | 4.25 | — | (3.22) | — | (3.22) | $49.20 |
| 2020 | $ 39.37 | (0.30) | 12.72 | 12.42 | — | (3.62) | — | (3.62) | $48.17 |
| 2019 | $ 40.43 | (0.17) | (0.89) | (1.06) | — | — | — | — | $39.37 |
| 2018 | $ 32.46 | (0.21) | 8.18 | 7.97 | — | — | — | — | $40.43 |
| 2017 | $ 28.22 | (0.24) | 4.48 | 4.24 | — | — | — | — | $32.46 |
| 2016 | $ 26.09 | (0.27) | 2.40 | 2.13 | — | — | — | — | $28.22 |
| CLASS C SHARES |
| 2021 (c) | $ 40.53 | (0.36) | 3.76 | 3.40 | — | (3.22) | — | (3.22) | $40.71 |
| 2020 | $ 33.91 | (0.51) | 10.75 | 10.24 | — | (3.62) | — | (3.62) | $40.53 |
| 2019 | $ 35.11 | (0.42) | (0.78) | (1.20) | — | — | — | — | $33.91 |
| 2018 | $ 28.43 | (0.42) | 7.10 | 6.68 | — | — | — | — | $35.11 |
| 2017 | $ 24.90 | (0.41) | 3.94 | 3.53 | — | — | — | — | $28.43 |
| 2016 | $ 23.20 | (0.41) | 2.11 | 1.70 | — | — | — | — | $24.90 |
| CLASS I SHARES |
| 2021 (c) | $ 52.36 | (0.16) | 4.87 | 4.71 | — | (3.22) | — | (3.22) | $53.85 |
| 2020 | $ 42.35 | (0.17) | 13.80 | 13.63 | — | (3.62) | — | (3.62) | $52.36 |
| 2019 | $ 43.33 | (0.03) | (0.95) | (0.98) | — | — | — | — | $42.35 |
| 2018 | $ 34.67 | (0.08) | 8.74 | 8.66 | — | — | — | — | $43.33 |
| 2017 | $ 30.01 | (0.12) | 4.78 | 4.66 | — | — | — | — | $34.67 |
| 2016 | $ 27.64 | (0.17) | 2.54 | 2.37 | — | — | — | — | $30.01 |
| CLASS R3 SHARES |
| 2021 (c) | $ 47.67 | (0.28) | 4.43 | 4.15 | — | (3.22) | — | (3.22) | $48.60 |
| 2020 | $ 39.05 | (0.36) | 12.60 | 12.24 | — | (3.62) | — | (3.62) | $47.67 |
| 2019 | $ 40.16 | (0.23) | (0.88) | (1.11) | — | — | — | — | $39.05 |
| 2018 | $ 32.30 | (0.26) | 8.12 | 7.86 | — | — | — | — | $40.16 |
| 2017 | $ 28.10 | (0.27) | 4.47 | 4.20 | — | — | — | — | $32.30 |
| 2016 | $ 26.01 | (0.29) | 2.38 | 2.09 | — | — | — | — | $28.10 |
| CLASS R4 SHARES |
| 2021 (c) | $ 48.30 | (0.25) | 4.49 | 4.24 | — | (3.22) | — | (3.22) | $49.32 |
| 2020 | $ 39.49 | (0.32) | 12.75 | 12.43 | — | (3.62) | — | (3.62) | $48.30 |
| 2019 | $ 40.56 | (0.19) | (0.88) | (1.07) | — | — | — | — | $39.49 |
| 2018 | $ 32.59 | (0.23) | 8.20 | 7.97 | — | — | — | — | $40.56 |
| 2017 | $ 28.33 | (0.24) | 4.50 | 4.26 | — | — | — | — | $32.59 |
| 2016 | $ 26.19 | (0.27) | 2.41 | 2.14 | — | — | — | — | $28.33 |
| CLASS R5 SHARES |
| 2021 (c) | $ 52.30 | (0.17) | 4.88 | 4.71 | — | (3.22) | — | (3.22) | $53.79 |
| 2020 | $ 42.31 | (0.16) | 13.77 | 13.61 | — | (3.62) | — | (3.62) | $52.30 |
| 2019 | $ 43.29 | (0.04) | (0.94) | (0.98) | — | — | — | — | $42.31 |
| 2018 | $ 34.64 | (0.08) | 8.73 | 8.65 | — | — | — | — | $43.29 |
| 2017 | $ 29.98 | (0.12) | 4.78 | 4.66 | — | — | — | — | $34.64 |
| 2016 | $ 27.61 | (0.17) | 2.54 | 2.37 | — | — | — | — | $29.98 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
134 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Small/Mid Cap Growth Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | (0.90) (d) | 1.15 (d) | 1.30 (d) | | 9.00 | 133.06 | $ 342,395 |
| 2020 | (0.72) | 1.33 | 1.33 | | 34.37 | 43.82 | $ 326,035 |
| 2019 | (0.44) | 1.35 | 1.35 | | (2.62) | 40.69 | $ 259,799 |
| 2018 | (0.57) | 1.34 | 1.34 | | 24.55 | 54.98 | $ 296,429 |
| 2017 | (0.79) | 1.40 | 1.40 | | 15.02 | 72.03 | $ 187,062 |
| 2016 | (1.00) | 1.40 | 1.40 | | 8.16 | 86.24 | $ 199,178 |
| CLASS C SHARES |
| 2021 (c) | (1.68) (d) | 1.94 (d) | 2.09 (d) | | 8.57 | 133.06 | $ 27,920 |
| 2020 | (1.47) | 2.09 | 2.09 | | 33.38 | 43.82 | $ 36,917 |
| 2019 | (1.27) | 2.18 | 2.18 | | (3.42) | 40.69 | $ 36,841 |
| 2018 | (1.33) | 2.14 | 2.14 | | 23.50 | 54.98 | $ 53,903 |
| 2017 | (1.56) | 2.16 | 2.16 | | 14.18 | 72.03 | $ 130,165 |
| 2016 | (1.76) | 2.16 | 2.16 | | 7.33 | 86.24 | $ 156,115 |
| CLASS I SHARES |
| 2021 (c) | (0.59) (d) | 0.84 (d) | 1.04 (d) | | 9.16 | 133.06 | $ 282,300 |
| 2020 | (0.37) | 0.99 | 1.06 | | 34.84 | 43.82 | $ 277,991 |
| 2019 | (0.08) | 0.99 | 1.05 | | (2.26) | 40.69 | $ 254,721 |
| 2018 | (0.20) | 0.99 | 1.05 | | 24.98 | 54.98 | $ 286,152 |
| 2017 | (0.37) | 0.99 | 1.05 | | 15.53 | 72.03 | $ 234,922 |
| 2016 | (0.59) | 0.99 | 1.05 | | 8.57 | 86.24 | $ 198,658 |
| CLASS R3 SHARES |
| 2021 (c) | (1.09) (d) | 1.35 (d) | 1.75 (d) | | 8.88 | 133.06 | $ 31,094 |
| 2020 | (0.88) | 1.50 | 1.71 | | 34.17 | 43.82 | $ 33,505 |
| 2019 | (0.60) | 1.50 | 1.80 | | (2.76) | 40.69 | $ 30,084 |
| 2018 | (0.72) | 1.50 | 1.80 | | 24.33 | 54.98 | $ 40,963 |
| 2017 | (0.90) | 1.50 | 1.84 | | 14.95 | 72.03 | $ 47,064 |
| 2016 | (1.10) | 1.50 | 1.81 | | 8.04 | 86.24 | $ 55,809 |
| CLASS R4 SHARES |
| 2021 (c) | (0.98) (d) | 1.25 (d) | 1.94 (d) | | 8.95 | 133.06 | $ 2,343 |
| 2020 | (0.78) | 1.40 | 2.00 | | 34.28 | 43.82 | $ 2,771 |
| 2019 | (0.50) | 1.40 | 1.91 | | (2.64) | 40.69 | $ 4,183 |
| 2018 | (0.62) | 1.40 | 1.97 | | 24.46 | 54.98 | $ 4,484 |
| 2017 | (0.80) | 1.40 | 2.00 | | 15.04 | 72.03 | $ 5,330 |
| 2016 | (1.00) | 1.40 | 1.86 | | 8.17 | 86.24 | $ 6,821 |
| CLASS R5 SHARES |
| 2021 (c) | (0.59) (d) | 0.84 (d) | 1.24 (d) | | 9.17 | 133.06 | $ 23,710 |
| 2020 | (0.37) | 0.99 | 1.26 | | 34.83 | 43.82 | $ 22,691 |
| 2019 | (0.09) | 0.99 | 1.39 | | (2.26) | 40.69 | $ 19,984 |
| 2018 | (0.21) | 0.99 | 1.33 | | 24.97 | 54.98 | $ 31,433 |
| 2017 | (0.38) | 0.99 | 1.34 | | 15.54 | 72.03 | $ 32,197 |
| 2016 | (0.59) | 0.99 | 1.30 | | 8.58 | 86.24 | $ 38,629 |
Thornburg Equity Funds Semi-Annual Report | 135
Financial Highlights
Long/Short Equity Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS I SHARES |
| 2021 (d) | $ 9.68 | (0.08) | (0.21) | (0.29) | — | — | — | — | $ 9.39 |
| 2020 | $ 10.81 | (0.17) | (0.76) | (0.93) | — | (0.19) | (0.01) | (0.20) | $ 9.68 |
| 2019 | $ 11.54 | (0.17) | (0.09) | (0.26) | — | (0.47) | — | (0.47) | $10.81 |
| 2018 | $ 11.13 | (0.08) | 0.83 | 0.75 | — | (0.34) | — | (0.34) | $11.54 |
| 2017 (g) | $ 10.00 | (0.13) | 1.26 | 1.13 | — | — | — | — | $11.13 |
| (a) | The Fund incurs certain expenses and fees in connection with investments in short positions. If such expenses and fees had not occurred, the Expenses After Expense Reductions ratios for 2021, 2020, 2019, 2018 and 2017 would have been 1.50%, 1.50%, 1.50%, 1.48% and 1.45%, respectively. |
| (b) | The Fund incurs certain expenses and fees in connection with investments in short positions. If such expenses and fees had not occurred, the Expenses Before Expense Reductions ratios for 2021, 2020, 2019, 2018 and 2017 would have been 2.17%, 1.55%, 1.53%, 1.48% and 1.81%, respectively. |
| (c) | Not annualized for periods less than one year. |
| (d) | Unaudited Six Month Period Ended March 31. |
| (e) | Annualized. |
| (f) | The amounts reported for periods prior to the year ended September 30, 2019 have been revised to include certain expenses and fees in connection with investments in short positions in order to conform to current year presentation. The amounts reported in 2018 and 2017 were 1.48% and 1.45%, respectively. |
| (g) | Fund commenced operations on December 30, 2016. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
136 | Thornburg Equity Funds Semi-Annual Report
Financial Highlights, Continued
Long/Short Equity Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%)(a) | Expenses,
Before Expense
Reductions (%)(b) | | Total
Return (%)(c) | Portfolio
Turnover
Rate (%)(c) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS I SHARES |
| 2021 (d) | (1.73) (e) | 3.09 (e) | 3.76 (e) | | (3.00) | 58.61 | $ 17,621 |
| 2020 | (1.61) | 3.10 | 3.15 | | (8.78) | 69.44 | $ 50,394 |
| 2019 | (1.55) | 3.44 | 3.47 | | (2.10) | 71.43 | $ 220,375 |
| 2018 | (0.74) | 2.82 (f) | 2.82 | | 6.83 | 65.72 | $ 203,804 |
| 2017 (g) | (1.56) (e) | 3.42 (e)(f) | 3.78 (e) | | 11.30 | 61.69 | $ 79,739 |
Thornburg Equity Funds Semi-Annual Report | 137
Expense Example
March 31, 2021 (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 and Class C2 shares within 12 months of purchase; |
| (2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on October 1, 2020, and held until March 31, 2021.
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.
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, October 1, 2020 and held through March 31, 2021.
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| INCOME BUILDER FUND |
| CLASS A SHARES | $1,259.03 | $ 7.15 | | $1,018.60 | $ 6.39 | 1.27% |
| CLASS C SHARES | $1,254.35 | $11.35 | | $1,014.86 | $10.15 | 2.02% |
| CLASS I SHARES | $1,260.11 | $ 5.97 | | $1,019.65 | $ 5.34 | 1.06% |
| CLASS R3 SHARES | $1,256.39 | $ 9.17 | | $1,016.80 | $ 8.20 | 1.63% |
| CLASS R4 SHARES | $1,257.26 | $ 8.61 | | $1,017.30 | $ 7.70 | 1.53% |
| CLASS R5 SHARES | $1,259.32 | $ 6.31 | | $1,019.35 | $ 5.64 | 1.12% |
| CLASS R6 SHARES | $1,260.48 | $ 5.30 | | $1,020.24 | $ 4.73 | 0.94% |
| SUMMIT FUND |
| CLASS I SHARES | $1,183.33 | $ 5.66 | | $1,019.75 | $ 5.24 | 1.04% |
| GLOBAL OPPORTUNITIES FUND |
| CLASS A SHARES | $1,281.89 | $ 7.28 | | $1,018.55 | $ 6.44 | 1.28% |
| CLASS C SHARES | $1,276.79 | $11.75 | | $1,014.61 | $10.40 | 2.07% |
| CLASS I SHARES | $1,283.50 | $ 5.64 | | $1,020.00 | $ 4.99 | 0.99% |
| CLASS R3 SHARES | $1,280.45 | $ 8.53 | | $1,017.45 | $ 7.54 | 1.50% |
| CLASS R4 SHARES | $1,280.98 | $ 7.96 | | $1,017.95 | $ 7.04 | 1.40% |
| CLASS R5 SHARES | $1,283.58 | $ 5.64 | | $1,020.00 | $ 4.99 | 0.99% |
| CLASS R6 SHARES | $1,284.13 | $ 4.84 | | $1,020.69 | $ 4.28 | 0.85% |
138 | Thornburg Equity Funds Semi-Annual Report
Expense Example, Continued
March 31, 2021 (Unaudited)
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| INTERNATIONAL EQUITY FUND |
| CLASS A SHARES | $1,197.84 | $ 8.82 | | $1,016.90 | $ 8.10 | 1.61% |
| CLASS C SHARES | $1,193.00 | $12.68 | | $1,013.36 | $11.65 | 2.32% |
| CLASS I SHARES | $1,199.34 | $ 7.24 | | $1,018.35 | $ 6.64 | 1.32% |
| CLASS R3 SHARES | $1,196.63 | $10.02 | | $1,015.81 | $ 9.20 | 1.83% |
| CLASS R4 SHARES | $1,197.28 | $ 8.87 | | $1,016.85 | $ 8.15 | 1.62% |
| CLASS R5 SHARES | $1,198.91 | $ 7.62 | | $1,018.00 | $ 6.99 | 1.39% |
| CLASS R6 SHARES | $1,200.03 | $ 6.53 | | $1,019.00 | $ 5.99 | 1.19% |
| BETTER WORLD INTERNATIONAL FUND |
| CLASS A SHARES | $1,243.93 | $ 9.23 | | $1,016.70 | $ 8.30 | 1.65% |
| CLASS C SHARES | $1,239.20 | $13.29 | | $1,013.06 | $11.94 | 2.38% |
| CLASS I SHARES | $1,247.19 | $ 6.11 | | $1,019.50 | $ 5.49 | 1.09% |
| INTERNATIONAL GROWTH FUND |
| CLASS A SHARES | $1,077.52 | $ 6.47 | | $1,018.70 | $ 6.29 | 1.25% |
| CLASS C SHARES | $1,073.22 | $10.70 | | $1,014.61 | $10.40 | 2.07% |
| CLASS I SHARES | $1,078.91 | $ 5.08 | | $1,020.04 | $ 4.94 | 0.98% |
| CLASS R3 SHARES | $1,076.00 | $ 7.76 | | $1,017.45 | $ 7.54 | 1.50% |
| CLASS R4 SHARES | $1,076.98 | $ 7.25 | | $1,017.95 | $ 7.04 | 1.40% |
| CLASS R5 SHARES | $1,079.04 | $ 5.13 | | $1,020.00 | $ 4.99 | 0.99% |
| CLASS R6 SHARES | $1,079.48 | $ 4.61 | | $1,020.49 | $ 4.48 | 0.89% |
| DEVELOPING WORLD FUND |
| CLASS A SHARES | $1,234.29 | $ 7.97 | | $1,017.80 | $ 7.19 | 1.43% |
| CLASS C SHARES | $1,229.95 | $12.29 | | $1,013.91 | $11.10 | 2.21% |
| CLASS I SHARES | $1,236.48 | $ 6.08 | | $1,019.50 | $ 5.49 | 1.09% |
| CLASS R5 SHARES | $1,236.42 | $ 6.08 | | $1,019.50 | $ 5.49 | 1.09% |
| CLASS R6 SHARES | $1,237.18 | $ 5.52 | | $1,020.00 | $ 4.99 | 0.99% |
| SMALL/MID CAP CORE FUND |
| CLASS A SHARES | $1,241.54 | $ 6.65 | | $1,019.00 | $ 5.99 | 1.19% |
| CLASS C SHARES | $1,236.44 | $11.21 | | $1,014.91 | $10.10 | 2.01% |
| CLASS I SHARES | $1,243.65 | $ 4.81 | | $1,020.64 | $ 4.33 | 0.86% |
| CLASS R3 SHARES | $1,241.33 | $ 6.82 | | $1,018.85 | $ 6.14 | 1.22% |
| CLASS R4 SHARES | $1,241.96 | $ 6.26 | | $1,019.35 | $ 5.64 | 1.12% |
| CLASS R5 SHARES | $1,243.60 | $ 4.81 | | $1,020.64 | $ 4.33 | 0.86% |
| SMALL/MID CAP GROWTH FUND |
| CLASS A SHARES | $1,089.95 | $ 5.99 | | $1,019.20 | $ 5.79 | 1.15% |
| CLASS C SHARES | $1,085.71 | $10.09 | | $1,015.26 | $ 9.75 | 1.94% |
| CLASS I SHARES | $1,091.61 | $ 4.38 | | $1,020.74 | $ 4.23 | 0.84% |
| CLASS R3 SHARES | $1,088.75 | $ 7.03 | | $1,018.20 | $ 6.79 | 1.35% |
| CLASS R4 SHARES | $1,089.50 | $ 6.51 | | $1,018.70 | $ 6.29 | 1.25% |
| CLASS R5 SHARES | $1,091.73 | $ 4.38 | | $1,020.74 | $ 4.23 | 0.84% |
| LONG/SHORT EQUITY FUND |
| CLASS I SHARES | $ 970.05 | $15.18 | | $1,009.52 | $15.48 | 3.09% |
| * | Hypothetical assumes a rate of return of 5% per year before expenses. |
| † | Expenses are equal to the annualized expense ratio for each class multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
Thornburg Equity Funds Semi-Annual Report | 139
Other Information
March 31, 2021 (Unaudited)
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to 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 U.S. 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 U.S. 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-PORT EX for the first and third quarters of each fiscal year. The Fund’s Form N-PORT EX 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 REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
The Trustees of the Trust have appointed the Advisor (“Program Administrator”) to administer the Trust’s liquidity risk management program (the “LRMP”) adopted for each of the Funds of the Trust under rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The LRMP is designed to reduce the risk that a Fund will be unable to meet its redemption obligations under the 1940 Act, and to mitigate the dilution of the interests of Fund shareholders occasioned by redemptions tendered by other shareholders (“Liquidity Risk”). Pursuant to the LRMP, the Program Administrator has delegated certain functions, including daily oversight and management of the Funds’ Liquidity Risk, to its Liquidity Risk Management Committee (the “Liquidity Committee”). Under the LRMP, the Liquidity Committee performs the annual review of the LRMP required by the Liquidity Rule.
On December 9, 2020, the Trustees reviewed the Liquidity Committee’s initial written report (the “Report”) concerning the operation of the LRMP for the period from November 21, 2019 through November 20, 2020 (the “Reporting Period”). The Report addressed the operation, adequacy and effectiveness of the LRMP, the operation of a Fund’s highly liquid investment minimum, and any material changes to the LRMP during the Reporting Period. The Report provided an assessment of the various factors relevant to each Fund’s Liquidity Risk, an evaluation of data provided by a third-party liquidity assessment vendor and other relevant data, and reports on the Liquidity Committee’s consideration of intermediary firms with the largest beneficial ownership positions in each Fund, the likelihood that any of those firms may redeem their clients’ investments from the Funds without prior notice, and the effect that such redemptions could have on Fund liquidity. The Report concluded that the LRMP remains adequate and effective to address each Fund’s Liquidity Risk, that all of the Funds are able to meet redemption requests in current market conditions and in reasonably expected stressed conditions without significant dilution of remaining shareholders, that each Fund remains primarily highly liquid, each Fund’s liquidity classifications during the reporting period were reasonable, and the third-party liquidity assessment vendor’s system continues to be a useful tool for assessing the Funds’ Liquidity Risk. The Report stated that there have been no instances since the LRMP’s adoption in which a Fund exceeded its limitation on illiquid investments, nor have there been any material changes to the LRMP since its adoption.
140 | Thornburg Equity Funds Semi-Annual Report
Trustees’ Statement to Shareholders (Unaudited)
Revised and Readopted September 15, 2020
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, 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.
[This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. For prospective investors in any fund of Thornburg Investment Trust, this communication must be preceded or accompanied by a prospectus. You may obtain a current copy of the Funds’ prospectus, which describes the Funds’ management fees, expenses and risks, by calling 1-800-847-0200 or by visiting www.thornburg.com/download. Please read the prospectus carefully before investing.]
Thornburg Investment Trust
2300 North Ridgetop Road
Santa Fe, NM 87506
505.984.0200 Tel
505.992.8681 Fax
www.thornburg.com
Thornburg Equity Funds Semi-Annual Report | 141
Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $45.4 billion (as of March 31, 2021) across U.S. mutual funds, separate accounts for high-net-worth investors, institutional accounts, and UCITS funds for non-U.S. investors.
The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.
MULTI ASSET
| ■ | Thornburg Investment Income Builder Fund |
| ■ | Thornburg Summit Fund |
GLOBAL EQUITY
| ■ | Thornburg Global Opportunities Fund |
INTERNATIONAL EQUITY
| ■ | Thornburg International Equity Fund |
| ■ | Thornburg Better World International Fund |
| ■ | Thornburg International Growth Fund |
| ■ | Thornburg Developing World Fund |
DOMESTIC EQUITY
| ■ | Thornburg Small/Mid Cap Core Fund |
| ■ | Thornburg Small/Mid Cap Growth Fund |
ALTERNATIVES
| ■ | Thornburg Long/Short Equity Fund |
FIXED INCOME
| ■ | Thornburg Limited Term U.S. Government Fund |
| ■ | Thornburg Limited Term Income Fund |
| ■ | Thornburg Ultra Short Income Fund |
| ■ | Thornburg Strategic Income Fund |
MUNICIPAL
| ■ | Thornburg Short Duration Municipal Fund |
| ■ | Thornburg Limited Term Municipal Fund |
| ■ | Thornburg California Limited Term Municipal Fund |
| ■ | Thornburg New Mexico Intermediate Municipal Fund |
| ■ | Thornburg New York Intermediate Municipal Fund |
| ■ | Thornburg 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
142 | Thornburg Equity Funds Semi-Annual Report
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Thornburg Equity Funds Semi-Annual Report | 143
To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.
This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
Semi-Annual Report
March 31, 2021
| Thornburg Fixed Income Funds |
| Thornburg Limited Term U.S. Government Fund |
| Thornburg Limited Term Income Fund |
| Thornburg Ultra Short Income Fund |
| Thornburg Strategic Income Fund |
At Thornburg, we believe unconstrained investing leads to better outcomes for our clients. Our investment solutions are highly active, high conviction, and benchmark agnostic. When it comes to finding economic opportunity for clients, it’s more than what we do.
It’s how we do it. Active As bottom-up, fundamental, active managers, we look beyond conventional benchmarks. Long Term We take a long-term view in how we manage our firm and our portfolios. Benchmark Agnostic Investment strategies should have the flexibility to pursue solutions for clients, not stay within the conventional confines of benchmarks. Flexible Perspective Our approach to portfolio construction is guided by our convictions rather than convention. High Conviction We focus our attention and capital on thoroughly researched, well-understood positions. The best form of risk management is to know what you own, and why. Repeatable & Robust Our long-term outperformance of benchmarks verifies that our process works and outperforms conventional thinking. Independent We are independently owned and far from the herd of other investment managers. Investment Driven All members of the investment team are resources for all of our strategies. Collaborative Our team collaborates on opportunities across geography, sector, or asset class.
Thornburg Fixed Income Funds
Semi-Annual Reports | March 31, 2021
Table of Contents
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 Funds’ prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
Thornburg Fixed Income Funds Semi-Annual Report | 3
Letter to Shareholders
March 31, 2021 (Unaudited)
Dear Shareholder:
Given the opportunity to write to you about how our portfolios are delivering in the context of continued volatile and fascinating global markets, there is a great temptation to look backwards and reflect on the past year. Given that these letters are semi-annual, the last two occasions have been more fraught, being in the throes of the early and uncertain stages of the global pandemic, and then moving into a contentious presidential election here in the U.S. This moment in time has a brighter tone, and the ongoing vaccination drive is clearly bearing fruit.
But rather than simply detail what has occurred, it seems more worthwhile to connect that past experience with future possibilities, both good and bad. If 2020’s story was a significant disconnect between the reality that many individuals endured and the ultimately strong upwards movement of risk assets, it seems equally possible that disconnect could endure, but in the opposite direction. While we expect further economic recovery in the moment, markets, as always, are working to price the future. It is worth noting that the plaudits for saving the world from economic catastrophe are going to many of the policymakers that ordered up stimulus and easy monetary policy. It’s also important to note that the cost of U.S. stimulus thus far is about in line, inflation-adjusted, with the cost to the U.S. of fighting World War II. It’s also important to keep the perspective that the virus-induced crash was truly horrific, and the vaccine-induced bounce may be equally euphoric, but neither experience has policy at its core. As we look at the rest of 2021 and beyond, we will be in truly uncharted territory. We here at Thornburg remain skeptical of simple historical comparisons.
Prices in the global marketplace are generally high, perhaps especially in credit and global rates. At the same time, despite the unusually quick economic recovery occasioned by miraculous work around vaccines, our economic mandarins remain steadfast
in providing stimulus. Their apparent goal is to pull forward growth from the future into the present, to further the recovery. In addition, they wish to produce inflation so as to escape a deflationary spiral that looms large over the global economy due to a combination of high debt, aging demographics, and slowing productivity. Whether this stew of conditions produces a positive result in the future is unknowable, but what is as clear as ever is that the road is likely to be very bumpy. It is a road that will not likely be smoothed by further infrastructure spending.
At Thornburg, while the past has served as a wonderful proof point for the value of our global perspective and flexible approach, we are focused on continuing to invest for future results in your portfolios. Combined with our focus on breaking down silos within the investment universe, we are designed to see the world with better perspective. Many firms have good products, but we believe that our firm’s approach is our differentiator: we evaluate individual opportunities for each portfolio with a clear understanding of the bigger picture of what you need from us. This is what underlies the excellent long-term outcomes we’ve been able to achieve. It is our understanding of and participation in the interconnectedness of markets that is our core competency: we’re built to deliver on the promise of active management.
Thank you so much for your time and your business.
| |
Jason Brady, cfa
Portfolio Manager
CEO, President, and
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
4 | Thornburg Fixed Income Funds Semi-Annual Report
Thornburg Limited Term U.S. Government Fund
Investment Goal and Fund Overview
The primary goal of Limited Term U.S. Government Fund is to provide as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with safety of capital. As a secondary goal, the Fund seeks to reduce changes in its share price compared to longer term portfolios.
The Fund is an actively managed, laddered portfolio of short/intermediate-term obligations issued by the U.S. Government, its agencies or instrumentalities with an average maturity of 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 is invested in bonds with longer maturities at the far end of the ladder. The strategy is a good compromise for managing different types of risk.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) returned negative 1.49% for the six-month period ending March 31, 2021, outperforming the Bloomberg Barclays U.S. Government Intermediate Total Return Index Value Unhedged, which returned negative 1.94%.
» The Fund’s relative short duration position versus its index proved to be a contributor in a rising rate environment. During the six-month period, five- and 10-year Treasury yields rose by 66 and 106 basis points (bps), respectively.
» Exposure to mortgage-backed securities (MBS) proved to be a relative detractor, with lower coupon MBS generally underperforming securities with higher coupons over the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG LIMITED TERM U.S. GOVERNMENT FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG LIMITED TERM U.S. GOVERNMENT FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 11/16/87) | | | | | |
| Without sales charge | 0.15% | 2.33% | 1.27% | 1.40% | 4.49% |
| With sales charge | -1.35% | 1.80% | 0.97% | 1.25% | 4.44% |
| Class C Shares (Incep: 9/1/94) | | | | | |
| Without sales charge | -0.16% | 2.03% | 0.96% | 1.10% | 3.40% |
| With sales charge | -0.65% | 2.03% | 0.96% | 1.10% | 3.40% |
| Class C2 Shares (Incep: 9/30/20) | | | | | |
| Without sales charge | - | - | - | - | -1.80% |
| With sales charge | - | - | - | - | -2.44% |
| Class I Shares (Incep: 7/5/96) | 0.43% | 2.62% | 1.57% | 1.72% | 3.88% |
| Class R3 Shares (Incep: 7/1/03) | 0.04% | 2.23% | 1.19% | 1.32% | 2.25% |
| Class R4 Shares (Incep: 2/1/14) | 0.04% | 2.23% | 1.18% | - | 1.26% |
| Class R5 Shares (Incep: 5/1/12) | 0.36% | 2.55% | 1.52% | - | 1.36% |
| Bloomberg Barclays U.S. Government Intermediate Total Return Index Value Unhedged ( Since 11/16/87) | -1.20% | 3.75% | 2.07% | 2.28% | 5.23% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. Class C and Class C2 shares include 0.50% and 0.65% CDSC respectively, 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 Fund’s most recent prospectus, the total annual fund operating expenses before waivers and expense reimbursements are as follows: A shares, 0.89%; C shares, 1.16%; C2 shares, 1.39%; I shares, 0.60%; R3 shares, 1.29%; R4 shares, 1.60%; R5 shares, 2.12%; Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.67%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Thornburg Fixed Income Funds Semi-Annual Report | 5
Thornburg Limited Term Income Fund
Investment Goal and Fund Overview
The primary goal of Limited Term Income Fund is to provide as high a level of current income as is consistent, in the view of the Fund’s investment advisor, with safety of capital. As a secondary goal, the Fund seeks to reduce changes in its share prices compared to longer term portfolios.
The Fund is an actively managed, laddered portfolio of short/intermediate investment grade obligations with an average maturity of less than five years. Laddering involves staggering bond maturities so that a portion of the portfolio matures each year; cash from maturing bonds is invested in bonds with longer maturities at the far end of the ladder.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) returned negative 0.46% for the six-month period ending March 31, 2021, outperforming the Bloomberg Barclays Intermediate U.S. Government/Credit Total Return Index Value Unhedged, which returned negative 1.39%.
» The Fund’s relative short duration position versus its index proved to be a contributor in a rising rate environment. During the six-month period, five- and 10-year Treasury yields rose by 66 and 106 basis points (bps), respectively.
» Positive relative performance was driven mainly by the Fund’s exposure within ABS and corporate credit. In this environment, spread sectors generally outperformed Treasuries and were aided by an improving economic backdrop, COVID-19 relief-driven fiscal stimulus and continued monetary support from the Federal Reserve.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG LIMITED TERM INCOME FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG LIMITED TERM INCOME FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 10/1/92) | | | | | |
| Without sales charge | 6.46% | 4.19% | 3.12% | 3.22% | 4.79% |
| With sales charge | 4.88% | 3.67% | 2.81% | 3.07% | 4.73% |
| Class C Shares (Incep: 9/1/94) | | | | | |
| Without sales charge | 6.30% | 3.96% | 2.89% | 2.99% | 4.47% |
| With sales charge | 5.80% | 3.96% | 2.89% | 2.99% | 4.47% |
| Class C2 Shares (Incep: 9/30/20) | | | | | |
| Without sales charge | - | - | - | - | -0.87% |
| With sales charge | - | - | - | - | -1.50% |
| Class I Shares (Incep: 7/5/96) | 6.83% | 4.49% | 3.46% | 3.57% | 4.98% |
| Class R3 Shares (Incep: 7/1/03) | 6.22% | 3.98% | 2.94% | 3.09% | 3.62% |
| Class R4 Shares (Incep: 2/1/14) | 6.30% | 3.98% | 2.96% | - | 2.64% |
| Class R5 Shares (Incep: 5/1/12) | 6.83% | 4.45% | 3.35% | - | 3.09% |
| Class R6 Shares (Incep: 4/10/17) | 6.90% | 4.56% | - | - | 3.89% |
| Bloomberg Barclays U.S. Aggregate Bond Total Return Index Value USD (Since 10/1/92) | 0.71% | 4.65% | 3.10% | 3.44% | 5.23% |
| Bloomberg Barclays Intermediate U.S. Government/Credit Total Return Index Value Unhedged (Since 10/1/92) | 2.01% | 4.36% | 2.75% | 2.88% | 4.76% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. Class C and Class C2 shares include 0.50% and 0.65% CDSC respectively, for the first year only. There is no sales charge for Class I, Class R3, Class R4, Class R5 and Class R6 shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before waivers and expense reimbursements are as follows: A shares, 0.77%; C shares, 1.00%; C2 shares, 1.17%; I shares, 0.51%; R3 shares, 1.02%; R4 shares, 1.32%; R5 shares, 0.64%; R6 shares, 0.46%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.49%; R3 shares, 0.99%; R4 shares, 0.99%; R5 shares, 0.49%; R6 shares 0.42%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
6 | Thornburg Fixed Income Funds Semi-Annual Report
Thornburg Ultra Short Income Fund
Investment Goal and Fund Overview
The Ultra Short Income Fund seeks current income, consistent with preservation of capital.
The Fund is an actively managed, laddered portfolio of investment grade obligations. The Fund seeks to reduce changes in its share value compared to longer duration fixed income portfolios by maintaining a portfolio of investments with a dollar-weighted average duration of normally no more than one half (0.5) of a year. The Fund’s investments are determined by individual security analysis.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) returned 0.44% for the six-month period ending March 31, 2021. The Fund outperformed the ICE BofAML U.S. Treasury Bill Index, which returned 0.06%.
» Positioning in shorter-maturity corporate and asset backed securities (ABS) proved to be beneficial as both areas broadly experienced excess returns versus Treasuries.
» The portfolio held a relatively longer duration versus the ICE BofAML U.S. Treasury Bill Index, which resulted in relative underperformance during a period where rates rose meaningfully.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG ULTRA SHORT INCOME FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG ULTRA SHORT INCOME FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/30/13) | | | | | |
| Without sales charge | 4.82% | 2.76% | 2.05% | - | 1.77% |
| With sales charge | 3.21% | 2.24% | 1.74% | - | 1.55% |
| Class I Shares (Incep: 12/30/13) | 4.95% | 2.94% | 2.23% | - | 1.95% |
| ICE BofAML U.S. Treasury Bill Index (Since 12/30/13) | 0.12% | 1.55% | 1.21% | - | 0.87% |
| Bloomberg Barclays U.S. Aggregate 1-3 Year Total Return Index Value Unhedged USD (Since 12/30/13) | 1.19% | 2.95% | 1.96% | - | 1.69% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 1.84%; I shares, 1.06%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, resulting in net expense ratios of the following: A shares, 0.50%; I shares, 0.30%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
Thornburg Fixed Income Funds Semi-Annual Report | 7
Thornburg Strategic Income Fund
Investment Goal and Fund Overview
Strategic Income 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 is a global, income-oriented fund with a flexible mandate focused on paying an attractive, sustainable yield. The portfolio invests in a combination of income-producing securities with an emphasis on higher-yielding fixed income.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) returned 3.22% for the six-month period ending March 31, 2021, significantly outperforming the Bloomberg Barclays U.S. Universal Total Return Index Value Unhedged, which returned negative 1.80%.
» The Fund’s relative short duration position versus its index proved to be a significant contributor in a rising rate environment. During the six-month period, five- and 10-year Treasury yields rose by 66 and 106 basis points (bps), respectively.
» Positive relative performance was driven mainly by the Fund’s security selection within asset backed securities, as well by an overweight to corporate credit. In this environment, spread sectors generally outperformed Treasuries and were aided by an improving economic backdrop, COVID-19 relief-driven fiscal stimulus and continued monetary support from the Federal Reserve.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG STRATEGIC INCOME FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
THORNBURG STRATEGIC
INCOME FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/19/07) | | | | | |
| Without sales charge | 14.68% | 5.40% | 5.50% | 4.90% | 5.93% |
| With sales charge | 9.49% | 3.80% | 4.54% | 4.42% | 5.56% |
| Class C Shares (Incep: 12/19/07) | | | | | |
| Without sales charge | 13.84% | 4.62% | 4.76% | 4.24% | 5.28% |
| With sales charge | 12.84% | 4.62% | 4.76% | 4.24% | 5.28% |
| Class I Shares (Incep: 12/19/07) | 15.02% | 5.74% | 5.88% | 5.26% | 6.27% |
| Class R3 Shares (Incep: 5/1/12) | 14.26% | 5.09% | 5.32% | - | 4.64% |
| Class R4 Shares (Incep: 2/1/14) | 14.37% | 5.12% | 5.30% | - | 3.98% |
| Class R5 Shares (Incep: 5/1/12) | 15.01% | 5.77% | 5.89% | - | 5.10% |
| Class R6 Shares (Incep: 4/10/17) | 15.06% | 5.83% | - | - | 5.50% |
| Bloomberg Barclays U.S. Universal Total Return Index Value Unhedged (Since 12/19/07) | 2.95% | 4.86% | 3.59% | 3.77% | 4.27% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 include a 1.00% CDSC for the first year only. There is no sales charge for Class I, Class R3, Class R4, Class R5 and Class R6 shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 1.13%; C shares, 1.88%; I shares, 0.88%; R3 shares, 2.53%; R4 shares, 2.70%; R5 shares, 1.00% and R6 shares, 0.88%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, resulting in net expense ratios of the following: A shares, 1.05%; C shares, 1.80%; I shares, 0.60%; R3 shares, 1.25%; R4 shares, 1.25%; R5 shares, 0.60% and R6 shares, 0.53%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
8 | Thornburg Fixed Income Funds Semi-Annual Report
Glossary
March 31, 2021 (Unaudited)
The Bloomberg Barclays Intermediate U.S. Government/Credit Total Return Index Value Unhedged is an unmanaged, market-weighted index generally representative of intermediate government and investment-grade corporate debt securities having maturities from one up to ten years.
The Bloomberg Barclays U.S. Government Intermediate Total Return Index Value Unhedged is 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.
The Bloomberg Barclays U.S. Aggregate Bond Total Return Value USD is composed of approximately 8,000 publicly traded bonds including U.S. government, mortgage-backed, corporate and Yankee bonds. The index is weighted by the market value of the bonds included in the index.
The Bloomberg Barclays U.S. Aggregate 1-3 Year Total Return Index Value Unhedged USD measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market with maturities between 1 and 3 years, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS.
The Bloomberg Barclays U.S. Universal Total Return Index Value Unhedged 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.
The ICE BofAML U.S. Treasury Bill Index is an unmanaged index that measures returns of U.S. Treasury Bills.
The performance of any index is not indicative of the performance of any particular investment. 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.
Asset backed Security (ABS) – A security whose value and income payments are derived from and collateralized (or “backed”) by a specified pool of underlying assets. The pool of assets is typically a group of small and illiquid assets that are unable to be sold individually. Pooling the assets into financial instruments allows them to be sold to general investors, a process called securitization, and allows the risk of investing in the underlying assets to be diversified because each security will represent a fraction of the total value of the diverse pool of underlying assets.
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. Effective duration incorporates a bond’s embedded option features, such as call provisions.
High yield bonds may offer higher yields in return for more risk exposure.
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.
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. Investments in mortgage-backed securities (MBS) may bear additional risk.
Thornburg Fixed Income Funds Semi-Annual Report | 9
Fund Summary
Thornburg Limited Term U.S. Government Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 196 |
| Effective Duration | 3.1 Yrs |
| Average Maturity | 3.7 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.07% |
| SEC Yield | 0.65% |
TYPES OF HOLDINGS
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
THORNBURG LIMITED TERM U.S.
GOVERNMENT FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | LTUSX | 885-215-103 |
| Class C | LTUCX | 885-215-830 |
| Class C2 | LTUQX | 885-216-465 |
| Class I | LTUIX | 885-215-699 |
| Class R3 | LTURX | 885-215-491 |
| Class R4 | LTUGX | 885-216-747 |
| Class R5 | LTGRX | 885-216-861 |
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.
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.
10 | Thornburg Fixed Income Funds Semi-Annual Report
Fund Summary
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 756 |
| Effective Duration | 3.2 Yrs |
| Average Maturity | 3.8 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.30% |
| SEC Yield | 0.89% |
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.
Unrated bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
| 7% | 12% | 15% | 12% | 16% | 13% | 4% | 4% | 2% | 6% | 10% |
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
THORNBURG LIMITED TERM
INCOME FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | THIFX | 885-215-509 |
| Class C | THICX | 885-215-764 |
| Class C2 | THIQX | 885-216-424 |
| Class I | THIIX | 885-215-681 |
| Class R3 | THIRX | 885-215-483 |
| Class R4 | THRIX | 885-216-762 |
| Class R5 | THRRX | 885-216-853 |
| Class R6 | THRLX | 885-216-671 |
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.
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.
Thornburg Fixed Income Funds Semi-Annual Report | 11
Fund Summary
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 304 |
| Effective Duration | 0.5 Yrs |
| Average Maturity | 0.7 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.26% |
| SEC Yield | 0.89% |
Without the fee waivers and expense reimbursements, the Annualized Distribution yield and the SEC yield would have been 0.36% and -0.02%, respectively.
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.
Unrated bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
THORNBURG ULTRA SHORT
INCOME FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | TLDAX | 885-216-812 |
| Class I | TLDIX | 885-216-796 |
Class I shares may not be available to all investors. Minimum investments for Class I shares may be higher than those for other classes.
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 | Thornburg Fixed Income Funds Semi-Annual Report
Fund Summary
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| PORTFOLIO COMPOSITION |
| Corporate/Convertible Bonds | 43.7% |
| Asset Backed Securities | 21.5% |
| Bank Loans | 5.6% |
| Common & Preferred Stock | 0.7% |
| U.S. Treasury Securities | 1.9% |
| U.S. Government Agencies | 0.1% |
| Other Fixed Income | 13.8% |
| Other Assets Less Liabilities | 12.7% |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 3.82% |
| SEC Yield | 2.09% |
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.
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 nationally recognized statistical rating organizations (NRSROs). Unrated bonds are included in the not rated (NR) category.
| TOP TEN INDUSTRY GROUPS |
| Diversified Financials | 5.7% |
| Software & Services | 4.9% |
| Energy | 3.8% |
| Materials | 3.4% |
| Telecommunication Services | 3.1% |
| Utilities | 3.0% |
| Insurance | 2.9% |
| Capital Goods | 2.7% |
| Technology Hardware & Equipment | 2.3% |
| Food, Beverage & Tobacco | 2.2% |
THORNBURG STRATEGIC
INCOME FUND | NASDAQ SYMBOLS | CUSIPS |
| 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 R6 | TSRSX | 885-216-648 |
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.
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.
Thornburg Fixed Income Funds Semi-Annual Report | 13
Schedule of Investments
Thornburg Limited Term U.S. Government Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | U.S. Treasury Securities — 14.4% | | |
| | United States Treasury Notes, | | |
| | 0.625% due 5/15/2030 - 8/15/2030 | $28,900,000 | $ 26,269,360 |
| | 1.50% due 10/31/2024 - 2/15/2030 | 10,885,000 | 10,966,790 |
| | United States Treasury Notes Inflationary Index, | | |
| | 0.125% due 1/15/2030 - 7/15/2030 | 11,905,197 | 12,904,215 |
| | 0.25% due 7/15/2029 | 1,288,337 | 1,419,012 |
| | Total U.S. Treasury Securities (Cost $53,904,111) | | 51,559,377 |
| | U.S. Government Agencies — 7.9% | | |
| a | Durrah MSN 35603 (Guaranty: Export-Import Bank of the United States), 1.684% due 1/22/2025 | 512,550 | 523,181 |
| b | HNA Group LLC (Guaranty: Export-Import Bank of the United States), Series 2015, 2.291% due 6/30/2027 | 1,694,259 | 1,779,699 |
| a | MSN 41079 and 41084 Ltd. (Guaranty: Export-Import Bank of the United States), 1.717% due 7/13/2024 | 494,359 | 504,111 |
| | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), | | |
| a,c | 0.591% (LIBOR 3 Month + 0.35%) due 4/15/2025 | 1,487,500 | 1,440,272 |
| a | 1.70% due 12/20/2022 | 1,045,000 | 1,040,036 |
| a | 2.46% due 12/15/2025 | 1,250,000 | 1,201,450 |
| | Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States), | | |
| a | 2.06% due 1/15/2026 | 1,750,000 | 1,754,707 |
| a | 2.512% due 1/15/2026 | 2,637,500 | 2,693,942 |
| | Small Business Administration Participation Certificates, | | |
| | Series 2001-20D Class 1, 6.35% due 4/1/2021 | 29,857 | 29,857 |
| | Series 2001-20F Class 1, 6.44% due 6/1/2021 | 24,266 | 24,432 |
| | Series 2002-20A Class 1, 6.14% due 1/1/2022 | 24,629 | 25,072 |
| | Series 2002-20K Class 1, 5.08% due 11/1/2022 | 47,428 | 48,364 |
| | Series 2005-20H Class 1, 5.11% due 8/1/2025 | 66,232 | 70,040 |
| | Series 2007-20D Class 1, 5.32% due 4/1/2027 | 182,469 | 197,032 |
| | Series 2007-20F Class 1, 5.71% due 6/1/2027 | 106,521 | 115,960 |
| | Series 2007-20I Class 1, 5.56% due 9/1/2027 | 360,146 | 392,444 |
| | Series 2007-20K Class 1, 5.51% due 11/1/2027 | 237,195 | 257,619 |
| | Series 2008-20G Class 1, 5.87% due 7/1/2028 | 608,979 | 670,983 |
| | Series 2011-20G Class 1, 3.74% due 7/1/2031 | 895,594 | 952,175 |
| | Series 2011-20K Class 1, 2.87% due 11/1/2031 | 1,305,579 | 1,353,523 |
| | Series 2014-20H Class 1, 2.88% due 8/1/2034 | 798,658 | 832,698 |
| | Series 2015-20B Class 1, 2.46% due 2/1/2035 | 665,921 | 684,612 |
| | Series 2015-20G Class 1, 2.88% due 7/1/2035 | 1,380,632 | 1,442,408 |
| | Series 2015-20I Class 1, 2.82% due 9/1/2035 | 1,457,556 | 1,522,829 |
| | Series 2017-20I Class 1, 2.59% due 9/1/2037 | 2,798,341 | 2,904,393 |
| | Series 2017-20K Class 1, 2.79% due 11/1/2037 | 1,304,083 | 1,363,507 |
| | Thirax 1, LLC (Guaranty: Export-Import Bank of the United States), 0.968% due 1/14/2033 | 1,500,000 | 1,419,375 |
| | Ulani MSN 35940 LLC (Guaranty: Export-Import Bank of the United States), 2.227% due 5/16/2025 | 1,770,834 | 1,765,999 |
| a,c | Washington Aircraft 2 Co. Ltd. (Guaranty: Export-Import Bank of the United States), 0.625% (LIBOR 3 Month + 0.43%) due 6/26/2024 | 1,264,065 | 1,262,257 |
| | Total U.S. Government Agencies (Cost $27,802,176) | | 28,272,977 |
| | Mortgage Backed — 68.5% | | |
| | Federal Home Loan Mtg Corp., Pool J21208, 2.50% due 11/1/2027 | 1,632,531 | 1,703,733 |
| | Federal Home Loan Mtg Corp., CMO REMIC, | | |
| | Series 1351 Class TE, 7.00% due 8/15/2022 | 16,270 | 16,742 |
| | Series 3291 Class BY, 4.50% due 3/15/2022 | 5,564 | 5,611 |
| | Series 3704 Class DC, 4.00% due 11/15/2036 | 167,966 | 172,664 |
| | Series 3867 Class VA, 4.50% due 3/15/2024 | 808,590 | 845,424 |
| | Series 3922 Class PQ, 2.00% due 4/15/2041 | 277,285 | 282,129 |
| | Series 4050 Class MV, 3.50% due 8/15/2023 | 871,139 | 898,333 |
| | Series 4097 Class TE, 1.75% due 5/15/2039 | 256,332 | 257,010 |
| c | Series 4105 Class FG, 0.506% (LIBOR 1 Month + 0.40%) due 9/15/2042 | 865,979 | 870,741 |
| | Series 4120 Class TC, 1.50% due 10/15/2027 | 895,517 | 916,237 |
| | Series 4120 Class UE, 2.00% due 10/15/2027 | 978,704 | 1,009,062 |
| | Federal Home Loan Mtg Corp., Multi-Family Structured Pass Through, | | |
| | Series K035 Class A1, 2.615% due 3/25/2023 | 666,431 | 674,652 |
| c | Series K035 Class A2, 3.458% due 8/25/2023 | 3,000,000 | 3,195,083 |
| | Series K037 Class A1, 2.592% due 4/25/2023 | 596,946 | 608,316 |
| | Series K038 Class A1, 2.604% due 10/25/2023 | 1,439,748 | 1,465,047 |
14 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term U.S. Government Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Series K042 Class A1, 2.267% due 6/25/2024 | $ 1,908,577 | $ 1,952,970 |
| c | Series K047 Class A2, 3.329% due 5/25/2025 | 1,250,000 | 1,365,016 |
| c | Series K061 Class A2, 3.347% due 11/25/2026 | 290,000 | 320,842 |
| c | Series K069 Class A2, 3.187% due 9/25/2027 | 180,000 | 198,245 |
| | Series K072 Class A2, 3.444% due 12/25/2027 | 120,000 | 133,996 |
| | Series K095 Class A2, 2.785% due 6/25/2029 | 577,000 | 620,124 |
| | Series K718 Class A2, 2.791% due 1/25/2022 | 1,484,273 | 1,503,856 |
| | Series K729 Class A2, 3.136% due 10/25/2024 | 3,500,000 | 3,751,673 |
| | Series K730 Class A1, 3.452% due 9/25/2024 | 198,779 | 203,667 |
| c | Series K730 Class A2, 3.59% due 1/25/2025 | 190,000 | 206,722 |
| c | Series KF15 Class A, 0.789% (LIBOR 1 Month + 0.67%) due 2/25/2023 | 381,868 | 381,590 |
| | Series KS03 Class A2, 2.79% due 6/25/2022 | 2,500,000 | 2,559,160 |
| | Federal Home Loan Mtg Corp., REMIC, | | |
| | Pool D98887, 3.50% due 1/1/2032 | 415,550 | 444,095 |
| | Pool E09025, 2.50% due 3/1/2028 | 86,138 | 89,938 |
| | Pool G13804, 5.00% due 3/1/2025 | 96,983 | 101,835 |
| | Pool G15227, 3.50% due 12/1/2029 | 1,358,140 | 1,466,760 |
| | Pool G16710, 3.00% due 11/1/2030 | 1,911,752 | 2,028,563 |
| | Pool G18435, 2.50% due 5/1/2027 | 879,112 | 917,453 |
| | Pool G18446, 2.50% due 10/1/2027 | 1,633,662 | 1,704,913 |
| | Pool J11371, 4.50% due 12/1/2024 | 101,628 | 105,827 |
| | Pool J20795, 2.50% due 10/1/2027 | 2,085,495 | 2,176,463 |
| | Pool J37586, 3.50% due 9/1/2032 | 261,254 | 284,385 |
| | Pool T61943, 3.50% due 8/1/2045 | 248,641 | 260,291 |
| | Pool T65457, 3.00% due 1/1/2048 | 1,083,109 | 1,112,354 |
| | Federal Home Loan Mtg Corp., REMIC, UMBS Collateral, | | |
| | Pool SB8010, 2.50% due 10/1/2034 | 1,251,997 | 1,301,732 |
| | Pool SB8030, 2.00% due 12/1/2034 | 1,621,915 | 1,664,400 |
| | Pool ZS7299, 3.00% due 10/1/2030 | 1,007,056 | 1,074,413 |
| | Pool ZS7942, 3.00% due 2/1/2033 | 3,255,852 | 3,493,994 |
| | Pool ZT1958, 3.00% due 5/1/2034 | 4,537,712 | 4,868,178 |
| | Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | | |
| c | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 1,504,780 | 1,606,064 |
| c | Series 2017-4 Class HT, 3.25% due 6/25/2057 | 4,071,953 | 4,311,569 |
| c | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 1,924,212 | 2,037,379 |
| c | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 1,105,999 | 1,168,607 |
| | Series 2018-3 Class HA, 3.00% due 8/25/2057 | 1,399,085 | 1,480,049 |
| | Series 2018-3 Class MA, 3.50% due 8/25/2057 | 1,820,622 | 1,954,801 |
| | Series 2018-4 Class HA, 3.00% due 3/25/2058 | 1,669,972 | 1,767,286 |
| | Series 2018-4 Class MA, 3.50% due 3/25/2058 | 1,331,386 | 1,430,891 |
| | Series 2019-1 Class MA, 3.50% due 7/25/2058 | 3,798,402 | 4,085,378 |
| | Series 2019-2 Class MA, 3.50% due 8/25/2058 | 3,135,917 | 3,377,495 |
| | Series 2019-3 Class MA, 3.50% due 10/25/2058 | 1,425,360 | 1,533,798 |
| | Series 2019-4 Class MA, 3.00% due 2/25/2059 | 1,827,228 | 1,935,330 |
| | Series 2020-1 Class MA, 2.50% due 8/25/2059 | 2,904,941 | 3,021,046 |
| | Series 2020-2 Class A1D, 1.75% due 9/25/2030 | 3,275,156 | 3,319,806 |
| | Series 2020-2 Class MA, 2.00% due 11/25/2059 | 2,155,494 | 2,207,975 |
| | Series 2020-3 Class MA, 2.00% due 5/25/2060 | 907,144 | 927,957 |
| | Series 2020-3 Class MT, 2.00% due 5/25/2060 | 930,358 | 930,724 |
| | Federal Home Loan Mtg Corp., UMBS Collateral, | | |
| | Pool RC1280, 3.00% due 3/1/2035 | 946,983 | 1,013,009 |
| | Pool RC1535, 2.00% due 8/1/2035 | 3,073,708 | 3,157,253 |
| | Pool RC1826, 2.00% due 2/1/2036 | 1,980,303 | 2,034,128 |
| | Pool RD5043, 2.00% due 12/1/2030 | 3,510,078 | 3,621,091 |
| | Pool SB8068, 1.50% due 10/1/2035 | 3,951,474 | 3,972,591 |
| | Pool SB8083, 1.50% due 1/1/2036 | 1,612,233 | 1,620,849 |
| | Pool ZS4730, 3.50% due 8/1/2047 | 1,805,634 | 1,914,837 |
| | Pool ZS8034, 3.00% due 6/1/2033 | 2,411,716 | 2,587,353 |
| | Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, | | |
| | Series 2015-SC02 Class 2A, 3.50% due 9/25/2045 | 462,139 | 468,335 |
| | Series 2016-SC01 Class 2A, 3.50% due 7/25/2046 | 606,185 | 611,901 |
| | Series 2016-SC02 Class 2A, 3.50% due 10/25/2046 | 409,502 | 401,821 |
| | Series 2017-SC01 Class 1A, 3.00% due 12/25/2046 | 789,319 | 783,426 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 15 |
Schedule of Investments, Continued
Thornburg Limited Term U.S. Government Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Series 2017-SC02 Class 1A, 3.00% due 5/25/2047 | $ 605,348 | $ 600,573 |
| | Series 2017-SC02 Class 2A, 3.50% due 5/25/2047 | 383,943 | 386,980 |
| | Federal National Mtg Assoc., | | |
| c | Pool 895572, 2.846% (LIBOR 12 Month + 1.82%) due 6/1/2036 | 98,408 | 103,192 |
| | Pool BF0130, 3.50% due 8/1/2056 | 494,772 | 539,032 |
| | Pool BF0144, 3.50% due 10/1/2056 | 694,213 | 756,315 |
| | Pool MA1582, 3.50% due 9/1/2043 | 2,412,443 | 2,624,447 |
| | Federal National Mtg Assoc., CMO, | | |
| c | Series 2015-SB5 Class A10, 3.15% due 9/25/2035 | 493,767 | 507,255 |
| c | Series 2018-SB47 Class A5H, 2.92% due 1/25/2038 | 1,085,783 | 1,125,640 |
| | Federal National Mtg Assoc., CMO REMIC, | | |
| | Series 1993-32 Class H, 6.00% due 3/25/2023 | 2,913 | 3,024 |
| c | Series 2009-17 Class AH, 0.575% due 3/25/2039 | 285,380 | 268,162 |
| | Series 2009-52 Class AJ, 4.00% due 7/25/2024 | 919 | 932 |
| | Series 2011-70 Class CA, 3.00% due 8/25/2026 | 1,433,281 | 1,496,342 |
| c | Series 2013-81 Class FW, 0.409% (LIBOR 1 Month + 0.30%) due 1/25/2043 | 1,609,269 | 1,612,166 |
| c | Series 2013-92 Class FA, 0.659% (LIBOR 1 Month + 0.55%) due 9/25/2043 | 1,101,828 | 1,112,985 |
| | Federal National Mtg Assoc., Grantor Trust, Series 2017-T1 Class A, 2.898% due 6/25/2027 | 996,905 | 1,067,519 |
| | Federal National Mtg Assoc., UMBS Collateral, | | |
| | Pool 252648, 6.50% due 5/1/2022 | 3,332 | 3,341 |
| | Pool 342947, 7.25% due 4/1/2024 | 514 | 514 |
| | Pool AB8442, 2.00% due 2/1/2028 | 1,932,848 | 1,987,723 |
| | Pool AB8447, 2.50% due 2/1/2028 | 821,821 | 857,456 |
| | Pool AE0704, 4.00% due 1/1/2026 | 850,690 | 907,582 |
| | Pool AJ1752, 3.50% due 9/1/2026 | 803,457 | 858,151 |
| | Pool AK6518, 3.00% due 3/1/2027 | 483,764 | 512,161 |
| | Pool AK6768, 3.00% due 3/1/2027 | 881,352 | 931,235 |
| | Pool AL6582, 3.50% due 4/1/2030 | 829,798 | 895,911 |
| | Pool AL7801, 2.50% due 11/1/2030 | 2,764,342 | 2,893,172 |
| | Pool AL9445, 3.00% due 7/1/2031 | 22,137 | 23,613 |
| | Pool AL9821, 2.50% due 1/1/2032 | 3,163,486 | 3,323,184 |
| | Pool AS4916, 3.00% due 5/1/2030 | 1,598,160 | 1,695,267 |
| | Pool AS9733, 4.00% due 6/1/2047 | 1,657,633 | 1,828,702 |
| | Pool AS9749, 4.00% due 6/1/2047 | 786,181 | 847,645 |
| | Pool AU2669, 2.50% due 10/1/2028 | 899,092 | 938,876 |
| | Pool AZ3778, 3.00% due 4/1/2030 | 2,194,839 | 2,327,431 |
| | Pool BM4153, 3.00% due 6/1/2033 | 2,327,557 | 2,481,502 |
| | Pool BM4864, 3.50% due 5/1/2033 | 1,431,175 | 1,543,424 |
| | Pool BM5490, 3.50% due 11/1/2031 | 1,662,466 | 1,788,844 |
| | Pool BP8943, 2.00% due 7/1/2035 | 1,271,048 | 1,304,831 |
| | Pool BP9589, 2.50% due 8/1/2035 | 3,225,983 | 3,378,165 |
| | Pool CA0200, 3.00% due 8/1/2032 | 1,508,557 | 1,618,556 |
| | Pool CA0942, 2.50% due 12/1/2032 | 1,400,991 | 1,470,842 |
| | Pool CA3904, 3.00% due 7/1/2034 | 3,427,135 | 3,685,333 |
| | Pool CA4102, 3.50% due 8/1/2029 | 1,261,895 | 1,359,976 |
| | Pool CA5271, 2.50% due 3/1/2035 | 1,726,142 | 1,817,517 |
| | Pool CA5282, 3.00% due 3/1/2035 | 3,745,702 | 4,027,900 |
| | Pool CA6862, 2.00% due 9/1/2035 | 1,879,020 | 1,940,285 |
| | Pool CA7128, 2.00% due 9/1/2030 | 4,612,191 | 4,769,005 |
| | Pool CA7470, 2.00% due 10/1/2035 | 3,348,151 | 3,457,317 |
| | Pool CA7535, 1.50% due 10/1/2030 | 4,024,066 | 4,098,909 |
| | Pool CA7891, 1.50% due 11/1/2035 | 1,918,532 | 1,935,783 |
| | Pool FM1126, 3.00% due 3/1/2033 | 2,261,363 | 2,402,331 |
| | Pool FM1523, 2.50% due 8/1/2029 | 1,642,637 | 1,709,767 |
| | Pool FM2831, 2.50% due 5/1/2032 | 2,439,409 | 2,555,649 |
| | Pool FM3494, 2.50% due 4/1/2048 | 1,979,082 | 2,045,717 |
| | Pool FM4948, 1.50% due 12/1/2035 | 1,077,471 | 1,084,220 |
| | Pool FM5458, 1.50% due 12/1/2035 | 1,621,134 | 1,632,879 |
| | Pool MA2353, 3.00% due 8/1/2035 | 1,175,048 | 1,238,727 |
| | Pool MA2480, 4.00% due 12/1/2035 | 1,203,509 | 1,318,050 |
| | Pool MA3465, 4.00% due 9/1/2038 | 830,519 | 893,854 |
| | Pool MA3557, 4.00% due 1/1/2029 | 1,136,506 | 1,211,249 |
| | Pool MA3681, 3.00% due 6/1/2034 | 802,324 | 846,843 |
16 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term U.S. Government Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Pool MA3826, 3.00% due 11/1/2029 | $ 1,756,649 | $ 1,865,586 |
| | Pool MA3896, 2.50% due 1/1/2035 | 201,302 | 209,287 |
| | Pool MA3953, 2.50% due 3/1/2030 | 882,592 | 923,799 |
| | Pool MA4012, 2.00% due 5/1/2035 | 2,958,291 | 3,036,919 |
| | Pool MA4016, 2.50% due 5/1/2040 | 2,034,236 | 2,099,784 |
| | Pool MA4042, 2.00% due 6/1/2035 | 3,639,523 | 3,736,258 |
| | Pool MA4045, 2.00% due 6/1/2040 | 3,130,697 | 3,178,066 |
| | Pool MA4095, 2.00% due 8/1/2035 | 2,713,813 | 2,785,944 |
| | Pool MA4123, 2.00% due 9/1/2035 | 3,521,266 | 3,614,858 |
| | Pool MA4148, 2.00% due 10/1/2030 | 908,570 | 937,302 |
| | Pool MA4154, 1.50% due 10/1/2035 | 1,504,902 | 1,512,949 |
| | Pool MA4155, 2.00% due 10/1/2035 | 1,470,307 | 1,509,387 |
| | Pool MA4173, 2.00% due 11/1/2030 | 941,261 | 971,062 |
| | Pool MA4178, 1.50% due 11/1/2035 | 1,913,335 | 1,923,565 |
| | Pool MA4260, 1.50% due 2/1/2036 | 4,442,673 | 4,466,400 |
| | Pool MA4279, 2.00% due 3/1/2036 | 1,590,416 | 1,633,570 |
| | Government National Mtg Assoc., | | |
| c | Pool 751392, 5.00% due 2/20/2061 | 1,423,323 | 1,492,495 |
| c | Pool 894205, 2.25% (H15T1Y + 1.50%) due 8/20/2039 | 312,782 | 319,332 |
| c | Pool MA0100, 2.875% (H15T1Y + 1.50%) due 5/20/2042 | 282,646 | 293,834 |
| | Pool MA0907, 2.00% due 4/20/2028 | 1,087,816 | 1,117,330 |
| | Government National Mtg Assoc., CMO, | | |
| | Series 2010-160 Class VY, 4.50% due 1/20/2022 | 89,001 | 89,211 |
| | Series 2016-32 Class LJ, 2.50% due 12/20/2040 | 1,801,792 | 1,829,658 |
| | Series 2017-186 Class VA, 3.00% due 2/20/2031 | 2,385,666 | 2,512,871 |
| | Mortgage-Linked Amortizing Notes CMO, Series 2012-1 Class A10, 2.06% due 1/15/2022 | 290,833 | 293,598 |
| | Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1C, 2.00% due 9/25/2030 | 3,275,156 | 3,350,787 |
| | Total Mortgage Backed (Cost $241,405,436) | | 244,854,843 |
| | Corporate Bonds — 1.1% | | |
| | Telecommunication Services — 1.1% | | |
| | Wireless Telecommunication Services — 1.1% | | |
| | Sprint Communications, Inc., 9.25% due 4/15/2022 | 3,500,000 | 3,770,270 |
| | | | 3,770,270 |
| | Total Corporate Bonds (Cost $3,717,728) | | 3,770,270 |
| | Short-Term Investments — 7.9% | | |
| d | State Street Institutional Treasury Money Market Fund Premier Class 0.01% | 24,031,179 | 24,031,179 |
| | United States Treasury Bill 0.03% due 4/1/2021 | 4,268,000 | 4,268,000 |
| | Total Short-Term Investments (Cost $28,299,179) | | 28,299,179 |
| | Total Investments — 99.8% (Cost $355,128,630) | | $356,756,646 |
| | Other Assets Less Liabilities — 0.2% | | 850,272 |
| | Net Assets — 100.0% | | $357,606,918 |
| Footnote Legend |
| a | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| b | Bond in default. |
| c | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| d | Rate represents the money market fund annualized seven-day yield at March 31, 2021. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| CMO | Collateralized Mortgage Obligation |
| H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| REMIC | Real Estate Mortgage Investment Conduit |
| UMBS | Uniform Mortgage Backed Securities |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 17 |
Schedule of Investments
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | U.S. Treasury Securities — 11.5% | | |
| | United States Treasury Notes, | | |
| | 0.25% due 7/31/2025 | $ 32,485,000 | $ 31,774,391 |
| | 0.625% due 5/15/2030 - 8/15/2030 | 276,401,000 | 250,914,992 |
| | 0.875% due 11/15/2030 | 104,231,000 | 96,413,675 |
| | 1.125% due 2/15/2031 | 144,000,000 | 136,057,500 |
| | 1.50% due 10/31/2024 - 2/15/2030 | 93,435,000 | 96,404,910 |
| | 1.625% due 2/15/2026 - 8/15/2029 | 174,250,000 | 176,505,023 |
| | 1.75% due 11/15/2029 | 62,136,000 | 62,893,283 |
| | 2.25% due 11/15/2025 - 8/15/2027 | 31,662,000 | 33,642,934 |
| | 2.625% due 2/15/2029 | 17,058,000 | 18,454,624 |
| | United States Treasury Notes Inflationary Index, | | |
| | 0.125% due 1/15/2030 | 39,089,150 | 42,333,351 |
| | 0.25% due 1/15/2025 - 7/15/2029 | 49,534,312 | 54,469,314 |
| | 0.375% due 7/15/2027 | 67,231,296 | 74,620,514 |
| | 0.875% due 1/15/2029 | 55,375,973 | 63,542,784 |
| | Total U.S. Treasury Securities (Cost $1,138,111,569) | | 1,138,027,295 |
| | U.S. Government Agencies — 0.6% | | |
| | ALEX Alpha, LLC (Guaranty: Export-Import Bank of the United States), 1.617% due 8/15/2024 | 1,521,738 | 1,549,706 |
| | Export Leasing (2009), LLC (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021 | 366,195 | 366,605 |
| | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), | | |
| a,b | 0.591% (LIBOR 3 Month + 0.35%) due 4/15/2025 | 4,403,000 | 4,263,205 |
| b | 1.70% due 12/20/2022 | 2,080,000 | 2,070,120 |
| | Private Export Funding Corp. (Guaranty: Export-Import Bank of the United States), Series KK, 3.55% due 1/15/2024 | 10,000,000 | 10,770,800 |
| | Reliance Industries Ltd. (Guaranty: Export-Import Bank of the United States), | | |
| b | 2.06% due 1/15/2026 | 750,000 | 752,018 |
| b | 2.512% due 1/15/2026 | 3,250,000 | 3,319,550 |
| | Santa Rosa Leasing, LLC (Guaranty: Export-Import Bank of the United States), 1.693% due 8/15/2024 | 1,820,139 | 1,848,060 |
| | Small Business Administration Participation Certificates, | | |
| | Series 2001-20J Class 1, 5.76% due 10/1/2021 | 16,076 | 16,188 |
| | Series 2008-20D Class 1, 5.37% due 4/1/2028 | 635,022 | 690,924 |
| | Series 2009-20E Class 1, 4.43% due 5/1/2029 | 375,207 | 401,430 |
| | Series 2009-20K Class 1, 4.09% due 11/1/2029 | 2,670,806 | 2,832,620 |
| | Series 2011-20E Class 1, 3.79% due 5/1/2031 | 3,344,883 | 3,550,084 |
| | Series 2011-20F Class 1, 3.67% due 6/1/2031 | 576,647 | 610,994 |
| | Series 2011-20G Class 1, 3.74% due 7/1/2031 | 3,582,378 | 3,808,700 |
| | Series 2011-20I Class 1, 2.85% due 9/1/2031 | 5,689,749 | 5,897,198 |
| | Series 2011-20K Class 1, 2.87% due 11/1/2031 | 5,081,966 | 5,268,587 |
| | Series 2012-20D Class 1, 2.67% due 4/1/2032 | 4,506,747 | 4,653,788 |
| | Series 2012-20J Class 1, 2.18% due 10/1/2032 | 3,928,637 | 4,002,601 |
| | Series 2012-20K Class 1, 2.09% due 11/1/2032 | 2,393,056 | 2,433,779 |
| a,c | U.S. Department of Transportation, 6.001% due 12/7/2031 | 3,000,000 | 3,111,150 |
| | Total U.S. Government Agencies (Cost $61,201,914) | | 62,218,107 |
| | Other Government — 0.2% | | |
| b,c | Bermuda Government International Bond, 2.375% due 8/20/2030 | 6,800,000 | 6,651,080 |
| | Carpintero Finance Ltd. (Guaranty: Export Credits Guarantee Department), | | |
| b,c | 2.004% due 9/18/2024 | 3,652,981 | 3,731,995 |
| b,c | 2.581% due 11/11/2024 | 3,786,699 | 3,926,327 |
| b,c | Khadrawy Ltd. (Guaranty: Export Credits Guarantee Department), 2.471% due 3/31/2025 | 2,604,529 | 2,692,067 |
| | Total Other Government (Cost $16,836,816) | | 17,001,469 |
| | Mortgage Backed — 26.6% | | |
| | Angel Oak Mortgage Trust, LLC, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2018-2 Class A1, 3.674% due 7/27/2048 | 2,346,143 | 2,359,644 |
| a,c | Series 2020-2 Class A3, 5.00% due 1/26/2065 | 15,718,365 | 16,172,601 |
| | Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2018-1 Class A1, 3.763% due 4/25/2048 | 6,620,310 | 6,632,388 |
| a,c | Series 2018-1 Class A3, 4.206% due 4/25/2048 | 4,397,401 | 4,401,683 |
| a,c | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 11,793,460 | 12,017,762 |
18 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| a,c | Series 2019-1 Class A3, 4.208% due 1/25/2049 | $ 6,164,856 | $ 6,266,559 |
| a,c | Series 2019-2 Class A1, 3.347% due 4/25/2049 | 5,859,615 | 5,982,730 |
| a,c | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 13,107,112 | 13,445,882 |
| c | Series 2020-1 Class A2, 2.927% due 3/25/2055 | 6,518,000 | 6,642,980 |
| c | Series 2020-1 Class A3, 3.328% due 3/25/2055 | 4,500,000 | 4,603,675 |
| c | Series 2020-1 Class M1, 4.277% due 3/25/2055 | 3,189,000 | 3,337,300 |
| a,c | Bayview Commercial Asset Trust CMO, Series 2004-3 Class A2, 0.739% (LIBOR 1 Month + 0.63%) due 1/25/2035 | 1,200,994 | 1,190,798 |
| c | Bravo Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 4,070,572 | 4,184,191 |
| a,c | Bunker Hill Loan Depositary Trust, Whole Loan Securities Trust CMO, Series 2020-1, 3.253% due 2/25/2055 | 3,285,000 | 3,351,907 |
| c | CFMT Issuer Trust, Whole Loan Securities Trust CMO, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | 13,548,396 | 13,539,966 |
| | Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, | | |
| a,c | Series 2016-SH1 Class M3, 3.75% due 4/25/2045 | 3,115,948 | 3,118,165 |
| a,c | Series 2016-SH2 Class M3, 3.75% due 12/25/2045 | 3,177,727 | 3,231,213 |
| a,c | CIM Trust, Whole Loan Securities Trust CMO, Series 18-INV1 Class A4, 4.00% due 8/25/2048 | 2,781,672 | 2,835,505 |
| | Citigroup Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, | | |
| a | Series 2004-HYB2 Class B1, 2.615% due 3/25/2034 | 77,021 | 77,021 |
| a,c | Series 2014-A Class A, 4.00% due 1/25/2035 | 956,661 | 1,007,200 |
| a,c | Series 2014-J1 Class B4, 3.641% due 6/25/2044 | 1,489,969 | 1,538,041 |
| | CSMC Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2013-HYB1 Class B3, 2.929% due 4/25/2043 | 3,231,955 | 3,329,558 |
| a,c | Series 2021-AFC1 Class-A1, 0.83% due 3/25/2056 | 15,942,852 | 15,995,159 |
| a,c | Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | 12,288,663 | 12,163,697 |
| a,c | Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-2 Class A1, 2.739% due 11/25/2059 | 11,836,924 | 12,061,052 |
| | Federal Home Loan Mtg Corp., Pool J17504, 3.00% due 12/1/2026 | 602,463 | 637,199 |
| | Federal Home Loan Mtg Corp., CMO REMIC, | | |
| | Series 3195 Class PD, 6.50% due 7/15/2036 | 402,236 | 469,113 |
| | Series 3291 Class BY, 4.50% due 3/15/2022 | 7,419 | 7,481 |
| | Series 3504 Class PC, 4.00% due 1/15/2039 | 3,005 | 3,023 |
| | Series 3838 Class GV, 4.00% due 3/15/2024 | 3,381,806 | 3,510,755 |
| | Series 3919 Class VB, 4.00% due 8/15/2024 | 1,421,405 | 1,445,685 |
| | Series 3922 Class PQ, 2.00% due 4/15/2041 | 415,927 | 423,194 |
| | Series 4050 Class MV, 3.50% due 8/15/2023 | 995,303 | 1,026,372 |
| | Series 4079 Class WV, 3.50% due 3/15/2027 | 0 | 0 |
| | Series 4097 Class TE, 1.75% due 5/15/2039 | 768,997 | 771,031 |
| | Series 4120 Class TC, 1.50% due 10/15/2027 | 1,162,836 | 1,189,741 |
| | Federal Home Loan Mtg Corp., Multi-Family Structured Pass Through, Series K717 Class A2, 2.991% due 9/25/2021 | 4,444,886 | 4,474,169 |
| | Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates, | | |
| a | Series K719 Class A2, 2.731% due 6/25/2022 | 2,488,319 | 2,488,319 |
| | Series K722 Class A2, 2.406% due 3/25/2023 | 4,800,000 | 4,930,366 |
| | Series K725 Class A1, 2.666% due 5/25/2023 | 5,325,860 | 5,417,090 |
| | Federal Home Loan Mtg Corp., REMIC, | | |
| | Pool D98887, 3.50% due 1/1/2032 | 1,391,052 | 1,486,607 |
| | Pool G16710, 3.00% due 11/1/2030 | 518,543 | 550,227 |
| | Pool T65457, 3.00% due 1/1/2048 | 9,724,769 | 9,987,352 |
| | Federal Home Loan Mtg Corp., REMIC, UMBS Collateral, Pool ZS7942, 3.00% due 2/1/2033 | 43,759,799 | 46,960,503 |
| | Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | | |
| a | Series 2017-1 Class HA, 3.00% due 1/25/2056 | 7,245,727 | 7,667,731 |
| a | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 12,557,690 | 13,402,923 |
| a | Series 2017-4 Class HT, 3.25% due 6/25/2057 | 10,915,266 | 11,557,580 |
| a | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 7,648,744 | 8,098,583 |
| a | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 17,695,984 | 18,697,711 |
| | Series 2018-3 Class HA, 3.00% due 8/25/2057 | 20,146,824 | 21,312,713 |
| | Series 2018-3 Class MA, 3.50% due 8/25/2057 | 15,409,046 | 16,544,688 |
| | Series 2018-4 Class HA, 3.00% due 3/25/2058 | 16,423,811 | 17,380,869 |
| | Series 2019-1 Class MA, 3.50% due 7/25/2058 | 38,267,177 | 41,158,331 |
| | Series 2019-2 Class MA, 3.50% due 8/25/2058 | 37,564,510 | 40,458,323 |
| | Series 2019-3 Class MA, 3.50% due 10/25/2058 | 20,120,375 | 21,651,095 |
| | Series 2019-4 Class MA, 3.00% due 2/25/2059 | 28,190,945 | 29,858,780 |
| | Series 2020-1 Class MA, 2.50% due 8/25/2059 | 4,992,371 | 5,191,906 |
| | Series 2020-2 Class A1D, 1.75% due 9/25/2030 | 51,317,018 | 52,016,623 |
| | Series 2020-2 Class MA, 2.00% due 11/25/2059 | 18,403,609 | 18,851,695 |
| | Series 2020-3 Class MA, 2.00% due 5/25/2060 | 20,873,376 | 21,352,297 |
| | Series 2020-3 Class MT, 2.00% due 5/25/2060 | 5,386,772 | 5,388,889 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 19 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Federal Home Loan Mtg Corp., UMBS Collateral, | | |
| | Pool QN2877, 2.00% due 7/1/2035 | $ 32,420,636 | $ 33,284,569 |
| | Pool RA1833, 4.00% due 10/1/2049 | 1,276,702 | 1,375,142 |
| | Pool RC1280, 3.00% due 3/1/2035 | 6,363,724 | 6,807,419 |
| | Pool RC1535, 2.00% due 8/1/2035 | 67,431,769 | 69,264,605 |
| | Pool RC1826, 2.00% due 2/1/2036 | 80,251,758 | 82,433,049 |
| | Pool RD5039, 2.00% due 10/1/2030 | 66,467,042 | 68,569,186 |
| | Pool RD5045, 2.00% due 11/1/2030 | 23,392,339 | 24,132,165 |
| | Pool SB0308, 2.50% due 1/1/2035 | 58,051,746 | 61,129,156 |
| | Pool SB0448, 2.00% due 11/1/2035 | 72,120,679 | 74,478,232 |
| | Pool SB8068, 1.50% due 10/1/2035 | 68,509,259 | 68,875,374 |
| | Pool SB8083, 1.50% due 1/1/2036 | 89,259,107 | 89,736,110 |
| | Pool SD0257, 3.00% due 1/1/2050 | 2,589,956 | 2,738,131 |
| | Pool ZS8034, 3.00% due 6/1/2033 | 36,778,666 | 39,457,130 |
| | Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, | | |
| | Series 2016-SC01 Class 2A, 3.50% due 7/25/2046 | 2,323,708 | 2,345,622 |
| | Series 2017-SC01 Class 1A, 3.00% due 12/25/2046 | 16,597,215 | 16,473,319 |
| | Series 2017-SC02 Class 2A, 3.50% due 5/25/2047 | 1,463,782 | 1,475,360 |
| | Federal National Mtg Assoc., CMO REMIC, | | |
| | Series 2007-42 Class PA, 5.50% due 4/25/2037 | 53,440 | 56,320 |
| a | Series 2009-17 Class AH, 0.575% due 3/25/2039 | 475,634 | 446,936 |
| | Series 2009-52 Class AJ, 4.00% due 7/25/2024 | 1,532 | 1,553 |
| | Series 2012-129 Class LA, 3.50% due 12/25/2042 | 2,917,862 | 3,077,111 |
| a | Series 2013-81 Class FW, 0.409% (LIBOR 1 Month + 0.30%) due 1/25/2043 | 5,847,229 | 5,857,753 |
| | Federal National Mtg Assoc., Grantor Trust, Series 2017-T1 Class A, 2.898% due 6/25/2027 | 17,944,282 | 19,215,344 |
| | Federal National Mtg Assoc., UMBS Collateral, | | |
| | Pool 897936, 5.50% due 8/1/2021 | 6,590 | 6,606 |
| | Pool AE0704, 4.00% due 1/1/2026 | 2,212,626 | 2,360,600 |
| | Pool AK6518, 3.00% due 3/1/2027 | 674,789 | 714,399 |
| | Pool AS3111, 3.00% due 8/1/2029 | 4,906,446 | 5,217,525 |
| | Pool AS4916, 3.00% due 5/1/2030 | 497,545 | 527,776 |
| | Pool AS7323, 2.50% due 6/1/2031 | 3,419,825 | 3,592,463 |
| | Pool AS8242, 2.50% due 11/1/2031 | 5,778,751 | 6,047,931 |
| | Pool AS9749, 4.00% due 6/1/2047 | 6,674,415 | 7,196,221 |
| | Pool AV5059, 3.00% due 2/1/2029 | 3,097,387 | 3,293,768 |
| | Pool BM4324, 3.50% due 7/1/2033 | 4,481,940 | 4,878,189 |
| | Pool BM5490, 3.50% due 11/1/2031 | 5,486,139 | 5,903,186 |
| | Pool BP8943, 2.00% due 7/1/2035 | 41,916,261 | 43,030,356 |
| | Pool BP9550, 2.50% due 7/1/2035 | 6,833,225 | 7,155,574 |
| | Pool BP9589, 2.50% due 8/1/2035 | 1,302,665 | 1,364,116 |
| | Pool CA0200, 3.00% due 8/1/2032 | 11,227,923 | 12,046,621 |
| | Pool CA3904, 3.00% due 7/1/2034 | 7,558,449 | 8,127,897 |
| | Pool CA4102, 3.50% due 8/1/2029 | 7,223,809 | 7,785,278 |
| | Pool CA5282, 3.00% due 3/1/2035 | 4,980,319 | 5,355,532 |
| | Pool CA6862, 2.00% due 9/1/2035 | 14,701,854 | 15,181,207 |
| | Pool CA7128, 2.00% due 9/1/2030 | 7,486,281 | 7,740,814 |
| | Pool CA7470, 2.00% due 10/1/2035 | 66,723,865 | 68,899,392 |
| | Pool CA7532, 1.50% due 10/1/2030 | 4,756,623 | 4,842,559 |
| | Pool CA7536, 2.00% due 11/1/2030 | 12,943,545 | 13,377,591 |
| | Pool CA7540, 2.00% due 10/1/2030 | 12,057,395 | 12,467,345 |
| | Pool CA7891, 1.50% due 11/1/2035 | 17,951,845 | 18,113,269 |
| | Pool FM1542, 3.50% due 9/1/2034 | 2,953,596 | 3,214,640 |
| | Pool FM3758, 2.50% due 8/1/2031 | 32,931,838 | 34,392,682 |
| | Pool FM4948, 1.50% due 12/1/2035 | 25,570,952 | 25,731,105 |
| | Pool FM5458, 1.50% due 12/1/2035 | 33,898,130 | 34,143,726 |
| | Pool FP0000, 3.00% due 11/1/2027 | 7,071,568 | 7,483,453 |
| | Pool MA2815, 3.00% due 11/1/2026 | 1,445,273 | 1,526,904 |
| | Pool MA3465, 4.00% due 9/1/2038 | 7,448,096 | 8,016,079 |
| | Pool MA3953, 2.50% due 3/1/2030 | 5,931,015 | 6,207,927 |
| | Pool MA4016, 2.50% due 5/1/2040 | 24,376,932 | 25,162,417 |
| | Pool MA4095, 2.00% due 8/1/2035 | 54,282,528 | 55,725,306 |
| | Pool MA4123, 2.00% due 9/1/2035 | 62,810,579 | 64,480,025 |
| | Pool MA4148, 2.00% due 10/1/2030 | 29,982,825 | 30,930,959 |
20 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Pool MA4154, 1.50% due 10/1/2035 | $ 58,173,883 | $ 58,484,944 |
| | Pool MA4155, 2.00% due 10/1/2035 | 56,836,572 | 58,347,234 |
| | Pool MA4173, 2.00% due 11/1/2030 | 80,541,703 | 83,091,726 |
| | Pool MA4178, 1.50% due 11/1/2035 | 53,573,371 | 53,859,833 |
| | Pool MA4260, 1.50% due 2/1/2036 | 115,971,132 | 116,590,512 |
| | Pool MA4279, 2.00% due 3/1/2036 | 29,820,302 | 30,629,447 |
| a,c | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 5,005,905 | 5,110,783 |
| a,c | FWD Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class A1, 2.81% due 6/25/2049 | 4,738,309 | 4,891,657 |
| a,c | Galton Funding Mortgage Trust, Whole Loan Securities Trust CMO, Series 2018-1 Class A43, 3.50% due 11/25/2057 | 650,297 | 654,196 |
| a,c | GCAT LLC, Whole Loan Securities Trust CMO, Series 2019-NQM1 Class A1, 2.985% due 2/25/2059 | 10,559,103 | 10,598,680 |
| | GCAT Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2019-NQM2 Class A1, 2.855% due 9/25/2059 | 11,695,924 | 11,785,890 |
| a,c | Series 2019-NQM3 Class A1, 2.686% due 11/25/2059 | 13,778,794 | 14,052,695 |
| | Government National Mtg Assoc., | | |
| a | Pool 731491, 5.31% due 12/20/2060 | 57,594 | 64,600 |
| a | Pool MA0100, 2.875% (H15T1Y + 1.50%) due 5/20/2042 | 285,501 | 296,802 |
| | Government National Mtg Assoc., CMO, Series 2016-32 Class LJ, 2.50% due 12/20/2040 | 7,095,786 | 7,205,527 |
| a,c | GS Mortgage-Backed Securities Corp. Trust, Whole Loan Securities Trust CMO, Series 2020-PJ2 Class B3, 3.596% due 7/25/2050 | 5,245,956 | 5,342,372 |
| | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2018-2 Class A1, 3.985% due 11/25/2058 | 2,983,788 | 3,034,571 |
| a,c | Series 2019-1 Class A1, 3.454% due 1/25/2059 | 8,657,202 | 8,657,202 |
| a,c | Series 2019-1 Class M1, 3.951% due 1/25/2059 | 14,500,000 | 14,500,000 |
| a,c | Series 2019-3 3.031% due 11/25/2059 | 7,594,851 | 7,723,007 |
| | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1 Class A2, 2.668% due 3/15/2049 | 2,435,993 | 2,438,377 |
| | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2014-IVR3 Class B4, 2.553% due 9/25/2044 | 2,037,577 | 2,040,913 |
| a,c | Series 2017-2 Class A6, 3.00% due 5/25/2047 | 2,052,852 | 2,079,000 |
| a,c | Series 2017-6 Class A5, 3.50% due 12/25/2048 | 972,704 | 974,528 |
| a,c | Series 2018-3 Class B2, 3.753% due 9/25/2048 | 2,597,721 | 2,683,400 |
| a,c | Series 2018-6 Class B2, 3.928% due 12/25/2048 | 1,074,034 | 1,101,457 |
| a,c | Series 2019-5 Class B3, 4.54% due 11/25/2049 | 8,304,121 | 8,851,332 |
| a,c | Series 2019-HYB1 Class B3, 3.865% due 10/25/2049 | 5,754,455 | 5,892,740 |
| a,c | Series 2019-INV2 Class B3A, 3.785% due 2/25/2050 | 9,640,759 | 9,630,274 |
| a,c | Mello Warehouse Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 0.909% (LIBOR 1 Month + 0.80%) due 11/25/2053 | 20,000,000 | 20,017,788 |
| a | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.187% due 8/25/2034 | 207,221 | 208,854 |
| a,c | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 3,119,210 | 3,240,502 |
| | MFA Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2020-NQM3 1.014% due 1/26/2065 | 11,761,688 | 11,755,086 |
| a,c | Series 2021-INV1 0.852% due 1/25/2056 | 12,704,966 | 12,671,488 |
| | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22 Class A4, 3.306% due 4/15/2048 | 1,100,000 | 1,179,218 |
| | Mortgage-Linked Amortizing Notes CMO, Series 2012-1 Class A10, 2.06% due 1/15/2022 | 246,089 | 248,429 |
| | New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2017-2A Class A3, 4.00% due 3/25/2057 | 5,400,208 | 5,762,706 |
| a,c | Series 2017-3A Class A1, 4.00% due 4/25/2057 | 6,564,481 | 6,964,485 |
| a,c | Series 2017-4A Class A1, 4.00% due 5/25/2057 | 7,760,216 | 8,256,260 |
| a,c | Series 2017-5A Class A1, 1.609% (LIBOR 1 Month + 1.50%) due 6/25/2057 | 597,007 | 606,788 |
| a,c | Series 2017-6A Class A1, 4.00% due 8/27/2057 | 3,153,504 | 3,375,284 |
| a,c | Series 2018-1A Class A1A, 4.00% due 12/25/2057 | 3,746,796 | 3,999,683 |
| a,c | Series 2018-2A Class A1, 4.50% due 2/25/2058 | 7,329,413 | 7,817,942 |
| a,c | Series 2018-RPL1 Class A1, 3.50% due 12/25/2057 | 4,645,705 | 4,858,187 |
| | RAMP Trust, Whole Loan Securities Trust CMO, Series 2003-SL1 Class A31, 7.125% due 4/25/2031 | 676,581 | 694,842 |
| a,c | RCKT Mortgage Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B3, 3.517% due 2/25/2050 | 3,254,958 | 3,237,014 |
| | Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1C, 2.00% due 9/25/2030 | 38,168,759 | 39,050,164 |
| | Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a | Series 2013-6 Class B4, 3.499% due 5/25/2043 | 894,015 | 916,142 |
| a | Series 2013-7 Class B4, 3.528% due 6/25/2043 | 1,069,220 | 1,088,595 |
| a,c | Series 2017-5 Class A4, 3.50% due 8/25/2047 | 825,583 | 826,945 |
| | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2019-3 Class A1, 2.703% due 9/25/2059 | 7,517,780 | 7,623,916 |
| a,c | Series 2019-3 Class A3, 3.082% due 9/25/2059 | 3,182,209 | 3,229,499 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 21 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Series 2020-2 | | |
| a,c | 1.381% due 5/25/2065 | $ 32,536,201 | $ 32,043,934 |
| a,c | 1.587% due 5/25/2065 | 6,320,055 | 6,188,813 |
| a,c | Series 2020-2 Class A3, 1.895% due 5/25/2065 | 2,157,735 | 2,112,168 |
| a,c | Shellpoint Asset Funding Trust, Whole Loan Securities Trust CMO, Series 2013-1 Class A1, 3.75% due 7/25/2043 | 2,004,074 | 2,032,832 |
| a,c | Spruce Hill Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, Series 2020-SH1 Class A1, 2.521% due 1/28/2050 | 22,411,202 | 22,811,928 |
| a,c | Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, Series 2019-IMC1 Class A1, 3.468% due 2/25/2049 | 5,301,575 | 5,301,575 |
| a | Structured Asset Securities Corp., Mortgage Pass-Through Ctfs, Whole Loan Securities Trust CMO, Series 2003-9A Class 2A2, 2.288% due 3/25/2033 | 591,193 | 591,193 |
| | Verus Securitization Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2019-2 Class A1, 3.211% due 5/25/2059 | 419,813 | 420,518 |
| a,c | Series 2019-3 Class A1, 2.784% due 7/25/2059 | 12,528,304 | 12,790,475 |
| a,c | Series 2020-1 Class M1, 3.021% due 1/25/2060 | 5,000,000 | 5,102,687 |
| a,c | Series 2020-2 Class M1, 5.36% due 5/25/2060 | 3,275,000 | 3,475,773 |
| a,c | Series 2020-INV1 Class M1, 5.50% due 3/25/2060 | 900,000 | 953,498 |
| a,c | Series 2021-R1 0.82% due 10/25/2063 | 25,870,905 | 25,648,838 |
| a,c | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1, 1.475% due 4/25/2065 | 15,976,449 | 15,864,136 |
| a,c | WinWater Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2015-3 Class B4, 3.892% due 3/20/2045 | 1,691,183 | 1,751,849 |
| | Total Mortgage Backed (Cost $2,636,699,286) | | 2,644,660,398 |
| | Asset Backed Securities — 17.7% | | |
| | Auto Receivables — 3.1% | | |
| | ACC Trust, | | |
| c | Series 2019-2 Class A, 2.82% due 2/21/2023 | 6,138,763 | 6,177,381 |
| c | Series 2020-A Class A, 6.00% due 3/20/2023 | 12,995,522 | 13,389,057 |
| | American Credit Acceptance Receivables Trust, | | |
| c | Series 2019-2 Class B, 3.05% due 5/12/2023 | 30,716 | 30,732 |
| c | Series 2020-2 Class C, 3.88% due 4/13/2026 | 11,500,000 | 12,104,642 |
| c | Series 2020-2 Class D, 5.65% due 5/13/2026 | 4,250,000 | 4,693,368 |
| | Arivo Acceptance Auto Loan Receivables Trust, | | |
| c | Series 2019-1 Class A, 2.99% due 7/15/2024 | 2,611,139 | 2,648,686 |
| c | Series 2019-1 Class B, 3.37% due 6/15/2025 | 3,547,000 | 3,674,399 |
| c | Series 2021-1A Class A, 1.19% due 1/15/2027 | 11,590,023 | 11,665,647 |
| c | Avid Automobile Receivables Trust, Series 2019-1 Class A, 2.62% due 2/15/2024 | 4,567,866 | 4,598,014 |
| | CarNow Auto Receivables Trust, | | |
| c | Series 2019-1A Class A, 2.72% due 11/15/2022 | 1,987,992 | 1,995,737 |
| c | Series 2020-1A Class A, 1.76% due 2/15/2023 | 8,118,829 | 8,153,841 |
| | Carvana Auto Receivables Trust, | | |
| c | Series 2019-1A Class D, 3.88% due 10/15/2024 | 11,723,000 | 12,200,994 |
| c | Series 2020-N1A Class A, 1.53% due 1/16/2024 | 8,116,387 | 8,144,447 |
| c | CIG Auto Receivables Trust, Series 2020-1A Class A, 0.68% due 10/12/2023 | 8,867,765 | 8,870,770 |
| | CPS Auto Receivables Trust, | | |
| c | Series 2017-D Class D, 3.73% due 9/15/2023 | 2,845,374 | 2,882,557 |
| c | Series 2019-A Class B, 3.58% due 12/16/2024 | 2,395,351 | 2,400,171 |
| c | Series 2020-A Class A, 2.09% due 5/15/2023 | 4,989,118 | 5,005,439 |
| c | Series 2021-A Class A, 0.35% due 1/16/2024 | 10,925,357 | 10,921,441 |
| | Drive Auto Receivables Trust, Series 2019-1 Class D 4.09% due 6/15/2026 | 12,500,000 | 13,034,261 |
| c | DT Auto Owner Trust, Series 2019-4A Class D, 2.85% due 7/15/2025 | 7,500,000 | 7,749,437 |
| c | Exeter Automobile Receivables Trust, Series 2019-3A Class D, 3.11% due 8/15/2025 | 2,000,000 | 2,081,185 |
| | FHF Trust, | | |
| c | Series 2020-1A Class A, 2.59% due 12/15/2023 | 15,896,186 | 16,016,550 |
| c | Series 2021-1A Class A, 1.27% due 3/15/2027 | 24,825,000 | 24,804,327 |
| c | Flagship Credit Auto Trust, Series 2019-2 Class D, 3.53% due 5/15/2025 | 3,500,000 | 3,661,397 |
| c | Foursight Capital Automobile Receivables Trust, Series 2019-1 Class A2, 2.58% due 3/15/2023 | 379,026 | 379,249 |
| | GLS Auto Receivables Issuer Trust, | | |
| c | Series 2019-1A Class A, 3.37% due 1/17/2023 | 79,145 | 79,208 |
| c | Series 2019-4A Class A, 2.47% due 11/15/2023 | 3,255,248 | 3,278,943 |
| c | Series 2020-1A Class A, 2.17% due 2/15/2024 | 11,081,397 | 11,173,831 |
| c | Series 2020-3A Class A, 0.69% due 10/16/2023 | 7,204,750 | 7,214,478 |
| c | Series 2020-3A Class B, 1.38% due 8/15/2024 | 5,200,000 | 5,244,469 |
| c | NextGear Floorplan Master Owner Trust, Series 2018-2A Class A2, 3.69% due 10/15/2023 | 15,049,000 | 15,317,318 |
| b,c | Oscar US Funding Trust IX, LLC, Series 2018-2A Class A4, 3.63% due 9/10/2025 | 1,850,000 | 1,916,192 |
22 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| b,c | Oscar US Funding XI, LLC, Series 2019-2A Class A3, 2.59% due 9/11/2023 | $ 14,400,000 | $ 14,646,371 |
| b,c | Oscar US Funding XII, LLC, Series 2021-1A Class A3, 0.70% due 4/10/2025 | 18,000,000 | 17,951,830 |
| c | Skopos Auto Receivables Trust, Series 2019-1A Class A, 2.90% due 12/15/2022 | 1,937,372 | 1,939,899 |
| | Tesla Auto Lease Trust, | | |
| c | Series 2018-B Class A, 3.71% due 8/20/2021 | 1,123,499 | 1,125,890 |
| c | Series 2020-A Class A2, 0.55% due 5/22/2023 | 5,679,938 | 5,686,980 |
| | United Auto Credit Securitization Trust, | | |
| c | Series 2019-1 Class D, 3.47% due 8/12/2024 | 6,750,000 | 6,835,307 |
| c | Series 2020-1 Class A, 0.85% due 5/10/2022 | 2,742,103 | 2,743,282 |
| c | USASF Receivables, LLC, Series 2020-1A Class A, 2.47% due 8/15/2023 | 26,650,321 | 26,934,050 |
| | | | 309,371,777 |
| | Credit Card — 1.3% | | |
| c,d | Brex Commercial Charge Card Master Trust, Series 2021-1 Class A, 2.09% due 7/17/2024 | 3,400,000 | 3,399,749 |
| c,e | Continental Credit Card, LLC, Series 2019-1A Class A, 3.83% due 8/15/2026 | 23,000,000 | 23,563,716 |
| c,e | Continental Finance Credit Card ABS Master Trust, Series 2020-1A Class A, 2.24% due 12/15/2028 | 17,500,000 | 17,633,308 |
| c | Fair Square Issuance Trust, Series 2020-AA Class A, 2.90% due 9/20/2024 | 32,330,000 | 32,692,817 |
| c | Genesis Private Label Amortizing Trust, Series 2020-1 Class A, 2.08% due 7/20/2030 | 5,667,463 | 5,674,651 |
| c | Genesis Sales Finance Master Trust, Series 2020-AA, 1.65% due 9/22/2025 | 15,000,000 | 15,088,034 |
| c | Mercury Financial Credit Card Master Trust, Series 2021-1A Class A 1.54% due 3/20/2026 | 30,900,000 | 30,904,672 |
| | | | 128,956,947 |
| | Other Asset Backed — 10.6% | | |
| c | Affirm Asset Securitization Trust, Series 2021-A 0.88% due 8/15/2025 | 14,500,000 | 14,505,808 |
| c | Amur Equipment Finance Receivables VI, LLC, Series 2018-2A Class A2, 3.89% due 7/20/2022 | 2,064,328 | 2,099,911 |
| c | Amur Equipment Finance Receivables VII, LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | 5,657,316 | 5,750,168 |
| c | Amur Equipment Finance Receivables VIII, LLC, Series 2020-1A Class A2, 1.68% due 8/20/2025 | 16,516,812 | 16,665,975 |
| | Appalachian Consumer Rate Relief Funding, LLC, Series 2013-1 Class A1, 2.008% due 2/1/2024 | 3,417,237 | 3,475,618 |
| | Aqua Finance Trust, | | |
| c | Series 2017-A Class A, 3.72% due 11/15/2035 | 1,795,871 | 1,847,661 |
| c | Series 2019-A Class A, 3.14% due 7/16/2040 | 12,827,563 | 13,163,238 |
| c | Series 2020-AA Class A, 1.90% due 7/17/2046 | 38,351,760 | 38,717,049 |
| c | Series 2020-AA Class C, 3.97% due 7/17/2046 | 6,300,000 | 6,490,249 |
| c | Avant Loans Funding Trust, Series 2019-B Class B, 3.15% due 10/15/2026 | 4,850,000 | 4,892,203 |
| c | Bankers Healthcare Group Securitization Trust, Series 2020-A Class A, 2.56% due 9/17/2031 | 5,434,495 | 5,446,554 |
| a,c | Bayview Opportunity Master Fund IV Trust, Series 2017-RT1 Class A1, 3.00% due 3/28/2057 | 1,775,535 | 1,803,102 |
| c | BCC Funding Corp. XVI, LLC, Series 2019-1A Class A2, 2.46% due 8/20/2024 | 16,124,974 | 16,308,519 |
| c | BCC Funding XVII, LLC, Series 2020-1 Class A2, 0.91% due 8/20/2025 | 9,000,000 | 9,014,345 |
| c | BRE Grand Islander Timeshare Issuer, LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | 1,998,578 | 2,047,691 |
| c | CFG Investments Ltd., Series 2019-1 Class A, 5.56% due 8/15/2029 | 6,000,000 | 6,021,907 |
| | Conn’s Receivables Funding, LLC, | | |
| c | Series 2019-A Class A, 3.40% due 10/16/2023 | 573,074 | 574,875 |
| c | Series 2020-A Class A, 1.71% due 6/16/2025 | 6,742,056 | 6,744,792 |
| c | Consumer Loan Underlying Bond Credit Trust, Series 2018-P3 Class A, 3.82% due 1/15/2026 | 71,891 | 71,954 |
| c | Crossroads Asset Trust, Series 2021-A 0.82% due 3/20/2024 | 7,000,000 | 7,008,476 |
| | Dell Equipment Finance Trust, | | |
| c | Series 2020-1 Class A2, 2.26% due 6/22/2022 | 8,708,471 | 8,782,985 |
| c | Series 2020-1 Class D, 5.92% due 3/23/2026 | 6,000,000 | 6,428,490 |
| c | Dext, LLC, Series 2020-1 Class A, 1.46% due 2/16/2027 | 26,839,274 | 26,879,202 |
| | Diamond Resorts Owner Trust, | | |
| c | Series 2018-1 Class A, 3.70% due 1/21/2031 | 4,978,673 | 5,199,103 |
| c | Series 2019-1A Class A, 2.89% due 2/20/2032 | 12,783,042 | 13,174,223 |
| c | DLL Securitization Trust, Series 2017-A Class A4, 2.43% due 11/17/2025 | 931,723 | 936,181 |
| b,c | ECAF I Ltd., Series 2015-1A Class A2, 4.947% due 6/15/2040 | 3,923,445 | 3,662,196 |
| | Entergy New Orleans Storm Recovery Funding I, LLC, Series 2015-1 Class A, 2.67% due 6/1/2027 | 6,510,230 | 6,625,137 |
| c | ExteNet, LLC, Series 2019-1A Class A2, 3.204% due 7/26/2049 | 9,855,000 | 10,164,680 |
| | Foundation Finance Trust, | | |
| c | Series 2017-1A Class A, 3.30% due 7/15/2033 | 1,605,496 | 1,635,632 |
| c | Series 2019-1A Class A, 3.86% due 11/15/2034 | 13,662,245 | 14,120,405 |
| c | Series 2020-1A Class A, 3.54% due 7/16/2040 | 12,731,913 | 13,175,188 |
| c | Series 2020-1A Class B, 4.62% due 7/16/2040 | 3,000,000 | 3,064,779 |
| c | Series 2021-1A Class A, 1.27% due 5/15/2041 | 21,047,000 | 20,938,390 |
| | Freed ABS Trust, | | |
| c | Series 2019-1 Class B, 3.87% due 6/18/2026 | 2,082,507 | 2,106,110 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 23 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| c | Series 2019-2 Class A, 2.62% due 11/18/2026 | $ 2,040,030 | $ 2,046,950 |
| c | Series 2019-2 Class B, 3.19% due 11/18/2026 | 2,500,000 | 2,534,720 |
| c | Series 2020-2CP Class A, 4.52% due 6/18/2027 | 4,691,761 | 4,730,846 |
| c | Series 2020-3FP Class A, 2.40% due 9/20/2027 | 3,382,657 | 3,395,464 |
| c | Series 2020-FP1 Class A, 2.52% due 3/18/2027 | 5,223,488 | 5,254,276 |
| c | Series 2021-1CP Class A, 0.66% due 3/20/2028 | 10,749,200 | 10,729,913 |
| a,c | Gracie Point International Funding, Series 2020-B Class A, 1.515% (LIBOR 1 Month + 1.40%) due 5/2/2023 | 11,899,534 | 11,917,686 |
| | HERO Funding Trust, | | |
| c | Series 2015-1A Class A, 3.84% due 9/21/2040 | 4,344,160 | 4,555,855 |
| c | Series 2017-2A Class A1, 3.28% due 9/20/2048 | 889,078 | 915,001 |
| | Hilton Grand Vacations Trust, | | |
| c | Series 2019-AA Class A, 2.34% due 7/25/2033 | 8,491,747 | 8,731,781 |
| c | Series 2020-AA Class A, 2.74% due 2/25/2039 | 1,516,711 | 1,576,337 |
| c | HIN Timeshare Trust, Series 2020-A Class A, 1.39% due 10/9/2039 | 7,662,179 | 7,736,634 |
| c | InStar Leasing III, LLC, Series 2021-1A 2.30% due 2/15/2054 | 9,962,880 | 9,843,482 |
| c | Lendingpoint Asset Securitization Trust, Series 2020-1 Class A, 2.512% due 2/10/2026 | 267,859 | 267,920 |
| c | LendingPoint Asset Securitization Trust, Series 2020-REV1 Class A, 2.731% due 10/15/2028 | 41,000,000 | 41,814,626 |
| | LL ABS Trust, | | |
| c | Series 2019-1A Class A, 2.87% due 3/15/2027 | 2,020,466 | 2,029,404 |
| c | Series 2020-1A Class A, 2.33% due 1/17/2028 | 9,185,195 | 9,277,906 |
| c | Loanpal Solar Loan Ltd., Series 2021-1GS 2.29% due 1/20/2048 | 23,526,870 | 23,476,741 |
| | Marlette Funding Trust, | | |
| c | Series 2019-2A Class A, 3.13% due 7/16/2029 | 1,087,909 | 1,094,530 |
| c | Series 2019-4A Class A, 2.39% due 12/17/2029 | 2,456,605 | 2,475,016 |
| c | Series 2019-4A Class B, 2.95% due 12/17/2029 | 1,500,000 | 1,530,625 |
| c | Series 2020-2A Class A, 1.02% due 9/16/2030 | 6,603,408 | 6,612,385 |
| c | MelTel Land Funding, LLC, Series 2019-1A Class A, 3.768% due 4/15/2049 | 9,283,999 | 9,789,974 |
| c | Mosaic Solar Loan Trust, Series 2021A Class A, 2.10% due 4/20/2046 | 6,409,647 | 6,470,277 |
| | Nationstar HECM Loan Trust, | | |
| a,c | Series 2019-1A Class A, 2.651% due 6/25/2029 | 3,653,935 | 3,659,747 |
| a,c | Series 2020-1A Class A1, 1.269% due 9/25/2030 | 30,975,096 | 31,028,676 |
| c | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | 55,450,000 | 55,574,812 |
| | NRZ Advance Receivables Trust 2015-ON1, | | |
| c | Series 2020-T2 Class AT2, 1.475% due 9/15/2053 | 40,000,000 | 40,084,408 |
| c | Series 2020-T2 Class BT2, 1.724% due 9/15/2053 | 3,000,000 | 3,006,982 |
| c | Series 2020-T3 Class AT3, 1.317% due 10/15/2052 | 29,000,000 | 29,090,898 |
| c | Ocwen Master Advance Receivables Trust, Series 2020-T1 Class AT1, 1.278% due 8/15/2052 | 56,025,000 | 56,162,950 |
| c | Oportun Funding X, LLC, Series 2018-C Class A, 4.10% due 10/8/2024 | 7,550,000 | 7,620,161 |
| c | Oportun Funding XIII, LLC, Series 2019-A Class B, 3.87% due 8/8/2025 | 7,500,000 | 7,673,649 |
| c | Oportun Funding, LLC, Series 2020-1 Class A, 2.20% due 5/15/2024 | 10,677,949 | 10,741,935 |
| | Pagaya AI Debt Selection Trust, | | |
| c | Series 2020-3 Class A, 2.10% due 5/17/2027 | 5,956,184 | 6,003,823 |
| c | Series 2021-1 Class A, 1.18% due 11/15/2027 | 38,900,000 | 38,931,278 |
| | Pawnee Equipment Receivables, LLC, | | |
| c | Series 2019-1 Class A2, 2.29% due 10/15/2024 | 17,043,899 | 17,242,411 |
| c | Series 2020-1 Class A, 1.37% due 11/17/2025 | 11,941,407 | 12,011,783 |
| c | PFS Financing Corp., Series 2020-B Class A, 1.21% due 6/15/2024 | 15,600,000 | 15,745,684 |
| | SCF Equipment Leasing, LLC, | | |
| c | Series 2019-2A Class A1, 2.22% due 6/20/2024 | 6,710,757 | 6,772,899 |
| c | Series 2019-2A Class C, 3.11% due 6/21/2027 | 3,000,000 | 3,112,468 |
| c | Sierra Timeshare Receivables Funding, LLC, Series 2019-1A Class A, 3.20% due 1/20/2036 | 1,856,628 | 1,924,689 |
| | Small Business Lending Trust, | | |
| c | Series 2019-A Class A, 2.85% due 7/15/2026 | 1,461,006 | 1,458,882 |
| c | Series 2020-A Class A, 2.62% due 12/15/2026 | 6,006,581 | 6,029,265 |
| | SoFi Consumer Loan Program, | | |
| c | Series 2018-2 Class C, 4.25% due 4/26/2027 | 13,170,000 | 13,580,749 |
| c | Series 2019-1 Class D, 4.42% due 2/25/2028 | 2,955,000 | 3,067,672 |
| | SoFi Consumer Loan Program Trust, | | |
| c | Series 2018-3 Class C, 4.67% due 8/25/2027 | 8,085,000 | 8,406,300 |
| c | Series 2019-2 Class A, 3.01% due 4/25/2028 | 1,374,944 | 1,384,165 |
| c | Series 2019-3 Class A, 2.90% due 5/25/2028 | 4,733,718 | 4,762,975 |
| c | SpringCastle America Funding, LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | 54,327,205 | 54,752,054 |
| c | Tax Ease Funding, LLC, Series 2016-1A Class A, 3.131% due 6/15/2028 | 987,319 | 989,450 |
24 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| c,e | Theorem Funding Trust, Series 2020-1A Class A, 2.48% due 10/15/2026 | $ 10,873,239 | $ 10,977,833 |
| | Towd Point Mortgage Trust, | | |
| a,c | Series 2016-5 Class A1, 2.50% due 10/25/2056 | 4,804,483 | 4,896,618 |
| a,c | Series 2017-1 Class A1, 2.75% due 10/25/2056 | 2,424,104 | 2,465,481 |
| a,c | Series 2018-1 Class A1, 3.00% due 1/25/2058 | 848,924 | 874,283 |
| a,c | Series 2018-2 Class A1, 3.25% due 3/25/2058 | 6,943,452 | 7,240,065 |
| a,c | Series 2018-3 Class A1, 3.75% due 5/25/2058 | 4,850,665 | 5,105,204 |
| a,c | Series 2018-6 Class A1A, 3.75% due 3/25/2058 | 8,276,962 | 8,585,446 |
| a,c | Series 2019-HY2 Class 1, 1.109% (LIBOR 1 Month + 1.00%) due 5/25/2058 | 23,753,427 | 23,955,239 |
| | Upstart Pass-Through Trust, | | |
| c | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 1,687,719 | 1,719,860 |
| c | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 8,199,344 | 8,366,345 |
| | Upstart Securitization Trust, | | |
| c | Series 2019-1 Class B, 4.19% due 4/20/2026 | 609,114 | 609,923 |
| c | Series 2019-2 Class A, 2.897% due 9/20/2029 | 3,919,508 | 3,938,577 |
| c | Series 2019-2 Class B, 3.734% due 9/20/2029 | 10,900,000 | 11,103,605 |
| c | Series 2019-3 Class A, 2.684% due 1/21/2030 | 1,851,350 | 1,864,930 |
| c | Series 2019-3 Class B, 3.829% due 1/21/2030 | 2,350,000 | 2,409,047 |
| c | Series 2020-1 Class B, 3.093% due 4/22/2030 | 3,250,000 | 3,326,941 |
| c | Series 2020-3 Class A, 1.702% due 11/20/2030 | 15,946,859 | 16,070,137 |
| c | Series 2021-1 Class A, 0.87% due 3/20/2031 | 11,309,922 | 11,278,395 |
| c | VB-S1 Issuer, LLC, Series 2020-1A Class C2, 3.031% due 6/15/2050 | 6,500,000 | 6,803,777 |
| | | | 1,050,763,616 |
| | Rec Vehicle Loan — 0.1% | | |
| c | Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | 13,304,810 | 13,423,531 |
| | | | 13,423,531 |
| | Student Loan — 2.6% | | |
| | College Ave Student Loans, | | |
| a,c | Series 2021-A Class A1, 1.229% (LIBOR 1 Month + 1.10%) due 7/25/2051 | 11,725,000 | 11,771,921 |
| c | Series 2021-A Class A2, 1.60% due 7/25/2051 | 3,500,000 | 3,459,637 |
| | Commonbond Student Loan Trust, | | |
| c | Series 18-CGS, Class A1, 3.87% due 2/25/2046 | 4,009,456 | 4,128,659 |
| c | Series 2020-1 Class A, 1.69% due 10/25/2051 | 27,597,913 | 27,631,302 |
| c | Series 2021-AGS 1.20% due 3/25/2052 | 17,500,000 | 17,443,617 |
| a,c | Navient Private Education Loan Trust, Student Loan, Series 2015-AA Class A2B, 1.306% (LIBOR 1 Month + 1.20%) due 12/15/2028 | 2,136,590 | 2,147,497 |
| | Navient Private Education Refi Loan Trust, | | |
| a,c | Series 2019-D Class A2B, 1.156% (LIBOR 1 Month + 1.05%) due 12/15/2059 | 14,037,914 | 14,151,146 |
| c | Series 2021-A Class A, 0.84% due 5/15/2069 | 7,255,399 | 7,234,457 |
| | Navient Student Loan Trust, | | |
| a | Series 2014-1 Class A3, 0.619% (LIBOR 1 Month + 0.51%) due 6/25/2031 | 6,929,188 | 6,870,703 |
| a,c | Series 2016-6A Class A2, 0.859% (LIBOR 1 Month + 0.75%) due 3/25/2066 | 6,720,386 | 6,740,077 |
| | Nelnet Student Loan Trust, | | |
| a,c | Series 2013-1A Class A, 0.709% (LIBOR 1 Month + 0.60%) due 6/25/2041 | 4,686,000 | 4,644,015 |
| a,c | Series 2015-2A Class A2, 0.709% (LIBOR 1 Month + 0.60%) due 9/25/2047 | 33,525,957 | 33,209,814 |
| a,c | Series 2015-3A Class A2, 0.709% (LIBOR 1 Month + 0.60%) due 2/27/2051 | 2,340,776 | 2,326,556 |
| a,c | Series 2016-A Class A1A, 1.859% (LIBOR 1 Month + 1.75%) due 12/26/2040 | 2,589,167 | 2,603,187 |
| a,c | Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1, 0.659% (LIBOR 1 Month + 0.55%) due 5/25/2057 | 1,134,167 | 1,123,004 |
| | SLM Student Loan Trust, | | |
| a | Series 2011-2 Class A2, 1.309% (LIBOR 1 Month + 1.20%) due 10/25/2034 | 13,352,000 | 13,656,638 |
| a | Series 2013-6 Class A3, 0.759% (LIBOR 1 Month + 0.65%) due 6/25/2055 | 32,863,659 | 32,796,832 |
| | SMB Private Education Loan Trust, | | |
| a,c | Series 2015-A Class A3, 1.606% (LIBOR 1 Month + 1.50%) due 2/17/2032 | 10,000,000 | 10,113,422 |
| a,c | Series 2020-A Class A1, 0.406% (LIBOR 1 Month + 0.30%) due 3/15/2027 | 3,238,421 | 3,236,523 |
| c | Series 2020-BA Class A1A, 1.29% due 7/15/2053 | 36,016,432 | 36,084,358 |
| a,c | Series 2021-A Class A1, 0.606% (LIBOR 1 Month + 0.50%) due 1/15/2053 | 9,020,200 | 9,010,493 |
| c | SoFi Professional Loan Program, LLC, Series 2017-E Class A2B, 2.72% due 11/26/2040 | 3,670,563 | 3,719,165 |
| | | | 254,103,023 |
| | Total Asset Backed Securities (Cost $1,728,209,165) | | 1,756,618,894 |
| | Corporate Bonds — 34.2% | | |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 25 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Automobiles & Components — 1.5% | | |
| | Automobiles — 1.4% | | |
| a,b,c | BMW Finance N.V., 0.991% (LIBOR 3 Month + 0.79%) due 8/12/2022 | $ 25,800,000 | $ 26,013,882 |
| c | BMW US Capital, LLC, 2.95% due 4/14/2022 | 1,894,000 | 1,944,986 |
| | Daimler Finance North America, LLC, | | |
| a,c | 1.094% (LIBOR 3 Month + 0.90%) due 2/15/2022 | 19,050,000 | 19,164,110 |
| c | 2.125% due 3/10/2025 | 16,900,000 | 17,361,201 |
| c | 3.40% due 2/22/2022 | 6,000,000 | 6,156,360 |
| c | 3.70% due 5/4/2023 | 4,725,000 | 5,016,107 |
| c | Harley-Davidson Financial Services, Inc., Series CO, 4.05% due 2/4/2022 | 7,976,000 | 8,200,843 |
| | Hyundai Capital America, | | |
| c | 1.80% due 10/15/2025 - 1/10/2028 | 9,765,000 | 9,565,626 |
| c | 2.375% due 2/10/2023 | 11,460,000 | 11,771,827 |
| c | 3.95% due 2/1/2022 | 13,767,000 | 14,128,934 |
| c | 6.375% due 4/8/2030 | 7,872,000 | 9,860,467 |
| | Hyundai Capital Services, Inc., | | |
| b,c | 1.25% due 2/8/2026 | 2,970,000 | 2,897,087 |
| b,c | 3.75% due 3/5/2023 | 2,029,000 | 2,138,059 |
| a,c | Nissan Motor Acceptance Corp., 0.875% (LIBOR 3 Month + 0.65%) due 7/13/2022 | 1,560,000 | 1,559,158 |
| c | Volkswagen Group of America Finance, LLC, 2.50% due 9/24/2021 | 5,375,000 | 5,427,944 |
| | Trading Companies & Distributors — 0.1% | | |
| b,c | Mitsubishi UFJ Lease & Finance Co. Ltd., 3.406% due 2/28/2022 | 2,800,000 | 2,863,168 |
| | | | 144,069,759 |
| | Banks — 1.0% | | |
| | Banks — 1.0% | | |
| a,b,c | ABN AMRO Bank N.V., 0.76% (LIBOR 3 Month + 0.57%) due 8/27/2021 | 6,800,000 | 6,814,076 |
| b,c | Banco Nacional de Panama, 2.50% due 8/11/2030 | 2,755,000 | 2,556,695 |
| a | Capital One NA/Mclean VA, 1.013% (LIBOR 3 Month + 0.82%) due 8/8/2022 | 28,150,000 | 28,364,222 |
| a | Citizens Bank N.A./Providence RI, 1.143% (LIBOR 3 Month + 0.95%) due 3/29/2023 | 20,500,000 | 20,756,250 |
| b,c | Kookmin Bank, 2.50% due 11/4/2030 | 0 | 0 |
| | Santander Holdings USA, Inc., | | |
| | 3.45% due 6/2/2025 | 11,276,000 | 12,042,542 |
| | 4.40% due 7/13/2027 | 4,940,000 | 5,460,824 |
| | Sumitomo Mitsui Trust Bank Ltd., | | |
| b,c | 0.80% due 9/12/2023 | 14,760,000 | 14,813,579 |
| b,c | 0.85% due 3/25/2024 | 6,550,000 | 6,548,232 |
| | Zions Bancorp N.A., 3.35% due 3/4/2022 | 6,750,000 | 6,909,165 |
| | | | 104,265,585 |
| | Capital Goods — 0.8% | | |
| | Aerospace & Defense — 0.4% | | |
| | Boeing Co., 2.196% due 2/4/2026 | 13,696,000 | 13,655,323 |
| | Teledyne Technologies, Inc., | | |
| | 2.25% due 4/1/2028 | 14,951,000 | 14,881,179 |
| | 2.75% due 4/1/2031 | 7,501,000 | 7,496,574 |
| | Industrial Conglomerates — 0.0% | | |
| | Trane Technologies Co. LLC, 6.391% due 11/15/2027 | 3,000,000 | 3,685,470 |
| | Machinery — 0.4% | | |
| | Flowserve Corp., | | |
| | 3.50% due 10/1/2030 | 8,414,000 | 8,566,882 |
| | 4.00% due 11/15/2023 | 2,595,000 | 2,746,574 |
| | nVent Finance Sarl, | | |
| b | 3.95% due 4/15/2023 | 7,980,000 | 8,353,464 |
| b | 4.55% due 4/15/2028 | 7,023,000 | 7,431,739 |
| a | Otis Worldwide Corp., 0.688% (LIBOR 3 Month + 0.45%) due 4/5/2023 | 9,850,000 | 9,850,197 |
| | | | 76,667,402 |
| | Commercial & Professional Services — 0.2% | | |
| | Commercial Services & Supplies — 0.2% | | |
| c | CoStar Group, Inc., 2.80% due 7/15/2030 | 11,350,000 | 11,136,279 |
| | Quanta Services, Inc., 2.90% due 10/1/2030 | 7,579,000 | 7,682,605 |
26 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | | | 18,818,884 |
| | Commercial Services — 0.1% | | |
| | Transportation Infrastructure — 0.1% | | |
| b,c | Adani Ports & Special Economic Zone Ltd., 3.10% due 2/2/2031 | $ 6,300,000 | $ 5,963,643 |
| | | | 5,963,643 |
| | Consumer Durables & Apparel — 0.2% | | |
| | Household Durables — 0.2% | | |
| | Panasonic Corp., | | |
| b,c | 2.536% due 7/19/2022 | 16,810,000 | 17,206,044 |
| b,c | 2.679% due 7/19/2024 | 2,000,000 | 2,112,900 |
| | | | 19,318,944 |
| | Consumer Services — 0.2% | | |
| | Hotels, Restaurants & Leisure — 0.1% | | |
| | Starbucks Corp., 2.55% due 11/15/2030 | 9,790,000 | 9,823,090 |
| | Transportation Infrastructure — 0.1% | | |
| b,c | Adani Ports & Special Economic Zone Ltd., 3.375% due 7/24/2024 | 13,465,000 | 14,136,500 |
| | | | 23,959,590 |
| | Diversified Financials — 5.8% | | |
| | Capital Markets — 1.8% | | |
| | Ares Capital Corp., | | |
| | 3.25% due 7/15/2025 | 8,155,000 | 8,416,613 |
| | 3.50% due 2/10/2023 | 3,695,000 | 3,851,705 |
| | 4.20% due 6/10/2024 | 6,509,000 | 7,026,335 |
| | 4.25% due 3/1/2025 | 4,560,000 | 4,892,698 |
| c | Ares Finance Co., LLC, 4.00% due 10/8/2024 | 5,000,000 | 5,340,700 |
| c | Blackstone Secured Lending Fund, 2.75% due 9/16/2026 | 3,926,000 | 3,900,088 |
| a | Charles Schwab Corp., 0.51% (SOFR + 0.50%) due 3/18/2024 | 18,814,000 | 18,920,487 |
| | Intercontinental Exchange, Inc., 2.10% due 6/15/2030 | 5,902,000 | 5,679,554 |
| | Legg Mason, Inc., 4.75% due 3/15/2026 | 5,000,000 | 5,748,850 |
| b,c,d | LSEGA Financing plc, 1.375% due 4/6/2026 | 14,720,000 | 14,579,571 |
| | Main Street Capital Corp., | | |
| | 3.00% due 7/14/2026 | 18,976,000 | 18,845,066 |
| | 5.20% due 5/1/2024 | 2,835,000 | 3,053,550 |
| | Owl Rock Technology Finance Corp., | | |
| c | 3.75% due 6/17/2026 | 12,276,000 | 12,535,760 |
| c | 4.75% due 12/15/2025 | 17,883,000 | 19,075,617 |
| | Sixth Street Specialty Lending, Inc., 2.50% due 8/1/2026 | 5,100,000 | 5,054,610 |
| | SLR Investment Corp., 4.50% due 1/20/2023 | 13,191,000 | 13,718,376 |
| | TPG Specialty Lending, Inc., 3.875% due 11/1/2024 | 27,220,000 | 28,526,832 |
| | Consumer Finance — 0.3% | | |
| a | Wells Fargo & Co., 4.478% (LIBOR 3 Month + 3.77%) due 4/4/2031 | 9,900,000 | 11,378,763 |
| a,c | Wells Fargo Bank NA, 1.00% (LIBOR 3 Month + 0.20%) due 5/18/2022 | 14,750,000 | 14,832,747 |
| | Diversified Financial Services — 3.3% | | |
| c | Antares Holdings L.P., 3.95% due 7/15/2026 | 7,750,000 | 7,834,165 |
| | Bank of America Corp., | | |
| a | 1.197% (SOFR + 1.01%) due 10/24/2026 | 14,462,000 | 14,265,172 |
| a | 1.898% (SOFR + 1.53%) due 7/23/2031 | 19,137,000 | 18,002,750 |
| a,b | Barclays plc, 1.574% (LIBOR 3 Month + 1.38%) due 5/16/2024 | 17,500,000 | 17,758,125 |
| | BNP Paribas S.A., | | |
| a,b,c | 1.323% (SOFR + 1.00%) due 1/13/2027 | 7,000,000 | 6,852,370 |
| a,b,c | 2.219% (SOFR + 2.07%) due 6/9/2026 | 4,800,000 | 4,921,200 |
| | Citigroup, Inc., | | |
| a | 1.122% (SOFR + 0.77%) due 1/28/2027 | 11,526,000 | 11,267,011 |
| a | 2.572% (SOFR + 2.11%) due 6/3/2031 | 9,720,000 | 9,706,198 |
| a | 3.106% (SOFR + 2.84%) due 4/8/2026 | 4,265,000 | 4,555,063 |
| | 3.40% due 5/1/2026 | 9,700,000 | 10,537,013 |
| a | 4.412% (SOFR + 3.91%) due 3/31/2031 | 10,815,000 | 12,294,600 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 27 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Deutsche Bank AG, | | |
| a,b | 1.42% (LIBOR 3 Month + 1.23%) due 2/27/2023 | $ 17,100,000 | $ 17,180,199 |
| b | 5.00% due 2/14/2022 | 6,350,000 | 6,576,695 |
| a | Goldman Sachs Group, Inc., Series VAR, 1.093% (SOFR + 0.79%) due 12/9/2026 | 4,746,000 | 4,647,995 |
| | HSBC Holdings plc, | | |
| a,b | 1.589% (SOFR + 1.29%) due 5/24/2027 | 6,100,000 | 6,004,779 |
| a,b | 1.645% (SOFR + 1.54%) due 4/18/2026 | 3,025,000 | 3,027,874 |
| a,b | 2.013% (SOFR + 1.73%) due 9/22/2028 | 9,550,000 | 9,382,111 |
| a,b | 2.099% (SOFR + 1.93%) due 6/4/2026 | 6,800,000 | 6,921,108 |
| a,b | 2.357% (SOFR + 1.95%) due 8/18/2031 | 4,000,000 | 3,850,760 |
| | JPMorgan Chase & Co., | | |
| a | 1.04% (SOFR + 0.70%) due 2/4/2027 | 8,800,000 | 8,582,024 |
| a | 1.045% (SOFR + 0.80%) due 11/19/2026 | 24,140,000 | 23,596,126 |
| a,b | Lloyds Banking Group plc, 3.87% (H15T1Y + 3.50%) due 7/9/2025 | 3,500,000 | 3,807,790 |
| b | Mitsubishi UFJ Financial Group, Inc., 2.623% due 7/18/2022 | 10,800,000 | 11,097,972 |
| | Mizuho Financial Group, Inc., | | |
| a,b | 0.818% (LIBOR 3 Month + 0.63%) due 5/25/2024 | 4,854,000 | 4,875,892 |
| a,b | 2.226% (LIBOR 3 Month + 0.83%) due 5/25/2026 | 4,800,000 | 4,936,128 |
| a,b | 3.922% (LIBOR 3 Month + 1.00%) due 9/11/2024 | 10,850,000 | 11,655,612 |
| | Morgan Stanley, | | |
| a | 0.725% (SOFR + 0.70%) due 1/20/2023 | 15,775,000 | 15,812,544 |
| a | 0.84% (SOFR + 0.83%) due 6/10/2022 | 4,675,000 | 4,679,582 |
| | National Securities Clearing Corp., | | |
| c | 0.75% due 12/7/2025 | 12,550,000 | 12,251,059 |
| c | 1.50% due 4/23/2025 | 7,000,000 | 7,072,100 |
| a,b | Natwest Group plc, 1.664% (LIBOR 3 Month + 1.47%) due 5/15/2023 | 1,952,000 | 1,974,097 |
| | Societe Generale S.A., | | |
| b,c | 2.625% due 1/22/2025 | 4,000,000 | 4,147,760 |
| b,c | 3.875% due 3/28/2024 | 8,000,000 | 8,627,360 |
| b,c | 4.25% due 9/14/2023 | 9,000,000 | 9,728,910 |
| b | Sumitomo Mitsui Financial Group, Inc., 0.948% due 1/12/2026 | 11,650,000 | 11,333,469 |
| a,b,c | UBS Group AG, 2.014% (LIBOR 3 Month + 1.78%) due 4/14/2021 | 5,800,000 | 5,802,668 |
| | Western Union Co., 2.85% due 1/10/2025 | 7,256,000 | 7,622,355 |
| | Insurance — 0.4% | | |
| a,c | AIG Global Funding, 0.661% (LIBOR 3 Month + 0.46%) due 6/25/2021 | 9,910,000 | 9,919,613 |
| c | Global Atlantic Fin Co., 4.40% due 10/15/2029 | 27,285,000 | 28,920,190 |
| | | | 577,406,361 |
| | Energy — 2.4% | | |
| | Energy Equipment & Services — 0.1% | | |
| c | Hanwha Energy USA Holdings Corp., 2.375% due 7/30/2022 | 5,100,000 | 5,213,067 |
| | Oceaneering International, Inc., 4.65% due 11/15/2024 | 5,000,000 | 4,799,450 |
| b,c,f,g | Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | 3,997,362 | 252,393 |
| | Oil, Gas & Consumable Fuels — 2.3% | | |
| | BP Capital Markets America, Inc., | | |
| a | 0.84% (LIBOR 3 Month + 0.65%) due 9/19/2022 | 6,771,000 | 6,805,058 |
| | 1.749% due 8/10/2030 | 4,765,000 | 4,501,734 |
| | Buckeye Partners L.P., 4.15% due 7/1/2023 | 7,000,000 | 7,190,470 |
| c | Colorado Interstate Gas Co., LLC / Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | 9,168,000 | 10,204,076 |
| | Energen Corp., 4.625% due 9/1/2021 | 10,000,000 | 10,050,800 |
| | EQM Midstream Partners L.P., Series 5Y, 4.75% due 7/15/2023 | 3,853,000 | 4,000,069 |
| | Exxon Mobil Corp., 3.482% due 3/19/2030 | 4,726,000 | 5,137,446 |
| c | Florida Gas Transmission Co., LLC, 3.875% due 7/15/2022 | 10,435,000 | 10,766,624 |
| | Galaxy Pipeline Assets Bidco Ltd., | | |
| b,c | 1.75% due 9/30/2027 | 32,435,000 | 32,442,460 |
| b,c | 2.16% due 3/31/2034 | 10,040,000 | 9,763,398 |
| | Gray Oak Pipeline, LLC, | | |
| c | 2.00% due 9/15/2023 | 5,293,000 | 5,388,962 |
| c | 3.45% due 10/15/2027 | 12,955,000 | 13,343,132 |
| | Gulf South Pipeline Co. L.P., 4.00% due 6/15/2022 | 13,850,000 | 14,186,139 |
| | HollyFrontier Corp., 2.625% due 10/1/2023 | 4,986,000 | 5,136,777 |
| c | Midwest Connector Capital Co., LLC, 4.625% due 4/1/2029 | 16,535,000 | 16,822,709 |
| | NuStar Logistics L.P., 4.75% due 2/1/2022 | 5,000,000 | 5,076,400 |
28 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| a | Occidental Petroleum Corp., 1.644% (LIBOR 3 Month + 1.45%) due 8/15/2022 | $ 11,200,000 | $ 11,067,616 |
| b | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), 6.50% due 1/23/2029 | 10,007,000 | 10,120,479 |
| | Sinopec Group Overseas Development 2018 Ltd., | | |
| b,c | 1.45% due 1/8/2026 | 20,550,000 | 20,286,960 |
| b,c | 3.75% due 9/12/2023 | 11,800,000 | 12,591,190 |
| c | Tennessee Gas Pipeline Co., LLC, 2.90% due 3/1/2030 | 17,879,000 | 17,945,689 |
| | | | 243,093,098 |
| | Food & Staples Retailing — 0.6% | | |
| | Food & Staples Retailing — 0.6% | | |
| | 7-Eleven, Inc., | | |
| c | 0.625% due 2/10/2023 | 5,947,000 | 5,951,401 |
| c | 0.80% due 2/10/2024 | 18,780,000 | 18,723,660 |
| b,c | Alimentation Couche-Tard, Inc., 2.70% due 7/26/2022 | 15,850,000 | 16,277,474 |
| b,c | CK Hutchison International 20 Ltd., 2.50% due 5/8/2030 | 4,000,000 | 3,977,400 |
| | Walgreens Boots Alliance, Inc., 3.20% due 4/15/2030 | 14,360,000 | 14,941,293 |
| | | | 59,871,228 |
| | Food, Beverage & Tobacco — 0.9% | | |
| | Beverages — 0.2% | | |
| b,c | Becle SAB de CV, 3.75% due 5/13/2025 | 13,750,000 | 14,913,387 |
| | Molson Coors Brewing Co., 2.10% due 7/15/2021 | 3,035,000 | 3,044,773 |
| | Food Products — 0.4% | | |
| | Campbell Soup Co., 2.375% due 4/24/2030 | 4,860,000 | 4,791,377 |
| | General Mills, Inc., | | |
| a | 0.763% (LIBOR 3 Month + 0.54%) due 4/16/2021 | 3,380,000 | 3,380,439 |
| a | 1.233% (LIBOR 3 Month + 1.01%) due 10/17/2023 | 2,475,000 | 2,513,858 |
| | Ingredion, Inc., 2.90% due 6/1/2030 | 14,725,000 | 15,054,104 |
| | JM Smucker Co., 2.375% due 3/15/2030 | 16,283,000 | 16,057,480 |
| | Tobacco — 0.3% | | |
| | Altria Group, Inc., 3.40% due 5/6/2030 | 4,870,000 | 5,085,108 |
| | BAT Capital Corp., | | |
| | 2.726% due 3/25/2031 | 2,950,000 | 2,867,105 |
| | 3.557% due 8/15/2027 | 5,838,000 | 6,213,150 |
| | BAT International Finance plc, | | |
| b | 1.668% due 3/25/2026 | 4,764,000 | 4,714,692 |
| b,c | 3.95% due 6/15/2025 | 3,000,000 | 3,281,460 |
| b,c | Imperial Brands Finance plc, 3.50% due 7/26/2026 | 3,000,000 | 3,203,610 |
| | | | 85,120,543 |
| | Health Care Equipment & Services — 0.5% | | |
| | Health Care Equipment & Supplies — 0.3% | | |
| c | Alcon Finance Corp., 2.60% due 5/27/2030 | 4,800,000 | 4,813,248 |
| | Boston Scientific Corp., 2.65% due 6/1/2030 | 6,824,000 | 6,878,182 |
| | DENTSPLY SIRONA, Inc., 3.25% due 6/1/2030 | 4,755,000 | 4,967,216 |
| | Zimmer Biomet Holdings, Inc., 3.55% due 3/20/2030 | 13,574,000 | 14,529,881 |
| | Health Care Providers & Services — 0.2% | | |
| | AmerisourceBergen Corp., 2.80% due 5/15/2030 | 14,705,000 | 15,007,188 |
| | Catholic Health Initiatives, 2.95% due 11/1/2022 | 7,000,000 | 7,254,520 |
| | | | 53,450,235 |
| | Household & Personal Products — 0.1% | | |
| | Household Products — 0.1% | | |
| | Kimberly-Clark de Mexico SAB de CV, | | |
| b,c | 2.431% due 7/1/2031 | 3,800,000 | 3,726,052 |
| b,c | 3.80% due 4/8/2024 | 3,900,000 | 4,161,534 |
| | | | 7,887,586 |
| | Insurance — 4.2% | | |
| | Insurance — 4.2% | | |
| b,c | AIA Group Ltd., 3.375% due 4/7/2030 | 4,800,000 | 5,129,568 |
| b,c | Ascot Group Ltd., 4.25% due 12/15/2030 | 4,528,000 | 4,681,635 |
| c | Belrose Funding Trust, 2.33% due 8/15/2030 | 9,685,000 | 9,332,757 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 29 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Brighthouse Financial, Inc., 5.625% due 5/15/2030 | $ 10,707,000 | $ 12,534,042 |
| | Brown & Brown, Inc., 2.375% due 3/15/2031 | 3,758,000 | 3,616,887 |
| b,c | DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | 10,260,000 | 11,336,992 |
| | Enstar Group Ltd., | | |
| b | 4.50% due 3/10/2022 | 1,950,000 | 2,009,709 |
| b | 4.95% due 6/1/2029 | 19,899,000 | 22,329,066 |
| | Equitable Financial Life Global Funding, | | |
| c | 1.00% due 1/9/2026 | 8,665,000 | 8,465,965 |
| c | 1.40% due 7/7/2025 - 8/27/2027 | 22,031,000 | 21,650,793 |
| c | 1.75% due 11/15/2030 | 5,835,000 | 5,448,140 |
| c | 1.80% due 3/8/2028 | 7,633,000 | 7,464,769 |
| | Fairfax Financial Holdings Ltd., | | |
| b,c | 3.375% due 3/3/2031 | 5,261,000 | 5,241,429 |
| b | 4.625% due 4/29/2030 | 19,677,000 | 21,464,655 |
| b,c | Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | 17,531,000 | 18,106,017 |
| c | Fidelity & Guaranty Life Holdings, Inc., 5.50% due 5/1/2025 | 6,571,000 | 7,505,002 |
| | Fidelity National Financial, Inc., | | |
| | 2.45% due 3/15/2031 | 11,554,000 | 11,175,606 |
| | 3.40% due 6/15/2030 | 11,286,000 | 11,819,602 |
| | First American Financial Corp., 4.00% due 5/15/2030 | 4,845,000 | 5,230,953 |
| | GA Global Funding Trust, | | |
| c,d | 1.00% due 4/8/2024 | 9,000,000 | 8,989,920 |
| c | 1.625% due 1/15/2026 | 7,538,000 | 7,530,160 |
| c | Guardian Life Global Funding, 0.875% due 12/10/2025 | 29,350,000 | 28,708,409 |
| | Horace Mann Educators Corp., 4.50% due 12/1/2025 | 4,800,000 | 5,254,320 |
| | Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | 4,690,000 | 4,956,673 |
| | Jackson National Life Global Funding, | | |
| a,c | 0.657% (LIBOR 3 Month + 0.48%) due 6/11/2021 | 6,150,000 | 6,155,166 |
| c | 3.25% due 1/30/2024 | 10,000,000 | 10,674,700 |
| b,c | Lancashire Holdings Ltd., 5.70% due 10/1/2022 | 11,000,000 | 11,733,260 |
| c | MassMutual Global Funding II, 2.95% due 1/11/2025 | 15,000,000 | 15,977,100 |
| | Mercury General Corp., 4.40% due 3/15/2027 | 3,751,000 | 4,226,027 |
| | Metropolitan Life Global Funding I, | | |
| a,c | 0.358% (SOFR + 0.32%) due 1/7/2024 | 14,683,000 | 14,707,080 |
| c | 0.40% due 1/7/2024 | 9,789,000 | 9,746,124 |
| b | Montpelier Re Holdings Ltd., 4.70% due 10/15/2022 | 5,000,000 | 5,303,350 |
| a,c | New York Life Global Funding, 0.242% (SOFR + 0.22%) due 2/2/2023 | 14,125,000 | 14,119,774 |
| c | Protective Life Corp., 3.40% due 1/15/2030 | 19,740,000 | 20,507,689 |
| a,c | Protective Life Global Funding, 0.713% (LIBOR 3 Month + 0.52%) due 6/28/2021 | 17,000,000 | 17,018,020 |
| | Reliance Standard Life Global Funding II, | | |
| c | 2.75% due 5/7/2025 | 13,490,000 | 14,133,743 |
| c | 3.85% due 9/19/2023 | 9,950,000 | 10,703,911 |
| c | Sammons Financial Group, Inc., 4.45% due 5/12/2027 | 7,950,000 | 8,397,029 |
| | | | 413,386,042 |
| | Materials — 0.6% | | |
| | Chemicals — 0.2% | | |
| c | Chevron Phillips Chemical Co., LLC / Chevron Phillips Chemical Co., L.P., 5.125% due 4/1/2025 | 9,870,000 | 11,267,592 |
| b,c | OCP S.A., 5.625% due 4/25/2024 | 8,555,000 | 9,297,745 |
| | Containers & Packaging — 0.3% | | |
| b,c | CCL Industries, Inc., 3.05% due 6/1/2030 | 9,810,000 | 9,973,533 |
| c | Graphic Packaging International, LLC, 1.512% due 4/15/2026 | 6,873,000 | 6,824,339 |
| c | Silgan Holdings, Inc., 1.40% due 4/1/2026 | 10,204,000 | 9,992,063 |
| | Metals & Mining — 0.1% | | |
| b | AngloGold Ashanti Holdings plc (Guaranty: AngloGold Ashanti Ltd.), 5.125% due 8/1/2022 | 6,500,000 | 6,792,240 |
| b,c | Newcrest Finance Pty Ltd., 3.25% due 5/13/2030 | 2,961,000 | 3,105,201 |
| | | | 57,252,713 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 0.8% | | |
| | Biotechnology — 0.4% | | |
| | Gilead Sciences, Inc., 0.75% due 9/29/2023 | 6,817,000 | 6,824,635 |
| | Regeneron Pharmaceuticals, Inc., 1.75% due 9/15/2030 | 19,469,000 | 18,014,861 |
30 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Royalty Pharma plc, | | |
| b,c | 1.20% due 9/2/2025 | $ 7,532,000 | $ 7,394,842 |
| b,c | 1.75% due 9/2/2027 | 11,312,000 | 11,053,068 |
| | Pharmaceuticals — 0.4% | | |
| | AbbVie, Inc., | | |
| | 2.95% due 11/21/2026 | 2,460,000 | 2,618,719 |
| | 3.45% due 3/15/2022 | 5,000,000 | 5,115,500 |
| a,b | AstraZeneca plc, 0.857% (LIBOR 3 Month + 0.67%) due 8/17/2023 | 10,524,000 | 10,611,876 |
| | Bayer US Finance II, LLC, | | |
| a,c | 0.831% (LIBOR 3 Month + 0.63%) due 6/25/2021 | 9,500,000 | 9,510,070 |
| c | 3.50% due 6/25/2021 | 2,700,000 | 2,711,745 |
| c | 4.25% due 12/15/2025 | 2,500,000 | 2,783,450 |
| c | Viatris, Inc., 2.30% due 6/22/2027 | 4,935,000 | 4,978,033 |
| | | | 81,616,799 |
| | Real Estate — 1.1% | | |
| | Equity Real Estate Investment Trusts — 1.1% | | |
| | American Tower Corp., | | |
| | 1.50% due 1/31/2028 | 19,800,000 | 18,908,208 |
| | 2.40% due 3/15/2025 | 7,375,000 | 7,689,470 |
| | 3.375% due 5/15/2024 | 5,475,000 | 5,870,131 |
| | Crown Castle International Corp., 1.05% due 7/15/2026 | 43,475,000 | 42,076,409 |
| c | SBA Tower Trust, 2.836% due 1/15/2050 | 12,525,000 | 13,108,289 |
| | Service Properties Trust, | | |
| | 4.35% due 10/1/2024 | 10,161,000 | 10,111,414 |
| | 4.65% due 3/15/2024 | 4,233,000 | 4,234,482 |
| | 5.25% due 2/15/2026 | 4,020,000 | 4,069,245 |
| | | | 106,067,648 |
| | Retailing — 0.3% | | |
| | Internet & Direct Marketing Retail — 0.1% | | |
| | Booking Holdings, Inc., 4.625% due 4/13/2030 | 7,323,000 | 8,512,035 |
| | Specialty Retail — 0.2% | | |
| | Advance Auto Parts, Inc., | | |
| | 1.75% due 10/1/2027 | 4,763,000 | 4,687,459 |
| | 3.90% due 4/15/2030 | 15,465,000 | 16,795,454 |
| | | | 29,994,948 |
| | Semiconductors & Semiconductor Equipment — 1.0% | | |
| | Semiconductors & Semiconductor Equipment — 1.0% | | |
| | Broadcom, Inc., | | |
| c | 1.95% due 2/15/2028 | 2,607,000 | 2,533,535 |
| | 3.459% due 9/15/2026 | 3,127,000 | 3,357,116 |
| | 4.11% due 9/15/2028 | 15,820,000 | 17,273,067 |
| | 4.15% due 11/15/2030 | 2,980,000 | 3,215,331 |
| | 4.75% due 4/15/2029 | 4,310,000 | 4,844,698 |
| | 5.00% due 4/15/2030 | 2,607,000 | 2,971,250 |
| c | Microchip Technology, Inc., 0.972% due 2/15/2024 | 18,694,000 | 18,669,324 |
| | Micron Technology, Inc., | | |
| | 4.663% due 2/15/2030 | 4,150,000 | 4,732,784 |
| | 5.327% due 2/6/2029 | 7,690,000 | 9,020,601 |
| | SK Hynix, Inc., | | |
| b,c | 1.00% due 1/19/2024 | 6,800,000 | 6,787,488 |
| b,c | 1.50% due 1/19/2026 | 10,200,000 | 10,042,818 |
| | Xilinx, Inc., 2.375% due 6/1/2030 | 13,277,000 | 12,985,304 |
| | | | 96,433,316 |
| | Software & Services — 1.7% | | |
| | Information Technology Services — 0.5% | | |
| b | Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | 7,160,000 | 7,715,473 |
| b | Genpact Luxembourg Sarl/ Genpact USA, Inc., 1.75% due 4/10/2026 | 14,899,000 | 14,794,856 |
| c | Leidos, Inc., 2.30% due 2/15/2031 | 8,489,000 | 8,025,331 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 31 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Moody’s Corp., 3.75% due 3/24/2025 | $ 8,127,000 | $ 8,893,620 |
| e | Total System Services, Inc., 4.00% due 6/1/2023 | 3,835,000 | 4,107,668 |
| | Interactive Media & Services — 0.2% | | |
| | Baidu, Inc., | | |
| b | 1.72% due 4/9/2026 | 7,251,000 | 7,226,346 |
| b | 3.875% due 9/29/2023 | 6,000,000 | 6,412,380 |
| b | 4.375% due 5/14/2024 | 6,376,000 | 7,001,741 |
| | Internet Software & Services — 0.3% | | |
| | Tencent Holdings Ltd., | | |
| b,c | 1.81% due 1/26/2026 | 19,525,000 | 19,631,997 |
| b,c | 2.39% due 6/3/2030 | 12,650,000 | 12,174,360 |
| | Software — 0.7% | | |
| c | Infor, Inc., 1.75% due 7/15/2025 | 12,382,000 | 12,500,743 |
| | Oracle Corp., | | |
| | 1.65% due 3/25/2026 | 15,136,000 | 15,244,979 |
| | 2.30% due 3/25/2028 | 11,268,000 | 11,403,329 |
| | ServiceNow, Inc., 1.40% due 9/1/2030 | 9,700,000 | 8,768,994 |
| | VMware, Inc., 4.50% due 5/15/2025 | 22,691,000 | 25,320,887 |
| | | | 169,222,704 |
| | Technology Hardware & Equipment — 1.5% | | |
| | Communications Equipment — 0.3% | | |
| | Motorola Solutions, Inc., 2.30% due 11/15/2030 | 1,582,000 | 1,498,866 |
| b | Telefonaktiebolaget LM Ericsson, 4.125% due 5/15/2022 | 23,265,000 | 24,059,267 |
| | Electronic Equipment, Instruments & Components — 0.7% | | |
| b | Allegion plc, 3.50% due 10/1/2029 | 9,280,000 | 9,750,496 |
| b | Flex Ltd., 4.875% due 5/12/2030 | 24,711,000 | 28,051,927 |
| | Ingram Micro, Inc., 5.45% due 12/15/2024 | 5,596,000 | 6,378,825 |
| | Trimble, Inc., 4.75% due 12/1/2024 | 17,000,000 | 19,027,420 |
| | Vontier Corp., | | |
| c | 1.80% due 4/1/2026 | 5,272,000 | 5,242,899 |
| c | 2.40% due 4/1/2028 | 3,766,000 | 3,699,605 |
| | Technology Hardware, Storage & Peripherals — 0.5% | | |
| | Hewlett Packard Enterprise Co., 4.65% due 10/1/2024 | 7,560,000 | 8,456,389 |
| | HP, Inc., 3.00% due 6/17/2027 | 22,397,000 | 23,704,313 |
| b | Lenovo Group Ltd., 5.875% due 4/24/2025 | 10,600,000 | 12,010,224 |
| | NetApp, Inc., 2.375% due 6/22/2027 | 10,375,000 | 10,584,160 |
| | | | 152,464,391 |
| | Telecommunication Services — 1.4% | | |
| | Diversified Telecommunication Services — 0.5% | | |
| | AT&T, Inc., | | |
| | 0.90% due 3/25/2024 | 9,625,000 | 9,646,560 |
| | 1.65% due 2/1/2028 | 2,905,000 | 2,812,214 |
| | 1.70% due 3/25/2026 | 9,905,000 | 9,905,891 |
| | 2.30% due 6/1/2027 | 4,880,000 | 4,975,258 |
| c | 2.55% due 12/1/2033 | 1,016,000 | 964,377 |
| | Qwest Corp., 6.75% due 12/1/2021 | 3,000,000 | 3,097,890 |
| | Verizon Communications, Inc., | | |
| | 1.45% due 3/20/2026 | 6,872,000 | 6,876,398 |
| | 2.10% due 3/22/2028 | 4,816,000 | 4,831,604 |
| | Road & Rail — 0.2% | | |
| b,c | NTT Finance Corp., 1.162% due 4/3/2026 | 20,000,000 | 19,727,200 |
| | Wireless Telecommunication Services — 0.7% | | |
| | Sprint Communications, Inc., 9.25% due 4/15/2022 | 67,194,000 | 72,382,721 |
| | | | 135,220,113 |
| | Transportation — 0.3% | | |
| | Air Freight & Logistics — 0.1% | | |
| | TTX Co., | | |
| c | 4.15% due 1/15/2024 | 6,000,000 | 6,546,480 |
| c | 5.453% due 1/2/2022 | 265,810 | 275,706 |
32 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Airlines — 0.2% | | |
| | American Airlines Pass Through Trust, Series 2013-2 Class A, 4.95% due 7/15/2024 | $ 3,159,164 | $ 3,156,352 |
| | US Airways Pass Through Trust, | | |
| | Series 2010-1 Class A, 6.25% due 10/22/2024 | 2,905,185 | 2,919,711 |
| | Series 2013-1 Class B, 5.375% due 5/15/2023 | 18,899,508 | 18,855,284 |
| | Diversified Consumer Services — 0.0% | | |
| | University of Chicago, Series 12-B, 3.065% due 10/1/2024 | 700,000 | 709,975 |
| | | | 32,463,508 |
| | Unknown I2 — 0.2% | | |
| | Food Products — 0.1% | | |
| | Flowers Foods, Inc., 2.40% due 3/15/2031 | 6,680,000 | 6,517,809 |
| | Health Care Providers & Services — 0.1% | | |
| | AmerisourceBergen Corp., 0.737% due 3/15/2023 | 14,719,000 | 14,731,953 |
| | | | 21,249,762 |
| | Utilities — 6.8% | | |
| | Electric Utilities — 5.9% | | |
| | AEP Texas, Inc., 2.10% due 7/1/2030 | 19,455,000 | 18,779,133 |
| c | Alexander Funding Trust, 1.841% due 11/15/2023 | 29,610,000 | 30,027,501 |
| | Alliant Energy Finance, LLC, | | |
| c | 1.40% due 3/15/2026 | 5,240,000 | 5,139,602 |
| c | 3.75% due 6/15/2023 | 9,673,000 | 10,282,012 |
| | Ameren Corp., | | |
| | 1.75% due 3/15/2028 | 9,990,000 | 9,663,827 |
| | 3.50% due 1/15/2031 | 12,460,000 | 13,249,466 |
| | American Electric Power Co., Inc., | | |
| | 0.75% due 11/1/2023 | 9,667,000 | 9,670,480 |
| | 2.30% due 3/1/2030 | 14,211,000 | 13,852,030 |
| | Appalachian Power Co., 3.40% due 6/1/2025 | 7,000,000 | 7,531,090 |
| | Avangrid, Inc., | | |
| | 3.15% due 12/1/2024 | 8,870,000 | 9,543,056 |
| | 3.20% due 4/15/2025 | 9,395,000 | 10,069,185 |
| | Black Hills Corp., 2.50% due 6/15/2030 | 5,490,000 | 5,396,615 |
| | CenterPoint Energy, Inc., 3.60% due 11/1/2021 | 8,901,000 | 9,066,648 |
| b,c | Comision Federal de Electricidad, 3.348% due 2/9/2031 | 12,437,000 | 12,005,809 |
| | Consolidated Edison Co. of New York, Inc., | | |
| | Series 20A, 3.35% due 4/1/2030 | 6,835,000 | 7,337,714 |
| a | Series C, 0.601% (LIBOR 3 Month + 0.40%) due 6/25/2021 | 12,575,000 | 12,584,054 |
| | Consolidated Edison, Inc., 0.65% due 12/1/2023 | 34,039,000 | 33,983,176 |
| | Dominion Energy, Inc., | | |
| | 3.375% due 4/1/2030 | 2,948,000 | 3,140,475 |
| | Series B, 3.60% due 3/15/2027 | 29,576,000 | 32,698,634 |
| | Edison International, 2.40% due 9/15/2022 | 4,900,000 | 4,997,265 |
| b,c | Enel Finance International N.V., 4.625% due 9/14/2025 | 18,443,000 | 20,870,837 |
| | Entergy Arkansas, LLC, 4.00% due 6/1/2028 | 3,965,000 | 4,427,398 |
| | Entergy Louisiana, LLC, | | |
| | 0.62% due 11/17/2023 | 6,555,000 | 6,560,572 |
| | 4.80% due 5/1/2021 | 4,300,000 | 4,312,857 |
| | Entergy Mississippi, Inc., 3.25% due 12/1/2027 | 4,727,000 | 5,062,712 |
| | Entergy Texas, Inc., 3.45% due 12/1/2027 | 12,000,000 | 12,844,920 |
| | Eversource Energy, | | |
| | 1.65% due 8/15/2030 | 6,560,000 | 6,083,678 |
| | 3.80% due 12/1/2023 | 12,395,000 | 13,398,995 |
| | Exelon Corp., 4.05% due 4/15/2030 | 9,640,000 | 10,719,294 |
| | Interstate Power and Light Co., 2.30% due 6/1/2030 | 1,860,000 | 1,836,192 |
| c | ITC Holdings Corp., 2.95% due 5/14/2030 | 14,800,000 | 15,152,536 |
| c | Jersey Central Power & Light Co., 4.30% due 1/15/2026 | 7,094,000 | 7,772,825 |
| c | Liberty Utilities Finance GP 1, 2.05% due 9/15/2030 | 14,660,000 | 13,818,956 |
| c | Midland Cogeneration Venture L.P., 6.00% due 3/15/2025 | 2,151,866 | 2,233,851 |
| c | Narragansett Electric Co., 3.395% due 4/9/2030 | 6,905,000 | 7,353,411 |
| | NextEra Energy Capital Holdings, Inc., | | |
| a | 0.452% (LIBOR 3 Month + 0.27%) due 2/22/2023 | 33,970,000 | 33,971,359 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 33 |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | 0.65% due 3/1/2023 | $ 5,000,000 | $ 5,015,150 |
| c | Niagara Mohawk Power Corp., 1.96% due 6/27/2030 | 9,775,000 | 9,377,060 |
| | Northern States Power Co., 3.30% due 6/15/2024 | 10,000,000 | 10,664,000 |
| | Oklahoma Gas & Electric Co., 3.25% due 4/1/2030 | 14,795,000 | 15,797,213 |
| | Pacific Gas and Electric Co., | | |
| | 1.367% due 3/10/2023 | 11,228,000 | 11,230,133 |
| | 1.75% due 6/16/2022 | 17,691,000 | 17,715,414 |
| | PacifiCorp, 3.50% due 6/15/2029 | 2,963,000 | 3,226,707 |
| | PPL Capital Funding, Inc., 4.125% due 4/15/2030 | 24,434,000 | 27,531,009 |
| | Public Service Co. of New Mexico, 5.35% due 10/1/2021 | 3,000,000 | 3,033,420 |
| | Puget Energy, Inc., 4.10% due 6/15/2030 | 4,742,000 | 5,155,313 |
| c | Rochester Gas and Electric Corp., 1.85% due 12/1/2030 | 4,800,000 | 4,491,792 |
| | San Diego Gas & Electric Co., 3.60% due 9/1/2023 | 4,212,000 | 4,490,076 |
| a,d | Southern California Edison Co., 0.65% (SOFR + 0.64%) due 4/3/2023 | 19,476,000 | 19,493,528 |
| | Southern Co., | | |
| | 3.25% due 7/1/2026 | 2,769,000 | 2,964,768 |
| | Series 21-B 1.75% due 3/15/2028 | 5,000,000 | 4,854,300 |
| | Series A, 3.70% due 4/30/2030 | 4,889,000 | 5,281,929 |
| | Southern Power Co., 0.90% due 1/15/2026 | 4,703,000 | 4,569,670 |
| b,c | Transelec S.A., 4.25% due 1/14/2025 | 6,000,000 | 6,538,980 |
| | Gas Utilities — 0.9% | | |
| a | CenterPoint Energy Resources Corp., 0.684% (LIBOR 3 Month + 0.50%) due 3/2/2023 | 7,649,000 | 7,649,153 |
| | NiSource, Inc., 0.95% due 8/15/2025 | 14,735,000 | 14,452,383 |
| a | ONE Gas, Inc., 0.787% (LIBOR 3 Month + 0.61%) due 3/11/2023 | 37,827,000 | 37,822,839 |
| | Southern Co. Gas Capital Corp., | | |
| | 1.75% due 1/15/2031 | 19,569,000 | 18,160,619 |
| | 3.50% due 9/15/2021 | 9,925,000 | 9,983,756 |
| | Southwest Gas Corp., 2.20% due 6/15/2030 | 4,810,000 | 4,688,932 |
| | | | 679,626,309 |
| | Total Corporate Bonds (Cost $3,317,953,903) | | 3,394,891,111 |
| | Convertible Bonds — 0.0% | | |
| | Diversified Financials — 0.0% | | |
| | Capital Markets — 0.0% | | |
| | Ares Capital Corp., 4.625% due 3/1/2024 | 3,936,000 | 4,284,690 |
| | | | 4,284,690 |
| | Total Convertible Bonds (Cost $3,737,195) | | 4,284,690 |
| | Loan Participations — 0.7% | | |
| | Capital Goods — 0.3% | | |
| | Aerospace & Defense — 0.3% | | |
| h,i | Boeing Co., 1.434% (LIBOR 3 Month + 1.25%) due 2/7/2022 | 26,302,314 | 26,276,012 |
| | | | 26,276,012 |
| | Media & Entertainment — 0.2% | | |
| | Media — 0.2% | | |
| h,i | Charter Communications Operating, LLC, 1.86% (LIBOR 1 Month + 1.75%) due 2/1/2027 | 19,484,849 | 19,377,682 |
| h | Lamar Media Corp., 1.604% (LIBOR 1 Month + 1.50%) due 2/5/2027 | 4,750,000 | 4,706,965 |
| h | Nielsen Finance LLC, 2.103% (LIBOR 1 Month + 2.00%) due 10/4/2023 | 1,428,184 | 1,425,285 |
| | | | 25,509,932 |
| | Utilities — 0.2% | | |
| | Electric Utilities — 0.2% | | |
| h | Pacific Gas & Electric Company, 2.375% (LIBOR 3 Month + 2.25%) due 1/3/2022 | 19,515,000 | 19,515,000 |
| | | | 19,515,000 |
| | Total Loan Participations (Cost $70,657,635) | | 71,300,944 |
| | Long-Term Municipal Bonds — 0.5% | | |
| | Colorado Educational & Cultural Facilities Authority, | | |
34 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Series B, | | |
| | 2.474% due 3/1/2022 | $ 600,000 | $ 610,332 |
| | 2.691% due 3/1/2023 | 580,000 | 601,866 |
| | New Jersey Transportation Trust Fund Authority, | | |
| | 2.551% due 6/15/2023 | 1,170,000 | 1,201,052 |
| | 2.631% due 6/15/2024 | 860,000 | 893,841 |
| | New York State Urban Development Corp., Series D-1, 2.55% due 3/15/2022 | 29,675,000 | 30,246,541 |
| | Redlands Redevelopment Agency Successor Agency (Insured: AMBAC) ETM, Series A, 5.818% due 8/1/2022 | 555,000 | 580,891 |
| | Rutgers The State University of New Jersey, Series K, 3.028% due 5/1/2021 | 1,500,000 | 1,502,745 |
| | State of Connecticut GO, | | |
| | Series A, | | |
| | 3.471% due 9/15/2022 | 4,695,000 | 4,915,430 |
| | 4.00% due 9/15/2021 | 3,980,000 | 4,048,456 |
| | Total Long-Term Municipal Bonds (Cost $43,627,057) | | 44,601,154 |
| | Short-Term Investments — 8.2% | | |
| j | Thornburg Capital Management Fund | 81,278,652 | 812,786,524 |
| | Total Short-Term Investments (Cost $812,786,524) | | 812,786,524 |
| | Total Investments — 100.2% (Cost $9,829,821,064) | | $9,946,390,586 |
| | Liabilities Net of Other Assets — (0.2)% | | (19,635,361) |
| | Net Assets — 100.0% | | $9,926,755,225 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| 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 are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $3,533,130,902, representing 35.59% of the Fund’s net assets. |
| d | When-issued security. |
| e | Segregated as collateral for a when-issued security. |
| f | Bond in default. |
| g | Non-income producing. |
| h | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at March 31, 2021. |
| i | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be effective at the time of settlement and will be based upon the London-Interbank Offered Rate ("LIBOR") plus a premium which was determined at the time of purchase. |
| j | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AMBAC | Insured by American Municipal Bond Assurance Corp. |
| CMO | Collateralized Mortgage Obligation |
| ETM | Escrowed to Maturity |
| GO | General Obligation |
| H15T1Y | US Treasury Yield Curve Rate T-Note Constant Maturity 1 Year |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SPV | Special Purpose Vehicle |
| UMBS | Uniform Mortgage Backed Securities |
| VA | Veterans Affairs |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 35 |
Schedule of Investments
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | U.S. Treasury Securities — 1.8% | | |
| | United States Treasury Note, 1.125% due 9/30/2021 | $425,000 | $ 427,291 |
| | United States Treasury Notes Inflationary Index, 0.125% due 4/15/2022 | 322,638 | 331,529 |
| | Total U.S. Treasury Securities (Cost $750,113) | | 758,820 |
| | U.S. Government Agencies — 0.3% | | |
| | Export Leasing (2009), LLC (Guaranty: Export-Import Bank of the United States), 1.859% due 8/28/2021 | 5,307 | 5,313 |
| | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), | | |
| a,b | 0.591% (LIBOR 3 Month + 0.35%) due 4/15/2025 | 42,500 | 41,151 |
| b | 1.70% due 12/20/2022 | 20,000 | 19,905 |
| | Small Business Administration Participation Certificates, | | |
| | Series 2005-20K Class 1, 5.36% due 11/1/2025 | 11,351 | 12,058 |
| | Series 2009-20E Class 1, 4.43% due 5/1/2029 | 37,521 | 40,143 |
| | Total U.S. Government Agencies (Cost $117,011) | | 118,570 |
| | Mortgage Backed — 6.3% | | |
| a,c | Angel Oak Mortgage Trust, LLC, Whole Loan Securities Trust CMO, Series 2018-2 Class A1, 3.674% due 7/27/2048 | 26,510 | 26,663 |
| | Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2018-1 Class A1, 3.763% due 4/25/2048 | 41,637 | 41,713 |
| a,c | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 54,790 | 55,832 |
| a,c | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 57,487 | 58,973 |
| c | Bravo Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 45,995 | 47,279 |
| | COMM Mortgage Trust, | | |
| | Series 2012-CR5 Class ASB, 2.388% due 12/10/2045 | 38,498 | 38,970 |
| | Series 2014-CR15 Class A2, 2.928% due 2/10/2047 | 236,007 | 236,690 |
| | Series 2014-LC17 Class A3, 3.723% due 10/10/2047 | 60,000 | 60,810 |
| | Series 2016-COR1 Class A2, 2.499% due 10/10/2049 | 331,454 | 333,906 |
| | Federal Home Loan Mtg Corp., Pool G15523, 2.50% due 8/1/2025 | 41,667 | 43,360 |
| | Federal Home Loan Mtg Corp., Multi-Family Structured Pass Through, | | |
| | Series K020 Class A1, 1.573% due 1/25/2022 | 5,295 | 5,299 |
| | Series K036 Class A1, 2.777% due 4/25/2023 | 84,077 | 86,138 |
| | Series K717 Class A2, 2.991% due 9/25/2021 | 94,572 | 95,195 |
| a | Federal Home Loan Mtg Corp., REMIC, Series 3877 Class FA, 0.456% (LIBOR 1 Month + 0.35%) due 11/15/2040 | 45,751 | 45,876 |
| | Federal Home Loan Mtg Corp., Seasoned Credit Risk Transfer, Whole Loan Securities Trust CMO, | | |
| a | Series 2017-3 Class HA, 3.25% due 7/25/2056 | 45,143 | 48,182 |
| a | Series 2018-1 Class HA, 3.00% due 5/25/2057 | 32,070 | 33,956 |
| a | Series 2018-2 Class HA, 3.00% due 11/25/2057 | 126,400 | 133,555 |
| | Federal National Mtg Assoc., UMBS Collateral, | | |
| | Pool AS7323, 2.50% due 6/1/2031 | 219,368 | 230,442 |
| | Pool AS8538, 2.50% due 12/1/2026 | 111,136 | 115,717 |
| | Pool FM1126, 3.00% due 3/1/2033 | 41,997 | 44,615 |
| | Pool MA3557, 4.00% due 1/1/2029 | 76,002 | 81,001 |
| a,c | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 38,806 | 39,618 |
| a,c | FWD Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-INV1 Class A1, 2.81% due 6/25/2049 | 63,178 | 65,222 |
| a,c | GCAT LLC, Whole Loan Securities Trust CMO, Series 2019-NQM1 Class A1, 2.985% due 2/25/2059 | 51,760 | 51,954 |
| a,c | GCAT Trust, Whole Loan Securities Trust CMO, Series 2019-NQM2 Class A1, 2.855% due 9/25/2059 | 58,774 | 59,226 |
| | Government National Mtg Assoc., Series 2013-55 Class AB, 1.579% due 12/16/2042 | 67,334 | 67,561 |
| a,c | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1, 3.454% due 1/25/2059 | 38,953 | 38,952 |
| | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| a,c | Series 2017-2 Class A6, 3.00% due 5/25/2047 | 4,687 | 4,747 |
| a,c | Series 2017-6 Class A5, 3.50% due 12/25/2048 | 4,270 | 4,278 |
| a,c | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 178,241 | 185,172 |
| | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7 Class AAB, 2.469% due 2/15/2046 | 56,394 | 57,256 |
| a,c | New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, Series 2017-5A Class A1, 1.609% (LIBOR 1 Month + 1.50%) due 6/25/2057 | 31,421 | 31,936 |
| a,c | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.703% due 9/25/2059 | 59,823 | 60,668 |
| a,c | Verus Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-3 Class A1, 2.784% due 7/25/2059 | 71,319 | 72,811 |
| | WFRBS Commercial Mortgage Trust, Series 2013-C14, 2.977% due 6/15/2046 | 93,934 | 96,386 |
| | Total Mortgage Backed (Cost $2,652,065) | | 2,699,959 |
| | Asset Backed Securities — 53.8% | | |
36 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Auto Receivables — 20.6% | | |
| | ACC Trust, | | |
| c | Series 2019-2 Class A, 2.82% due 2/21/2023 | $ 30,166 | $ 30,356 |
| c | Series 2020-A Class A, 6.00% due 3/20/2023 | 137,438 | 141,600 |
| | Ally Auto Receivables Trust, | | |
| | Series 2017-4 Class A4, 1.96% due 7/15/2022 | 69,435 | 69,467 |
| | Series 2018-2 Class A3, 2.92% due 11/15/2022 | 28,484 | 28,616 |
| | American Credit Acceptance Receivables Trust, | | |
| c | Series 2018-2 Class C, 3.70% due 7/10/2024 | 4,981 | 4,983 |
| c | Series 2019-2 Class B, 3.05% due 5/12/2023 | 33,779 | 33,796 |
| c | Series 2020-1 Class A, 1.89% due 4/13/2023 | 23,674 | 23,713 |
| c | Series 2020-4 Class A, 0.53% due 3/13/2024 | 264,558 | 264,706 |
| c | Series 2021-1 Class A, 0.35% due 5/13/2024 | 183,034 | 182,998 |
| c | ARI Fleet Lease Trust, Series 2019-A Class A2A, 2.41% due 11/15/2027 | 235,165 | 237,157 |
| c | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1 Class A, 2.99% due 7/15/2024 | 123,500 | 125,276 |
| c | Avid Automobile Receivables Trust, Series 2019-1 Class A, 2.62% due 2/15/2024 | 118,175 | 118,955 |
| c | Bank of The West Auto Trust, Series 2019-1 Class A2, 2.40% due 10/17/2022 | 3,197 | 3,199 |
| c | Capital Auto Receivables Asset Trust, Series 2018-1 Class A4, 2.93% due 6/20/2022 | 133,063 | 133,349 |
| | CarMax Auto Owner Trust, | | |
| | Series 2017-2 Class B, 2.41% due 12/15/2022 | 425,000 | 426,698 |
| | Series 2017-4 Class C, 2.70% due 10/16/2023 | 60,000 | 60,939 |
| | Series 2018-3 Class A3, 3.13% due 6/15/2023 | 126,705 | 128,330 |
| | CarNow Auto Receivables Trust, | | |
| c | Series 2019-1A Class A, 2.72% due 11/15/2022 | 16,608 | 16,673 |
| c | Series 2020-1A Class A, 1.76% due 2/15/2023 | 136,249 | 136,836 |
| | Carvana Auto Receivables Trust, | | |
| c | Series 2020-N1A Class A, 1.53% due 1/16/2024 | 68,205 | 68,441 |
| c | Series 2021-P1 Class N, 2.16% due 12/10/2027 | 300,000 | 300,001 |
| | CIG Auto Receivables Trust, | | |
| c | Series 2019-1A Class B, 3.59% due 8/15/2024 | 375,000 | 383,229 |
| c | Series 2020-1A Class A, 0.68% due 10/12/2023 | 104,678 | 104,714 |
| | CPS Auto Receivables Trust, | | |
| c | Series 2019-A Class B, 3.58% due 12/16/2024 | 20,300 | 20,340 |
| c | Series 2019-B Class B, 3.09% due 4/17/2023 | 33,664 | 33,751 |
| c | Series 2019-D Class A, 2.17% due 12/15/2022 | 4,175 | 4,177 |
| c | Series 2019-D Class B, 2.35% due 11/15/2023 | 107,000 | 107,706 |
| c | Series 2020-A Class A, 2.09% due 5/15/2023 | 84,123 | 84,398 |
| c | Series 2021-A Class A, 0.35% due 1/16/2024 | 110,357 | 110,318 |
| c | CPS Auto Trust, Series 2017-A Class D, 4.61% due 12/15/2022 | 87,679 | 88,680 |
| | Drive Auto Receivables Trust, Series 2018-4 Class C 3.66% due 11/15/2024 | 30,161 | 30,294 |
| c | DT Auto Owner Trust, Series 2018-3A Class C, 3.79% due 7/15/2024 | 382,879 | 385,798 |
| | Exeter Automobile Receivables Trust, | | |
| c | Series 2017-3A Class C, 3.68% due 7/17/2023 | 372,266 | 378,808 |
| c | Series 2020-1A Class A, 2.05% due 6/15/2023 | 37,424 | 37,488 |
| | FHF Trust, | | |
| c | Series 2020-1A Class A, 2.59% due 12/15/2023 | 122,022 | 122,946 |
| c | Series 2021-1A Class A, 1.27% due 3/15/2027 | 125,000 | 124,896 |
| | Fifth Third Auto Trust, Series 2017-1 Class A4, 2.03% due 7/15/2024 | 44,492 | 44,514 |
| c | Flagship Credit Auto Trust, Series 2018-4 Class A, 3.41% due 5/15/2023 | 49,336 | 49,544 |
| | Ford Credit Floorplan Master Owner Trust, Series 2018-3 Class A1, 3.52% due 10/15/2023 | 55,000 | 55,949 |
| | Foursight Capital Automobile Receivables Trust, | | |
| c | Series 2019-1 Class A2, 2.58% due 3/15/2023 | 4,259 | 4,261 |
| c | Series 2021-1 Class A1, 0.27% due 2/15/2022 | 158,943 | 158,928 |
| | GLS Auto Receivables Issuer Trust, | | |
| c | Series 2019-1A Class A, 3.37% due 1/17/2023 | 275 | 275 |
| c | Series 2019-4A Class A, 2.47% due 11/15/2023 | 18,708 | 18,844 |
| c | Series 2020-1A Class A, 2.17% due 2/15/2024 | 118,460 | 119,448 |
| c | Series 2020-3A Class A, 0.69% due 10/16/2023 | 39,005 | 39,057 |
| c | Series 2021-1A Class A, 0.34% due 5/15/2024 | 200,000 | 199,940 |
| | GM Financial Automobile Leasing Trust, | | |
| | Series 2019-1 Class A3, 2.98% due 12/20/2021 | 10,743 | 10,754 |
| | Series 2019-1 Class A4, 3.08% due 12/20/2022 | 271,000 | 271,774 |
| | Series 2019-1 Class C, 3.56% due 12/20/2022 | 300,000 | 303,264 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 37 |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Honda Auto Receivables Owner Trust, Series 2018-3 Class A3, 2.95% due 8/22/2022 | $ 24,957 | $ 25,147 |
| a,c | Navistar Financial Dealer Note Master Trust, Series 2020-1 Class A, 1.059% (LIBOR 1 Month + 0.95%) due 7/25/2025 | 123,000 | 123,841 |
| c | NextGear Floorplan Master Owner Trust, Series 2018-2A Class A2, 3.69% due 10/15/2023 | 206,000 | 209,673 |
| | Nissan Auto Receivables Owner Trust, Series 2017-A Class A4, 2.11% due 5/15/2023 | 10,607 | 10,623 |
| c | Octane Receivables Trust, Series 2019-1A Class A, 3.16% due 9/20/2023 | 165,785 | 167,629 |
| b,c | OSCAR US Funding Trust, Series 2018-1A Class A3, 3.23% due 5/10/2022 | 10,303 | 10,307 |
| b,c | Oscar US Funding XI, LLC, Series 2019-2A Class A3, 2.59% due 9/11/2023 | 100,000 | 101,711 |
| b,c | Oscar US Funding XII, LLC, Series 2021-1A Class A1, 0.222% due 3/10/2022 | 400,000 | 399,951 |
| c | Prestige Auto Receivables Trust, Series 2019-1A Class B, 2.53% due 1/16/2024 | 328,000 | 331,634 |
| c | Santander Consumer Auto Receivables Trust, Series 2021-AA Class A1, 0.182% due 1/18/2022 | 135,187 | 135,168 |
| | Santander Drive Auto Receivables Trust, Series 2018-5 Class C, 3.81% due 12/16/2024 | 244,402 | 245,968 |
| c | Skopos Auto Receivables Trust, Series 2019-1A Class A, 2.90% due 12/15/2022 | 29,231 | 29,269 |
| c | TCF Auto Receivables Owner Trust, Series 2016-PT1A Class B, 2.92% due 10/17/2022 | 14,462 | 14,472 |
| | Tesla Auto Lease Trust, | | |
| c | Series 2019-A Class A2, 2.13% due 4/20/2022 | 52,747 | 53,089 |
| c | Series 2020-A Class A2, 0.55% due 5/22/2023 | 202,855 | 203,106 |
| | United Auto Credit Securitization Trust, | | |
| c | Series 2018-2 Class D, 4.26% due 5/10/2023 | 110,957 | 111,013 |
| c | Series 2020-1 Class A, 0.85% due 5/10/2022 | 76,473 | 76,506 |
| c | Series 2021-1 Class A, 0.34% due 7/10/2023 | 200,000 | 199,958 |
| c | USASF Receivables, LLC, Series 2020-1A Class A, 2.47% due 8/15/2023 | 112,449 | 113,646 |
| | Westlake Automobile Receivables Trust, | | |
| c | Series 2020-1A Class A2, 1.44% due 9/15/2023 | 147,207 | 147,878 |
| c | Series 2020-3A Class A1, 0.207% due 10/15/2021 | 10,502 | 10,501 |
| | World Omni Automobile Lease Securitization Trust, Series 2018-B Class B, 3.43% due 3/15/2024 | 175,000 | 175,891 |
| | | | 8,727,165 |
| | Credit Card — 5.9% | | |
| | American Express Credit Account Master Trust, | | |
| | Series 2018-8 Class A, 3.18% due 4/15/2024 | 250,000 | 253,309 |
| | Series 2019-1 Class A, 2.87% due 10/15/2024 | 200,000 | 204,990 |
| a | Barclays Dryrock Issuance Trust, Series 2018-1 Class A, 0.436% (LIBOR 1 Month + 0.33%) due 7/15/2024 | 250,000 | 250,295 |
| a | Capital One Multi-Asset Execution Trust, Series 2016-A2 Class A2, 0.736% (LIBOR 1 Month + 0.63%) due 2/15/2024 | 350,000 | 350,058 |
| a | Discover Card Execution Note Trust, Series 2018-A3 Class A3, 0.336% (LIBOR 1 Month + 0.23%) due 12/15/2023 | 345,000 | 345,125 |
| c | Fair Square Issuance Trust, Series 2020-AA Class A, 2.90% due 9/20/2024 | 220,000 | 222,469 |
| | Genesis Private Label Amortizing Trust, | | |
| c | Series 2020-1 Class A, 2.08% due 7/20/2030 | 257,612 | 257,939 |
| c | Series 2020-1 Class B, 2.83% due 7/20/2030 | 100,000 | 100,441 |
| c | Series 2020-1 Class C, 4.19% due 7/20/2030 | 100,000 | 101,316 |
| | World Financial Network Credit Card Master Trust, Series 2019-B Class A, 2.49% due 4/15/2026 | 400,000 | 410,343 |
| | | | 2,496,285 |
| | Other Asset Backed — 22.5% | | |
| | Affirm Asset Securitization Trust, | | |
| c | Series 2020-A Class A, 2.10% due 2/18/2025 | 200,000 | 202,117 |
| c | Series 2020-Z2 Class A, 1.90% due 1/15/2025 | 220,877 | 222,675 |
| c | Amur Equipment Finance Receivables VI, LLC, Series 2018-2A Class A2, 3.89% due 7/20/2022 | 58,981 | 59,997 |
| c | Amur Equipment Finance Receivables VII, LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | 67,349 | 68,454 |
| c | Amur Equipment Finance Receivables VIII, LLC, Series 2020-1A Class A2, 1.68% due 8/20/2025 | 92,273 | 93,106 |
| c | Aqua Finance Trust, Series 2019-A Class A, 3.14% due 7/16/2040 | 56,261 | 57,734 |
| c | Ascentium Equipment Receivables, Series 2017-2A Class C, 2.87% due 8/10/2022 | 90,000 | 91,446 |
| | Avant Loans Funding Trust, | | |
| c | Series 2019-A Class B, 3.80% due 12/15/2022 | 103,215 | 103,536 |
| c | Series 2019-B Class B, 3.15% due 10/15/2026 | 150,000 | 151,305 |
| a,c | Bayview Opportunity Master Fund, Series 2017-RT3 Class A, 3.50% due 1/28/2058 | 43,297 | 43,768 |
| a,c | Bayview Opportunity Master Fund IV Trust, Series 2017-RT1 Class A1, 3.00% due 3/28/2057 | 62,951 | 63,928 |
| c | BCC Funding Corp. XVI, LLC, Series 2019-1A Class A2, 2.46% due 8/20/2024 | 109,269 | 110,513 |
| c | BCC Funding XVII, LLC, Series 2020-1 Class A1, 0.31% due 10/20/2021 | 224,814 | 224,739 |
| c | BRE Grand Islander Timeshare Issuer, LLC, Series 2017-1A Class A, 2.94% due 5/25/2029 | 96,806 | 99,185 |
| | Conn’s Receivables Funding, LLC, | | |
| c | Series 2019-A Class A, 3.40% due 10/16/2023 | 78,146 | 78,392 |
| c | Series 2020-A Class A, 1.71% due 6/16/2025 | 126,082 | 126,133 |
| c | Consumer Lending Receivables Trust, Series 2019-A Class A, 3.52% due 4/15/2026 | 2,734 | 2,737 |
| c | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1 Class A, 2.26% due 3/15/2028 | 58,271 | 58,615 |
38 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | Consumer Loan Underlying Bond Credit Trust, | | |
| c | Series 2018-P3 Class A, 3.82% due 1/15/2026 | $ 958 | $ 959 |
| c | Series 2019-P2 Class A, 2.47% due 10/15/2026 | 31,792 | 31,927 |
| c | Crossroads Asset Trust, Series 2021-A Class A1, 0.374% due 12/20/2021 | 194,312 | 194,277 |
| | Dell Equipment Finance Trust, | | |
| c | Series 2018-1 Class B, 3.34% due 6/22/2023 | 152,291 | 152,621 |
| c | Series 2020-1 Class A2, 2.26% due 6/22/2022 | 73,180 | 73,807 |
| c | Dext, LLC, Series 2020-1 Class A, 1.46% due 2/16/2027 | 165,419 | 165,665 |
| c | Diamond Resorts Owner Trust, Series 2019-1A Class A, 2.89% due 2/20/2032 | 109,726 | 113,083 |
| c | DLL Securitization Trust, Series 2017-A Class A4, 2.43% due 11/17/2025 | 170,816 | 171,633 |
| c | DLL, LLC, Series 2018-ST2 Class A3, 3.46% due 1/20/2022 | 13,053 | 13,072 |
| | Foundation Finance Trust, | | |
| c | Series 2016-1A Class A, 3.96% due 6/15/2035 | 12,455 | 12,563 |
| c | Series 2017-1A Class A, 3.30% due 7/15/2033 | 20,069 | 20,445 |
| c | Series 2019-1A Class A, 3.86% due 11/15/2034 | 70,545 | 72,911 |
| | Freed ABS Trust, | | |
| c | Series 2019-1 Class B, 3.87% due 6/18/2026 | 50,485 | 51,057 |
| c | Series 2019-2 Class A, 2.62% due 11/18/2026 | 30,111 | 30,213 |
| c | Series 2020-2CP Class A, 4.52% due 6/18/2027 | 44,402 | 44,771 |
| c | Series 2020-3FP Class A, 2.40% due 9/20/2027 | 57,988 | 58,208 |
| c | Series 2020-FP1 Class A, 2.52% due 3/18/2027 | 84,250 | 84,746 |
| c | Series 2021-1CP Class A, 0.66% due 3/20/2028 | 139,238 | 138,989 |
| a,c | Gracie Point International Funding, Series 2020-B Class A, 1.515% (LIBOR 1 Month + 1.40%) due 5/2/2023 | 99,996 | 100,149 |
| c | Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | 97,982 | 100,751 |
| c | LendingClub Receivables Trust, Series 2020-6A Class A, 2.75% due 11/15/2047 | 191,481 | 192,799 |
| c | Lendingpoint Asset Securitization Trust, Series 2020-1 Class A, 2.512% due 2/10/2026 | 3,720 | 3,721 |
| | Lendmark Funding Trust, | | |
| c | Series 2018-1A Class A, 3.81% due 12/21/2026 | 350,000 | 351,471 |
| c | Series 2018-2A Class A, 4.23% due 4/20/2027 | 200,000 | 203,893 |
| | LL ABS Trust, | | |
| c | Series 2019-1A Class A, 2.87% due 3/15/2027 | 46,837 | 47,044 |
| c | Series 2019-1A Class B, 3.52% due 3/15/2027 | 100,000 | 101,593 |
| c | Series 2020-1A Class A, 2.33% due 1/17/2028 | 134,090 | 135,444 |
| | Marlette Funding Trust, | | |
| c | Series 2019-2A Class A, 3.13% due 7/16/2029 | 45,970 | 46,250 |
| c | Series 2019-4A Class A, 2.39% due 12/17/2029 | 56,941 | 57,368 |
| c | Series 2020-1A Class B, 2.38% due 3/15/2030 | 150,000 | 151,920 |
| c | Series 2020-2A Class A, 1.02% due 9/16/2030 | 47,851 | 47,916 |
| | MMAF Equipment Finance, LLC, | | |
| c | Series 2014-AA Class A5, 2.33% due 12/8/2025 | 194,186 | 196,038 |
| c | Series 2017-AA Class A4, 2.41% due 8/16/2024 | 349,976 | 352,579 |
| c | Series 2018-A Class A3, 3.20% due 9/12/2022 | 59,041 | 59,462 |
| | Nationstar HECM Loan Trust, | | |
| a,c | Series 2019-1A Class A, 2.651% due 6/25/2029 | 34,149 | 34,203 |
| a,c | Series 2020-1A Class A1, 1.269% due 9/25/2030 | 89,009 | 89,163 |
| c | NMEF Funding, LLC, Series 2021-A Class A1, 0.341% due 3/15/2022 | 400,000 | 399,882 |
| c | Oportun Funding, LLC, Series 2020-1 Class A, 2.20% due 5/15/2024 | 160,330 | 161,290 |
| c | Pagaya AI Debt Selection Trust, Series 2020-3 Class A, 2.10% due 5/17/2027 | 171,856 | 173,231 |
| c | Pawnee Equipment Receivables, LLC, Series 2019-1 Class A2, 2.29% due 10/15/2024 | 105,563 | 106,792 |
| | PFS Financing Corp., | | |
| c | Series 2018-F Class A, 3.52% due 10/15/2023 | 350,000 | 355,735 |
| c | Series 2018-F Class B, 3.77% due 10/15/2023 | 259,000 | 262,838 |
| a,c | Series 2019-B Class A, 0.656% (LIBOR 1 Month + 0.55%) due 9/15/2023 | 250,000 | 250,398 |
| c | Prosper Marketplace Issuance Trust, Series 2019-3A Class A, 3.19% due 7/15/2025 | 48,989 | 49,019 |
| | PSNH Funding, LLC 3, Series 2018-1 Class A1, 3.094% due 2/1/2026 | 50,341 | 52,311 |
| c | Regional Management Issuance Trust, Series 2019-1 Class A, 3.05% due 11/15/2028 | 175,000 | 179,054 |
| | SCF Equipment Leasing, LLC, | | |
| c | Series 2019-2A Class A1, 2.22% due 6/20/2024 | 50,711 | 51,181 |
| c | Series 2021-1A Class A1, 0.234% due 3/11/2022 | 302,736 | 302,624 |
| | Small Business Lending Trust, | | |
| c | Series 2019-A Class A, 2.85% due 7/15/2026 | 17,393 | 17,368 |
| c | Series 2020-A Class A, 2.62% due 12/15/2026 | 94,912 | 95,271 |
| c | SoFi Consumer Loan Program Trust, Series 2019-2 Class A, 3.01% due 4/25/2028 | 21,052 | 21,194 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 39 |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | SoFi Consumer Loan Program, LLC, | | |
| c | Series 2017-4 Class A, 2.50% due 5/26/2026 | $ 2,918 | $ 2,920 |
| c | Series 2017-6 Class A2, 2.82% due 11/25/2026 | 68,098 | 68,168 |
| c | Tax Ease Funding, LLC, Series 2016-1A Class A, 3.131% due 6/15/2028 | 11,525 | 11,550 |
| c | Theorem Funding Trust, Series 2020-1A Class A, 2.48% due 10/15/2026 | 96,467 | 97,395 |
| | Towd Point Mortgage Trust, | | |
| a,c | Series 2016-5 Class A1, 2.50% due 10/25/2056 | 32,245 | 32,863 |
| a,c | Series 2018-2 Class A1, 3.25% due 3/25/2058 | 56,451 | 58,862 |
| a,c | Series 2018-6 Class A1A, 3.75% due 3/25/2058 | 168,918 | 175,213 |
| a,c | Series 2019-HY2 Class 1, 1.109% (LIBOR 1 Month + 1.00%) due 5/25/2058 | 99,283 | 100,126 |
| c | Upstart Pass-Through Trust, Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 70,381 | 71,814 |
| | Upstart Securitization Trust, | | |
| c | Series 2019-1 Class B, 4.19% due 4/20/2026 | 12,305 | 12,322 |
| c | Series 2019-2 Class A, 2.897% due 9/20/2029 | 37,688 | 37,871 |
| c | Series 2019-2 Class B, 3.734% due 9/20/2029 | 150,000 | 152,802 |
| c | Series 2019-3 Class A, 2.684% due 1/21/2030 | 100,073 | 100,807 |
| c | Series 2019-3 Class B, 3.829% due 1/21/2030 | 150,000 | 153,769 |
| c | Series 2020-3 Class A, 1.702% due 11/20/2030 | 120,505 | 121,437 |
| c | Series 2021-1 Class A, 0.87% due 3/20/2031 | 144,999 | 144,595 |
| c | Verizon Owner Trust, Series 2018-1A Class A1A, 2.82% due 9/20/2022 | 14,560 | 14,590 |
| c | VSE VOI Mortgage, LLC, Series 2016-A Class A, 2.54% due 7/20/2033 | 161,214 | 162,014 |
| | | | 9,558,397 |
| | Student Loan — 4.8% | | |
| a,c | Earnest Student Loan Program, LLC, Series 2016-B Class A1, 2.159% (LIBOR 1 Month + 2.05%) due 2/26/2035 | 118,642 | 118,752 |
| | Navient Private Education Loan Trust, | | |
| a,c | Series 2014-AA Class A2B, 1.356% (LIBOR 1 Month + 1.25%) due 2/15/2029 | 325,923 | 327,959 |
| a,c | Series 2017-A Class A2B, 1.006% (LIBOR 1 Month + 0.90%) due 12/16/2058 | 103,157 | 103,377 |
| | Navient Student Loan Trust, | | |
| a,c | Series 2016-6A Class A2, 0.859% (LIBOR 1 Month + 0.75%) due 3/25/2066 | 48,348 | 48,490 |
| a,c | Series 2017-1A Class A2, 0.859% (LIBOR 1 Month + 0.75%) due 7/26/2066 | 108,146 | 108,284 |
| | Nelnet Student Loan Trust, | | |
| a,c | Series 2012-2A Class A, 0.909% (LIBOR 1 Month + 0.80%) due 12/26/2033 | 119,401 | 118,980 |
| a,c | Series 2015-3A Class A2, 0.709% (LIBOR 1 Month + 0.60%) due 2/27/2051 | 46,582 | 46,300 |
| a,c | Series 2016-A Class A1A, 1.859% (LIBOR 1 Month + 1.75%) due 12/26/2040 | 21,658 | 21,776 |
| a,c | Pennsylvania Higher Education Assistance Agency, Series 2012-1A Class A1, 0.659% (LIBOR 1 Month + 0.55%) due 5/25/2057 | 20,621 | 20,418 |
| a,c | SLM Private Education Loan Trust, Series 2014-A Class A3, 1.606% (LIBOR 1 Month + 1.50%) due 3/15/2032 | 105,984 | 106,141 |
| | SLM Student Loan Trust, | | |
| a | Series 2011-2 Class A1, 0.709% (LIBOR 1 Month + 0.60%) due 11/25/2027 | 40,611 | 40,632 |
| a | Series 2013-4 Class A, 0.659% (LIBOR 1 Month + 0.55%) due 6/25/2043 | 31,239 | 31,199 |
| a | Series 2013-6 Class A3, 0.759% (LIBOR 1 Month + 0.65%) due 6/25/2055 | 193,930 | 193,536 |
| | SMB Private Education Loan Trust, | | |
| a,c | Series 2015-A Class A2B, 1.106% (LIBOR 1 Month + 1.00%) due 6/15/2027 | 48,361 | 48,454 |
| a,c | Series 2015-B Class A2B, 1.306% (LIBOR 1 Month + 1.20%) due 7/15/2027 | 56,846 | 57,043 |
| a,c | Series 2016-B Class A2B, 1.556% (LIBOR 1 Month + 1.45%) due 2/17/2032 | 168,436 | 170,167 |
| a,c | Series 2020-A Class A1, 0.406% (LIBOR 1 Month + 0.30%) due 3/15/2027 | 74,387 | 74,343 |
| a,c | Series 2020-PTB Class A1, 0.409% (LIBOR 1 Month + 0.30%) due 9/15/2054 | 236,939 | 236,781 |
| | SoFi Professional Loan Program, LLC, | | |
| c | Series 2016-B Class A2B, 2.74% due 10/25/2032 | 21,793 | 21,978 |
| c | Series 2016-E Class A2B, 2.49% due 1/25/2036 | 125,392 | 126,179 |
| a,c | Series 2017-A Class A1, 0.809% (LIBOR 1 Month + 0.70%) due 3/26/2040 | 32,175 | 32,199 |
| | | | 2,052,988 |
| | Total Asset Backed Securities (Cost $22,659,032) | | 22,834,835 |
| | Corporate Bonds — 24.2% | | |
| | Automobiles & Components — 2.9% | | |
| | Automobiles — 2.4% | | |
| c | BMW US Capital, LLC, 2.95% due 4/14/2022 | 130,000 | 133,500 |
| a,c | Daimler Finance North America, LLC, 1.094% (LIBOR 3 Month + 0.90%) due 2/15/2022 | 150,000 | 150,898 |
| a,c | Daimler Finance North America, LLC,, 0.742% (LIBOR 3 Month + 0.55%) due 5/4/2021 | 150,000 | 150,054 |
| c | Hyundai Capital America, 3.95% due 2/1/2022 | 70,000 | 71,840 |
| a,c | Nissan Motor Acceptance Corp., 0.883% (LIBOR 3 Month + 0.69%) due 9/28/2022 | 33,000 | 33,014 |
40 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| b | Toyota Motor Corp., 2.157% due 7/2/2022 | $ 18,000 | $ 18,414 |
| a | Toyota Motor Credit Corp., 0.371% (SOFR + 0.34%) due 10/14/2022 | 250,000 | 250,360 |
| a,c | Volkswagen Group of America Finance, LLC, 1.141% (LIBOR 3 Month + 0.94%) due 11/12/2021 | 200,000 | 200,910 |
| | Trading Companies & Distributors — 0.5% | | |
| b,c | Mitsubishi UFJ Lease & Finance Co. Ltd., 3.406% due 2/28/2022 | 200,000 | 204,512 |
| | | | 1,213,502 |
| | Banks — 1.8% | | |
| | Banks — 1.8% | | |
| a,b,c | ABN AMRO Bank N.V., 0.76% (LIBOR 3 Month + 0.57%) due 8/27/2021 | 200,000 | 200,414 |
| a | PNC Bank NA, 0.501% (LIBOR 3 Month + 0.33%) due 2/24/2023 | 250,000 | 250,353 |
| | Santander Holdings USA, Inc., 4.45% due 12/3/2021 | 40,000 | 40,919 |
| | Zions Bancorp N.A., 3.35% due 3/4/2022 | 250,000 | 255,895 |
| | | | 747,581 |
| | Commercial & Professional Services — 0.2% | | |
| | Professional Services — 0.2% | | |
| | Verisk Analytics, Inc., 5.80% due 5/1/2021 | 100,000 | 100,384 |
| | | | 100,384 |
| | Consumer Durables & Apparel — 0.5% | | |
| | Household Durables — 0.5% | | |
| b,c | Panasonic Corp., 2.536% due 7/19/2022 | 200,000 | 204,712 |
| | | | 204,712 |
| | Diversified Financials — 3.2% | | |
| | Consumer Finance — 0.6% | | |
| a,c | Wells Fargo Bank NA, 1.00% (LIBOR 3 Month + 0.20%) due 5/18/2022 | 250,000 | 251,402 |
| | Diversified Financial Services — 2.5% | | |
| a | Citigroup, Inc., 0.888% (SOFR + 0.87%) due 11/4/2022 | 100,000 | 100,291 |
| a,b | Credit Suisse Group Funding Guernsey Ltd., 2.513% (LIBOR 3 Month + 2.29%) due 4/16/2021 | 250,000 | 250,175 |
| a,b | Deutsche Bank AG, 1.42% (LIBOR 3 Month + 1.23%) due 2/27/2023 | 100,000 | 100,469 |
| a | Goldman Sachs Group, Inc., Series FRN, 0.433% (SOFR + 0.41%) due 1/27/2023 | 250,000 | 249,807 |
| | Morgan Stanley, | | |
| a | 0.725% (SOFR + 0.70%) due 1/20/2023 | 125,000 | 125,298 |
| a | 0.84% (SOFR + 0.83%) due 6/10/2022 | 35,000 | 35,034 |
| a,b,c | UBS Group AG, 2.014% (LIBOR 3 Month + 1.78%) due 4/14/2021 | 200,000 | 200,092 |
| | Insurance — 0.1% | | |
| a,c | AIG Global Funding, 0.661% (LIBOR 3 Month + 0.46%) due 6/25/2021 | 50,000 | 50,049 |
| | | | 1,362,617 |
| | Energy — 0.2% | | |
| | Oil, Gas & Consumable Fuels — 0.2% | | |
| | EQM Midstream Partners L.P., Series 5Y, 4.75% due 7/15/2023 | 21,000 | 21,801 |
| a | Occidental Petroleum Corp., 1.644% (LIBOR 3 Month + 1.45%) due 8/15/2022 | 70,000 | 69,173 |
| | | | 90,974 |
| | Food & Staples Retailing — 0.9% | | |
| | Food & Staples Retailing — 0.9% | | |
| a,c | 7-Eleven, Inc., 0.645% (LIBOR 3 Month + 0.45%) due 8/10/2022 | 190,000 | 190,182 |
| b,c | Alimentation Couche-Tard, Inc., 2.70% due 7/26/2022 | 170,000 | 174,585 |
| | | | 364,767 |
| | Food, Beverage & Tobacco — 0.6% | | |
| | Beverages — 0.6% | | |
| | Molson Coors Brewing Co., 2.10% due 7/15/2021 | 235,000 | 235,757 |
| | Food Products — 0.0% | | |
| a | General Mills, Inc., 0.763% (LIBOR 3 Month + 0.54%) due 4/16/2021 | 20,000 | 20,002 |
| | | | 255,759 |
| | Health Care Equipment & Services — 0.7% | | |
| | Health Care Equipment & Supplies — 0.7% | | |
| | Zimmer Biomet Holdings, Inc., 3.375% due 11/30/2021 | 300,000 | 303,531 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 41 |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| | | | 303,531 |
| | Insurance — 2.4% | | |
| | Insurance — 2.4% | | |
| b | Enstar Group Ltd., 4.50% due 3/10/2022 | $ 50,000 | $ 51,531 |
| c | Guardian Life Global Funding, 3.40% due 4/25/2023 | 57,000 | 60,447 |
| | Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | 100,000 | 105,686 |
| | Jackson National Life Global Funding, | | |
| a,c | 0.657% (LIBOR 3 Month + 0.48%) due 6/11/2021 | 100,000 | 100,084 |
| c | 2.10% due 10/25/2021 | 100,000 | 100,977 |
| c | MassMutual Global Funding II, 2.00% due 4/15/2021 | 200,000 | 200,102 |
| a,c | New York Life Global Funding, 0.242% (SOFR + 0.22%) due 2/2/2023 | 250,000 | 249,907 |
| | Reliance Standard Life Global Funding II, | | |
| c | 2.625% due 7/22/2022 | 75,000 | 77,037 |
| c | 3.85% due 9/19/2023 | 50,000 | 53,789 |
| | | | 999,560 |
| | Media & Entertainment — 0.4% | | |
| | Media — 0.4% | | |
| c | Cox Communications, Inc., 3.25% due 12/15/2022 | 160,000 | 167,338 |
| | | | 167,338 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 1.2% | | |
| | Pharmaceuticals — 1.2% | | |
| a | AbbVie, Inc., 0.532% (LIBOR 3 Month + 0.35%) due 5/21/2021 | 200,000 | 200,058 |
| a,b | AstraZeneca plc, 0.857% (LIBOR 3 Month + 0.67%) due 8/17/2023 | 65,000 | 65,543 |
| c | Bayer US Finance II, LLC, 3.50% due 6/25/2021 | 250,000 | 251,087 |
| | | | 516,688 |
| | Real Estate — 1.1% | | |
| | Equity Real Estate Investment Trusts — 1.1% | | |
| | SBA Tower Trust, | | |
| c | 2.836% due 1/15/2050 | 100,000 | 104,657 |
| c | 3.722% due 4/9/2048 | 370,000 | 376,627 |
| | | | 481,284 |
| | Telecommunication Services — 1.4% | | |
| | Wireless Telecommunication Services — 1.4% | | |
| | Sprint Communications, Inc., 9.25% due 4/15/2022 | 550,000 | 592,471 |
| | | | 592,471 |
| | Transportation — 0.1% | | |
| | Road & Rail — 0.1% | | |
| c | Penske Truck Leasing Co. L.P. / PTL Finance Corp., 3.65% due 7/29/2021 | 35,000 | 35,276 |
| | | | 35,276 |
| | Utilities — 6.6% | | |
| | Electric Utilities — 5.1% | | |
| c | Alliant Energy Finance, LLC, 3.75% due 6/15/2023 | 42,000 | 44,644 |
| | CenterPoint Energy, Inc., 3.60% due 11/1/2021 | 150,000 | 152,792 |
| a | Consolidated Edison Co. of New York, Inc., Series C, 0.601% (LIBOR 3 Month + 0.40%) due 6/25/2021 | 165,000 | 165,119 |
| a | Dominion Energy, Inc., Series D, 0.714% (LIBOR 3 Month + 0.53%) due 9/15/2023 | 225,000 | 225,342 |
| a | Duke Energy Florida, LLC, Series A, 0.44% (LIBOR 3 Month + 0.25%) due 11/26/2021 | 165,000 | 165,148 |
| | NextEra Energy Capital Holdings, Inc., | | |
| a | 0.452% (LIBOR 3 Month + 0.27%) due 2/22/2023 | 200,000 | 200,008 |
| a | 0.672% (LIBOR 3 Month + 0.48%) due 5/4/2021 | 200,000 | 200,056 |
| | Pacific Gas and Electric Co., 1.75% due 6/16/2022 | 185,000 | 185,255 |
| a | PPL Electric Utilities Corp., 0.443% (LIBOR 3 Month + 0.25%) due 9/28/2023 | 200,000 | 199,872 |
| | Public Service Enterprise Group, 2.65% due 11/15/2022 | 50,000 | 51,713 |
| a | Southern California Edison Co., Series D, 0.454% (LIBOR 3 Month + 0.27%) due 12/3/2021 | 190,000 | 190,004 |
| | Tampa Electric Co., 2.60% due 9/15/2022 | 185,000 | 189,222 |
| | Virginia Electric & Power Co., 2.95% due 1/15/2022 | 205,000 | 207,747 |
| | Gas Utilities — 1.5% | | |
| a | Atmos Energy Corp., 0.565% (LIBOR 3 Month + 0.38%) due 3/9/2023 | 170,000 | 170,017 |
42 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Ultra Short Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | PRINCIPAL
AMOUNT | VALUE |
| a | CenterPoint Energy Resources Corp., 0.684% (LIBOR 3 Month + 0.50%) due 3/2/2023 | $155,000 | $ 155,003 |
| a | ONE Gas, Inc., 0.787% (LIBOR 3 Month + 0.61%) due 3/11/2023 | 215,000 | 214,977 |
| | Southern Co. Gas Capital Corp., 3.50% due 9/15/2021 | 100,000 | 100,592 |
| | | | 2,817,511 |
| | Total Corporate Bonds (Cost $10,169,426) | | 10,253,955 |
| | Long-Term Municipal Bonds — 0.6% | | |
| | Colorado Educational & Cultural Facilities Authority, Series B, 2.474% due 3/1/2022 | 50,000 | 50,861 |
| | New Jersey Transportation Trust Fund Authority, | | |
| | 2.551% due 6/15/2023 | 30,000 | 30,796 |
| | 2.631% due 6/15/2024 | 25,000 | 25,984 |
| | New York State Urban Development Corp., Series D-1, 2.55% due 3/15/2022 | 120,000 | 122,311 |
| | State of Connecticut GO, | | |
| | Series A, | | |
| | 3.471% due 9/15/2022 | 20,000 | 20,939 |
| | 4.00% due 9/15/2021 | 20,000 | 20,344 |
| | Total Long-Term Municipal Bonds (Cost $265,061) | | 271,235 |
| | Short-Term Investments — 13.4% | | |
| d | Thornburg Capital Management Fund | 493,424 | 4,934,244 |
| | TriState Insured Cash Sweep 0.30% due 10/1/2050 | 750,173 | 750,173 |
| | Total Short-Term Investments (Cost $5,684,417) | | 5,684,417 |
| | Total Investments — 100.4% (Cost $42,297,125) | | $42,621,791 |
| | Liabilities Net of Other Assets — (0.4)% | | (187,510) |
| | Net Assets — 100.0% | | $42,434,281 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| 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 are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $23,697,989, representing 55.85% of the Fund’s net assets. |
| d | Investment in Affiliates. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| CMO | Collateralized Mortgage Obligation |
| GO | General Obligation |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| UMBS | Uniform Mortgage Backed Securities |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 43 |
Schedule of Investments
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Common Stock — 0.1% | | |
| | Energy — 0.0% | | |
| | Oil, Gas & Consumable Fuels — 0.0% | | |
| a,b | Malamute Energy, Inc. | 847 | $ 847 |
| | | | 847 |
| | Retailing — 0.1% | | |
| | Specialty Retail — 0.1% | | |
| a,b | RGIS Restructure Equity | 91,468 | 1,646,424 |
| | | | 1,646,424 |
| | Total Common Stock (Cost $2,404,877) | | 1,647,271 |
| | Preferred Stock — 0.6% | | |
| | Banks — 0.3% | | |
| | Banks — 0.3% | | |
| c,d | AgriBank, FCB 6.875% (LIBOR 3 Month + 4.23%) | 40,000 | 4,320,000 |
| c,d | CoBank ACB Series F, 6.25% (LIBOR 3 Month + 4.56%) | 50,000 | 5,262,500 |
| | | | 9,582,500 |
| | Diversified Financials — 0.1% | | |
| | Diversified Financial Services — 0.1% | | |
| c | Compass Diversified Holdings Series C, 7.875% | 108,150 | 2,757,825 |
| | | | 2,757,825 |
| | Energy — 0.2% | | |
| | Oil, Gas & Consumable Fuels — 0.2% | | |
| c | Crestwood Equity Partners, L.P. 9.25% | 653,920 | 5,649,869 |
| | | | 5,649,869 |
| | Total Preferred Stock (Cost $16,666,798) | | 17,990,194 |
| | Asset Backed Securities — 21.5% | | |
| | Auto Receivables — 6.0% | | |
| | ACC Trust, | | |
| e | Series 2019-1 Class C, 6.41% due 2/20/2024 | $ 3,500,000 | 3,617,766 |
| e | Series 2019-2 Class B, 3.63% due 8/21/2023 | 3,400,000 | 3,463,571 |
| e | Series 2019-2 Class C, 5.24% due 10/21/2024 | 1,900,000 | 1,964,848 |
| e | Series 2020-A Class A, 6.00% due 3/20/2023 | 4,275,848 | 4,405,330 |
| e | American Credit Acceptance Receivables Trust, Series 2019-2 Class F, 5.81% due 6/12/2026 | 2,550,000 | 2,674,474 |
| | Arivo Acceptance Auto Loan Receivables Trust, | | |
| e | Series 2019-1 Class A, 2.99% due 7/15/2024 | 1,146,784 | 1,163,274 |
| e | Series 2019-1 Class B, 3.37% due 6/15/2025 | 2,000,000 | 2,071,835 |
| e | Series 2021-1A Class A, 1.19% due 1/15/2027 | 1,159,002 | 1,166,565 |
| e | Series 2021-1A Class C, 3.77% due 3/15/2027 | 900,000 | 917,937 |
| e | Series 2021-1A Class D, 5.83% due 1/18/2028 | 850,000 | 856,335 |
| | Avid Automobile Receivables Trust, | | |
| e | Series 2018-1 Class C, 5.13% due 2/18/2025 | 2,000,000 | 2,005,823 |
| e | Series 2019-1 Class A, 2.62% due 2/15/2024 | 945,402 | 951,641 |
| | CarNow Auto Receivables Trust, | | |
| e | Series 2019-1A Class A, 2.72% due 11/15/2022 | 498,244 | 500,185 |
| e | Series 2020-1A Class A, 1.76% due 2/15/2023 | 3,606,587 | 3,622,141 |
| | Carvana Auto Receivables Trust, | | |
| a,e | Series 2019-4A Class R, due 10/15/2026 | 8,000 | 3,700,000 |
| e | Series 2020-N1A Class E, 5.20% due 7/15/2027 | 5,000,000 | 5,371,785 |
| a,e | Series 2020-P1 Class R, due 9/8/2027 | 20,000 | 4,959,400 |
| a,e | Series 2021-N1 Class R, due 1/10/2028 | 16,371 | 8,011,149 |
| a,e | Series 2021-P1 Class R, due 12/10/2027 | 23,500 | 5,692,875 |
| | Chase Auto Credit Linked Notes, | | |
| a,e | Series 2020-2 Class R, 31.355% due 2/25/2028 | 7,986,296 | 7,986,296 |
| a,e | Series 2021-1 Class R, 28.348% due 9/25/2028 | 3,500,000 | 3,500,000 |
44 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| e | CIG Auto Receivables Trust, Series 2019-1A Class D, 4.85% due 5/15/2026 | $ 2,000,000 | $ 2,048,636 |
| | CPS Auto Receivables Trust, | | |
| e | Series 2018-B Class E, 5.61% due 12/16/2024 | 3,500,000 | 3,714,126 |
| e | Series 2018-C Class E, 6.07% due 9/15/2025 | 2,000,000 | 2,142,521 |
| e | Series 2019-A Class B, 3.58% due 12/16/2024 | 608,987 | 610,213 |
| e | Series 2019-B Class E, 5.00% due 3/17/2025 | 3,320,000 | 3,493,014 |
| e | Series 2020-A Class F, 6.93% due 3/15/2027 | 3,500,000 | 3,689,664 |
| e | Series 2020-B Class D, 4.75% due 4/15/2026 | 1,400,000 | 1,509,824 |
| e | Series 2020-C Class F, 6.67% due 11/15/2027 | 1,000,000 | 1,062,790 |
| a,e | Credit Suisse ABS Trust Series 2020-AT1 Class CERT, due 6/15/2026 | 10,000 | 730,000 |
| e | Drive Auto Receivables Trust, Series 2017-BA Class E, 5.30% due 7/15/2024 | 2,365,002 | 2,376,691 |
| e | FHF Trust, Series 2020-1A Class A, 2.59% due 12/15/2023 | 3,327,883 | 3,353,081 |
| e | First Investors Auto Owner, Series 2019-1A Class E, 4.53% due 6/16/2025 | 3,640,000 | 3,787,592 |
| | Flagship Credit Auto Trust, | | |
| a,e | Series 2018-4 Class R, due 3/16/2026 | 13,000 | 2,184,000 |
| a,e | Series 2019-1 Class R, due 6/15/2026 | 24,000 | 4,032,000 |
| a,e | Series 2019-2 Class R, due 12/15/2026 | 13,000 | 3,373,500 |
| a,e | Series 2019-3 Class R, due 12/15/2026 | 15,000 | 4,432,500 |
| a,e | Series 2019-4 Class R, due 3/15/2027 | 8,000 | 2,880,000 |
| | Foursight Capital Automobile Receivables Trust, | | |
| e | Series 2018-1 Class E, 5.56% due 1/16/2024 | 1,000,000 | 1,036,438 |
| e | Series 2018-2 Class E, 5.50% due 10/15/2024 | 1,370,000 | 1,448,938 |
| e | Series 2018-2 Class F, 6.48% due 6/15/2026 | 335,000 | 353,848 |
| e | Series 2019-1 Class F, 5.57% due 11/16/2026 | 500,000 | 519,713 |
| e | Series 2020-1 Class E, 3.49% due 4/15/2026 | 1,100,000 | 1,147,549 |
| e | Series 2021-1 Class F, 4.06% due 8/15/2028 | 2,830,000 | 2,808,002 |
| | GLS Auto Receivables Issuer Trust, | | |
| e | Series 2019-4A Class D, 4.09% due 8/17/2026 | 5,000,000 | 5,217,104 |
| e | Series 2020-2A Class C, 4.57% due 4/15/2026 | 2,025,000 | 2,187,316 |
| e | Series 2020-3A Class B, 1.38% due 8/15/2024 | 3,000,000 | 3,025,655 |
| e | Prestige Auto Receivables Trust, Series 2018-1A Class E, 5.03% due 1/15/2026 | 2,625,000 | 2,737,061 |
| | Santander Consumer Auto Receivables Trust, | | |
| a,e | Series 2020-AA Class R, due 1/16/2029 | 25,000 | 1,062,500 |
| e | Series 2021-AA Class F, 5.79% due 8/15/2028 | 3,000,000 | 3,021,620 |
| a,e | Series 2021-AA Class R, due 8/15/2028 | 28,500 | 5,158,500 |
| | Skopos Auto Receivables Trust, | | |
| e | Series 2019-1A Class A, 2.90% due 12/15/2022 | 178,634 | 178,868 |
| e | Series 2019-1A Class C, 3.63% due 9/16/2024 | 2,000,000 | 2,052,073 |
| e | Series 2019-1A Class D, 5.24% due 4/15/2025 | 2,650,000 | 2,749,164 |
| e | Tesla Auto Lease Trust, Series 2018-B Class E, 7.87% due 6/20/2022 | 7,825,000 | 8,027,092 |
| e | U.S. Auto Funding, LLC, Series 2019-1A Class C, 5.34% due 3/15/2023 | 2,511,000 | 2,551,455 |
| | United Auto Credit Securitization Trust, | | |
| e | Series 2020-1 Class F, 9.08% due 1/12/2026 | 3,205,000 | 3,440,249 |
| e | Series 2021-1 Class F, 4.30% due 9/10/2027 | 6,125,000 | 6,105,007 |
| e | USASF Receivables, LLC, Series 2020-1A Class A, 2.47% due 8/15/2023 | 5,301,149 | 5,357,587 |
| e | Veros Automobile Receivables Trust, Series 2020-1 Class D, 5.64% due 2/16/2027 | 7,000,000 | 7,079,946 |
| e | Westlake Automobile Receivables Trust, Series 2019-3A Class F, 4.72% due 4/15/2026 | 2,000,000 | 2,053,689 |
| | | | 183,342,756 |
| | Credit Card — 2.3% | | |
| e,f | Brex Commercial Charge Card Master Trust, Series 2021-1 Class A, 2.09% due 7/17/2024 | 3,150,000 | 3,149,767 |
| | Continental Credit Card, LLC, | | |
| e | Series 2019-1A Class A, 3.83% due 8/15/2026 | 7,000,000 | 7,171,566 |
| e | Series 2019-1A Class C, 6.16% due 8/15/2026 | 6,440,000 | 6,759,080 |
| | Continental Finance Credit Card ABS Master Trust, | | |
| e | Series 2020-1A Class A, 2.24% due 12/15/2028 | 3,000,000 | 3,022,853 |
| e | Series 2020-1A Class B, 3.66% due 12/15/2028 | 3,700,000 | 3,739,536 |
| | Fair Square Issuance Trust, | | |
| e | Series 2020-AA Class A, 2.90% due 9/20/2024 | 6,000,000 | 6,067,334 |
| e | Series 2020-AA Class C, 5.40% due 9/20/2024 | 9,500,000 | 9,688,750 |
| | Genesis Private Label Amortizing Trust, | | |
| e | Series 2020-1 Class B, 2.83% due 7/20/2030 | 2,775,000 | 2,787,224 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 45 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| e,g | Series 2020-1 Class C, 4.19% due 7/20/2030 | $ 2,175,000 | $ 2,203,612 |
| e | Series 2020-1 Class D, 6.63% due 7/20/2030 | 1,550,000 | 1,591,560 |
| | Genesis Sales Finance Master Trust, | | |
| e | Series 2020-AA Class C, 2.99% due 9/22/2025 | 1,780,000 | 1,787,615 |
| e | Series 2020-AA Class D, 4.71% due 9/22/2025 | 2,300,000 | 2,309,420 |
| e | Mercury Financial Credit Card Master Trust, Series 2021-1A Class D, 6.26% due 3/20/2026 | 5,000,000 | 5,032,240 |
| | Perimeter Master Note Business Trust, | | |
| e | Series 2019-1A Class D, 10.37% due 12/15/2022 | 3,026,000 | 3,103,375 |
| e | Series 2019-2A Class A, 4.23% due 5/15/2024 | 2,966,000 | 3,079,685 |
| e | Series 2019-2A Class B, 5.21% due 5/15/2024 | 6,500,000 | 6,712,467 |
| e | Series 2019-2A Class C, 7.06% due 5/15/2024 | 650,000 | 668,824 |
| | | | 68,874,908 |
| | Other Asset Backed — 11.8% | | |
| d,e | 321 Henderson Receivables II, LLC, Series 2006-3A Class A1, 0.306% (LIBOR 1 Month + 0.20%) due 9/15/2041 | 1,204,127 | 1,173,919 |
| e | Amur Equipment Finance Receivables VII, LLC, Series 2019-1A Class A2, 2.63% due 6/20/2024 | 1,346,980 | 1,369,088 |
| | Amur Equipment Finance Receivables VIII, LLC, | | |
| e | Series 2020-1A Class E, 7.00% due 1/20/2027 | 2,237,613 | 2,190,724 |
| e | Series 2020-1A Class F, 7.00% due 12/20/2027 | 6,301,302 | 6,501,285 |
| | Aqua Finance Trust, | | |
| e | Series 2019-A Class C, 4.01% due 7/16/2040 | 4,400,000 | 4,651,170 |
| e | Series 2019-A Class D, 6.07% due 7/16/2040 | 9,900,000 | 10,364,579 |
| e | Series 2020-AA Class A, 1.90% due 7/17/2046 | 3,334,936 | 3,366,700 |
| e | Series 2020-AA Class C, 3.97% due 7/17/2046 | 2,000,000 | 2,060,397 |
| e | Series 2020-AA Class D, 7.15% due 7/17/2046 | 2,550,000 | 2,644,910 |
| | Avant Loans Funding Trust, | | |
| e | Series 2019-A Class B, 3.80% due 12/15/2022 | 825,717 | 828,290 |
| e | Series 2019-B Class B, 3.15% due 10/15/2026 | 975,000 | 983,484 |
| d,e,h | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A Class A, 4.213% due 12/16/2041 | 5,151,198 | 5,185,109 |
| e | CFG Investments Ltd., Series 2019-1 Class A, 5.56% due 8/15/2029 | 7,711,364 | 7,739,519 |
| | Conn’s Receivables Funding, LLC, | | |
| e | Series 2019-A Class A, 3.40% due 10/16/2023 | 289,431 | 290,341 |
| e | Series 2019-A Class B, 4.36% due 10/16/2023 | 2,082,131 | 2,089,430 |
| e | Series 2020-A Class A, 1.71% due 6/16/2025 | 1,907,816 | 1,908,590 |
| e | Consumer Lending Receivables Trust, Series 2019-A Class A, 3.52% due 4/15/2026 | 69,981 | 70,048 |
| | Consumer Loan Underlying Bond CLUB Credit Trust, | | |
| e | Series 2019-P2 Class C, 4.41% due 10/15/2026 | 1,500,000 | 1,536,550 |
| e | Series 2020-P1 Class B, 2.92% due 3/15/2028 | 1,500,000 | 1,524,311 |
| | Consumer Loan Underlying Bond Credit Trust, | | |
| e | Series 2018-P3 Class C, 5.54% due 1/15/2026 | 5,500,000 | 5,673,285 |
| e | Series 2019-HP1 Class C, 4.70% due 12/15/2026 | 5,000,000 | 5,155,013 |
| a,d,e | Series 2019-HP1 Class CERT, due 12/15/2026 | 100,000 | 1,490,000 |
| e | Series 2019-P1 Class C, 4.66% due 7/15/2026 | 4,500,000 | 4,623,271 |
| e | Credit Suisse ABS Trust, Series 2018-LD1 Class D, 6.30% due 7/25/2024 | 2,177,000 | 2,187,794 |
| e | Dext, LLC, Series 2020-1 Class A, 1.46% due 2/16/2027 | 4,135,481 | 4,141,634 |
| | Diamond Resorts Owner Trust, | | |
| e | Series 2018-1 Class A, 3.70% due 1/21/2031 | 1,364,020 | 1,424,412 |
| e | Series 2019-1A Class A, 2.89% due 2/20/2032 | 3,566,085 | 3,675,212 |
| e,h | ECAF I Ltd., Series 2015-1A Class B1, 5.802% due 6/15/2040 | 5,057,931 | 3,841,470 |
| e | ExteNet, LLC, Series 2019-1A Class A2, 3.204% due 7/26/2049 | 5,000,000 | 5,157,118 |
| | Foundation Finance Trust, | | |
| e | Series 2017-1A Class A, 3.30% due 7/15/2033 | 782,679 | 797,371 |
| e | Series 2019-1A Class A, 3.86% due 11/15/2034 | 4,373,800 | 4,520,474 |
| e | Series 2019-1A Class C, 5.66% due 11/15/2034 | 575,000 | 576,943 |
| e | Series 2020-1A Class A, 3.54% due 7/16/2040 | 3,006,177 | 3,110,841 |
| e | Series 2020-1A Class C, 5.75% due 7/16/2040 | 4,025,000 | 4,110,302 |
| e | Series 2021-1A Class A, 1.27% due 5/15/2041 | 4,000,000 | 3,979,359 |
| e | Series 2021-1A Class D, 4.96% due 5/15/2041 | 2,345,000 | 2,332,522 |
| | Freed ABS Trust, | | |
| e | Series 2019-1 Class B, 3.87% due 6/18/2026 | 1,262,126 | 1,276,430 |
| e | Series 2019-2 Class A, 2.62% due 11/18/2026 | 752,778 | 755,332 |
| e | Series 2019-2 Class C, 4.86% due 11/18/2026 | 5,000,000 | 5,149,692 |
| e | Series 2020-2CP Class A, 4.52% due 6/18/2027 | 1,184,041 | 1,193,904 |
46 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| e | Series 2020-3FP Class A, 2.40% due 9/20/2027 | $ 386,589 | $ 388,053 |
| e | Series 2020-FP1 Class A, 2.52% due 3/18/2027 | 2,274,745 | 2,288,152 |
| e | Series 2021-1CP Class A, 0.66% due 3/20/2028 | 2,784,767 | 2,779,770 |
| e | HERO Funding Trust, Series 2017-2A Class A1, 3.28% due 9/20/2048 | 1,778,156 | 1,830,002 |
| e | Hilton Grand Vacations Trust, Series 2019-AA Class A, 2.34% due 7/25/2033 | 2,514,863 | 2,585,951 |
| e | InStar Leasing III, LLC, Series 2021-1A Class C, 5.29% due 2/15/2054 | 5,991,070 | 5,832,212 |
| | LendingClub Receivables Trust, | | |
| a,e | Series 2019-1 Class CERT, due 7/17/2045 | 70,300 | 1,159,950 |
| e | Series 2019-7 Class R1, due 1/15/2027 | ���2,267,377 | 1,133,688 |
| e | Series 2019-7 Class R2, due 1/15/2027 | 379,730 | 189,865 |
| e | Series 2020-6A Class A, 2.75% due 11/15/2047 | 9,765,541 | 9,832,761 |
| a,e | Series 2020-JPSL Class R, due 2/15/2025 | 30,000 | 1,291,500 |
| | Lendingpoint Asset Securitization Trust, | | |
| e | Series 2020-1 Class A, 2.512% due 2/10/2026 | 59,524 | 59,538 |
| e | Series 2020-1 Class B, 3.107% due 2/10/2026 | 10,450,000 | 10,490,751 |
| | LendingPoint Asset Securitization Trust, | | |
| e | Series 2020-REV1 Class B, 4.494% due 10/15/2028 | 4,000,000 | 4,213,033 |
| e | Series 2020-REV1 Class C, 7.699% due 10/15/2028 | 4,000,000 | 4,115,223 |
| e | Lendmark Funding Trust, Series 2018-1A Class A, 3.81% due 12/21/2026 | 975,000 | 979,098 |
| | LL ABS Trust, | | |
| e | Series 2019-1A Class A, 2.87% due 3/15/2027 | 576,452 | 579,003 |
| e | Series 2020-1A Class C, 6.54% due 1/17/2028 | 2,200,000 | 2,349,630 |
| | Loanpal Solar Loan Ltd., | | |
| a,e,i | Series 2021-1GS Class R, due 1/20/2048 | 13,252,480 | 10,469,022 |
| e | Series 2021-2GS Class C, 3.50% due 3/20/2048 | 3,378,000 | 3,033,672 |
| | Marlette Funding Trust, | | |
| e | Series 2019-1A Class C, 4.42% due 4/16/2029 | 3,000,000 | 3,083,675 |
| e | Series 2020-1A Class B, 2.38% due 3/15/2030 | 1,850,000 | 1,873,674 |
| e | Series 2020-2A Class A, 1.02% due 9/16/2030 | 1,435,524 | 1,437,475 |
| e | MelTel Land Funding, LLC, Series 2019-1A Class A, 3.768% due 4/15/2049 | 5,432,127 | 5,728,176 |
| | Mosaic Solar Loan Trust, | | |
| e | Series 2020-1A Class C, 4.47% due 4/20/2046 | 1,600,000 | 1,641,501 |
| e | Series 2020-2A Class D, 5.42% due 8/20/2046 | 1,580,000 | 1,629,924 |
| a,e | Series 2020-2A Class R, due 8/20/2046 | 1,375,000 | 703,676 |
| a,e | Series 2021-1A Class R, due 12/20/2046 | 8,600,000 | 3,090,861 |
| d,e | Nationstar HECM Loan Trust, Series 2020-1A Class A1, 1.269% due 9/25/2030 | 8,010,801 | 8,024,658 |
| | New Residential Advance Receivables Trust Advance Receivables Backed, | | |
| e | Series 2020-T1 Class AT1, 1.426% due 8/15/2053 | 5,000,000 | 5,011,254 |
| e | Series 2020-T1 Class BT1, 1.823% due 8/15/2053 | 3,000,000 | 3,010,081 |
| e | Series 2020-T1 Class CT1, 2.269% due 8/15/2053 | 3,400,000 | 3,416,678 |
| e | Series 2020-T1 Class DT1, 3.011% due 8/15/2053 | 6,575,000 | 6,612,584 |
| e | NMEF Funding LLC, Series 2019-A Class A, 2.73% due 8/17/2026 | 2,001,500 | 2,011,323 |
| | NRZ Advance Receivables Trust, | | |
| e | Series 2020-T2 Class CT2, 2.17% due 9/15/2053 | 3,000,000 | 3,008,289 |
| e | Series 2020-T2 Class DT2, 2.863% due 9/15/2053 | 5,550,000 | 5,565,023 |
| e | Series 2020-T3 Class DT3, 2.458% due 10/15/2052 | 4,400,000 | 4,416,722 |
| | Ocwen Master Advance Receivables Trust, | | |
| e | Series 2020-T1 Class AT1, 1.278% due 8/15/2052 | 8,000,000 | 8,019,698 |
| e | Series 2020-T1 Class BT1, 1.774% due 8/15/2052 | 2,850,000 | 2,859,237 |
| e | Series 2020-T1 Class CT1, 2.32% due 8/15/2052 | 1,480,000 | 1,485,736 |
| e | Series 2020-T1 Class DT1, 3.061% due 8/15/2052 | 8,355,000 | 8,392,307 |
| e | Oportun Funding IX, LLC, Series 2018-B Class B, 4.50% due 7/8/2024 | 550,000 | 550,145 |
| | Oportun Funding X, LLC, | | |
| e | Series 2018-C Class A, 4.10% due 10/8/2024 | 2,690,000 | 2,714,998 |
| e | Series 2018-C Class B, 4.59% due 10/8/2024 | 1,000,000 | 1,008,190 |
| e | Oportun Funding, LLC, Series 2020-1 Class B, 3.45% due 5/15/2024 | 9,900,000 | 10,076,465 |
| | Pagaya AI Debt Selection Trust, | | |
| e | Series 2020-3 Class A, 2.10% due 5/17/2027 | 3,844,158 | 3,874,905 |
| e | Series 2021-1 Class A, 1.18% due 11/15/2027 | 11,000,000 | 11,008,845 |
| e | Pawnee Equipment Receivables, LLC, Series 2020-1 Class A, 1.37% due 11/17/2025 | 2,985,352 | 3,002,946 |
| e | PFS Financing Corp., Series 2020-B Class A, 1.21% due 6/15/2024 | 2,500,000 | 2,523,347 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 47 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Prosper Pass-Thru Trust, | | |
| e | Series 2019-ST1 Class CERT, due 7/15/2025 | $ 13,363,728 | $ 3,081,452 |
| e | Series 2019-ST2 Class R1, due 11/15/2025 | 6,385,267 | 2,674,493 |
| e | Series 2019-ST2 Class R2, due 11/15/2025 | 3,193,133 | 1,337,456 |
| e | Regional Management Issuance Trust, Series 2019-1 Class A, 3.05% due 11/15/2028 | 225,000 | 230,212 |
| e | Republic FInance Issuance Trust, Series 2019-A Class C, 5.10% due 11/22/2027 | 1,800,000 | 1,866,623 |
| | SCF Equipment Leasing, LLC, | | |
| e | Series 2019-1A Class D, 4.56% due 5/20/2027 | 3,000,000 | 2,965,382 |
| e | Series 2019-2A Class C, 3.11% due 6/21/2027 | 7,300,000 | 7,573,673 |
| | Small Business Lending Trust, | | |
| e | Series 2019-A Class A, 2.85% due 7/15/2026 | 434,823 | 434,191 |
| e | Series 2020-A Class A, 2.62% due 12/15/2026 | 2,796,518 | 2,807,079 |
| e | SolarCity LMC Series I, LLC, Series 2013-1 Class A, 4.80% due 11/20/2038 | 1,692,013 | 1,777,076 |
| e | SolarCity LMC Series II, LLC, Series 2014-1 Class A, 4.59% due 4/20/2044 | 2,126,284 | 2,232,842 |
| e | SpringCastle America Funding, LLC, Series 2020-AA Class A, 1.97% due 9/25/2037 | 8,452,307 | 8,518,406 |
| e | Upgrade Receivables Trust, Series 2019-2A Class A, 2.77% due 10/15/2025 | 13,445 | 13,452 |
| | Upstart Pass-Through Trust, | | |
| e | Series 2020-ST2 Class A, 3.50% due 3/20/2028 | 2,869,122 | 2,923,761 |
| e | Series 2020-ST3 Class A, 3.35% due 4/20/2028 | 4,222,838 | 4,308,847 |
| | Upstart Securitization Trust, | | |
| e | Series 2017-1 Class C, 6.35% due 6/20/2024 | 869,400 | 870,903 |
| e | Series 2017-2 Class C, 5.59% due 3/20/2025 | 2,883,642 | 2,887,768 |
| a,e,i | Series 2018-2 Class CERT, due 12/22/2025 | 84,500 | 4,098,250 |
| e | Series 2019-1 Class B, 4.19% due 4/20/2026 | 205,089 | 205,361 |
| e | Series 2019-2 Class A, 2.897% due 9/20/2029 | 1,130,627 | 1,136,128 |
| e | Series 2019-3 Class A, 2.684% due 1/21/2030 | 1,334,306 | 1,344,094 |
| a,e | Series 2021-1 Class CERT, due 3/20/2031 | 11,275 | 5,666,251 |
| | | | 361,987,790 |
| | Rec Vehicle Loan — 0.1% | | |
| e | Octane Receivables Trust, Series 2020-1A Class A, 1.71% due 2/20/2025 | 2,361,801 | 2,382,875 |
| | | | 2,382,875 |
| | Student Loan — 1.3% | | |
| | College Ave Student Loans, | | |
| d,e | Series 2021-A Class A1, 1.229% (LIBOR 1 Month + 1.10%) due 7/25/2051 | 3,750,000 | 3,765,007 |
| e | Series 2021-A Class A2, 1.60% due 7/25/2051 | 500,000 | 494,234 |
| | Commonbond Student Loan Trust, | | |
| e | Series 18-CGS, Class A1, 3.87% due 2/25/2046 | 1,093,488 | 1,125,998 |
| e | Series 2020-1 Class A, 1.69% due 10/25/2051 | 3,942,559 | 3,947,329 |
| | Earnest Student Loan Program, LLC, | | |
| d,e | Series 2016-B Class A1, 2.159% (LIBOR 1 Month + 2.05%) due 2/26/2035 | 237,283 | 237,505 |
| e | Series 2016-C Class A2, 2.68% due 7/25/2035 | 399,661 | 400,057 |
| d,e | Navient Private Education Refi Loan Trust, Series 2019-D Class A2B, 1.156% (LIBOR 1 Month + 1.05%) due 12/15/2059 | 5,849,131 | 5,896,311 |
| | Nelnet Student Loan Trust, | | |
| d,e | Series 2015-2A Class A2, 0.709% (LIBOR 1 Month + 0.60%) due 9/25/2047 | 3,042,875 | 3,014,181 |
| d,e | Series 2016-A Class A1A, 1.859% (LIBOR 1 Month + 1.75%) due 12/26/2040 | 649,746 | 653,265 |
| | SLM Student Loan Trust, | | |
| d | Series 2008-2 Class A3, 0.968% (LIBOR 3 Month + 0.75%) due 4/25/2023 | 802,532 | 789,960 |
| d | Series 2008-5 Class A4, 1.918% (LIBOR 3 Month + 1.70%) due 7/25/2023 | 1,098,758 | 1,106,564 |
| d | Series 2011-2 Class A2, 1.309% (LIBOR 1 Month + 1.20%) due 10/25/2034 | 5,000,000 | 5,114,079 |
| d | Series 2012-1 Class A3, 1.059% (LIBOR 1 Month + 0.95%) due 9/25/2028 | 2,161,390 | 2,125,831 |
| d | Series 2013-6 Class A3, 0.759% (LIBOR 1 Month + 0.65%) due 6/25/2055 | 2,386,830 | 2,381,976 |
| | SMB Private Education Loan Trust, | | |
| d,e | Series 2021-A Class A1, 0.606% (LIBOR 1 Month + 0.50%) due 1/15/2053 | 237,374 | 237,118 |
| a,e | Series 2021-A Class R, due 1/15/2053 | 2,742 | 8,500,200 |
| | | | 39,789,615 |
| | Total Asset Backed Securities (Cost $628,023,458) | | 656,377,944 |
| | Corporate Bonds — 42.8% | | |
| | Automobiles & Components — 1.4% | | |
48 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Auto Components — 0.2% | | |
| e,h | Nexteer Automotive Group Ltd., 5.875% due 11/15/2021 | $ 2,000,000 | $ 2,000,000 |
| e | Real Hero Merger Sub 2, Inc., 6.25% due 2/1/2029 | 4,616,000 | 4,760,111 |
| | Automobiles — 1.2% | | |
| d,e,h | BMW Finance N.V., 0.991% (LIBOR 3 Month + 0.79%) due 8/12/2022 | 4,000,000 | 4,033,160 |
| | Daimler Finance North America, LLC, | | |
| d,e | 1.094% (LIBOR 3 Month + 0.90%) due 2/15/2022 | 5,500,000 | 5,532,945 |
| e | 2.125% due 3/10/2025 | 7,500,000 | 7,704,675 |
| e | 3.75% due 11/5/2021 | 1,505,000 | 1,534,498 |
| | Hyundai Capital America, | | |
| e | 1.80% due 10/15/2025 - 1/10/2028 | 1,933,000 | 1,907,258 |
| e | 2.375% due 2/10/2023 | 6,747,000 | 6,930,586 |
| e | 3.95% due 2/1/2022 | 1,202,000 | 1,233,601 |
| e | 6.375% due 4/8/2030 | 985,000 | 1,233,811 |
| | Hyundai Capital Services, Inc., | | |
| e,h | 1.25% due 2/8/2026 | 830,000 | 809,624 |
| e,h | 3.75% due 3/5/2023 | 971,000 | 1,023,191 |
| | Nissan Motor Acceptance Corp., | | |
| d,e | 0.875% (LIBOR 3 Month + 0.65%) due 7/13/2022 | 440,000 | 439,762 |
| d,e | 0.883% (LIBOR 3 Month + 0.69%) due 9/28/2022 | 460,000 | 460,189 |
| | Volkswagen Group of America Finance, LLC, | | |
| e | 2.50% due 9/24/2021 | 1,425,000 | 1,439,036 |
| e | 4.00% due 11/12/2021 | 2,500,000 | 2,554,550 |
| | | | 43,596,997 |
| | Banks — 0.5% | | |
| | Banks — 0.5% | | |
| e,h | Banco Nacional de Panama, 2.50% due 8/11/2030 | 2,295,000 | 2,129,806 |
| d | Capital One NA/Mclean VA, 1.013% (LIBOR 3 Month + 0.82%) due 8/8/2022 | 3,000,000 | 3,022,830 |
| d | Citizens Bank N.A./Providence RI, 1.143% (LIBOR 3 Month + 0.95%) due 3/29/2023 | 4,000,000 | 4,050,000 |
| e,h | Kookmin Bank, 2.50% due 11/4/2030 | 0 | 0 |
| e,h | Macquarie Bank Ltd., 3.624% due 6/3/2030 | 2,800,000 | 2,864,736 |
| | Santander Holdings USA, Inc., 3.45% due 6/2/2025 | 3,000,000 | 3,203,940 |
| | | | 15,271,312 |
| | Capital Goods — 2.2% | | |
| | Aerospace & Defense — 1.4% | | |
| | Boeing Co., 2.196% due 2/4/2026 | 5,118,000 | 5,102,799 |
| | BWX Technologies, Inc., | | |
| e | 4.125% due 6/30/2028 | 880,000 | 890,965 |
| e,f | 4.125% due 4/15/2029 | 7,406,000 | 7,505,240 |
| e | 5.375% due 7/15/2026 | 6,805,000 | 7,037,323 |
| e | Spirit AeroSystems, Inc., 7.50% due 4/15/2025 | 5,123,000 | 5,505,842 |
| | Teledyne Technologies, Inc., | | |
| | 2.25% due 4/1/2028 | 4,423,000 | 4,402,345 |
| | 2.75% due 4/1/2031 | 2,217,000 | 2,215,692 |
| e | TransDigm, Inc., 6.25% due 3/15/2026 | 9,244,000 | 9,799,842 |
| | Machinery — 0.7% | | |
| e,h | ATS Automation Tooling Systems, Inc., 4.125% due 12/15/2028 | 3,565,000 | 3,546,890 |
| | Flowserve Corp., 3.50% due 10/1/2030 | 4,053,000 | 4,126,643 |
| | Mueller Industries, Inc., 6.00% due 3/1/2027 | 9,441,000 | 9,630,481 |
| | nVent Finance Sarl, | | |
| h | 3.95% due 4/15/2023 | 2,000,000 | 2,093,600 |
| h | 4.55% due 4/15/2028 | 3,000,000 | 3,174,600 |
| | Trading Companies & Distributors — 0.1% | | |
| e | IAA, Inc., 5.50% due 6/15/2027 | 2,479,000 | 2,598,760 |
| | | | 67,631,022 |
| | Commercial & Professional Services — 1.2% | | |
| | Commercial Services & Supplies — 1.1% | | |
| e,g | ACCO Brands Corp., 4.25% due 3/15/2029 | 9,246,000 | 8,989,701 |
| e,h | Cimpress plc, 7.00% due 6/15/2026 | 9,141,000 | 9,663,865 |
| e | CoStar Group, Inc., 2.80% due 7/15/2030 | 3,120,000 | 3,061,250 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 49 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Nielsen Finance, LLC / Nielsen Finance Co., | | |
| e | 5.00% due 4/15/2022 | $ 5,075,000 | $ 5,079,974 |
| e | 5.875% due 10/1/2030 | 2,727,000 | 2,954,868 |
| | Quanta Services, Inc., 2.90% due 10/1/2030 | 1,975,000 | 2,001,998 |
| | Professional Services — 0.1% | | |
| | Gartner, Inc., | | |
| e | 3.75% due 10/1/2030 | 1,815,000 | 1,797,558 |
| e | 4.50% due 7/1/2028 | 1,829,000 | 1,885,644 |
| | | | 35,434,858 |
| | Commercial Services — 0.1% | | |
| | Transportation Infrastructure — 0.1% | | |
| e,h | Adani International Container Terminal Pvt Ltd., 3.00% due 2/16/2031 | 4,575,000 | 4,375,027 |
| | | | 4,375,027 |
| | Consumer Durables & Apparel — 0.8% | | |
| | Household Durables — 0.1% | | |
| e | CD&R Smokey Buyer, Inc., 6.75% due 7/15/2025 | 875,000 | 937,834 |
| e,h | Panasonic Corp., 2.536% due 7/19/2022 | 2,790,000 | 2,855,732 |
| | Leisure Products — 0.3% | | |
| e | Vista Outdoor, Inc., 4.50% due 3/15/2029 | 9,310,000 | 9,214,573 |
| | Textiles, Apparel & Luxury Goods — 0.4% | | |
| | Under Armour, Inc., 3.25% due 6/15/2026 | 6,389,000 | 6,397,817 |
| e | Wolverine World Wide, Inc., 5.00% due 9/1/2026 | 4,160,000 | 4,233,174 |
| | | | 23,639,130 |
| | Consumer Services — 0.8% | | |
| | Hotels, Restaurants & Leisure — 0.6% | | |
| | Hyatt Hotels Corp., 5.75% due 4/23/2030 | 4,475,000 | 5,227,292 |
| e | Nathan’s Famous, Inc., 6.625% due 11/1/2025 | 8,320,000 | 8,528,083 |
| | SeaWorld Parks & Entertainment, Inc., | | |
| e | 8.75% due 5/1/2025 | 2,906,000 | 3,146,849 |
| e | 9.50% due 8/1/2025 | 3,025,000 | 3,290,414 |
| | Transportation Infrastructure — 0.2% | | |
| e,h | Adani Ports & Special Economic Zone Ltd., 3.375% due 7/24/2024 | 5,135,000 | 5,391,083 |
| | | | 25,583,721 |
| | Diversified Financials — 5.1% | | |
| | Capital Markets — 2.1% | | |
| | Ares Capital Corp., | | |
| | 3.25% due 7/15/2025 | 5,320,000 | 5,490,666 |
| | 4.20% due 6/10/2024 | 690,000 | 744,841 |
| | 4.25% due 3/1/2025 | 350,000 | 375,536 |
| e | Blackstone Secured Lending Fund, 2.75% due 9/16/2026 | 2,731,000 | 2,712,975 |
| a,d | Citigroup Global Markets Holdings, Inc., 6.40% due 1/29/2035 | 4,108,000 | 4,114,162 |
| e | Compass Group Diversified Holdings, LLC, 5.25% due 4/15/2029 | 5,610,000 | 5,851,847 |
| a,b,e,j | JPR Royalty Sub, LLC, 14.00% due 9/1/2020 | 2,000,000 | 0 |
| e | LPL Holdings, Inc., 4.625% due 11/15/2027 | 1,840,000 | 1,918,826 |
| | Main Street Capital Corp., | | |
| | 3.00% due 7/14/2026 | 5,250,000 | 5,213,775 |
| | 5.20% due 5/1/2024 | 3,073,000 | 3,309,898 |
| | Owl Rock Technology Finance Corp., | | |
| e | 3.75% due 6/17/2026 | 3,540,000 | 3,614,906 |
| e | 4.75% due 12/15/2025 | 6,409,000 | 6,836,416 |
| | Sixth Street Specialty Lending, Inc., 2.50% due 8/1/2026 | 1,200,000 | 1,189,320 |
| | SLR Investment Corp., 4.50% due 1/20/2023 | 3,875,000 | 4,029,923 |
| e | StoneX Group, Inc., 8.625% due 6/15/2025 | 10,254,000 | 10,848,424 |
| | TPG Specialty Lending, Inc., 3.875% due 11/1/2024 | 7,310,000 | 7,660,953 |
| | Consumer Finance — 0.3% | | |
| e | FirstCash, Inc., 4.625% due 9/1/2028 | 9,115,000 | 9,307,691 |
| | Diversified Financial Services — 2.4% | | |
50 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Antares Holdings L.P., | | |
| e | 3.95% due 7/15/2026 | $ 1,750,000 | $ 1,769,005 |
| e | 6.00% due 8/15/2023 | 4,435,000 | 4,741,769 |
| e | 8.50% due 5/18/2025 | 2,750,000 | 3,244,560 |
| d,h | Barclays plc, 1.574% (LIBOR 3 Month + 1.38%) due 5/16/2024 | 2,500,000 | 2,536,875 |
| e,h | BNP Paribas S.A., 3.375% due 1/9/2025 | 5,000,000 | 5,366,850 |
| d | Citigroup, Inc., 1.122% (SOFR + 0.77%) due 1/28/2027 | 9,250,000 | 9,042,152 |
| | Deutsche Bank AG, | | |
| d,h | 1.42% (LIBOR 3 Month + 1.23%) due 2/27/2023 | 2,800,000 | 2,813,132 |
| h | 5.00% due 2/14/2022 | 3,500,000 | 3,624,950 |
| | HSBC Holdings plc, | | |
| d,h | 1.589% (SOFR + 1.29%) due 5/24/2027 | 3,500,000 | 3,445,365 |
| d,h | 1.645% (SOFR + 1.54%) due 4/18/2026 | 3,750,000 | 3,753,563 |
| d | JPMorgan Chase & Co., 1.04% (SOFR + 0.70%) due 2/4/2027 | 8,727,000 | 8,510,832 |
| d,h | Mizuho Financial Group, Inc., 0.818% (LIBOR 3 Month + 0.63%) due 5/25/2024 | 2,946,000 | 2,959,286 |
| d | Morgan Stanley, 0.725% (SOFR + 0.70%) due 1/20/2023 | 3,500,000 | 3,508,330 |
| d | Morgan Stanley MTN, 1.624% (LIBOR 3 Month + 1.40%) due 4/21/2021 | 3,000,000 | 3,001,950 |
| d,h | Natwest Group plc, 1.664% (LIBOR 3 Month + 1.47%) due 5/15/2023 | 1,398,000 | 1,413,825 |
| | Societe Generale S.A., | | |
| e,h | 2.625% due 1/22/2025 | 3,000,000 | 3,110,820 |
| e,h | 3.875% due 3/28/2024 | 2,000,000 | 2,156,840 |
| e,h | 4.25% due 9/14/2023 | 3,000,000 | 3,242,970 |
| e | United Wholesale Mortgage, LLC, 5.50% due 11/15/2025 | 3,672,000 | 3,828,758 |
| | Western Union Co., 2.85% due 1/10/2025 | 2,338,000 | 2,456,046 |
| | Insurance — 0.3% | | |
| e | Global Atlantic Fin Co., 4.40% due 10/15/2029 | 7,275,000 | 7,710,991 |
| | | | 155,459,028 |
| | Energy — 3.5% | | |
| | Energy Equipment & Services — 0.3% | | |
| e | Enviva Partners L.P. / Enviva Partners Finance Corp., 6.50% due 1/15/2026 | 6,270,000 | 6,572,465 |
| e | Hanwha Energy USA Holdings Corp., 2.375% due 7/30/2022 | 1,915,000 | 1,957,455 |
| | Odebrecht Offshore Drilling Finance Ltd., | | |
| e,h | 6.72% due 12/1/2022 | 265,709 | 259,595 |
| e,h,k | 7.72% due 12/1/2026 PIK | 2,356,293 | 399,604 |
| c,e,h | Odebrecht Oil & Gas Finance Ltd. (Guaranty: Odebrecht Oleo e Gas S.A.), Zero coupon due 4/26/2021 | 304,899 | 2,290 |
| b,e,h,j | Schahin II Finance Co. SPV Ltd., 5.875% due 9/25/2023 | 10,461,182 | 660,519 |
| | Oil, Gas & Consumable Fuels — 3.2% | | |
| | Boardwalk Pipelines L.P., 4.80% due 5/3/2029 | 3,920,000 | 4,342,654 |
| e | Citgo Holding, Inc., 9.25% due 8/1/2024 | 5,572,000 | 5,585,986 |
| e | CITGO Petroleum Corp., 7.00% due 6/15/2025 | 1,800,000 | 1,851,084 |
| e | Colorado Interstate Gas Co., LLC / Colorado Interstate Issuing Corp., 4.15% due 8/15/2026 | 725,000 | 806,932 |
| d | Energy Transfer Operating L.P., 3.223% (LIBOR 3 Month + 3.02%) due 11/1/2066 | 1,200,000 | 836,700 |
| | EQM Midstream Partners L.P., Series 5Y, 4.75% due 7/15/2023 | 1,171,000 | 1,215,697 |
| e | Florida Gas Transmission Co., LLC, 3.875% due 7/15/2022 | 4,765,000 | 4,916,432 |
| | Galaxy Pipeline Assets Bidco Ltd., | | |
| e,h | 2.16% due 3/31/2034 | 4,360,000 | 4,239,882 |
| e,h | 2.625% due 3/31/2036 | 6,630,000 | 6,353,396 |
| | Gray Oak Pipeline, LLC, | | |
| e | 2.00% due 9/15/2023 | 1,409,000 | 1,434,545 |
| e | 3.45% due 10/15/2027 | 5,130,000 | 5,283,695 |
| | Gulf South Pipeline Co. L.P., 4.00% due 6/15/2022 | 4,860,000 | 4,977,952 |
| e | Gulfstream Natural Gas System, LLC, 4.60% due 9/15/2025 | 5,000,000 | 5,571,300 |
| | HollyFrontier Corp., 2.625% due 10/1/2023 | 1,304,000 | 1,343,433 |
| a,b,e,j | Linc USA GP / Linc Energy Finance USA, Inc., 9.625% due 10/31/2017 | 1,005,628 | 20,113 |
| e | Midwest Connector Capital Co., LLC, 4.625% due 4/1/2029 | 5,487,000 | 5,582,474 |
| | Northern Border Pipeline Co., Series A, 7.50% due 9/15/2021 | 2,150,000 | 2,222,391 |
| d | Occidental Petroleum Corp., 1.644% (LIBOR 3 Month + 1.45%) due 8/15/2022 | 3,500,000 | 3,458,630 |
| e | Par Petroleum, LLC / Par Petroleum Finance Corp., 7.75% due 12/15/2025 | 451,000 | 456,592 |
| e,f,h | Parkland Corp., 4.50% due 10/1/2029 | 1,825,000 | 1,833,340 |
| | Parkland Fuel Corp., | | |
| e,h | 5.875% due 7/15/2027 | 3,726,000 | 3,973,854 |
| e,h | 6.00% due 4/1/2026 | 450,000 | 470,277 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 51 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Petroleos Mexicanos, | | |
| h | 5.95% due 1/28/2031 | $ 2,802,000 | $ 2,682,215 |
| e,h | 6.875% due 10/16/2025 | 2,800,000 | 3,026,044 |
| h | Petroleos Mexicanos (Guaranty: Export-Import Bank of the United States), 6.50% due 1/23/2029 | 4,118,000 | 4,164,698 |
| | Plains All American Pipeline L.P. / PAA Finance Corp., 3.55% due 12/15/2029 | 4,106,000 | 4,105,548 |
| b,j | RAAM Global Energy Co., 12.50% due 10/1/2015 | 2,000,000 | 200 |
| e,h | Sinopec Group Overseas Development 2018 Ltd., 1.45% due 1/8/2026 | 8,500,000 | 8,391,200 |
| | Summit Midstream Holdings, LLC / Summit Midstream Finance Corp., 5.50% due 8/15/2022 | 1,210,000 | 1,187,022 |
| c,d | Summit Midstream Partners L.P., Series A, 9.50% (LIBOR 3 Month + 7.43%) due 12/15/2022 | 2,114,000 | 1,310,955 |
| | Sunoco L.P. / Sunoco Finance Corp., | | |
| | 5.50% due 2/15/2026 | 451,000 | 464,683 |
| | 6.00% due 4/15/2027 | 1,933,000 | 2,021,763 |
| | Tennessee Gas Pipeline Co., LLC, 7.00% due 3/15/2027 | 2,251,000 | 2,825,613 |
| | | | 106,809,228 |
| | Food & Staples Retailing — 0.7% | | |
| | Food & Staples Retailing — 0.7% | | |
| | 7-Eleven, Inc., | | |
| e | 0.625% due 2/10/2023 | 1,600,000 | 1,601,184 |
| e | 0.80% due 2/10/2024 | 5,236,000 | 5,220,292 |
| | Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons, LLC, | | |
| e | 3.25% due 3/15/2026 | 1,910,000 | 1,902,742 |
| e | 3.50% due 3/15/2029 | 349,000 | 331,787 |
| e | 4.625% due 1/15/2027 | 7,104,000 | 7,360,028 |
| e,h | Alimentation Couche-Tard, Inc., 2.70% due 7/26/2022 | 4,000,000 | 4,107,880 |
| e | KeHE Distributors, LLC / KeHE Finance Corp., 8.625% due 10/15/2026 | 1,887,000 | 2,105,232 |
| | | | 22,629,145 |
| | Food, Beverage & Tobacco — 2.1% | | |
| | Beverages — 0.2% | | |
| e,h | Central American Bottling Corp., 5.75% due 1/31/2027 | 1,433,000 | 1,519,009 |
| e,h | Coca-Cola Icecek A/S, 4.215% due 9/19/2024 | 3,000,000 | 3,093,090 |
| | Food Products — 0.8% | | |
| e,h | Barry Callebaut Services N.V., 5.50% due 6/15/2023 | 4,000,000 | 4,360,760 |
| d | General Mills, Inc., 1.233% (LIBOR 3 Month + 1.01%) due 10/17/2023 | 2,530,000 | 2,569,721 |
| | Kraft Heinz Foods Co., 3.875% due 5/15/2027 | 4,582,000 | 5,011,288 |
| | Post Holdings, Inc., | | |
| e | 4.625% due 4/15/2030 | 8,247,000 | 8,267,782 |
| e | 5.625% due 1/15/2028 | 3,730,000 | 3,936,344 |
| | Tobacco — 1.1% | | |
| | Altria Group, Inc., 2.45% due 2/4/2032 | 9,890,000 | 9,398,665 |
| | BAT Capital Corp., 2.726% due 3/25/2031 | 7,615,000 | 7,401,018 |
| e,h | Imperial Brands Finance plc, 3.50% due 7/26/2026 | 2,000,000 | 2,135,740 |
| | Vector Group Ltd., | | |
| e | 5.75% due 2/1/2029 | 7,475,000 | 7,705,454 |
| e | 10.50% due 11/1/2026 | 7,353,000 | 7,872,416 |
| | | | 63,271,287 |
| | Health Care Equipment & Services — 1.2% | | |
| | Health Care Equipment & Supplies — 0.3% | | |
| e | Hill-Rom Holdings, Inc., 4.375% due 9/15/2027 | 2,020,000 | 2,081,368 |
| e | Hologic, Inc., 3.25% due 2/15/2029 | 6,462,000 | 6,378,640 |
| | Health Care Providers & Services — 0.8% | | |
| e | Centene Corp.,5.375% due 6/1/2026 - 8/15/2026 | 10,310,000 | 10,790,930 |
| | Charles River Laboratories International, Inc., | | |
| e | 3.75% due 3/15/2029 | 940,000 | 944,202 |
| e | 4.00% due 3/15/2031 | 910,000 | 926,617 |
| | Tenet Healthcare Corp., | | |
| | 4.625% due 7/15/2024 | 2,320,000 | 2,368,186 |
| e | 4.625% due 6/15/2028 | 850,000 | 872,312 |
| e | 4.875% due 1/1/2026 | 2,826,000 | 2,936,751 |
| e | 5.125% due 11/1/2027 | 1,153,000 | 1,205,992 |
| e | Universal Health Services, Inc., 2.65% due 10/15/2030 | 4,646,000 | 4,488,872 |
52 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Health Care Technology — 0.1% | | |
| e | Change Healthcare Holdings, LLC / Change Healthcare Finance, Inc., 5.75% due 3/1/2025 | $ 3,215,000 | $ 3,276,117 |
| | | | 36,269,987 |
| | Household & Personal Products — 1.1% | | |
| | Household Products — 1.0% | | |
| e | Energizer Holdings, Inc., 4.75% due 6/15/2028 | 8,110,000 | 8,360,518 |
| e | Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., 5.00% due 12/31/2026 | 400,000 | 399,252 |
| | Prestige Brands, Inc., | | |
| e | 3.75% due 4/1/2031 | 6,386,000 | 6,104,441 |
| e | 5.125% due 1/15/2028 | 3,840,000 | 4,030,003 |
| | Spectrum Brands, Inc., | | |
| e | 3.875% due 3/15/2031 | 4,675,000 | 4,574,488 |
| e | 5.50% due 7/15/2030 | 5,705,000 | 6,104,806 |
| | Personal Products — 0.1% | | |
| e | Edgewell Personal Care Co., 5.50% due 6/1/2028 | 2,368,000 | 2,500,821 |
| | | | 32,074,329 |
| | Insurance — 2.9% | | |
| | Insurance — 2.9% | | |
| e,h | Ascot Group Ltd., 4.25% due 12/15/2030 | 1,245,000 | 1,287,243 |
| | Brighthouse Financial, Inc., 5.625% due 5/15/2030 | 3,750,000 | 4,389,900 |
| | Brown & Brown, Inc., 2.375% due 3/15/2031 | 984,000 | 947,051 |
| e,h | DaVinciRe Holdings Ltd., 4.75% due 5/1/2025 | 4,790,000 | 5,292,806 |
| d | Enstar Finance, LLC, 5.75% (5-Yr. CMT + 5.47%) due 9/1/2040 | 1,672,000 | 1,747,190 |
| | Enstar Group Ltd., | | |
| h | 4.50% due 3/10/2022 | 2,000,000 | 2,061,240 |
| h | 4.95% due 6/1/2029 | 5,835,000 | 6,547,570 |
| | Equitable Financial Life Global Funding, | | |
| e | 1.00% due 1/9/2026 | 3,000,000 | 2,931,090 |
| e | 1.40% due 8/27/2027 | 6,475,000 | 6,240,670 |
| e | 1.80% due 3/8/2028 | 2,219,000 | 2,170,093 |
| | Fairfax Financial Holdings Ltd., | | |
| e,h | 3.375% due 3/3/2031 | 1,520,000 | 1,514,346 |
| h | 4.625% due 4/29/2030 | 3,000,000 | 3,272,550 |
| h | 4.85% due 4/17/2028 | 3,000,000 | 3,339,000 |
| e,h | Fidelis Insurance Holdings Ltd., 4.875% due 6/30/2030 | 4,409,000 | 4,553,615 |
| e | Fidelity & Guaranty Life Holdings, Inc., 5.50% due 5/1/2025 | 3,000,000 | 3,426,420 |
| | Fidelity National Financial, Inc., | | |
| | 2.45% due 3/15/2031 | 3,031,000 | 2,931,735 |
| | 3.40% due 6/15/2030 | 3,137,000 | 3,285,317 |
| | First American Financial Corp., 4.00% due 5/15/2030 | 1,843,000 | 1,989,813 |
| | GA Global Funding Trust, | | |
| e,f | 1.00% due 4/8/2024 | 2,825,000 | 2,821,836 |
| e | 1.625% due 1/15/2026 | 2,089,000 | 2,086,828 |
| | Infinity Property & Casualty Corp., 5.00% due 9/19/2022 | 1,826,000 | 1,929,826 |
| e,h | Lancashire Holdings Ltd., 5.70% due 10/1/2022 | 4,900,000 | 5,226,634 |
| | Mercury General Corp., 4.40% due 3/15/2027 | 2,438,000 | 2,746,748 |
| e | Protective Life Corp., 3.40% due 1/15/2030 | 4,902,000 | 5,092,639 |
| | Reliance Standard Life Global Funding II, | | |
| e | 2.75% due 5/7/2025 - 1/21/2027 | 6,420,000 | 6,720,977 |
| e | 3.85% due 9/19/2023 | 3,000,000 | 3,227,310 |
| e | Sammons Financial Group, Inc., 4.45% due 5/12/2027 | 2,000,000 | 2,112,460 |
| | | | 89,892,907 |
| | Materials — 2.8% | | |
| | Chemicals — 0.7% | | |
| e,h | Consolidated Energy Finance S.A., 6.875% due 6/15/2025 | 500,000 | 510,045 |
| e,h | NOVA Chemicals Corp., 4.875% due 6/1/2024 | 8,355,000 | 8,744,092 |
| e,h | Nufarm Australia Ltd. / Nufarm Americas, Inc., 5.75% due 4/30/2026 | 5,713,000 | 5,870,793 |
| e,h | OCP S.A., 5.625% due 4/25/2024 | 4,710,000 | 5,118,922 |
| e | Valvoline, Inc., 3.625% due 6/15/2031 | 1,368,000 | 1,324,197 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 53 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Containers & Packaging — 1.6% | | |
| e,h | Ardagh Metal Packaging Finance USA, LLC / Ardagh Metal Packaging Finance plc, 3.25% due 9/1/2028 | $ 6,660,000 | $ 6,584,742 |
| | Ball Corp., 2.875% due 8/15/2030 | 7,300,000 | 7,030,922 |
| | Graphic Packaging International, LLC, | | |
| e | 3.50% due 3/15/2028 - 3/1/2029 | 8,150,000 | 8,095,443 |
| | 4.875% due 11/15/2022 | 7,780,000 | 8,164,021 |
| e | Matthews International Corp., 5.25% due 12/1/2025 | 8,598,000 | 8,889,730 |
| e | Sealed Air Corp., 4.00% due 12/1/2027 | 4,505,000 | 4,605,191 |
| e | Silgan Holdings, Inc., 1.40% due 4/1/2026 | 6,169,000 | 6,040,870 |
| | Metals & Mining — 0.5% | | |
| h | AngloGold Ashanti Holdings plc, 3.75% due 10/1/2030 | 6,614,000 | 6,681,264 |
| e | Cleveland-Cliffs, Inc., 6.75% due 3/15/2026 | 6,430,000 | 6,989,667 |
| e | Compass Minerals International, Inc., 6.75% due 12/1/2027 | 2,144,000 | 2,312,390 |
| | | | 86,962,289 |
| | Media & Entertainment — 1.4% | | |
| | Media — 1.4% | | |
| | CCO Holdings, LLC / CCO Holdings Capital Corp., | | |
| e | 4.25% due 2/1/2031 | 6,548,000 | 6,561,030 |
| e | 5.375% due 6/1/2029 | 3,614,000 | 3,886,749 |
| e | Sirius XM Radio, Inc., 3.875% due 8/1/2022 | 18,024,000 | 18,130,882 |
| e,h | Telenet Finance Luxembourg Notes Sarl, 5.50% due 3/1/2028 | 12,000,000 | 12,573,840 |
| | | | 41,152,501 |
| | Pharmaceuticals, Biotechnology & Life Sciences — 0.4% | | |
| | Biotechnology — 0.2% | | |
| | Royalty Pharma plc, | | |
| e,h | 1.20% due 9/2/2025 | 4,086,000 | 4,011,594 |
| e,h | 1.75% due 9/2/2027 | 4,272,000 | 4,174,214 |
| | Life Sciences Tools & Services — 0.1% | | |
| e | Avantor Funding, Inc. (EUR), 2.625% due 11/1/2025 | 2,000,000 | 2,401,385 |
| | Pharmaceuticals — 0.1% | | |
| a,b,j | Atlas U.S. Royalty, LLC Participation Rights, Zero coupon due 3/15/2027 | 5,450,000 | 0 |
| e | Bayer US Finance II, LLC, 4.25% due 12/15/2025 | 2,500,000 | 2,783,450 |
| | | | 13,370,643 |
| | Real Estate — 1.1% | | |
| | Equity Real Estate Investment Trusts — 1.1% | | |
| | CoreCivic, Inc., 4.75% due 10/15/2027 | 3,278,000 | 2,922,042 |
| | Crown Castle International Corp., 1.05% due 7/15/2026 | 10,029,000 | 9,706,367 |
| | GEO Group, Inc., 6.00% due 4/15/2026 | 4,625,000 | 3,338,094 |
| e | Iron Mountain, Inc., 5.25% due 7/15/2030 | 8,085,000 | 8,336,039 |
| | Retail Opportunity Investments Partnership L.P. (Guaranty: Retail Opportunity Investments Corp.), 5.00% due 12/15/2023 | 1,500,000 | 1,604,385 |
| | Service Properties Trust, | | |
| | 4.35% due 10/1/2024 | 2,295,000 | 2,283,800 |
| | 4.65% due 3/15/2024 | 900,000 | 900,315 |
| | 4.95% due 2/15/2027 | 2,850,000 | 2,817,225 |
| | 5.25% due 2/15/2026 | 700,000 | 708,575 |
| | Real Estate Management & Development — 0.0% | | |
| e | Cushman & Wakefield US Borrower, LLC, 6.75% due 5/15/2028 | 1,825,000 | 1,966,292 |
| | | | 34,583,134 |
| | Retailing — 0.7% | | |
| | Internet & Direct Marketing Retail — 0.3% | | |
| e,h | B2W Digital Lux Sarl, 4.375% due 12/20/2030 | 2,000,000 | 1,954,800 |
| e | Expedia Group, Inc., 6.25% due 5/1/2025 | 801,000 | 926,236 |
| | MercadoLibre, Inc., | | |
| | 2.375% due 1/14/2026 | 4,760,000 | 4,723,158 |
| | 3.125% due 1/14/2031 | 2,800,000 | 2,663,976 |
| | Specialty Retail — 0.4% | | |
| | Advance Auto Parts, Inc., | | |
| | 1.75% due 10/1/2027 | 1,792,000 | 1,763,579 |
54 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | 3.90% due 4/15/2030 | $ 4,000,000 | $ 4,344,120 |
| e | Michaels Stores, Inc., 8.00% due 7/15/2027 | 5,230,000 | 5,787,152 |
| | | | 22,163,021 |
| | Semiconductors & Semiconductor Equipment — 1.0% | | |
| | Semiconductors & Semiconductor Equipment — 1.0% | | |
| | Broadcom, Inc., | | |
| e | 1.95% due 2/15/2028 | 2,175,000 | 2,113,709 |
| | 4.11% due 9/15/2028 | 2,104,000 | 2,297,252 |
| | 4.75% due 4/15/2029 | 511,000 | 574,395 |
| | 5.00% due 4/15/2030 | 2,175,000 | 2,478,891 |
| e | Microchip Technology, Inc., 0.972% due 2/15/2024 | 5,137,000 | 5,130,219 |
| | Micron Technology, Inc., | | |
| | 4.663% due 2/15/2030 | 1,186,000 | 1,352,550 |
| | 5.327% due 2/6/2029 | 2,031,000 | 2,382,424 |
| | Qorvo, Inc., | | |
| e | 3.375% due 4/1/2031 | 950,000 | 930,449 |
| | 4.375% due 10/15/2029 | 5,128,000 | 5,481,729 |
| | SK Hynix, Inc., | | |
| e,h | 1.00% due 1/19/2024 | 2,800,000 | 2,794,848 |
| e,h | 1.50% due 1/19/2026 | 4,400,000 | 4,332,196 |
| | | | 29,868,662 |
| | Software & Services — 4.0% | | |
| | Information Technology Services — 1.0% | | |
| h | Genpact Luxembourg Sarl, 3.375% due 12/1/2024 | 6,586,000 | 7,096,942 |
| h | Genpact Luxembourg Sarl/ Genpact USA, Inc., 1.75% due 4/10/2026 | 4,541,000 | 4,509,258 |
| e | Leidos, Inc., 2.30% due 2/15/2031 | 2,220,000 | 2,098,744 |
| | Sabre GLBL, Inc., | | |
| e | 7.375% due 9/1/2025 | 2,757,000 | 3,008,438 |
| e | 9.25% due 4/15/2025 | 2,267,000 | 2,707,909 |
| e | Science Applications International Corp., 4.875% due 4/1/2028 | 10,006,000 | 10,342,402 |
| | Interactive Media & Services — 0.1% | | |
| | Baidu, Inc., | | |
| h | 1.72% due 4/9/2026 | 2,149,000 | 2,141,694 |
| h | 4.375% due 5/14/2024 | 1,424,000 | 1,563,751 |
| | Internet Software & Services — 0.4% | | |
| e | Arches Buyer, Inc., 4.25% due 6/1/2028 | 6,399,000 | 6,383,706 |
| e | Twitter, Inc., 3.875% due 12/15/2027 | 4,458,000 | 4,670,914 |
| | Software — 2.5% | | |
| | CDK Global, Inc., | | |
| | 4.875% due 6/1/2027 | 11,768,000 | 12,320,272 |
| e | 5.25% due 5/15/2029 | 460,000 | 491,708 |
| | 5.875% due 6/15/2026 | 2,000,000 | 2,074,360 |
| e | Fair Isaac Corp., 5.25% due 5/15/2026 | 4,135,000 | 4,577,404 |
| e | Infor, Inc., 1.75% due 7/15/2025 | 2,250,000 | 2,271,578 |
| e | LogMeIn, Inc, 5.50% due 9/1/2027 | 857,000 | 897,099 |
| | MSCI, Inc., | | |
| e | 3.875% due 2/15/2031 | 9,973,000 | 10,187,818 |
| e | 5.375% due 5/15/2027 | 3,750,000 | 4,015,500 |
| e,h | Open Text Corp., 3.875% due 2/15/2028 | 7,761,000 | 7,822,079 |
| | Oracle Corp., | | |
| | 1.65% due 3/25/2026 | 4,565,000 | 4,597,868 |
| | 2.30% due 3/25/2028 | 3,399,000 | 3,439,822 |
| e | PTC, Inc., 3.625% due 2/15/2025 | 11,847,000 | 12,144,478 |
| e | Solera, LLC / Solera Finance, Inc., 10.50% due 3/1/2024 | 6,027,000 | 6,219,623 |
| | VMware, Inc., 4.50% due 5/15/2025 | 6,000,000 | 6,695,400 |
| | | | 122,278,767 |
| | Technology Hardware & Equipment — 2.1% | | |
| | Communications Equipment — 0.4% | | |
| | Motorola Solutions, Inc., 2.30% due 11/15/2030 | 337,000 | 319,290 |
| h | Telefonaktiebolaget LM Ericsson, 4.125% due 5/15/2022 | 11,163,000 | 11,544,105 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 55 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Electronic Equipment, Instruments & Components — 0.9% | | |
| h | Allegion plc, 3.50% due 10/1/2029 | $ 2,320,000 | $ 2,437,624 |
| h | Flex Ltd., 4.875% due 5/12/2030 | 7,332,000 | 8,323,286 |
| | Ingram Micro, Inc., 5.45% due 12/15/2024 | 1,951,000 | 2,223,925 |
| e,h | Sensata Technologies B.V., 4.875% due 10/15/2023 | 3,358,000 | 3,595,646 |
| | Trimble, Inc., 4.75% due 12/1/2024 | 6,525,000 | 7,303,172 |
| | Vontier Corp., | | |
| e | 1.80% due 4/1/2026 | 1,533,000 | 1,524,538 |
| e | 2.40% due 4/1/2028 | 1,095,000 | 1,075,695 |
| | Technology Hardware, Storage & Peripherals — 0.8% | | |
| | Hewlett Packard Enterprise Co., 4.65% due 10/1/2024 | 1,900,000 | 2,125,283 |
| | HP, Inc., 3.00% due 6/17/2027 | 6,500,000 | 6,879,405 |
| h | Lenovo Group Ltd., 5.875% due 4/24/2025 | 10,993,000 | 12,455,509 |
| | NetApp, Inc., 2.375% due 6/22/2027 | 4,000,000 | 4,080,640 |
| | | | 63,888,118 |
| | Telecommunication Services — 2.6% | | |
| | Diversified Telecommunication Services — 0.9% | | |
| | Qwest Corp., 6.75% due 12/1/2021 | 15,706,000 | 16,218,487 |
| | Videotron Ltd., | | |
| e,h | 5.125% due 4/15/2027 | 2,400,000 | 2,535,984 |
| e,h | 5.375% due 6/15/2024 | 6,000,000 | 6,608,940 |
| e,h | Virgin Media Secured Finance plc, 5.50% due 5/15/2029 | 1,800,000 | 1,919,106 |
| | Wireless Telecommunication Services — 1.7% | | |
| | America Movil SAB de C.V. (MXN), 6.45% due 12/5/2022 | 45,000,000 | 2,224,296 |
| | Digicel International Finance Ltd. / Digicel Holdings Bermuda Ltd., | | |
| e,h | 8.00% due 12/31/2026 | 1,111,755 | 1,075,979 |
| e,h | 8.75% due 5/25/2024 | 4,866,916 | 5,029,659 |
| e,h | MTN Mauritius Investment Ltd., 4.755% due 11/11/2024 | 4,125,000 | 4,317,679 |
| e,h | SK Telecom Co. Ltd., 3.75% due 4/16/2023 | 3,000,000 | 3,184,140 |
| | Sprint Communications, Inc., 9.25% due 4/15/2022 | 20,251,000 | 21,814,782 |
| | T-Mobile USA, Inc., | | |
| | 2.625% due 4/15/2026 | 3,748,000 | 3,800,509 |
| g | 5.375% due 4/15/2027 | 3,690,000 | 3,911,031 |
| e,h | Vmed O2 UK Financing I plc, 4.25% due 1/31/2031 | 7,818,000 | 7,595,969 |
| | | | 80,236,561 |
| | Transportation — 0.3% | | |
| | Airlines — 0.3% | | |
| | American Airlines Pass Through Trust, | | |
| | Series 2013-2 Class A, 4.95% due 7/15/2024 | 1,697,385 | 1,695,875 |
| | Series 2016-3 Class B, 3.75% due 4/15/2027 | 955,304 | 897,021 |
| e | British Airways Pass Through Trust, Series 20-1A Class PPT, 4.25% due 5/15/2034 | 1,856,696 | 1,943,905 |
| | Continental Airlines Pass Through Trust, Series 2005-ERJ1, 9.798% due 10/1/2022 | 22,075 | 22,075 |
| | US Airways Pass Through Trust, | | |
| | Series 2010-1 Class A, 6.25% due 10/22/2024 | 773,376 | 777,243 |
| | Series 2012-1 Class A, 5.90% due 4/1/2026 | 1,037,007 | 1,078,290 |
| | Series 2013-1 Class B, 5.375% due 5/15/2023 | 1,887,053 | 1,882,637 |
| | | | 8,297,046 |
| | Utilities — 2.8% | | |
| | Electric Utilities — 2.0% | | |
| | AEP Texas, Inc., 2.10% due 7/1/2030 | 4,500,000 | 4,343,670 |
| e | Alexander Funding Trust, 1.841% due 11/15/2023 | 9,000,000 | 9,126,900 |
| e | Alliant Energy Finance, LLC, 1.40% due 3/15/2026 | 1,500,000 | 1,471,260 |
| | Appalachian Power Co., Series AA, 2.70% due 4/1/2031 | 4,705,000 | 4,694,461 |
| | Black Hills Corp., 2.50% due 6/15/2030 | 1,000,000 | 982,990 |
| e,h | Colbun S.A., 3.15% due 3/6/2030 | 2,800,000 | 2,864,792 |
| e,h | Comision Federal de Electricidad, 3.348% due 2/9/2031 | 3,763,000 | 3,632,537 |
| e,h | Enel Finance International N.V., 4.625% due 9/14/2025 | 4,057,000 | 4,591,063 |
| | Entergy Texas, Inc., 3.45% due 12/1/2027 | 3,000,000 | 3,211,230 |
| e | Midland Cogeneration Venture L.P., 6.00% due 3/15/2025 | 537,966 | 558,463 |
| | NextEra Energy Capital Holdings, Inc., 0.65% due 3/1/2023 | 10,000,000 | 10,030,300 |
56 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Pacific Gas and Electric Co., | | |
| | 1.367% due 3/10/2023 | $ 3,318,000 | $ 3,318,630 |
| | 1.75% due 6/16/2022 | 4,357,000 | 4,363,013 |
| | Puget Energy, Inc., 4.10% due 6/15/2030 | 1,950,000 | 2,119,962 |
| | Southern Co., 3.25% due 7/1/2026 | 6,725,000 | 7,200,457 |
| | Gas Utilities — 0.8% | | |
| d | CenterPoint Energy Resources Corp., 0.684% (LIBOR 3 Month + 0.50%) due 3/2/2023 | 2,196,000 | 2,196,044 |
| d | ONE Gas, Inc., 0.787% (LIBOR 3 Month + 0.61%) due 3/11/2023 | 11,175,000 | 11,173,771 |
| e,h | Rockpoint Gas Storage Canada Ltd., 7.00% due 3/31/2023 | 9,476,000 | 9,584,216 |
| | | | 85,463,759 |
| | Total Corporate Bonds (Cost $1,291,520,362) | | 1,310,202,479 |
| | Convertible Bonds — 0.9% | | |
| | Diversified Financials — 0.5% | | |
| | Consumer Finance — 0.3% | | |
| | EZCORP, Inc., 2.375% due 5/1/2025 | 13,431,000 | 10,942,773 |
| | Diversified Financial Services — 0.0% | | |
| | EZCORP, Inc., 2.875% due 7/1/2024 | 215,000 | 197,318 |
| | Mortgage Real Estate Investment Trusts — 0.2% | | |
| | Chimera Investment Corp., 7.00% due 4/1/2023 | 2,758,000 | 5,366,213 |
| | | | 16,506,304 |
| | Health Care Equipment & Services — 0.0% | | |
| | Health Care Providers & Services — 0.0% | | |
| b,h,j | NMC Health Jersey Ltd., 1.875% due 4/30/2025 | 3,800,000 | 516,116 |
| | | | 516,116 |
| | Media & Entertainment — 0.4% | | |
| | Media — 0.4% | | |
| | Comcast Holdings Corp. (Guaranty: Comcast Corp.), 2.00% due 10/15/2029 | 18,000,000 | 11,017,980 |
| | | | 11,017,980 |
| | Total Convertible Bonds (Cost $27,973,816) | | 28,040,400 |
| | Long-Term Municipal Bonds — 0.5% | | |
| | California Health Facilities Financing Authority, 7.875% due 2/1/2026 | 1,940,000 | 1,950,418 |
| | City of Chicago IL GO, Series B, 7.045% due 1/1/2029 | 2,580,000 | 2,967,774 |
| | City of Detroit GO, | | |
| | Series B | | |
| | 1.817% due 4/1/2022 | 655,000 | 650,991 |
| | 2.017% due 4/1/2023 | 275,000 | 272,552 |
| | 2.189% due 4/1/2024 | 275,000 | 271,849 |
| | 2.511% due 4/1/2025 | 465,000 | 460,857 |
| | New Jersey Transportation Trust Fund Authority, | | |
| | 2.551% due 6/15/2023 | 2,115,000 | 2,171,132 |
| | 2.631% due 6/15/2024 | 1,565,000 | 1,626,583 |
| | New York Transportation Development Corp., 4.248% due 9/1/2035 | 3,510,000 | 3,837,904 |
| | West Contra Costa USD, 2.612% due 8/1/2032 | 980,000 | 933,087 |
| | Total Long-Term Municipal Bonds (Cost $14,391,582) | | 15,143,147 |
| | Other Government — 1.0% | | |
| e,h | Egypt Government International Bond, Series 144A 5.875% due 2/16/2031 | 3,530,000 | 3,304,433 |
| e,h | Finance Department Government of Sharjah, 3.625% due 3/10/2033 | 12,382,000 | 12,189,708 |
| | Indonesia Treasury Bond (IDR), | | |
| | 7.50% due 5/15/2038 - 4/15/2040 | 80,985,000,000 | 5,606,006 |
| | 8.375% due 4/15/2039 | 44,919,000,000 | 3,299,791 |
| e,h | Oman Government International Bond, Series 144A 6.75% due 10/28/2027 | 3,800,000 | 4,194,136 |
| | Russian Federal Bond (RUB), 6.00% due 10/6/2027 | 187,279,000 | 2,377,856 |
| | Total Other Government (Cost $31,691,594) | | 30,971,930 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 57 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | U.S. Treasury Securities — 1.9% | | |
| | United States Treasury Notes, | | |
| | 0.625%, 8/15/2030 | $ 41,923,000 | $ 37,999,269 |
| | 0.875%, 11/15/2030 | 13,704,000 | 12,676,200 |
| | United States Treasury Notes Inflationary Index, 0.125%, 1/15/2030 | 6,607,705 | 7,156,111 |
| | Total U.S. Treasury Securities (Cost $61,929,654) | | 57,831,580 |
| | U.S. Government Agencies — 0.1% | | |
| c,d,e | Farm Credit Bank of Texas, Series 4 5.70% (5-Yr. CMT + 5.42%), 9/15/2025 | 3,835,000 | 4,189,738 |
| | Total U.S. Government Agencies (Cost $3,835,000) | | 4,189,738 |
| | Mortgage Backed — 12.3% | | |
| d,e | Angel Oak Mortgage Trust, LLC, Whole Loan Securities Trust CMO, Series 2018-2 Class A1, 3.674% due 7/27/2048 | 795,303 | 799,879 |
| | Arroyo Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2018-1 Class A1, 3.763% due 4/25/2048 | 2,027,730 | 2,031,430 |
| d,e | Series 2018-1 Class A3, 4.206% due 4/25/2048 | 716,922 | 717,620 |
| d,e | Series 2019-1 Class A1, 3.805% due 1/25/2049 | 2,191,584 | 2,233,266 |
| d,e | Series 2019-3 Class A1, 2.962% due 10/25/2048 | 4,636,353 | 4,756,186 |
| d | Bear Stearns ARM Trust, Whole Loan Securities Trust CMO, Series 2003-6 Class 2B1, 2.766% due 8/25/2033 | 34,659 | 34,659 |
| e | Bravo Residential Funding Trust, Whole Loan Securities Trust CMO, Series 2019-1 Class A1C, 3.50% due 3/25/2058 | 4,024,576 | 4,136,912 |
| d,e | Bunker Hill Loan Depositary Trust, Whole Loan Securities Trust CMO, Series 2020-1 Class B1, 5.214% due 2/25/2055 | 3,500,000 | 3,716,506 |
| d,e | Cascade MH Asset Trust, Whole Loan Securities Trust CMO, Series 2021-MH1 Class B3, 7.595% due 2/25/2046 | 1,936,119 | 1,733,309 |
| e | CFMT Issuer Trust, Whole Loan Securities Trust CMO, Series 2021-GRN1 Class A, 1.10% due 3/20/2041 | 2,803,116 | 2,801,372 |
| | Chase Home Lending Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2019-1 Class B4, 3.945% due 3/25/2050 | 749,905 | 759,384 |
| d,e | Series 2019-1 Class B5, 3.945% due 3/25/2050 | 377,152 | 358,082 |
| d,e | Series 2019-1 Class B6, 3.025% due 3/25/2050 | 679,448 | 380,126 |
| d,e | Chase Mortgage Finance Corp., Whole Loan Securities Trust CMO, Series 2016-SH2 Class M4, 3.75% due 12/25/2045 | 1,384,607 | 1,419,317 |
| | CIM Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 18-INV1 Class A4, 4.00% due 8/25/2048 | 625,095 | 637,192 |
| d,e,i | Series 2020-J1 Class AIO1, 0.476% due 7/25/2050 | 38,726,241 | 393,644 |
| d,e,i | Series 2020-J1 Class AIO2, 0.50% due 7/25/2050 | 34,540,394 | 390,811 |
| d,e,i | Series 2020-J1 Class AIOS, 0.20% due 6/25/2050 | 42,083,130 | 192,013 |
| d,e | Series 2020-J1 Class B4, 3.476% due 7/25/2050 | 356,958 | 340,523 |
| d,e | Series 2020-J1 Class B5, 3.476% due 7/25/2050 | 178,479 | 149,840 |
| d,e | Series 2020-J1 Class B6, 3.476% due 7/25/2050 | 325,435 | 158,001 |
| d,e,i | Series 2020-J2 Class AX1, 0.31% due 1/25/2051 | 147,750,875 | 1,028,080 |
| d,e,i | Series 2020-J2 Class AXS, 0.21% due 1/25/2051 | 155,077,994 | 776,351 |
| d,e | Series 2020-J2 Class B4, 2.81% due 1/25/2051 | 491,000 | 322,574 |
| d,e | Series 2020-J2 Class B5, 2.81% due 1/25/2051 | 164,000 | 90,401 |
| d,e | Series 2020-J2 Class B6, 2.81% due 1/25/2051 | 654,523 | 209,494 |
| | Citigroup Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, | | |
| d | Series 2004-HYB2 Class B1, 2.615% due 3/25/2034 | 34,694 | 34,694 |
| d,e | Series 2014-A Class A, 4.00% due 1/25/2035 | 736,629 | 775,544 |
| d,e | Series 2019-IMC1 Class B1, 3.97% due 7/25/2049 | 1,500,000 | 1,532,212 |
| d,e | Series 2020-EXP1 Class B1, 4.467% due 5/25/2060 | 1,180,900 | 1,154,842 |
| d,e | Series 2020-EXP1 Class B2, 4.467% due 5/25/2060 | 770,600 | 658,881 |
| d,e | Series 2020-EXP1 Class B3, 4.467% due 5/25/2060 | 386,242 | 202,150 |
| e,i | Series 2020-EXP1 Class XS, 0.000% due 5/25/2060 | 70,685,067 | 2,024,491 |
| d,e,i | Series 2020-EXP2 Class A3IW, 1.099% due 8/25/2050 | 39,005,346 | 806,030 |
| d,e,i | Series 2020-EXP2 Class A4IW, 1.099% due 8/25/2050 | 4,220,388 | 87,213 |
| d,e | Series 2020-EXP2 Class B5, 3.599% due 8/25/2050 | 151,080 | 107,535 |
| d,e | Series 2020-EXP2 Class B6, 3.599% due 8/25/2050 | 369,020 | 166,109 |
| | CSMC Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2013-HYB1 Class B3, 2.929% due 4/25/2043 | 2,826,547 | 2,911,907 |
| a,d,e,i | Series 2021-AFC1 Class AIOS, 0.25% due 3/25/2056 | 90,841,527 | 635,891 |
| d,e | Series 2021-AFC1 Class B3, 4.413% due 3/25/2056 | 146,228 | 139,230 |
| a,d,e,i | Series 2021-AFC1 Class XS, 3.423% due 3/25/2056 | 90,841,527 | 7,432,218 |
| d,e | Deephaven Residential Mortgage Trust, Whole Loan Securities Trust CMO, Series 2021-1 Class A1, 0.715% due 5/25/2065 | 2,835,845 | 2,807,007 |
| d,e | Ellington Financial Mortgage Trust, Whole Loan Securities Trust CMO, Series 2019-2 Class A1, 2.739% due 11/25/2059 | 3,462,930 | 3,528,499 |
| d,i | Federal Home Loan Mtg Corp., Multifamily Structured Pass Through Certificates IO, Series KIR1 Class X, 1.058% due 3/25/2026 | 34,940,458 | 1,604,191 |
| | Federal Home Loan Mtg Corp., REMIC, UMBS Collateral, Pool ZS7942, 3.00% due 2/1/2033 | 14,851,257 | 15,937,516 |
58 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Federal Home Loan Mtg Corp., UMBS Collateral, | | |
| | Pool QN2877, 2.00% due 7/1/2035 | $ 8,528,970 | $ 8,756,246 |
| | Pool RC1535, 2.00% due 8/1/2035 | 17,759,201 | 18,241,906 |
| | Pool RC1826, 2.00% due 2/1/2036 | 14,852,269 | 15,255,962 |
| | Pool SB0308, 2.50% due 1/1/2035 | 15,897,711 | 16,740,472 |
| | Pool SB0448, 2.00% due 11/1/2035 | 21,121,174 | 21,811,604 |
| | Pool ZS8034, 3.00% due 6/1/2033 | 9,646,863 | 10,349,411 |
| | Federal Home Loan Mtg Corp., Whole Loan Securities Trust CMO, | | |
| d,e | Series 2017-SC01 Class M1, 3.597% due 12/25/2046 | 910,392 | 919,652 |
| d,e | Series 2017-SC02 Class M1, 3.837% due 5/25/2047 | 241,291 | 243,445 |
| | Federal National Mtg Assoc., CMO REMIC, Series 1994-37 Class L, 6.50% due 3/25/2024 | 501 | 534 |
| | Federal National Mtg Assoc., UMBS Collateral, | | |
| | Pool BP8943, 2.00% due 7/1/2035 | 9,719,778 | 9,978,120 |
| | Pool MA4279, 2.00% due 3/1/2036 | 16,898,171 | 17,356,686 |
| | First Republic Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e,i | Series 2020-1 Class A2IO, 1.245% due 4/25/2050 | 196,499,692 | 4,752,836 |
| d,e | Series 2020-1 Class B3, 2.885% due 4/25/2050 | 1,421,811 | 1,262,042 |
| d,e | Series 2020-1 Class B4, 2.885% due 4/25/2050 | 1,325,000 | 1,160,444 |
| d,e | Series 2020-1 Class B5, 2.885% due 4/25/2050 | 470,000 | 343,978 |
| d,e | Series 2020-1 Class B6, 2.885% due 4/25/2050 | 755,000 | 428,276 |
| | Flagstar Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2017-1 Class 2A2, 3.00% due 3/25/2047 | 776,109 | 792,369 |
| d,e | Series 2018-3 Class B4, 4.496% due 5/25/2048 | 5,589,743 | 5,545,559 |
| d,e | Series 2019-2 Class B3, 4.125% due 12/25/2049 | 3,791,806 | 3,955,972 |
| d,e,i | Series 2020-2 Class AX1, 0.758% due 8/1/2050 | 73,314,753 | 1,253,741 |
| d,e,i | Series 2020-2 Class AX2, 0.50% due 8/1/2050 | 12,564,184 | 148,642 |
| d,e | Series 2020-2 Class B4, 3.758% due 8/1/2050 | 216,581 | 190,296 |
| d,e | Series 2020-2 Class B5, 3.758% due 8/1/2050 | 646,776 | 557,727 |
| d,e | Series 2020-2 Class B6C, 3.687% due 8/1/2050 | 864,494 | 474,320 |
| d,e | FREMF Mortgage Trust, Series 2016-KF24 Class B, 5.119% (LIBOR 1 Month + 5.00%) due 10/25/2026 | 394,039 | 402,207 |
| d,e | Galton Funding Mortgage Trust, Whole Loan Securities Trust CMO, Series 2018-1 Class A43, 3.50% due 11/25/2057 | 295,589 | 297,362 |
| d,e | GCAT LLC, Whole Loan Securities Trust CMO, Series 2019-NQM1 Class A1, 2.985% due 2/25/2059 | 3,364,420 | 3,377,031 |
| | GCAT Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2019-NQM2 Class A1, 2.855% due 9/25/2059 | 3,297,193 | 3,322,555 |
| d,e | Series 2019-NQM3 Class A1, 2.686% due 11/25/2059 | 2,497,855 | 2,547,509 |
| | GS Mortgage-Backed Securities Corp. Trust, Whole Loan Securities Trust CMO, | | |
| d,e,i | Series 2020-PJ3 Class A11X, 3.50% due 10/25/2050 | 6,378,737 | 512,225 |
| d,e,i | Series 2020-PJ3 Class AIOS, 0.20% due 10/25/2050 | 209,709,780 | 1,042,132 |
| d,e,i | Series 2020-PJ3 Class AX1, 0.111% due 10/25/2050 | 189,224,985 | 403,333 |
| d,e,i | Series 2020-PJ3 Class AX2, 0.50% due 10/25/2050 | 17,649,649 | 215,448 |
| d,e,i | Series 2020-PJ3 Class AX4, 0.35% due 10/25/2050 | 17,408,982 | 148,944 |
| | GS Mortgage-Backed Securities Trust, Whole Loan Securities Trust CMO, | | |
| d,e,i | Series 2020-INV1 Class A11X, 3.50% due 10/25/2050 | 2,077,985 | 117,403 |
| d,e,i | Series 2020-INV1 Class A12X, 3.00% due 10/25/2050 | 24,880,764 | 1,205,662 |
| d,e,i | Series 2020-INV1 Class AIOS, 0.19% due 10/25/2050 | 110,793,979 | 559,499 |
| d,e,i | Series 2020-INV1 Class AX1, 0.02% due 10/25/2050 | 89,959,252 | 2,132 |
| d,e,i | Series 2020-INV1 Class AX2, 0.50% due 10/25/2050 | 4,484,073 | 40,530 |
| d,e,i | Series 2020-INV1 Class AX4, 0.95% due 10/25/2050 | 4,827,050 | 84,022 |
| d,e | Series 2020-INV1 Class B4, 3.97% due 10/25/2050 | 1,326,714 | 1,332,380 |
| d,e | Series 2020-INV1 Class B5, 3.97% due 10/25/2050 | 1,326,714 | 1,193,774 |
| d,e | Series 2020-INV1 Class B6, 3.97% due 10/25/2050 | 3,044,043 | 2,026,267 |
| d,e,i | Series 2020-INV1 Class BX, 0.47% due 10/25/2050 | 15,137,359 | 307,188 |
| | Homeward Opportunities Fund I Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2018-2 Class A1, 3.985% due 11/25/2058 | 6,369,392 | 6,477,797 |
| d,e | Series 2019-1 Class A1, 3.454% due 1/25/2059 | 2,531,915 | 2,531,915 |
| d,e,g | Series 2019-1 Class B1, 4.80% due 1/25/2059 | 3,400,000 | 3,400,000 |
| d,e | Series 2019-2 Class B1, 4.087% due 9/25/2059 | 7,764,000 | 7,832,280 |
| | JPMorgan Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2015-4 Class B4, 3.601% due 6/25/2045 | 1,138,616 | 1,095,986 |
| d,e | Series 2016-5 Class B4, 2.542% due 12/25/2046 | 1,630,300 | 1,404,714 |
| d,e | Series 2016-5 Class B5, 2.542% due 12/25/2046 | 1,235,600 | 804,837 |
| d,e | Series 2017-2 Class A6, 3.00% due 5/25/2047 | 281,213 | 284,794 |
| d,e | Series 2017-5 Class B6, 3.115% due 10/26/2048 | 2,965,479 | 2,247,322 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 59 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| d,e | Series 2017-6 Class A5, 3.50% due 12/25/2048 | $ 128,103 | $ 128,343 |
| d,e | Series 2019-8 Class B4, 4.202% due 3/25/2050 | 3,529,229 | 3,499,092 |
| d,e,i | Series 2020-3 Class AX1, 0.199% due 8/25/2050 | 33,384,701 | 99,894 |
| d,e,i | Series 2020-4 Class A11X, 5.132% (5.25% - LIBOR 1 Month) due 11/25/2050 | 6,189,773 | 506,981 |
| d,e,i | Series 2020-4 Class A3X, 0.50% due 11/25/2050 | 28,060,303 | 246,111 |
| d,e,i | Series 2020-4 Class A4X, 0.50% due 11/25/2050 | 3,887,636 | 8,828 |
| d,e,i | Series 2020-4 Class AX1, 0.195% due 11/25/2050 | 103,644,649 | 313,763 |
| d,e,i | Series 2020-4 Class AX3, 3.50% due 11/25/2050 | 2,867,412 | 176,047 |
| d,e,i | Series 2020-4 Class AX4, 0.55% due 11/25/2050 | 6,617,899 | 63,849 |
| d,e | Series 2020-4 Class B4, 3.745% due 11/25/2050 | 1,368,989 | 1,340,140 |
| d,e | Series 2020-4 Class B5, 3.745% due 11/25/2050 | 631,311 | 562,764 |
| d,e | Series 2020-4 Class B6, 3.65% due 11/25/2050 | 1,069,000 | 758,348 |
| d,e,i | Series 2020-7 Class A3X, 0.50% due 1/25/2051 | 18,934,244 | 187,309 |
| d,e,i | Series 2020-7 Class AX1, 0.215% due 1/25/2051 | 90,039,272 | 325,636 |
| d,e,i | Series 2020-7 Class AX3, 3.50% due 1/25/2051 | 6,183,694 | 424,341 |
| d,e,i | Series 2020-7 Class AX4, 0.40% due 1/25/2051 | 5,785,704 | 40,184 |
| d,e | Series 2020-7 Class B4, 3.615% due 1/25/2051 | 651,044 | 614,519 |
| d,e | Series 2020-7 Class B5, 3.615% due 1/25/2051 | 454,148 | 364,872 |
| d,e | Series 2020-7 Class B6, 3.615% due 1/25/2051 | 588,631 | 265,443 |
| d,e | Series 2020-LTV1 Class B3A, 3.899% due 6/25/2050 | 2,843,696 | 2,961,599 |
| d,e | JPMorgan Wealth Management, Whole Loan Securities Trust CMO, Series 2021-CL1 Class M1, 1.317% (SOFR + 1.30%) due 3/25/2051 | 6,717,762 | 6,717,760 |
| d | Merrill Lynch Mortgage Investors Trust, Whole Loan Securities Trust CMO, Series 2004-A4 Class M1, 3.187% due 8/25/2034 | 82,889 | 83,542 |
| d,e | Metlife Securitization Trust, Whole Loan Securities Trust CMO, Series 2019-1A Class A1A, 3.75% due 4/25/2058 | 1,188,270 | 1,234,477 |
| d,e | MFA Trust, Whole Loan Securities Trust CMO, Series 2020-NQM3 Class M1, 2.654% due 1/26/2065 | 800,000 | 806,189 |
| | New Residential Mortgage Loan Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2017-3A Class A1, 4.00% due 4/25/2057 | 1,651,442 | 1,752,072 |
| d,e | Series 2017-4A Class A1, 4.00% due 5/25/2057 | 1,478,136 | 1,572,621 |
| d,e | Series 2017-5A Class A1, 1.609% (LIBOR 1 Month + 1.50%) due 6/25/2057 | 942,642 | 958,086 |
| d,e | Series 2017-6A Class A1, 4.00% due 8/27/2057 | 727,732 | 778,912 |
| d,e | Series 2018-1A Class A1A, 4.00% due 12/25/2057 | 1,338,142 | 1,428,458 |
| d,e | Series 2020-NQM1 Class B2, 4.525% due 1/26/2060 | 1,214,000 | 1,234,850 |
| a,e | Saluda Grade Alternative Mortgage Grade, Whole Loan Securities Trust CMO, Series 2020-FIG1 Class C, due 9/25/2050 | 12,610,864 | 1,543,595 |
| | Seasoned Loans Structured Transaction Trust, Whole Loan Securities Trust CMO, Series 2020-2 Class A1C, 2.00% due 9/25/2030 | 10,293,348 | 10,531,045 |
| | Sequoia Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2015-4 Class B4, 3.154% due 11/25/2030 | 1,686,000 | 1,669,555 |
| d,e | Series 2016-3 Class B3, 3.659% due 11/25/2046 | 3,368,102 | 3,413,174 |
| d,e | Series 2017-5 Class A4, 3.50% due 8/25/2047 | 300,212 | 300,707 |
| d,e | Series 2017-7 Class B3, 3.738% due 10/25/2047 | 1,470,066 | 1,512,960 |
| d,e | Series 2018-7 Class B4, 4.224% due 9/25/2048 | 1,802,000 | 1,854,694 |
| | SG Residential Mortgage Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2019-3 Class A1, 2.703% due 9/25/2059 | 2,392,927 | 2,426,711 |
| d,e,i | Series 2019-3 Class AIOS, 0.375% due 9/25/2059 | 43,806,958 | 152,786 |
| d,e | Series 2019-3 Class B2, 5.663% due 9/25/2059 | 1,978,000 | 1,893,130 |
| d,e | Series 2019-3 Class B3, 5.942% due 9/25/2059 | 842,000 | 537,313 |
| a,e | Series 2019-3 Class XS1, due 9/25/2059 | 43,755,491 | 1,155,031 |
| a,e | Series 2019-3 Class XS2, due 9/25/2059 | 45,151,100 | 772,951 |
| d,e | Series 2020-2 Class A3, 1.895% due 5/25/2065 | 3,998,958 | 3,914,506 |
| d,e | Shellpoint Co-Originator Trust, Whole Loan Securities Trust CMO, Series 2016-1 Class B4, 3.618% due 11/25/2046 | 3,270,029 | 3,223,266 |
| | Spruce Hill Mortgage Loan Trust, Inc., Whole Loan Securities Trust CMO, | | |
| d,e | Series 2019-SH1 Class B1, 4.992% due 4/29/2049 | 2,500,000 | 2,516,396 |
| d,e | Series 2020-SH1 Class A1, 2.521% due 1/28/2050 | 3,219,472 | 3,277,038 |
| | Starwood Mortgage Residential Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2018-IMC2 Class B1, 5.669% due 10/25/2048 | 1,909,000 | 1,953,833 |
| d,e | Series 2019-1 Class B1, 4.766% due 6/25/2049 | 2,629,000 | 2,641,665 |
| d,e | Series 2019-IMC1 Class A2, 3.651% due 2/25/2049 | 5,316,216 | 5,316,216 |
| | TIAA Bank Mortgage Loan Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2018-2 Class B3, 3.791% due 7/25/2048 | 2,718,287 | 2,822,214 |
| d,e | Series 2018-2 Class B4, 3.791% due 7/25/2048 | 2,040,000 | 1,833,573 |
| | Verus Securitization Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2019-3 Class A1, 2.784% due 7/25/2059 | 3,090,473 | 3,155,146 |
| d,e | Series 2019-3 Class B1, 4.043% due 7/25/2059 | 300,000 | 308,676 |
| d,e | Series 2019-4 Class B1, 3.86% due 11/25/2059 | 3,250,000 | 3,324,437 |
60 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| d,e | Series 2019-INV3 Class B2, 4.791% due 11/25/2059 | $ 1,385,000 | $ 1,400,305 |
| d,e | Series 2020-1 Class B1, 3.624% due 1/25/2060 | 1,500,000 | 1,512,559 |
| d,e | Series 2020-2 Class B1, 5.36% due 5/25/2060 | 2,225,000 | 2,366,582 |
| d,e | Series 2020-INV1 Class B1, 5.75% due 3/25/2060 | 875,000 | 923,437 |
| d,e | Series 2020-INV1 Class B2, 6.00% due 3/25/2060 | 1,416,000 | 1,440,992 |
| d,e | Series 2021-R1 Class B2, 4.199% due 10/25/2063 | 1,125,000 | 1,130,999 |
| | Vista Point Securitization Trust, Whole Loan Securities Trust CMO, | | |
| d,e | Series 2020-1 Class B1, 5.375% due 3/25/2065 | 2,625,000 | 2,760,359 |
| d,e | Series 2020-1 Class B2, 5.375% due 3/25/2065 | 4,473,000 | 4,481,379 |
| d,e | Series 2020-2 Class A2, 1.986% due 4/25/2065 | 4,020,028 | 4,069,321 |
| | Wells Fargo Commercial Mortgage Trust, Series 2016-C34 Class A2, 2.603% due 6/15/2049 | 5,797,160 | 5,888,564 |
| | Total Mortgage Backed (Cost $370,008,468) | | 376,330,765 |
| | Loan Participations — 5.6% | | |
| | Capital Goods — 0.5% | | |
| | Aerospace & Defense — 0.3% | | |
| l,m | Boeing Co., 1.434% (LIBOR 3 Month + 1.25%) due 2/7/2022 | 8,824,267 | 8,815,444 |
| l | Spirit Aerosystems, Inc., 6.00% (LIBOR 1 Month + 5.25%) due 1/15/2025 | 249,375 | 250,103 |
| | Trading Companies & Distributors — 0.2% | | |
| l,m | IAA, Inc., 2.375% (LIBOR 1 Month + 2.25%) due 6/28/2026 | 7,450,052 | 7,394,176 |
| | | | 16,459,723 |
| | Commercial & Professional Services — 0.7% | | |
| | Professional Services — 0.7% | | |
| l | Harland Clarke Holdings Corp., 5.75% (LIBOR 3 Month + 4.75%) due 11/3/2023 | 5,058,945 | 4,478,582 |
| l | Par Pacific Holdings, Inc., 7.00% (LIBOR 3 Month + 6.75%) due 1/12/2026 | 4,425,195 | 4,392,006 |
| l | R.R. Donnelley & Sons Company, 5.109% (LIBOR 1 Month + 5.00%) due 1/15/2024 | 2,932,500 | 2,912,354 |
| l | RGIS Services, LLC, 8.50% (LIBOR 1 Month + 7.50%) due 6/25/2025 | 1,891,651 | 1,858,547 |
| h,l | Titan Acquisition Co., Ltd., 4.203% (LIBOR 3 Month + 4.00%) due 5/1/2026 | 8,247,913 | 8,227,294 |
| | | | 21,868,783 |
| | Consumer Services — 0.1% | | |
| | Hotels, Restaurants & Leisure — 0.1% | | |
| l | SeaWorld Parks & Entertainment, Inc., 3.75% (LIBOR 1 Month + 3.00%) due 3/31/2024 | 3,454,020 | 3,391,951 |
| | | | 3,391,951 |
| | Energy — 0.1% | | |
| | Oil, Gas & Consumable Fuels — 0.1% | | |
| l | Citgo Holding, Inc., 8.00% (LIBOR 3 Month + 7.00%) due 8/1/2023 | 4,085,385 | 3,919,927 |
| a,k,l | Malamute Energy, Inc., 0.203% (LIBOR 3 Month + 1.50% PIK) due 11/22/2022 | 21,852 | 219 |
| | | | 3,920,146 |
| | Food, Beverage & Tobacco — 0.1% | | |
| | Food Products — 0.1% | | |
| l | Post Holdings, Inc., 4.75% (LIBOR 1 Month + 4.00%) due 10/21/2024 | 2,304,305 | 2,314,859 |
| l | UTZ Quality Foods, LLC, 3.109% (LIBOR 1 Month + 3.00%) due 1/20/2028 | 498,750 | 497,608 |
| | | | 2,812,467 |
| | Health Care Equipment & Services — 0.6% | | |
| | Health Care Equipment & Supplies — 0.2% | | |
| l | Avantor Funding, Inc., 3.25% (LIBOR 1 Month + 2.25%) due 11/21/2024 | 7,110,537 | 7,108,759 |
| | Health Care Providers & Services — 0.4% | | |
| l | Change Healthcare Holdings LLC, 3.50% (LIBOR 3 Month + 2.50%) due 3/1/2024 | 10,598,539 | 10,581,688 |
| | | | 17,690,447 |
| | Household & Personal Products — 0.2% | | |
| | Household Durables — 0.0% | | |
| l | Spectrum Brands, Inc., 2.50% (LIBOR 3 Month + 2.00%) due 3/3/2028 | 1,000,000 | 996,880 |
| | Household Products — 0.2% | | |
| l | Energizer Holdings, Inc., 2.75% (LIBOR 1 Month + 2.25%) due 12/22/2027 | 5,630,000 | 5,599,485 |
| | | | 6,596,365 |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 61 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Materials — 0.6% | | |
| | Chemicals — 0.1% | | |
| l | SCIH Salt Holdings Inc., 5.50% (LIBOR 3 Month + 4.50%) due 3/16/2027 | $ 3,611,850 | $ 3,611,850 |
| | Paper & Forest Products — 0.5% | | |
| l | Neenah, Inc., 5.00% (LIBOR 3 Month + 4.00%) due 6/30/2027 | 13,651,838 | 13,651,838 |
| | | ��� | 17,263,688 |
| | Media & Entertainment — 0.4% | | |
| | Media — 0.4% | | |
| l | ABG Intermediate Holdings 2 LLC, 6.25% (LIBOR 3 Month + 5.25%) due 9/27/2024 | 5,385,935 | 5,385,935 |
| l | CSC Holdings, LLC, 2.356% (LIBOR 1 Month + 2.25%) due 7/17/2025 | 7,247,351 | 7,140,163 |
| | | | 12,526,098 |
| | Real Estate — 0.3% | | |
| | Equity Real Estate Investment Trusts — 0.2% | | |
| l | CoreCivic, Inc., 5.50% (LIBOR 1 Month + 4.50%) due 12/18/2024 | 2,793,750 | 2,687,811 |
| l | GEO Group, Inc., 2.75% (LIBOR 1 Month + 2.00%) due 3/22/2024 | 4,540,874 | 4,030,843 |
| | Real Estate Management & Development — 0.1% | | |
| l | Railworks, LLC, 6.50% (LIBOR 3 Month + 5.50%) due 12/8/2027 | 2,137,938 | 2,145,955 |
| | | | 8,864,609 |
| | Semiconductors & Semiconductor Equipment — 0.2% | | |
| | Information Technology Services — 0.2% | | |
| l | Xperi Corporation, 4.109% (LIBOR 1 Month + 4.00%) due 6/2/2025 | 7,230,495 | 7,233,532 |
| | | | 7,233,532 |
| | Software & Services — 0.9% | | |
| | Internet Software & Services — 0.5% | | |
| l,m | Dun & Bradstreet Corporation (The), 3.359% (LIBOR 1 Month + 3.25%) due 2/6/2026 | 13,855,804 | 13,769,205 |
| | Software — 0.4% | | |
| l | LogMeIn, Inc., 4.854% (LIBOR 1 Month + 4.75%) due 8/31/2027 | 7,409,430 | 7,383,941 |
| l | Sabre GLBL, Inc., 4.75% (LIBOR 1 Month + 4.00%) due 12/17/2027 | 934,658 | 943,425 |
| l | Sophia, L.P., 4.50% (LIBOR 3 Month + 3.75%) due 10/7/2027 | 5,051,340 | 5,045,026 |
| | | | 27,141,597 |
| | Technology Hardware & Equipment — 0.2% | | |
| | Technology Hardware, Storage & Peripherals — 0.2% | | |
| l | Western Digital Corporation, 1.615% (LIBOR 3 Month + 1.50%) due 2/27/2023 | 5,714,777 | 5,696,947 |
| | | | 5,696,947 |
| | Telecommunication Services — 0.5% | | |
| | Diversified Telecommunication Services — 0.5% | | |
| l | Colorado Buyer, Inc., 8.25% (LIBOR 3 Month + 7.25%) due 5/1/2025 | 3,000,000 | 2,970,000 |
| | Intelsat Jackson Holdings S.A., | | |
| h,l | 6.50% (LIBOR 3 Month + 5.50%), due 7/13/2022 | 1,473,571 | 1,489,043 |
| h,l | 8.75% (PRIME + 5.50%), due 1/2/2024 | 9,800,000 | 9,990,708 |
| | | | 14,449,751 |
| | Utilities — 0.2% | | |
| | Electric Utilities — 0.2% | | |
| l | Pacific Gas & Electric Company, 2.375% (LIBOR 3 Month + 2.25%) due 1/3/2022 | 5,200,000 | 5,200,000 |
| | | | 5,200,000 |
| | Total Loan Participations (Cost $168,703,044) | | 171,116,104 |
| | Short-Term Investments — 12.5% | | |
| | Egypt Treasury Bills (EGP), 13.73% due 2/1/2022 | 15,000,000 | 856,997 |
| | Egypt Treasury Bills (EGP), 13.74% due 8/24/2021 | 28,000,000 | 1,692,043 |
| | Egypt Treasury Bills (EGP), 13.75% due 1/18/2022 | 57,000,000 | 3,271,349 |
| | Egypt Treasury Bills (EGP), 13.82% due 10/12/2021 | 85,500,000 | 5,076,853 |
| n | Thornburg Capital Management Fund | 37,196,418 | 371,964,180 |
| | Total Short-Term Investments (Cost $382,936,451) | | 382,861,422 |
62 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
| | Issuer-Description | SHARES/
PRINCIPAL AMOUNT | VALUE |
| | Total Investments — 99.8% (Cost $3,000,085,104) | | $3,052,702,974 |
| | Other Assets Less Liabilities — 0.2% | | 5,956,749 |
| | Net Assets — 100.0% | | $3,058,659,723 |
| Outstanding Forward Currency Contracts To Buy Or Sell At March 31, 2021 |
Contract
Description | Contract
Party* | Buy/Sell | Contract
Amount | Contract
Value Date | Value
USD | Unrealized
Appreciation | Unrealized
Depreciation |
| Euro | SSB | Sell | 1,959,500 | 9/23/2021 | 2,306,377 | $ 35,792 | $ — |
| |
| Net unrealized appreciation (depreciation) | | | | | | $ 35,792 | |
| * | Counterparty includes State Street Bank and Trust Company ("SSB"). |
| Footnote Legend |
| a | Security currently fair valued by the Valuation and Pricing Committee using procedures approved by the Trustees’ Audit Committee. |
| b | Non-income producing. |
| c | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| d | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| e | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $1,685,415,788, representing 55.10% of the Fund’s net assets. |
| f | When-issued security. |
| g | Segregated as collateral for a when-issued security. |
| h | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
| i | Interest only. |
| j | Bond in default. |
| k | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at March 31, 2021. |
| l | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at March 31, 2021. |
| m | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be effective at the time of settlement and will be based upon the London-Interbank Offered Rate ("LIBOR") plus a premium which was determined at the time of purchase. |
| n | Investment in Affiliates. |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 63 |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| ARM | Adjustable Rate Mortgage |
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Rate |
| EGP | Denominated in Egyptian Pound |
| EUR | Denominated in Euro |
| FCB | Farm Credit Bank |
| GO | General Obligation |
| IDR | Denominated in Indonesian Rupiah |
| IO | Interest Only Security |
| LIBOR | London Interbank Offered Rates |
| Mtg | Mortgage |
| MTN | Medium-Term Note |
| MXN | Denominated in Mexican Peso |
| PIK | Payment-in-kind |
| REMIC | Real Estate Mortgage Investment Conduit |
| RUB | Denominated in Russian Ruble |
| SOFR | Secured Overnight Financing Rate |
| SPV | Special Purpose Vehicle |
| UMBS | Uniform Mortgage Backed Securities |
| USD | Unified School District |
| VA | Veterans Affairs |
64 | Thornburg Fixed Income Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Income Fund | March 31, 2021 (Unaudited)
COUNTRY EXPOSURE *
(percent of Fund) |
| United States | 73.1% |
| Canada | 2.2% |
| United Kingdom | 1.4% |
| Germany | 1.0% |
| China | 0.9% |
| United Arab Emirates | 0.8% |
| Cayman Islands | 0.8% |
| Bermuda | 0.6% |
| Belgium | 0.6% |
| Mexico | 0.5% |
| South Korea | 0.5% |
| France | 0.5% |
| Ireland | 0.4% |
| Sweden | 0.4% |
| Luxembourg | 0.4% |
| India | 0.3% |
| Indonesia | 0.3% |
| Australia | 0.3% |
| New Zealand | 0.3% |
| Argentina | 0.2% |
| United Republic of Tanzania | 0.2% |
| Jamaica | 0.2% |
| Japan | 0.2% |
| Morocco | 0.2% |
| Italy | 0.1% |
| South Africa | 0.1% |
| Oman | 0.1% |
| Denmark | 0.1% |
| Egypt | 0.1% |
| Brazil | 0.1% |
| Turkey | 0.1% |
| Chile | 0.1% |
| Russian Federation | 0.1% |
| Panama | 0.1% |
| Guatemala | 0.0%** |
| Switzerland | 0.0%** |
| Other Assets Less Liabilities | 12.7% |
| * | Holdings are classified by country of risk as determined by MSCI and Bloomberg. |
| ** | Country percentage was less than 0.1%. |
See notes to financial statements.
| Thornburg Fixed Income Funds Semi-Annual Report | 65 |
Statements of Assets and Liabilities
March 31, 2021 (Unaudited)
| | THORNBURG
LIMITED TERM U.S.
GOVERNMENT FUND | THORNBURG
LIMITED TERM
INCOME FUND | THORNBURG
ULTRA SHORT
INCOME FUND | THORNBURG
STRATEGIC
INCOME FUND |
| ASSETS | | | | |
| Investments at cost | | | | |
| Non-affiliated issuers | $ 355,128,630 | $ 9,017,034,540 | $ 37,362,881 | $ 2,628,120,924 |
| Non-controlled affiliated issuers | - | 812,786,524 | 4,934,244 | 371,964,180 |
| Investments at value | | | | |
| Non-affiliated issuers | 356,756,646 | 9,133,604,062 | 37,687,547 | 2,680,738,794 |
| Non-controlled affiliated issuers | - | 812,786,524 | 4,934,244 | 371,964,180 |
| Cash | - | 1,168,703 | - | 3,185,373 |
| Unrealized appreciation on forward currency contracts | - | - | - | 35,792 |
| Receivable for investments sold | - | 10,811,833 | - | 4,455,768 |
| Receivable for fund shares sold | 552,690 | 39,560,749 | 303,381 | 16,480,665 |
| Receivable from investment advisor | - | - | 8,444 | - |
| Dividends receivable | 52 | 101,887 | 610 | 192,888 |
| Principal and interest receivable | 964,094 | 35,119,892 | 86,443 | 19,352,647 |
| Prepaid expenses and other assets | 108,577 | 641,276 | 46,091 | 317,503 |
| Total Assets | 358,382,059 | 10,033,794,926 | 43,066,760 | 3,096,723,610 |
| Liabilities | | | | |
| Payable for investments purchased | - | 82,190,189 | 561,481 | 30,188,246 |
| Payable for fund shares redeemed | 445,865 | 19,185,381 | 9,113 | 4,925,104 |
| Payable to investment advisor and other affiliates | 176,094 | 3,842,295 | - | 1,416,052 |
| Accounts payable and accrued expenses | 77,050 | 176,893 | 60,716 | 264,922 |
| Dividends payable | 76,132 | 1,644,943 | 1,169 | 1,248,156 |
| Total Liabilities | 775,141 | 107,039,701 | 632,479 | 38,042,480 |
| Commitments and contingencies | | | | |
| Unrealized depreciation on unfunded commmitments | - | - | - | (21,407) |
| Net Assets | $ 357,606,918 | $ 9,926,755,225 | $ 42,434,281 | $ 3,058,659,723 |
| NET ASSETS CONSIST OF | | | | |
| Net capital paid in on shares of beneficial interest | $ 369,711,928 | $ 9,801,681,444 | $ 42,130,881 | $ 3,004,641,612 |
| Distributable earnings (accumulated loss) | (12,105,010) | 125,073,781 | 303,400 | 54,018,111 |
| Net Assets | $ 357,606,918 | $ 9,926,755,225 | $ 42,434,281 | $ 3,058,659,723 |
66 | Thornburg Fixed Income Funds Semi-Annual Report
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
LIMITED TERM U.S.
GOVERNMENT FUND | THORNBURG
LIMITED TERM
INCOME FUND | THORNBURG
ULTRA SHORT
INCOME FUND | THORNBURG
STRATEGIC
INCOME FUND |
| NET ASSET VALUE | | | | |
| Class A Shares: | | | | |
| Net assets applicable to shares outstanding | $ 91,657,144 | $ 843,898,223 | $ 10,792,353 | $ 287,733,322 |
| Shares outstanding | 7,001,591 | 61,177,151 | 863,516 | 23,299,489 |
| Net asset value and redemption price per share | $ 13.09 | $ 13.79 | $ 12.50 | $ 12.35 |
| Maximum offering price per share (net asset value, plus 2.25% of offering price) | $ 13.39 | $ 14.11 | $ 12.79 | $ 12.93 * |
| Class C Shares: | | | | |
| Net assets applicable to shares outstanding | 13,258,389 | 386,137,185 | - | 96,020,732 |
| Shares outstanding | 1,006,826 | 28,037,967 | - | 7,789,474 |
| Net asset value and redemption price per share** | 13.17 | 13.77 | - | 12.33 |
| Class C2 Shares: | | | | |
| Net assets applicable to shares outstanding | 459,614 | 10,429,786 | - | - |
| Shares outstanding | 34,895 | 757,241 | - | - |
| Net asset value and redemption price per share** | 13.17 | 13.77 | - | - |
| Class I Shares: | | | | |
| Net assets applicable to shares outstanding | 239,059,325 | 8,363,040,592 | 31,641,928 | 2,549,841,673 |
| Shares outstanding | 18,262,278 | 606,111,735 | 2,533,168 | 207,060,502 |
| Net asset value and redemption price per share | 13.09 | 13.80 | 12.49 | 12.31 |
| Class R3 Shares: | | | | |
| Net assets applicable to shares outstanding | 8,266,145 | 60,795,706 | - | 950,460 |
| Shares outstanding | 631,100 | 4,404,199 | - | 77,072 |
| Net asset value and redemption price per share | 13.10 | 13.80 | - | 12.33 |
| Class R4 Shares: | | | | |
| Net assets applicable to shares outstanding | 2,613,885 | 10,000,279 | - | 1,921,693 |
| Shares outstanding | 199,731 | 725,255 | - | 155,888 |
| Net asset value and redemption price per share | 13.09 | 13.79 | - | 12.33 |
| Class R5 Shares: | | | | |
| Net assets applicable to shares outstanding | 2,292,416 | 148,541,806 | - | 58,937,025 |
| Shares outstanding | 174,991 | 10,768,710 | - | 4,783,108 |
| Net asset value and redemption price per share | 13.10 | 13.79 | - | 12.32 |
| Class R6 Shares: | | | | |
| Net assets applicable to shares outstanding | - | 103,911,648 | - | 63,254,818 |
| Shares outstanding | - | 7,516,691 | - | 5,120,906 |
| Net asset value and redemption price per share | - | 13.82 | - | 12.35 |
| * | Net asset value, plus 4.50% of offering price. |
| ** | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Thornburg Fixed Income Funds Semi-Annual Report | 67
Statements of Operations
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
LIMITED TERM U.S.
GOVERNMENT FUND | THORNBURG
LIMITED TERM
INCOME FUND | THORNBURG
ULTRA SHORT
INCOME FUND | THORNBURG
STRATEGIC
INCOME FUND |
| INVESTMENT INCOME | | | | |
| Dividend income | | | | |
| Non-affiliated issuers | $ 294 | $ - | $ 3,403 | $ 587,928 |
| Non-controlled affiliated issuers | - | 679,039 | - | 219,077 |
| Interest income | 2,509,760 | 92,494,618 | 350,421 | 59,397,076 |
| Foreign withholding tax claims | - | - | - | 42,117 |
| Total Income | 2,510,054 | 93,173,657 | 353,824 | 60,246,198 |
| EXPENSES | | | | |
| Investment management fees | 684,610 | 14,315,258 | 48,555 | 8,025,759 |
| Administration fees | 158,154 | 4,034,934 | 16,815 | 1,118,913 |
| Distribution and service fees | | | | |
| Class A Shares | 114,848 | 1,047,245 | 8,994 | 341,419 |
| Class C Shares | 36,025 | 967,841 | - | 479,570 |
| Class C2 Shares* | 311 | 20,581 | - | - |
| Class R3 Shares | 23,046 | 156,012 | - | 2,556 |
| Class R4 Shares | 3,398 | 8,439 | - | 2,294 |
| Transfer agent fees | | | | |
| Class A Shares | 33,627 | 298,184 | 14,890 | 94,918 |
| Class C Shares | 8,996 | 141,133 | - | 50,970 |
| Class C2 Shares* | 362 | 1,928 | - | - |
| Class I Shares | 84,631 | 2,599,353 | 8,609 | 681,350 |
| Class R3 Shares | 3,967 | 24,179 | - | 938 |
| Class R4 Shares | 3,979 | 10,438 | - | 4,340 |
| Class R5 Shares | 3,765 | 186,011 | - | 42,331 |
| Class R6 Shares | - | 4,043 | - | 2,264 |
| Registration and filing fees | | | | |
| Class A Shares | 10,443 | 50,575 | 9,746 | 17,643 |
| Class C Shares | 5,693 | 18,096 | - | 8,318 |
| Class C2 Shares* | 1,562 | 5,907 | - | - |
| Class I Shares | 18,931 | 243,349 | 8,681 | 136,082 |
| Class R3 Shares | 6,814 | 7,768 | - | 6,895 |
| Class R4 Shares | 6,262 | 6,322 | - | 6,212 |
| Class R5 Shares | 6,946 | 7,929 | - | 6,998 |
| Class R6 Shares | - | 6,252 | - | 6,126 |
| Custodian fees | 34,602 | 197,034 | 31,638 | 107,719 |
| Professional fees | 25,655 | 74,141 | 24,155 | 51,217 |
| Trustee and officer fees | 10,869 | 264,880 | 1,173 | 70,664 |
| Tax reclaim collection fees | - | - | - | 8,531 |
| Other expenses | 23,107 | 333,983 | 6,923 | 105,741 |
| Total Expenses | 1,310,603 | 25,031,815 | 180,179 | 11,379,768 |
| Less: | | | | |
| Expenses reimbursed | (29,863) | (159,018) | (58,875) | (1,074,949) |
| Investment management fees waived | - | - | (54,044) | (1,521,033) |
| Net Expenses | 1,280,740 | 24,872,797 | 67,260 | 8,783,786 |
| Net Investment Income (Loss) | $ 1,229,314 | $ 68,300,860 | $ 286,564 | $ 51,462,412 |
68 | Thornburg Fixed Income Funds Semi-Annual Report
Statements of Operations, Continued
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
LIMITED TERM U.S.
GOVERNMENT FUND | THORNBURG
LIMITED TERM
INCOME FUND | THORNBURG
ULTRA SHORT
INCOME FUND | THORNBURG
STRATEGIC
INCOME FUND |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
| Net realized gain (loss) on: | | | | |
| Non-affiliated issuer investments | $ 89,605 | $ 33,251,971 | $ 18,463 | $ 10,603,475 |
| Forward currency contracts | - | - | - | (77,112) |
| Foreign currency transactions | - | - | - | (75,070) |
| Net realized gain (loss) | 89,605 | 33,251,971 | 18,463 | 10,451,293 |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Non-affiliated issuers investments | (6,924,971) | (157,211,615) | (151,531) | 13,035,446 |
| Forward currency contracts | - | - | - | 30,510 |
| Foreign currency translations | - | - | - | (8,875) |
| Change in net unrealized appreciation (depreciation) | (6,924,971) | (157,211,615) | (151,531) | 13,057,081 |
| Net Realized and Unrealized Gain (Loss) | (6,835,366) | (123,959,644) | (133,068) | 23,508,374 |
| Change in Net Assets Resulting from Operations | $ (5,606,052) | $ (55,658,784) | $ 153,496 | $ 74,970,786 |
| * | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
Thornburg Fixed Income Funds Semi-Annual Report | 69
Statements of Changes in Net Assets
| | THORNBURG LIMITED TERM U.S. GOVERNMENT FUND | THORNBURG LIMITED TERM INCOME FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 1,229,314 | $ 3,607,100 | $ 68,300,860 | $ 138,807,651 |
| Net realized gain (loss) | 89,605 | 959,377 | 33,251,971 | 112,069,566 |
| Net change in unrealized appreciation (depreciation) | (6,924,971) | 6,172,607 | (157,211,615) | 184,146,634 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (5,606,052) | 10,739,084 | (55,658,784) | 435,023,851 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (508,833) | (1,088,304) | (15,762,248) | (16,819,606) |
| Class C Shares | (54,069) | (203,518) | (6,803,355) | (9,033,756) |
| Class C2 Shares** | (318) | - | (76,655) | - |
| Class I Shares | (1,671,985) | (3,276,526) | (154,301,866) | (150,085,898) |
| Class R3 Shares | (44,945) | (129,884) | (1,107,737) | (1,693,873) |
| Class R4 Shares | (13,311) | (37,348) | (115,501) | (156,081) |
| Class R5 Shares | (14,524) | (26,237) | (3,044,236) | (3,822,501) |
| Class R6 Shares | - | - | (2,083,410) | (2,558,644) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 6,712,224 | 19,305,043 | 96,170,222 | 100,507,407 |
| Class C Shares | (4,426,146) | 2,021,887 | (16,856,907) | 42,742,513 |
| Class C2 Shares** | 465,056 | - | 10,622,232 | - |
| Class I Shares | 558,668 | 94,687,939 | 1,563,133,583 | 2,342,418,095 |
| Class R3 Shares | (766,171) | (147,783) | 1,305,883 | (5,953,611) |
| Class R4 Shares | (106,813) | 429,413 | 3,758,550 | (1,808,601) |
| Class R5 Shares | 34,409 | 1,374,063 | 2,958,173 | 37,267,857 |
| Class R6 Shares | - | - | 7,834,755 | 34,109,655 |
| Net Increase (Decrease) in Net Assets | (5,442,810) | 123,647,829 | 1,429,972,699 | 2,800,136,807 |
| NET ASSETS | | | | |
| Beginning of Period | 363,049,728 | 239,401,899 | 8,496,782,526 | 5,696,645,719 |
| End of Period | $ 357,606,918 | $ 363,049,728 | $ 9,926,755,225 | $ 8,496,782,526 |
| * | Unaudited. |
| ** | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
70 | Thornburg Fixed Income Funds Semi-Annual Report
Statements of Changes in Net Assets, Continued
| | THORNBURG ULTRA SHORT INCOME FUND | THORNBURG STRATEGIC INCOME FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 286,564 | $ 633,706 | $ 51,462,412 | $ 62,938,266 |
| Net realized gain (loss) | 18,463 | 159,418 | 10,451,293 | 19,345,602 |
| Net change in unrealized appreciation (depreciation) | (151,531) | 152,074 | 13,057,081 | 33,461,654 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 153,496 | 945,198 | 74,970,786 | 115,745,522 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (94,873) | (159,045) | (5,731,377) | (7,184,136) |
| Class C Shares | - | - | (1,633,071) | (2,749,238) |
| Class I Shares | (344,502) | (621,189) | (47,742,717) | (49,465,381) |
| Class R3 Shares | - | - | (19,731) | (37,522) |
| Class R4 Shares | - | - | (35,610) | (40,053) |
| Class R5 Shares | - | - | (1,185,320) | (1,183,705) |
| Class R6 Shares | - | - | (1,153,840) | (874,952) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 2,731,907 | 87,189 | 35,993,785 | 28,075,890 |
| Class C Shares | - | - | (8,132,073) | (18,368,245) |
| Class I Shares | 3,612,261 | 3,253,888 | 777,317,505 | 573,823,914 |
| Class R3 Shares | - | - | (165,580) | (553,775) |
| Class R4 Shares | - | - | 273,450 | 324,328 |
| Class R5 Shares | - | - | 14,882,896 | 31,573,177 |
| Class R6 Shares | - | - | 23,787,959 | 16,927,688 |
| Net Increase (Decrease) in Net Assets | 6,058,289 | 3,506,041 | 861,427,062 | 686,013,512 |
| NET ASSETS | | | | |
| Beginning of Period | 36,375,992 | 32,869,951 | 2,197,232,661 | 1,511,219,149 |
| End of Period | $ 42,434,281 | $ 36,375,992 | $ 3,058,659,723 | $ 2,197,232,661 |
See notes to financial statements.
Thornburg Fixed Income Funds Semi-Annual Report | 71
Notes to Financial Statements
March 31, 2021 (Unaudited)
NOTE 1 – ORGANIZATION
Thornburg Limited Term U.S. Government Fund (the “Limited Term U.S. Government Fund”), Thornburg Limited Term Income Fund (the “Limited Term Income Fund”), Thornburg Ultra Short Income Fund (the “Ultra Short Income Fund”) and Thornburg Strategic Income Fund (the “Strategic Income Fund”), collectively the (“Funds”), are diversified series of Thornburg Investment Trust (the “Trust”). The Trust is organized as a Massachusetts business trust under a Declaration of Trust dated June 3, 1987 and is registered as a diversified, open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Funds are currently four of twenty-two 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.
Limited Term U.S. Government Fund: The Fund’s primary objective is to provide a high level of current income as is consistent, in the view of the Trust’s investment advisor, Thornburg Investment Management, Inc. (the “Advisor”), with safety of capital. As a secondary objective, the Fund seeks to reduce changes in its share price compared to longer term portfolios. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment and extension risk, credit risk, market and economic risk, liquidity risk, and structured products risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Limited Term Income Fund: The Fund’s primary objective is to provide a high level of current income as is consistent, in the view of the Advisor, with safety of capital. As a secondary objective, the Fund seeks to reduce changes in its share price compared to longer term portfolios. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment and extension risk, credit risk, market and economic risk, risks affecting specific issuers, foreign investment risk, liquidity risk, and structured products risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Ultra Short Income Fund: The Fund’s primary objective is to seek current income, consistent with preservation of capital. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment and extension risk, credit risk, high yield risk, market and economic risk, risks affecting specific issuers, foreign investment risk, liquidity risk, structured products risk and derivatives risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Strategic Income Fund: The Fund’s primary objective is to seek a high level of current income. As a secondary objective, the Fund seeks some long-term capital appreciation. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment and extension risk, credit risk, high-yield risk, market and economic risk, risks affecting specific issuers, liquidity risk, small and mid-cap company risk, foreign investment risk, developing country risk, foreign currency risk, and structured products risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
All countries are vulnerable economically to the impact of a public health crisis, such as the novel virus known as COVID-19. Such crises may depress consumer demand, disrupt supply chains, slow economic growth, and potentially lead to market closures, travel restrictions, government-imposed shutdowns, and quarantines, all of which could adversely affect the economies of many of the markets in which the Funds invest, and which could in turn lead to declines in the value of the Funds’ invest, and which could in turn lead to declines in the value of the Funds’ investments or decrease the liquidity of those investments.
As of March 31, 2021, the Funds currently offer from one to eight classes of shares of beneficial interest.
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 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 C2 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, 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 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, each Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including administration fees, transfer agent fees, government registration fees, certain printing and postage costs, and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees, transfer agent fees, and certain registration and filing fees.
At March 31, 2021, the following class of shares are offered in each respective Fund:
| | Class A | Class C | Class C2 | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
| Limited Term U.S. Government Fund | X | X | X | X | X | X | X | |
| Limited Term Income Fund | X | X | X | X | X | X | X | X |
72 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | Class A | Class C | Class C2 | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
| Ultra Short Income Fund | X | | | X | | | | |
| Strategic Income Fund | X | X | | X | X | X | X | X |
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by each of the Funds in the preparation of its financial statements. Each Fund 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.
Allocation of Income, Gains, Losses and Expenses: 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 daily among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.
Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income dividends, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends and distributions are paid and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.
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 Funds purchase or sell foreign investments, they 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 Funds do 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 (depreciation) from investments in the Statement of Operations.
Reported net realized gains and losses from foreign currency transactions arise due to purchases and sales of foreign currencies, currency gains and 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 Funds’ books, and the U.S. dollar equivalent of the amounts actually received or paid. These amounts are included in foreign currency transactions in the Statement of Operations.
Net change in unrealized appreciation (depreciation) on foreign currency translations arise from changes in the fair value of assets and liabilities, other than investments at period end, resulting from changes in exchange rates.
Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Investment Income: Dividend income is recorded on the ex-dividend date. Certain income from foreign investments is recognized as soon as information is available to the Funds. Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to first call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Investment Income in the Statement of Operations.
Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.
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.
Thornburg Fixed Income Funds Semi-Annual Report | 73
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
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.
Security Valuation: All investments in securities held by the Funds are valued as described in Note 3.
Unfunded Loan Commitments: The Strategic Income Fund has entered into a loan commitment with Malamute Energy, Inc., of which, at March 31, 2021, $21,852 of the $43,475 par commitment had been funded. The maturity date is June 30, 2021.
Use of Estimates: 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.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent the Funds engage in such transactions, they will do so for the purpose of acquiring portfolio investments consistent with the Funds’ investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Funds make a commitment to purchase an investment on a when-issued or delayed delivery basis, the Funds 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 Funds’ records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date. The values of these securities held at March 31, 2021 are detailed in the Schedule of Investments.
NOTE 3 – SECURITY VALUATION
Valuation of the Funds’ portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.
The Trustees of the Trust have appointed the Advisor to assist the Trustees with obtaining fair market values for portfolio investments, evaluating and monitoring professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assisting in calculating fair values for portfolio investments in certain circumstances, and performing other functions in connection with the 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, reviews 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 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 Securities: 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.
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
74 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
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.
Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.
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 is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Funds are likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
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 Funds may be traded on days and at times when the Funds are not open for business. Consequently, the value of Funds’ investments may be significantly affected on days when shareholders cannot purchase or sell Funds’ shares.
Valuation Hierarchy: The Funds categorize their 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 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 ratings, 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 Funds are typically calculated by pricing service providers approved by the Audit Committee and are generally 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 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 a fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
Thornburg Fixed Income Funds Semi-Annual Report | 75
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
The following tables display a summary of the fair value hierarchy measurements of each Fund’s investments as of March 31, 2021:
| LIMITED TERM U.S. GOVERNMENT FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Corporate Bonds | $ 3,770,270 | $ — | $ 3,770,270 | $ — |
| U.S. Treasury Securities | 51,559,377 | 51,559,377 | — | — |
| U.S. Government Agencies | 28,272,977 | — | 28,272,977 | — |
| Mortgage Backed | 244,854,843 | — | 244,854,843 | — |
| Short-Term Investments | 28,299,179 | 24,031,179 | 4,268,000 | — |
| Total Investments in Securities | $ 356,756,646 | $ 75,590,556 | $ 281,166,090 | $ — |
| Total Assets | $ 356,756,646 | $ 75,590,556 | $ 281,166,090 | $ — |
| LIMITED TERM INCOME FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Asset Backed Securities | $ 1,756,618,894 | $ — | $ 1,756,618,894 | $ — |
| Corporate Bonds | 3,394,891,111 | — | 3,394,891,111 | — |
| Convertible Bonds | 4,284,690 | — | 4,284,690 | — |
| Long-Term Municipal Bonds | 44,601,154 | — | 44,601,154 | — |
| Other Government | 17,001,469 | — | 17,001,469 | — |
| U.S. Treasury Securities | 1,138,027,295 | 1,138,027,295 | — | — |
| U.S. Government Agencies | 62,218,107 | — | 62,218,107 | — |
| Mortgage Backed | 2,644,660,398 | — | 2,644,660,398 | — |
| Loan Participations | 71,300,944 | — | 71,300,944 | — |
| Short-Term Investments | 812,786,524 | 812,786,524 | — | — |
| Total Investments in Securities | $ 9,946,390,586 | $ 1,950,813,819 | $ 7,995,576,767 | $ — |
| Total Assets | $ 9,946,390,586 | $ 1,950,813,819 | $ 7,995,576,767 | $ — |
| ULTRA SHORT INCOME FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Asset Backed Securities | $ 22,834,835 | $ — | $ 22,834,835 | $ — |
| Corporate Bonds | 10,253,955 | — | 10,253,955 | — |
| Long-Term Municipal Bonds | 271,235 | — | 271,235 | — |
| U.S. Treasury Securities | 758,820 | 758,820 | — | — |
| U.S. Government Agencies | 118,570 | — | 118,570 | — |
| Mortgage Backed | 2,699,959 | — | 2,699,959 | — |
| Short-Term Investments | 5,684,417 | 4,934,244 | 750,173 | — |
| Total Investments in Securities | $ 42,621,791 | $ 5,693,064 | $ 36,928,727 | $ — |
| Total Assets | $ 42,621,791 | $ 5,693,064 | $ 36,928,727 | $— |
76 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| STRATEGIC INCOME FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Common Stock | $ 1,647,271 | $ — | $ — | $ 1,647,271 |
| Preferred Stock | 17,990,194 | 17,990,194 | — | — |
| Asset Backed Securities | 656,377,944 | — | 562,205,514 | 94,172,430 |
| Corporate Bonds | 1,310,202,479 | — | 1,306,068,204 | 4,134,275 |
| Convertible Bonds | 28,040,400 | — | 28,040,400 | — |
| Long-Term Municipal Bonds | 15,143,147 | — | 15,143,147 | — |
| Other Government | 30,971,930 | — | 30,971,930 | — |
| U.S. Treasury Securities | 57,831,580 | 57,831,580 | — | — |
| U.S. Government Agencies | 4,189,738 | — | 4,189,738 | — |
| Mortgage Backed | 376,330,765 | — | 364,791,079 | 11,539,686 |
| Loan Participations | 171,116,104 | — | 171,115,885 | 219 |
| Short-Term Investments | 382,861,422 | 371,964,180 | 10,897,242 | — |
| Total Investments in Securities | $ 3,052,702,974 | $ 447,785,954 | $ 2,493,423,139 | $ 111,493,881(a) |
| Other Financial Instruments | | | | |
| Forward Currency Contracts | $ 35,792 | $ — | $ 35,792 | $ — |
| Total Assets | $ 3,052,738,766 | $ 447,785,954 | $ 2,493,458,931 | $111,493,881 |
| (a) In accordance with the guidance prescribed in Accounting Standards Update ("ASU") No. 2011-04, the following table displays a summary of the valuation techniques and unobservable inputs used to value portfolio securities characterized as Level 3 investments for the period ended at March 31, 2021. |
| | FAIR VALUE AT
March 31, 2021 | VALUATION
TECHNIQUE(S) | UNOBSERVABLE
INPUT | RANGE
(WEIGHTED AVERAGE) |
| Common Stock | $ 847 | Reference instrument | Discount for lack of marketability | 95.24/(N/A) (a) |
| | 1,646,424 | Broker quote | Broker quote | $18.00/(N/A) |
| Asset-Backed Securities | 94,172,430 | Purchase price | Purchase price | $35.94-$310,000.00/($45,718.22) |
| Corporate Bond | 4,114,162 | Purchase price | Purchase price | $100.15/(N/A) |
| | 20,113 | Recovery analysis | Expected recovery | $2.00/(N/A) (a) |
| Loan Participations | 219 | Reference instrument | Expected recovery | $1.00/(N/A) (a) |
| Mortgage Backed | 11,539,686 | Purchase price | Purchase price | $0.70-$12.24/($7.32) |
| Total | $ 111,493,881 | | | |
| (a) Represents price used after factoring in market impact including discounts, as applicable. | | |
A rollforward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended March 31, 2021 is as follows:
| STRATEGIC INCOME FUND | COMMON
STOCK | MORTGAGE
BACKED | ASSET BACKED
SECURITIES | CORPORATE
BONDS | LOAN
PARTICIPATIONS | WARRANTS | TOTAL (e) |
| Beginning Balance 9/30/2020 | $ 1,152,244 | $ 3,100,428 | $ 36,506,745 | $ 220,427 | $ 270,437 | $ 66,611 | $ 41,316,892 |
| Accrued Discounts (Premiums) | – | (231,412) | (3,254,116) | (4,156) | – | – | (3,489,684) |
| Net Realized Gain (Loss)(a) | – | (737,256) | (4,481) | – | – | (3,806,456) | (4,548,193) |
| Gross Purchases | – | 10,323,174 | 70,730,186 | 4,114,162 | 165 | – | 85,167,687 |
| Gross Sales | – | – | (4,087,500) | (15,742) | – | – | (4,103,242) |
| Net Change in Unrealized Appreciation (Depreciation)(b)(c) | 495,027 | 226,413 | 3,281,591 | (180,416) | (21,633) | 3,739,845 | 7,540,827 |
| Transfers into Level 3(d) | – | – | – | – | – | – | – |
| Transfers out of Level 3(d) | – | (1,141,661) | (8,999,995) | – | (248,750) | – | (10,390,406) |
| Ending Balance 3/31/2021 | $ 1,647,271 | $ 11,539,686 | $ 94,172,430 | $ 4,134,275 | $ 219 | $ – | $ 111,493,881 |
Thornburg Fixed Income Funds Semi-Annual Report | 77
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| (a) | Amount of net realized gain (loss) from investments recognized in income is included in the Fund’s Statement of Operations for the six months ended March 31, 2021. |
| (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 six months ended March 31, 2021. |
| (c) | The net change in unrealized appreciation (depreciation) attributable to securities owned at March 31, 2021, which were valued using significant unobservable inputs, was $3,773,597. This is included within net change in unrealized appreciation (depreciation) on investments in the Fund’s Statement of Operations for the six months ended March 31, 2021. |
| (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 six months ended March 31, 2021. 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 3.65% of total net assets at the six months ended March 31, 2021. 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. |
NOTE 4 – INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment management 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. Under the investment advisory agreement, each Fund pays the Advisor a management fee based on the average daily net assets of the Funds at an annual rate as shown in the following table:
| LIMITED TERM U.S. GOVERNMENT FUND | LIMITED TERM INCOME FUND | ULTRA SHORT INCOME FUND | STRATEGIC INCOME FUND |
| DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE |
| Up to $1 billion | 0.375% | Up to $500 million | 0.500% | Up to $5 billion | 0.250% | Up to $500 million | 0.750% |
| Next $1 billion | 0.325 | Next $500 million | 0.450 | Next $5 billion | 0.225 | Next $500 million | 0.675 |
| Over $2 billion | 0.275 | Next $500 million | 0.400 | Over $10 billion | 0.200 | Next $500 million | 0.625 |
| | | Next $500 million | 0.350 | | | Next $500 million | 0.575 |
| | | Over $2 billion | 0.275 | | | Over $2 billion | 0.500 |
The Funds’ effective management fees of as a percentage of the Funds’ average daily net assets (before applicable management fee waivers) for the six months ended March 31, 2021 were as shown in the following table. Total management fees incurred by the Funds for the six months ended March 31, 2021 are set forth in the Statement of Operations.
| | Effective
Management
Fee |
| Limited Term U.S. Government Fund | 0.375% |
| Limited Term Income Fund | 0.307 |
| Ultra Short Income Fund | 0.250 |
| Strategic Income Fund | 0.621 |
The Trust has entered into an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Funds’ shares. The fees are computed as an annual percentage of the aggregate average daily net assets of all shares classes of all Funds in the Trust as follows:
| Administrative Services Fee Schedule |
| Daily Net Assets | Fee Rate |
| Up to $20 billion | 0.100% |
| $20 billion to $40 billion | 0.075 |
| $40 billion to $60 billion | 0.040 |
| Over $60 billion | 0.030 |
The aggregate fee amount is allocated on a daily basis to each Fund based on net assets and subsequently allocated to each class of shares of the Funds. Total administrative services fees incurred by each class of shares of the Funds for the six months ended March 31, 2021, are set forth in the Statement of Operations.
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 six months ended March 31, 2021, the Distributor has advised the Funds that they earned net
78 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
commissions from the sale of Class A shares and collected contingent deferred sales charges ("CDSC Fees") from redemptions of Class C shares as follows:
| | Commissions | CDSC fees |
| Limited Term U.S. Government Fund | $ 3,075 | $ 2,067 |
| Limited Term Income Fund | 28,758 | 35,879 |
| Ultra Short Income Fund | 500 | — |
| Strategic Income Fund | 24,882 | 5,303 |
Pursuant to a service plan under Rule 12b-1 of the 1940 Act, the Funds may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to the applicable Class A, Class C, Class C2, Class I, Class R3, Class R4, and Class R5 shares of the Limited Term U.S. Government Fund and Limited Term Income Fund, Class A, Class C, Class I, Class R3, Class R4, and Class R5 shares of the Strategic Income Fund and .20 of 1% per annum of the average daily net assets attributable to the applicable Class A and Class I of the Ultra Short Income Fund for payments made by the Distributor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2021, there were no 12b-1 service plan fees charged for Class I or Class R5 shares. Class R6 shares are not subject to a service plan. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of each Funds’ shares and shareholder services.
The Trust has also adopted a distribution plan pursuant to Rule 12b-1, applicable only to the Funds’ Class C, Class C2, and Class R3 shares, under which the Funds compensate the Distributor for services in promoting the sale of Class C and R3 shares of the Funds at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C shares of Limited Term U.S. Government Fund and Limited Term Income Fund, .40 of 1% per annum of the average daily net assets attributable to Class C2 shares of the Limited Term U.S. Government Fund and Limited Term Income Fund, .75 of 1% per annum of the average daily net assets attributable to Class C shares of Strategic Income Fund, and .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 Funds under their respective service and distribution plans for the six months ended March 31, 2021 are set forth in the Statements of Operations.
The Advisor has contractually agreed to waive fees and reimburse expenses incurred by the Funds. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor before February 1, 2022 unless the Advisor ceases to be the investment advisor to the Funds prior to that date. The Advisor may recoup amounts waived or reimbursed during the six months ended March 31, 2021 if, during the fiscal year, expenses fall below the contractual limit that was in place at the time these fees and expenses were waived or reimbursed. The Advisor will not recoup fees or expenses as described in the preceding sentence if that recoupment would cause the Fund’s total annual operating expenses (after the recoupment is taken into account) to exceed the lesser of: (a) the expense cap that was in place at the time the waiver or reimbursement occurred; or (b) the expense cap that is in place at the time of the recoupment.
Actual expenses of certain share classes do not exceed levels as specified in each Fund’s most recent prospectus as shown on the following table:
| | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
| Limited Term U.S. Government Fund | —% | —% | —% | 0.99% | 0.99% | 0.67% | —% |
| Limited Term Income Fund | — | — | 0.49 | 0.99 | 0.99 | 0.49 | 0.42 |
| Ultra Short Income Fund | 0.50 | — | 0.30 | — | — | — | — |
| Strategic Income Fund | 1.05 | 1.80 | 0.60 | 1.25 | 1.25 | 0.60 | 0.53 |
For the six months ended March 31, 2021, the Advisor contractually reimbursed certain class specific expenses and distribution fees and voluntarily waived Fund level investment advisory fees as follows:
| Contractual: | Class A | Class C | Class I | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| Limited Term U.S. Government Fund | $ — | $ — | $ — | $ 11,855 | $ 7,160 | $ 8,968 | $ — | $ 27,983 |
| Limited Term Income Fund | — | — | — | 7,878 | 5,726 | 136,579 | 6,800 | 156,983 |
| Ultra Short Income Fund | 28,676 | — | 30,199 | — | — | — | — | 58,875 |
| Strategic Income Fund | 112,641 | 39,630 | 1,841,092 | 7,571 | 7,794 | 75,182 | 50,629 | 2,134,539 |
Thornburg Fixed Income Funds Semi-Annual Report | 79
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| Voluntary: | Class A | Class C | Class C2 | Class I | Class R3 | Class R4 | Class R5 | Class R6 | Total |
| Limited Term U.S. Government Fund | $ — | $ — | $ 1,880 | $ — | $ — | $ — | $ — | $ — | 1,880 |
| Limited Term Income Fund | — | — | 2,035 | — | — | — | — | — | 2,035 |
| Ultra Short Income Fund | 12,554 | — | — | 41,490 | — | — | — | — | 54,044 |
| Strategic Income Fund | 48,787 | 17,105 | — | 376,739 | 183 | 328 | 9,340 | 8,961 | 461,443 |
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of the independent Trustees is borne by the Trust. The Trust also pays a portion of the Chief Compliance Officer’s compensation. These amounts are reflected as Trustee and officer fees in the Statement of Operations.
As of March 31, 2021, the percentage of direct investments in the Funds held by the Trustees, officers of the Trust, and the Advisor is approximately as follows.
| | Percentage of Direct Investments |
| Limited Term U.S. Government Fund | 10.59% |
| Limited Term Income Fund | 0.10 |
| Ultra Short Income Fund | 24.37 |
| Strategic Income Fund | 0.39 |
Shown below are holdings of voting securities of each portfolio company which is considered "affiliated" to the Funds under the 1940 Act, including companies for which the Funds’ holding represented 5% or more of the company’s voting securities, and a series of the Thornburg Investment Trust in which the Funds’ invested for cash management purposes during the period:
| LIMITED TERM INCOME FUND | Market Value
9/30/20 | Purchases
at Cost | Sales
Proceeds | Realized
Gain
(Loss) | Change in
Unrealized
Appr./(Depr.) | Market Value
3/31/21 | Dividend
Income |
| Thornburg Capital Mgmt. Fund | $902,817,411 | $1,875,283,953 | $(1,965,314,840) | $- | $- | $812,786,524 | $679,039 |
| ULTRA SHORT INCOME FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $ 7,005,333 | $ 26,516,770 | $ (28,587,859) | $- | $- | $ 4,934,244 | $ 3,403 |
| STRATEGIC INCOME FUND | | | | | | | |
| Thornburg Capital Mgmt. Fund | $211,462,661 | $ 670,696,018 | $ (510,194,499) | $- | $- | $371,964,180 | $219,077 |
NOTE 5 – TAXES
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 investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Funds. Therefore, no provision for federal income or excise tax is required.
The Funds file income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Funds’ tax return filings generally remains open for the three years following a return’s filing date. The Funds have analyzed each uncertain tax position believed to be material in the preparation of the Funds’ financial statements for the six month period ended March 31, 2021, including open tax years, to assess whether it is more likely than not that the position would be sustained upon examination, based on the technical merits of the position. The Funds have not identified any such position for which an asset or liability must be reflected in the Statements of Assets and Liabilities.
80 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
At March 31, 2021, information on the tax components of capital were as follows:
| | Cost | Unrealized
Appreciation | Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Limited Term U.S. Government Fund | $ 355,128,630 | $ 5,626,412 | $ (3,998,396) | $ 1,628,016 |
| Limited Term Income Fund | 9,829,821,064 | 202,298,216 | (85,728,694) | 116,569,522 |
| Ultra Short Income Fund | 42,297,125 | 357,770 | (33,104) | 324,666 |
| Strategic Income Fund | 3,000,085,104 | 96,992,339 | (44,374,469) | 52,617,870 |
At March 31, 2021, the Fund had deferred tax basis ordinary and capital losses occurring subsequent to October 31, 2019 through September 30, 2020 per the following table. For tax purposes, such losses will be recognized in the year ending September 30, 2021.
| | Deferred Tax Basis |
| | Capital Losses |
| Limited Term U.S. Government Fund | $ 134,877 |
At March 31, 2021, the Funds had cumulative tax basis capital losses from prior fiscal years as shown on the following table, 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.
| | Cumulative Capital Losses |
| | Short-Term | Long-Term |
| Limited Term U.S. Government Fund | $ 2,166,062 | $ 10,396,604 |
| Strategic Income Fund | — | 5,289,172 |
Foreign Withholding Taxes: The Funds are subject to foreign tax withholding imposed by certain foreign countries in which the Funds 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 Funds may file 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 Funds would expect to record a receivable for such a tax reclaim based on a variety of factors, including assessment of a jurisdiction’s legal obligation to pay reclaims, the jurisdiction’s administrative practices and payment history, and industry convention.
As a result of several court rulings in France, the French tax authorities recently paid several of the Funds’ tax reclaims for prior tax withholding. These tax reclaim payments are reflected as “Foreign withholding tax claims” in the Statements of Operations and any related interest is included in “Interest Income”. Reducing the “Foreign withholding tax claim” amounts are fees paid by the Funds to a third-party service provider that assisted in the recovery of the tax reclaims by pursuing administrative and judicial proceedings on the Funds’ behalf. These third-party service provider fees are reflected in the Statement of Operations under “Tax reclaim collection fees.” For U.S. income tax purposes, tax reclaims paid by France and received by the Funds will reduce the amount of foreign taxes paid in a fiscal year that Fund shareholders can use as tax credits in their individual income tax returns.
In the event that tax reclaims received by the Funds during the fiscal year ending September 30, 2021 exceed the foreign withholding taxes paid by the Funds for other foreign investments, and the Funds have previously passed foreign tax credits on to their shareholders, the Funds will have a U.S. tax liability. The Funds will enter into a closing agreement with the Internal Revenue Service (IRS) in order to pay the associated tax liability (fees) on behalf of the Funds’ shareholders. As of the period ended March 31, 2021, no IRS fees are anticipated.
Deferred Foreign Capital Gain Taxes: The Funds are subject to a tax imposed on net realized gains of securities of certain foreign countries. The Funds record an estimated deferred tax liability for net unrealized gains on these investments as reflected in the accompanying financial statements. Such changes are included in net unrealized appreciation (depreciation) from investments in the Statement of Operations.
NOTE 6 – SHARES OF BENEFICIAL INTEREST
At March 31, 2021, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
Thornburg Fixed Income Funds Semi-Annual Report | 81
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| LIMITED TERM U.S. GOVERNMENT FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 1,126,666 | $ 15,003,452 | 2,642,451 | $ 35,134,519 |
Shares issued to shareholders in
reinvestment of dividends | 36,355 | 482,360 | 78,863 | 1,044,911 |
| Shares repurchased | (661,227) | (8,773,588) | (1,271,682) | (16,874,387) |
| Net increase (decrease) | 501,794 | $ 6,712,224 | 1,449,632 | $ 19,305,043 |
| Class C Shares | | | | |
| Shares sold | 132,152 | $ 1,771,561 | 815,326 | $ 10,884,423 |
Shares issued to shareholders in
reinvestment of dividends | 3,871 | 51,689 | 14,039 | 187,126 |
| Shares repurchased | (466,247) | (6,249,396) | (677,776) | (9,049,662) |
| Net increase (decrease) | (330,224) | $ (4,426,146) | 151,589 | $ 2,021,887 |
| Class C2 Shares* | | | | |
| Shares sold | 46,076 | $ 612,763 | - | $ - |
Shares issued to shareholders in
reinvestment of dividends | 24 | 318 | - | - |
| Shares repurchased | (11,205) | (148,025) | - | - |
| Net increase (decrease) | 34,895 | $ 465,056 | - | $ - |
| Class I Shares | | | | |
| Shares sold | 4,362,997 | $ 58,021,830 | 12,998,539 | $ 172,600,042 |
Shares issued to shareholders in
reinvestment of dividends | 96,084 | 1,275,004 | 189,526 | 2,514,621 |
| Shares repurchased | (4,420,843) | (58,738,166) | (6,056,901) | (80,426,724) |
| Net increase (decrease) | 38,238 | $ 558,668 | 7,131,164 | $ 94,687,939 |
| Class R3 Shares | | | | |
| Shares sold | 194,919 | $ 2,598,322 | 393,691 | $ 5,235,969 |
Shares issued to shareholders in
reinvestment of dividends | 3,250 | 43,167 | 9,039 | 119,748 |
| Shares repurchased | (256,019) | (3,407,660) | (414,384) | (5,503,500) |
| Net increase (decrease) | (57,850) | $ (766,171) | (11,654) | $ (147,783) |
| Class R4 Shares | | | | |
| Shares sold | 48,805 | $ 650,508 | 97,858 | $ 1,293,192 |
Shares issued to shareholders in
reinvestment of dividends | 1,001 | 13,277 | 2,762 | 36,584 |
| Shares repurchased | (57,878) | (770,598) | (67,904) | (900,363) |
| Net increase (decrease) | (8,072) | $ (106,813) | 32,716 | $ 429,413 |
| Class R5 Shares | | | | |
| Shares sold | 36,747 | $ 488,971 | 186,498 | $ 2,474,789 |
Shares issued to shareholders in
reinvestment of dividends | 853 | 11,319 | 1,776 | 23,610 |
| Shares repurchased | (34,934) | (465,881) | (84,416) | (1,124,336) |
| Net increase (decrease) | 2,666 | $ 34,409 | 103,858 | $ 1,374,063 |
| * Effective date of this class of shares was October 1, 2020. |
82 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| LIMITED TERM INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 17,611,068 | $ 247,255,314 | 25,358,970 | $ 351,981,034 |
Shares issued to shareholders in
reinvestment of dividends | 1,022,384 | 14,301,061 | 1,147,937 | 15,716,458 |
| Shares repurchased | (11,816,438) | (165,386,153) | (19,549,412) | (267,190,085) |
| Net increase (decrease) | 6,817,014 | $ 96,170,222 | 6,957,495 | $ 100,507,407 |
| Class C Shares | | | | |
| Shares sold | 5,738,815 | $ 80,451,360 | 11,004,870 | $ 152,813,009 |
Shares issued to shareholders in
reinvestment of dividends | 437,252 | 6,108,048 | 605,039 | 8,263,846 |
| Shares repurchased | (7,362,409) | (103,416,315) | (8,589,890) | (118,334,342) |
| Net increase (decrease) | (1,186,342) | $ (16,856,907) | 3,020,019 | $ 42,742,513 |
| Class C2 Shares* | | | | |
| Shares sold | 784,350 | $ 11,004,920 | - | $ - |
Shares issued to shareholders in
reinvestment of dividends | 5,494 | 76,655 | - | - |
| Shares repurchased | (32,603) | (459,343) | - | - |
| Net increase (decrease) | 757,241 | $ 10,622,232 | - | $ - |
| Class I Shares | | | | |
| Shares sold | 193,222,020 | $ 2,709,351,063 | 275,322,068 | $ 3,813,138,961 |
Shares issued to shareholders in
reinvestment of dividends | 9,705,980 | 135,821,982 | 9,432,946 | 129,462,434 |
| Shares repurchased | (91,645,437) | (1,282,039,462) | (117,108,981) | (1,600,183,300) |
| Net increase (decrease) | 111,282,563 | $ 1,563,133,583 | 167,646,033 | $ 2,342,418,095 |
| Class R3 Shares | | | | |
| Shares sold | 1,161,063 | $ 16,283,448 | 4,100,485 | $ 56,161,846 |
Shares issued to shareholders in
reinvestment of dividends | 78,405 | 1,097,592 | 119,427 | 1,633,183 |
| Shares repurchased | (1,148,368) | (16,075,157) | (4,628,637) | (63,748,640) |
| Net increase (decrease) | 91,100 | $ 1,305,883 | (408,725) | $ (5,953,611) |
| Class R4 Shares | | | | |
| Shares sold | 358,372 | $ 4,974,569 | 274,766 | $ 3,832,830 |
Shares issued to shareholders in
reinvestment of dividends | 5,942 | 83,082 | 8,041 | 109,881 |
| Shares repurchased | (92,747) | (1,299,101) | (422,326) | (5,751,312) |
| Net increase (decrease) | 271,567 | $ 3,758,550 | (139,519) | $ (1,808,601) |
| Class R5 Shares | | | | |
| Shares sold | 2,804,824 | $ 39,277,366 | 11,096,010 | $ 152,435,476 |
Shares issued to shareholders in
reinvestment of dividends | 206,268 | 2,885,323 | 265,764 | 3,640,483 |
| Shares repurchased | (2,801,021) | (39,204,516) | (8,644,758) | (118,808,102) |
| Net increase (decrease) | 210,071 | $ 2,958,173 | 2,717,016 | $ 37,267,857 |
| Class R6 Shares | | | | |
| Shares sold | 2,829,717 | $ 39,663,468 | 8,117,200 | $ 111,218,072 |
Shares issued to shareholders in
reinvestment of dividends | 146,012 | 2,046,956 | 185,047 | 2,543,167 |
| Shares repurchased | (2,418,837) | (33,875,669) | (5,772,365) | (79,651,584) |
| Net increase (decrease) | 556,892 | $ 7,834,755 | 2,529,882 | $ 34,109,655 |
| * Effective date of this class of shares was October 1, 2020. |
Thornburg Fixed Income Funds Semi-Annual Report | 83
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| ULTRA SHORT INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 337,655 | $ 4,232,930 | 398,979 | $ 4,992,139 |
Shares issued to shareholders in
reinvestment of dividends | 7,530 | 94,395 | 12,648 | 157,583 |
| Shares repurchased | (127,263) | (1,595,418) | (407,526) | (5,062,533) |
| Net increase (decrease) | 217,922 | $ 2,731,907 | 4,101 | $ 87,189 |
| Class I Shares | | | | |
| Shares sold | 1,206,860 | $ 15,118,895 | 1,014,415 | $ 12,687,671 |
Shares issued to shareholders in
reinvestment of dividends | 26,821 | 335,982 | 47,672 | 593,593 |
| Shares repurchased | (945,849) | (11,842,616) | (808,165) | (10,027,376) |
| Net increase (decrease) | 287,832 | $ 3,612,261 | 253,922 | $ 3,253,888 |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| STRATEGIC INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 5,253,474 | $ 64,974,235 | 6,387,405 | $ 76,212,253 |
Shares issued to shareholders in
reinvestment of dividends | 405,933 | 5,027,064 | 544,250 | 6,486,790 |
| Shares repurchased | (2,745,008) | (34,007,514) | (4,618,329) | (54,623,153) |
| Net increase (decrease) | 2,914,399 | $ 35,993,785 | 2,313,326 | $ 28,075,890 |
| Class C Shares | | | | |
| Shares sold | 1,329,332 | $ 16,431,906 | 1,813,398 | $ 21,514,486 |
Shares issued to shareholders in
reinvestment of dividends | 124,436 | 1,537,991 | 208,946 | 2,485,809 |
| Shares repurchased | (2,118,971) | (26,101,970) | (3,565,797) | (42,368,540) |
| Net increase (decrease) | (665,203) | $ (8,132,073) | (1,543,453) | $ (18,368,245) |
| Class I Shares | | | | |
| Shares sold | 83,120,945 | $ 1,026,742,142 | 84,574,669 | $ 1,000,393,477 |
Shares issued to shareholders in
reinvestment of dividends | 3,415,742 | 42,181,982 | 3,623,511 | 43,101,042 |
| Shares repurchased | (23,598,060) | (291,606,619) | (40,057,843) | (469,670,605) |
| Net increase (decrease) | 62,938,627 | $ 777,317,505 | 48,140,337 | $ 573,823,914 |
| Class R3 Shares | | | | |
| Shares sold | 13,220 | $ 163,092 | 36,527 | $ 433,436 |
Shares issued to shareholders in
reinvestment of dividends | 1,269 | 15,692 | 1,700 | 20,224 |
| Shares repurchased | (27,847) | (344,364) | (87,292) | (1,007,435) |
| Net increase (decrease) | (13,358) | $ (165,580) | (49,065) | $ (553,775) |
| Class R4 Shares | | | | |
| Shares sold | 74,349 | $ 920,701 | 46,177 | $ 553,373 |
Shares issued to shareholders in
reinvestment of dividends | 2,477 | 30,630 | 2,820 | 33,532 |
| Shares repurchased | (54,636) | (677,881) | (22,782) | (262,577) |
| Net increase (decrease) | 22,190 | $ 273,450 | 26,215 | $ 324,328 |
84 | Thornburg Fixed Income Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| STRATEGIC INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class R5 Shares | | | | |
| Shares sold | 1,269,727 | $ 15,702,044 | 2,956,685 | $ 35,300,817 |
Shares issued to shareholders in
reinvestment of dividends | 94,006 | 1,162,012 | 95,753 | 1,137,727 |
| Shares repurchased | (160,429) | (1,981,160) | (412,572) | (4,865,367) |
| Net increase (decrease) | 1,203,304 | $ 14,882,896 | 2,639,866 | $ 31,573,177 |
| Class R6 Shares | | | | |
| Shares sold | 2,857,656 | $ 35,353,468 | 1,965,388 | $ 23,771,299 |
Shares issued to shareholders in
reinvestment of dividends | 47,981 | 594,949 | 23,620 | 281,816 |
| Shares repurchased | (979,990) | (12,160,458) | (607,573) | (7,125,427) |
| Net increase (decrease) | 1,925,647 | $ 23,787,959 | 1,381,435 | $ 16,927,688 |
NOTE 7 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2021, the Funds had purchase and sale transactions of investments (excluding short-term investments and U.S. Government obligations) as below.
| | Purchases | Sales |
| Limited Term U.S. Government Fund | $ 231,366,039 | $ 174,262,634 |
| Limited Term Income Fund | 3,425,993,196 | 963,894,571 |
| Ultra Short Income Fund | 21,262,991 | 5,948,417 |
| Strategic Income Fund | 1,099,071,102 | 303,891,414 |
NOTE 8 – DERIVATIVE FINANCIAL INSTRUMENTS
The Funds 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 the 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 Funds and how these derivatives affect the financial position, financial performance and cash flows of the Funds. The Funds do not designate any derivative instruments as hedging instruments under ASC 815. During the six months ended March 31, 2021, the Funds’ principal exposure to derivative financial instruments of the type addressed by ASC 815 was investment in foreign currency contracts.
The Funds entered into forward currency contracts during the six months ended March 31, 2021 in the normal course of pursuing its investment objectives, with the objective of purchasing foreign investments or with the intent of reducing the risk to the value of the Funds’ 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. The monthly average value of open forward currency sell contracts for the six months ended March 31, 2021 for Strategic Income Fund was $4,412,071.
These contracts are accounted for by the Funds under ASC 815. Unrealized appreciation and depreciation on outstanding contracts are reported in each 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 each Fund’s Statement of Operations.
The outstanding forward currency contracts in the table located in the Strategic Income Fund’s Schedule of Investments, 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. In the event of a default or termination under the ISDA Master Agreement with SSB, 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 with SSB does not result in an offset of reported amounts of financial assets and liabilities in the Strategic Income 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 Strategic Income Fund’s
Thornburg Fixed Income Funds Semi-Annual Report | 85
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Statement of Assets and Liabilities. Instead the Fund recognizes the unrealized appreciation (depreciation) on those forward currency contracts on a gross basis in the Strategic Income Fund’s Statement of Assets and Liabilities.
The unrealized appreciation (depreciation) of the outstanding forward currency contracts recognized in each Fund’s Statement of Assets and Liabilities at March 31, 2021 is disclosed in the following table:
| | Type of Derivative(a) | Counter
Party | Asset
Derivatives | Liability
Derivatives | Net
Amount |
| Strategic Income Fund | Foreign currency contracts | SSB | $ 35,792 | $ — | $ 35,792 |
| (a) | Generally, the Statement of Assets and Liabilities location for forward currency contracts is Assets - Unrealized appreciation on forward currency contracts for asset derivatives and Liabilities - Unrealized depreciation on forward currency contracts for liabilities derivatives. |
Because the Funds did not receive or post cash collateral in connection with its currency forward contracts during the period, the net amounts of each Fund’s assets and liabilities which are attributable to those contracts at March 31, 2021 can be determined by offsetting the dollar amounts shown in the asset and liability columns in the preceding table, the results of which are reflected in the "Net Amount" column. The Funds’ forward currency contracts are valued each day, and the net amounts of each 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 written options and the net change in unrealized appreciation (depreciation) on outstanding forward currency contracts recognized in each Fund’s Statement of Operations for the six months ended March 31, 2021 are disclosed in the following table:
| | | | Net Realized | | Net Change in Unrealized |
| | Type of Derivative(a) | | Gain (Loss) | | Appreciation (Depreciation) |
| Strategic Income Fund | Foreign currency contracts | | $ (77,112) | | $ 30,510 |
| (a) | Generally, the Statement of Operations location for forward currency contracts is Net realized gain (loss) on: forward currency contracts and Net change in unrealized appreciation (depreciation) on: forward currency contracts. |
OTHER NOTES
Subsequent Events: The Advisor’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date of issuance of the financial statements and the following items were noted:
The Strategic Income Fund has filed reclaims to recover taxes on dividend income withheld by the French Tax Administration during various fiscal years on the basis that France had purportedly violated certain provisions in the Treaty on the Functioning of the European Union. On April 22, 2021, the Fund received tax reclaim payments from the French Tax Administration and the Advisor continues to evaluate potential financial and tax implications to the Fund resulting from any associated U.S. tax liability that may be due from this payment.
86 | Thornburg Fixed Income Funds Semi-Annual Report
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Thornburg Fixed Income Funds Semi-Annual Report | 87
Financial Highlights
Limited Term U.S. Government Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 13.38 | 0.03 | (0.25) | (0.22) | (0.07) | — | — | (0.07) | $13.09 |
| 2020 | $ 13.10 | 0.15 | 0.33 | 0.48 | (0.20) | — | — | (0.20) | $13.38 |
| 2019 | $ 12.69 | 0.19 | 0.45 | 0.64 | (0.23) | — | — | (0.23) | $13.10 |
| 2018 | $ 13.01 | 0.18 | (0.28) | (0.10) | (0.22) | — | — | (0.22) | $12.69 |
| 2017 | $ 13.25 | 0.14 | (0.20) | (0.06) | (0.18) | — | — | (0.18) | $13.01 |
| 2016 (e) | $ 13.26 | 0.14 | 0.05 | 0.19 | (0.20) | — | — | (0.20) | $13.25 |
| CLASS C SHARES |
| 2021 (c) | $ 13.46 | 0.01 | (0.25) | (0.24) | (0.05) | — | — | (0.05) | $13.17 |
| 2020 | $ 13.17 | 0.11 | 0.35 | 0.46 | (0.17) | — | — | (0.17) | $13.46 |
| 2019 | $ 12.77 | 0.15 | 0.43 | 0.58 | (0.18) | — | — | (0.18) | $13.17 |
| 2018 | $ 13.09 | 0.14 | (0.28) | (0.14) | (0.18) | — | — | (0.18) | $12.77 |
| 2017 | $ 13.33 | 0.10 | (0.20) | (0.10) | (0.14) | — | — | (0.14) | $13.09 |
| 2016 | $ 13.34 | 0.11 | 0.04 | 0.15 | (0.16) | — | — | (0.16) | $13.33 |
| CLASS C2 SHARES |
| 2021 (c)(f) | $ 13.46 | — (g) | (0.24) | (0.24) | (0.05) | — | — | (0.05) | $13.17 |
| CLASS I SHARES |
| 2021 (c) | $ 13.38 | 0.05 | (0.25) | (0.20) | (0.09) | — | — | (0.09) | $13.09 |
| 2020 | $ 13.10 | 0.18 | 0.34 | 0.52 | (0.24) | — | — | (0.24) | $13.38 |
| 2019 | $ 12.69 | 0.23 | 0.44 | 0.67 | (0.26) | — | — | (0.26) | $13.10 |
| 2018 | $ 13.01 | 0.22 | (0.28) | (0.06) | (0.26) | — | — | (0.26) | $12.69 |
| 2017 | $ 13.26 | 0.18 | (0.20) | (0.02) | (0.23) | — | — | (0.23) | $13.01 |
| 2016 | $ 13.26 | 0.19 | 0.05 | 0.24 | (0.24) | — | — | (0.24) | $13.26 |
| CLASS R3 SHARES |
| 2021 (c) | $ 13.39 | 0.03 | (0.26) | (0.23) | (0.06) | — | — | (0.06) | $13.10 |
| 2020 | $ 13.10 | 0.13 | 0.35 | 0.48 | (0.19) | — | — | (0.19) | $13.39 |
| 2019 | $ 12.70 | 0.18 | 0.44 | 0.62 | (0.22) | — | — | (0.22) | $13.10 |
| 2018 | $ 13.02 | 0.17 | (0.28) | (0.11) | (0.21) | — | — | (0.21) | $12.70 |
| 2017 | $ 13.26 | 0.13 | (0.19) | (0.06) | (0.18) | — | — | (0.18) | $13.02 |
| 2016 | $ 13.27 | 0.14 | 0.04 | 0.18 | (0.19) | — | — | (0.19) | $13.26 |
| CLASS R4 SHARES |
| 2021 (c) | $ 13.37 | 0.03 | (0.25) | (0.22) | (0.06) | — | — | (0.06) | $13.09 |
| 2020 | $ 13.09 | 0.13 | 0.34 | 0.47 | (0.19) | — | — | (0.19) | $13.37 |
| 2019 | $ 12.69 | 0.18 | 0.43 | 0.61 | (0.21) | — | — | (0.21) | $13.09 |
| 2018 | $ 13.01 | 0.17 | (0.28) | (0.11) | (0.21) | — | — | (0.21) | $12.69 |
| 2017 | $ 13.25 | 0.12 | (0.19) | (0.07) | (0.17) | — | — | (0.17) | $13.01 |
| 2016 | $ 13.26 | 0.14 | 0.04 | 0.18 | (0.19) | — | — | (0.19) | $13.25 |
| CLASS R5 SHARES |
| 2021 (c) | $ 13.39 | 0.05 | (0.25) | (0.20) | (0.09) | — | — | (0.09) | $13.10 |
| 2020 | $ 13.11 | 0.17 | 0.34 | 0.51 | (0.23) | — | — | (0.23) | $13.39 |
| 2019 | $ 12.70 | 0.23 | 0.44 | 0.67 | (0.26) | — | — | (0.26) | $13.11 |
| 2018 | $ 13.02 | 0.21 | (0.28) | (0.07) | (0.25) | — | — | (0.25) | $12.70 |
| 2017 | $ 13.28 | 0.18 | (0.21) | (0.03) | (0.23) | — | — | (0.23) | $13.02 |
| 2016 | $ 13.27 | 0.17 | 0.07 | 0.24 | (0.23) | — | — | (0.23) | $13.28 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Class B shares converted to Class A shares on August 29, 2016. |
| (f) | Effective date of this class of shares was October 1, 2020. |
| (g) | Net investment income (loss) was less than $0.01 per share. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
88 | Thornburg Fixed Income Funds Semi-Annual Report
Financial Highlights, Continued
Limited Term U.S. Government Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 0.52 (d) | 0.86 (d) | 0.86 (d) | | (1.62) | 49.90 | $ 91,657 |
| 2020 | 1.10 | 0.89 | 0.89 | | 3.70 | 11.66 | $ 86,955 |
| 2019 | 1.48 | 0.90 | 0.90 | | 5.06 | 29.37 | $ 66,140 |
| 2018 | 1.42 | 0.91 | 0.91 | | (0.77) | 5.93 | $ 69,634 |
| 2017 | 1.03 | 0.93 | 0.93 | | (0.43) | 11.05 | $ 84,674 |
| 2016 (e) | 1.08 | 0.91 | 0.91 | | 1.41 | 9.78 | $ 111,874 |
| CLASS C SHARES |
| 2021 (c) | 0.16 (d) | 1.22 (d) | 1.22 (d) | | (1.79) | 49.90 | $ 13,258 |
| 2020 | 0.82 | 1.16 | 1.16 | | 3.48 | 11.66 | $ 17,994 |
| 2019 | 1.13 | 1.24 | 1.24 | | 4.60 | 29.37 | $ 15,618 |
| 2018 | 1.10 | 1.23 | 1.23 | | (1.08) | 5.93 | $ 19,686 |
| 2017 | 0.73 | 1.23 | 1.24 | | (0.72) | 11.05 | $ 34,821 |
| 2016 | 0.81 | 1.19 | 1.20 | | 1.13 | 9.78 | $ 48,369 |
| CLASS C2 SHARES |
| 2021 (c)(f) | 0.08 (d) | 1.24 (d) | 5.17 (d) | | (1.80) | 49.90 | $ 460 |
| CLASS I SHARES |
| 2021 (c) | 0.78 (d) | 0.60 (d) | 0.60 (d) | | (1.50) | 49.90 | $ 239,059 |
| 2020 | 1.36 | 0.60 | 0.60 | | 4.00 | 11.66 | $ 243,793 |
| 2019 | 1.76 | 0.62 | 0.62 | | 5.35 | 29.37 | $ 145,273 |
| 2018 | 1.73 | 0.60 | 0.60 | | (0.47) | 5.93 | $ 131,898 |
| 2017 | 1.36 | 0.60 | 0.60 | | (0.18) | 11.05 | $ 147,464 |
| 2016 | 1.43 | 0.57 | 0.57 | | 1.83 | 9.78 | $ 144,437 |
| CLASS R3 SHARES |
| 2021 (c) | 0.38 (d) | 0.99 (d) | 1.25 (d) | | (1.69) | 49.90 | $ 8,266 |
| 2020 | 1.02 | 0.99 | 1.29 | | 3.67 | 11.66 | $ 9,222 |
| 2019 | 1.39 | 0.99 | 1.43 | | 4.88 | 29.37 | $ 9,181 |
| 2018 | 1.34 | 0.99 | 1.45 | | (0.85) | 5.93 | $ 9,036 |
| 2017 | 1.00 | 0.97 | 1.40 | | (0.47) | 11.05 | $ 10,871 |
| 2016 | 1.03 | 0.98 | 1.30 | | 1.34 | 9.78 | $ 28,036 |
| CLASS R4 SHARES |
| 2021 (c) | 0.39 (d) | 0.99 (d) | 1.52 (d) | | (1.62) | 49.90 | $ 2,614 |
| 2020 | 1.01 | 0.99 | 1.60 | | 3.60 | 11.66 | $ 2,779 |
| 2019 | 1.38 | 0.99 | 1.78 | | 4.88 | 29.37 | $ 2,293 |
| 2018 | 1.35 | 0.99 | 1.75 | | (0.85) | 5.93 | $ 2,509 |
| 2017 | 0.96 | 0.99 | 1.95 | | (0.49) | 11.05 | $ 3,365 |
| 2016 | 1.04 | 0.99 | 2.71 | | 1.33 | 9.78 | $ 2,097 |
| CLASS R5 SHARES |
| 2021 (c) | 0.71 (d) | 0.67 (d) | 1.47 (d) | | (1.53) | 49.90 | $ 2,293 |
| 2020 | 1.27 | 0.67 | 2.12 | | 3.93 | 11.66 | $ 2,307 |
| 2019 | 1.80 | 0.67 | 2.04 | | 5.29 | 29.37 | $ 897 |
| 2018 | 1.60 | 0.65 | 1.94 | | (0.52) | 5.93 | $ 661 |
| 2017 | 1.40 | 0.58 | 1.21 | | (0.23) | 11.05 | $ 4,131 |
| 2016 | 1.30 | 0.67 | 2.05 | | 1.80 | 9.78 | $ 570 |
Thornburg Fixed Income Funds Semi-Annual Report | 89
Financial Highlights
Limited Term Income Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 14.14 | 0.09 | (0.17) | (0.08) | (0.10) | (0.17) | — | (0.27) | $13.79 |
| 2020 | $ 13.61 | 0.27 | 0.64 | 0.91 | (0.28) | (0.10) | — | (0.38) | $14.14 |
| 2019 | $ 13.16 | 0.33 | 0.45 | 0.78 | (0.33) | — | — | (0.33) | $13.61 |
| 2018 | $ 13.44 | 0.28 | (0.27) | 0.01 | (0.29) | — | — | (0.29) | $13.16 |
| 2017 | $ 13.51 | 0.24 | (0.07) | 0.17 | (0.24) | — | — | (0.24) | $13.44 |
| 2016 | $ 13.32 | 0.24 | 0.20 | 0.44 | (0.25) | — | — | (0.25) | $13.51 |
| CLASS C SHARES |
| 2021 (c) | $ 14.12 | 0.07 | (0.17) | (0.10) | (0.08) | (0.17) | — | (0.25) | $13.77 |
| 2020 | $ 13.59 | 0.24 | 0.64 | 0.88 | (0.25) | (0.10) | — | (0.35) | $14.12 |
| 2019 | $ 13.14 | 0.30 | 0.46 | 0.76 | (0.31) | — | — | (0.31) | $13.59 |
| 2018 | $ 13.42 | 0.25 | (0.27) | (0.02) | (0.26) | — | — | (0.26) | $13.14 |
| 2017 | $ 13.49 | 0.21 | (0.06) | 0.15 | (0.22) | — | — | (0.22) | $13.42 |
| 2016 | $ 13.30 | 0.21 | 0.20 | 0.41 | (0.22) | — | — | (0.22) | $13.49 |
| CLASS C2 SHARES |
| 2021 (c)(e) | $ 14.12 | 0.05 | (0.17) | (0.12) | (0.06) | (0.17) | — | (0.23) | $13.77 |
| CLASS I SHARES |
| 2021 (c) | $ 14.15 | 0.11 | (0.17) | (0.06) | (0.12) | (0.17) | — | (0.29) | $13.80 |
| 2020 | $ 13.62 | 0.30 | 0.65 | 0.95 | (0.32) | (0.10) | — | (0.42) | $14.15 |
| 2019 | $ 13.16 | 0.37 | 0.47 | 0.84 | (0.38) | — | — | (0.38) | $13.62 |
| 2018 | $ 13.44 | 0.33 | (0.28) | 0.05 | (0.33) | — | — | (0.33) | $13.16 |
| 2017 | $ 13.52 | 0.29 | (0.08) | 0.21 | (0.29) | — | — | (0.29) | $13.44 |
| 2016 | $ 13.33 | 0.29 | 0.20 | 0.49 | (0.30) | — | — | (0.30) | $13.52 |
| CLASS R3 SHARES |
| 2021 (c) | $ 14.15 | 0.07 | (0.17) | (0.10) | (0.08) | (0.17) | — | (0.25) | $13.80 |
| 2020 | $ 13.63 | 0.24 | 0.63 | 0.87 | (0.25) | (0.10) | — | (0.35) | $14.15 |
| 2019 | $ 13.17 | 0.30 | 0.47 | 0.77 | (0.31) | — | — | (0.31) | $13.63 |
| 2018 | $ 13.45 | 0.26 | (0.27) | (0.01) | (0.27) | — | — | (0.27) | $13.17 |
| 2017 | $ 13.52 | 0.22 | (0.06) | 0.16 | (0.23) | — | — | (0.23) | $13.45 |
| 2016 | $ 13.33 | 0.23 | 0.20 | 0.43 | (0.24) | — | — | (0.24) | $13.52 |
| CLASS R4 SHARES |
| 2021 (c) | $ 14.14 | 0.07 | (0.17) | (0.10) | (0.08) | (0.17) | — | (0.25) | $13.79 |
| 2020 | $ 13.61 | 0.24 | 0.64 | 0.88 | (0.25) | (0.10) | — | (0.35) | $14.14 |
| 2019 | $ 13.16 | 0.30 | 0.46 | 0.76 | (0.31) | — | — | (0.31) | $13.61 |
| 2018 | $ 13.43 | 0.26 | (0.26) | — (g) | (0.27) | — | — | (0.27) | $13.16 |
| 2017 | $ 13.51 | 0.22 | (0.07) | 0.15 | (0.23) | — | — | (0.23) | $13.43 |
| 2016 | $ 13.32 | 0.23 | 0.20 | 0.43 | (0.24) | — | — | (0.24) | $13.51 |
| CLASS R5 SHARES |
| 2021 (c) | $ 14.14 | 0.11 | (0.17) | (0.06) | (0.12) | (0.17) | — | (0.29) | $13.79 |
| 2020 | $ 13.61 | 0.31 | 0.64 | 0.95 | (0.32) | (0.10) | — | (0.42) | $14.14 |
| 2019 | $ 13.16 | 0.36 | 0.46 | 0.82 | (0.37) | — | — | (0.37) | $13.61 |
| 2018 | $ 13.44 | 0.31 | (0.28) | 0.03 | (0.31) | — | — | (0.31) | $13.16 |
| 2017 | $ 13.51 | 0.27 | (0.07) | 0.20 | (0.27) | — | — | (0.27) | $13.44 |
| 2016 | $ 13.32 | 0.27 | 0.20 | 0.47 | (0.28) | — | — | (0.28) | $13.51 |
| CLASS R6 SHARES |
| 2021 (c) | $ 14.17 | 0.11 | (0.17) | (0.06) | (0.12) | (0.17) | — | (0.29) | $13.82 |
| 2020 | $ 13.64 | 0.32 | 0.64 | 0.96 | (0.33) | (0.10) | — | (0.43) | $14.17 |
| 2019 | $ 13.19 | 0.38 | 0.46 | 0.84 | (0.39) | — | — | (0.39) | $13.64 |
| 2018 | $ 13.46 | 0.35 | (0.28) | 0.07 | (0.34) | — | — | (0.34) | $13.19 |
| 2017 (h) | $ 13.40 | 0.15 | 0.11 | 0.26 | (0.20) | — | — | (0.20) | $13.46 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was October 1, 2020. |
See notes to financial statements.
90 | Thornburg Fixed Income Funds Semi-Annual Report
Financial Highlights, Continued
Limited Term Income Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.26 (d) | 0.75 (d) | 0.75 (d) | | (0.60) | 11.53 | $ 843,898 |
| 2020 | 1.94 | 0.77 | 0.77 | | 6.78 | 53.84 | $ 768,798 |
| 2019 | 2.44 | 0.81 | 0.81 | | 6.03 | 43.22 | $ 645,383 |
| 2018 | 2.12 | 0.84 | 0.84 | | 0.09 | 33.62 | $ 680,473 |
| 2017 | 1.76 | 0.87 | 0.87 | | 1.31 | 26.90 | $ 890,990 |
| 2016 | 1.82 | 0.86 | 0.86 | | 3.36 | 20.56 | $ 1,111,441 |
| CLASS C SHARES |
| 2021 (c) | 1.01 (d) | 0.99 (d) | 0.99 (d) | | (0.72) | 11.53 | $ 386,137 |
| 2020 | 1.72 | 1.00 | 1.00 | | 6.55 | 53.84 | $ 412,659 |
| 2019 | 2.24 | 1.02 | 1.02 | | 5.82 | 43.22 | $ 356,205 |
| 2018 | 1.91 | 1.05 | 1.05 | | (0.13) | 33.62 | $ 439,305 |
| 2017 | 1.56 | 1.08 | 1.08 | | 1.10 | 26.90 | $ 567,771 |
| 2016 | 1.59 | 1.08 | 1.08 | | 3.13 | 20.56 | $ 667,680 |
| CLASS C2 SHARES |
| 2021 (c)(e) | 0.70 (d) | 1.24 (d) | 1.30 (d) | | (0.87) | 11.53 | $ 10,430 |
| CLASS I SHARES |
| 2021 (c) | 1.51 (d) | 0.49 (d) | 0.49 (d) | | (0.47) | 11.53 | $ 8,363,040 |
| 2020 | 2.21 | 0.49 | 0.51 | | 7.08 | 53.84 | $ 6,999,911 |
| 2019 | 2.75 | 0.50 | 0.53 | | 6.44 | 43.22 | $ 4,455,457 |
| 2018 | 2.46 | 0.51 | 0.51 | | 0.41 | 33.62 | $ 3,685,859 |
| 2017 | 2.14 | 0.50 | 0.50 | | 1.61 | 26.90 | $ 3,232,277 |
| 2016 | 2.17 | 0.50 | 0.50 | | 3.73 | 20.56 | $ 2,792,249 |
| CLASS R3 SHARES |
| 2021 (c) | 1.01 (d) | 0.99 (d) | 1.02 (d) | | (0.72) | 11.53 | $ 60,796 |
| 2020 | 1.75 | 0.99 | 1.02 | | 6.54 (f) | 53.84 | $ 61,041 |
| 2019 | 2.27 | 0.99 | 1.06 | | 5.84 | 43.22 | $ 64,335 |
| 2018 | 1.98 | 0.99 | 1.09 | | (0.06) | 33.62 | $ 88,298 |
| 2017 | 1.65 | 0.99 | 1.12 | | 1.19 | 26.90 | $ 96,715 |
| 2016 | 1.69 | 0.98 | 1.10 | | 3.23 | 20.56 | $ 104,309 |
| CLASS R4 SHARES |
| 2021 (c) | 1.01 (d) | 0.99 (d) | 1.16 (d) | | (0.72) | 11.53 | $ 10,000 |
| 2020 | 1.74 | 0.99 | 1.32 | | 6.55 | 53.84 | $ 6,413 |
| 2019 | 2.27 | 0.99 | 1.23 | | 5.84 | 43.22 | $ 8,073 |
| 2018 | 1.98 | 0.99 | 1.45 | | 0.01 | 33.62 | $ 7,962 |
| 2017 | 1.65 | 0.99 | 1.56 | | 1.11 | 26.90 | $ 8,101 |
| 2016 | 1.70 | 0.99 | 1.97 | | 3.23 | 20.56 | $ 6,328 |
| CLASS R5 SHARES |
| 2021 (c) | 1.52 (d) | 0.49 (d) | 0.67 (d) | | (0.47) | 11.53 | $ 148,542 |
| 2020 | 2.24 | 0.49 | 0.64 | | 7.08 | 53.84 | $ 149,322 |
| 2019 | 2.70 | 0.56 | 0.74 | | 6.31 | 43.22 | $ 106,753 |
| 2018 | 2.31 | 0.67 | 0.69 | | 0.26 | 33.62 | $ 113,333 |
| 2017 | 1.99 | 0.65 | 0.67 | | 1.53 | 26.90 | $ 101,189 |
| 2016 | 2.05 | 0.62 | 0.72 | | 3.60 | 20.56 | $ 71,864 |
| CLASS R6 SHARES |
| 2021 (c) | 1.58 (d) | 0.42 (d) | 0.43 (d) | | (0.43) | 11.53 | $ 103,912 |
| 2020 | 2.31 | 0.42 | 0.46 | | 7.15 | 53.84 | $ 98,639 |
| 2019 | 2.82 | 0.43 | 0.49 | | 6.43 | 43.22 | $ 60,440 |
| 2018 | 2.62 | 0.45 | 0.57 | | 0.56 | 33.62 | $ 29,568 |
| 2017 (h) | 2.28 (d) | 0.45 (d) | 24.38 (d)(i) | | 1.92 | 26.90 | $ 770 |
| (f) | The total return based on the NAV which reflects the adjustments in accordance with U.S. GAAP is 6.47%. |
| (g) | Total from investment operations was less than $0.01 per share. |
| (h) | Effective date of this class of shares was April 10, 2017. |
| (i) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| + | Based on weighted average shares outstanding. |
Thornburg Fixed Income Funds Semi-Annual Report | 91
Financial Highlights
Ultra Short Income Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 12.59 | 0.08 | (0.03) | 0.05 | (0.10) | (0.04) | — | (0.14) | $12.50 |
| 2020 | $ 12.49 | 0.23 | 0.15 | 0.38 | (0.24) | (0.04) | — | (0.28) | $12.59 |
| 2019 | $ 12.29 | 0.28 | 0.21 | 0.49 | (0.29) | — | — | (0.29) | $12.49 |
| 2018 | $ 12.42 | 0.22 | (0.13) | 0.09 | (0.22) | — | — | (0.22) | $12.29 |
| 2017 | $ 12.46 | 0.16 | (0.03) | 0.13 | (0.17) | — | — | (0.17) | $12.42 |
| 2016 | $ 12.38 | 0.11 | 0.09 | 0.20 | (0.12) | — | — | (0.12) | $12.46 |
| CLASS I SHARES |
| 2021 (c) | $ 12.58 | 0.10 | (0.04) | 0.06 | (0.11) | (0.04) | — | (0.15) | $12.49 |
| 2020 | $ 12.48 | 0.25 | 0.16 | 0.41 | (0.27) | (0.04) | — | (0.31) | $12.58 |
| 2019 | $ 12.28 | 0.31 | 0.20 | 0.51 | (0.31) | — | — | (0.31) | $12.48 |
| 2018 | $ 12.41 | 0.24 | (0.12) | 0.12 | (0.25) | — | — | (0.25) | $12.28 |
| 2017 | $ 12.45 | 0.18 | (0.03) | 0.15 | (0.19) | — | — | (0.19) | $12.41 |
| 2016 | $ 12.37 | 0.14 | 0.08 | 0.22 | (0.14) | — | — | (0.14) | $12.45 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
92 | Thornburg Fixed Income Funds Semi-Annual Report
Financial Highlights, Continued
Ultra Short Income Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.33 (d) | 0.50 (d) | 1.42 (d) | | 0.34 | 18.40 | $ 10,792 |
| 2020 | 1.83 | 0.70 | 1.84 | | 3.13 | 46.29 | $ 8,127 |
| 2019 | 2.28 | 0.70 | 1.65 | | 4.00 | 79.59 | $ 8,012 |
| 2018 | 1.75 | 0.70 | 1.82 | | 0.75 | 20.93 | $ 7,140 |
| 2017 | 1.30 | 0.65 | 1.77 | | 1.03 | 34.79 | $ 6,532 |
| 2016 | 0.89 | 0.69 | 1.74 | | 1.60 | 42.99 | $ 10,235 |
| CLASS I SHARES |
| 2021 (c) | 1.52 (d) | 0.30 (d) | 0.78 (d) | | 0.44 | 18.40 | $ 31,642 |
| 2020 | 2.02 | 0.50 | 1.06 | | 3.33 | 46.29 | $ 28,249 |
| 2019 | 2.47 | 0.50 | 0.94 | | 4.21 | 79.59 | $ 24,858 |
| 2018 | 1.96 | 0.50 | 1.09 | | 0.95 | 20.93 | $ 22,748 |
| 2017 | 1.46 | 0.50 | 1.03 | | 1.19 | 34.79 | $ 12,854 |
| 2016 | 1.15 | 0.48 | 1.18 | | 1.81 | 42.99 | $ 17,106 |
Thornburg Fixed Income Funds Semi-Annual Report | 93
Financial Highlights
Strategic Income Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 12.24 | 0.23 | 0.14 | 0.37 | (0.26) | — | — | (0.26) | $12.35 |
| 2020 | $ 11.92 | 0.40 | 0.31 | 0.71 | (0.39) | — | — | (0.39) | $12.24 |
| 2019 | $ 11.65 | 0.42 | 0.26 | 0.68 | (0.41) | — | — | (0.41) | $11.92 |
| 2018 | $ 11.82 | 0.40 | (0.24) | 0.16 | (0.33) | — | — | (0.33) | $11.65 |
| 2017 | $ 11.56 | 0.42 | 0.20 | 0.62 | (0.36) | — | — | (0.36) | $11.82 |
| 2016 | $ 11.22 | 0.46 | 0.28 | 0.74 | (0.37) | (0.03) | — | (0.40) | $11.56 |
| CLASS C SHARES |
| 2021 (c) | $ 12.22 | 0.18 | 0.14 | 0.32 | (0.21) | — | — | (0.21) | $12.33 |
| 2020 | $ 11.90 | 0.31 | 0.31 | 0.62 | (0.30) | — | — | (0.30) | $12.22 |
| 2019 | $ 11.63 | 0.33 | 0.26 | 0.59 | (0.32) | — | — | (0.32) | $11.90 |
| 2018 | $ 11.81 | 0.32 | (0.25) | 0.07 | (0.25) | — | — | (0.25) | $11.63 |
| 2017 | $ 11.55 | 0.35 | 0.19 | 0.54 | (0.28) | — | — | (0.28) | $11.81 |
| 2016 | $ 11.20 | 0.40 | 0.28 | 0.68 | (0.30) | (0.03) | — | (0.33) | $11.55 |
| CLASS I SHARES |
| 2021 (c) | $ 12.20 | 0.25 | 0.14 | 0.39 | (0.28) | — | — | (0.28) | $12.31 |
| 2020 | $ 11.89 | 0.44 | 0.30 | 0.74 | (0.43) | — | — | (0.43) | $12.20 |
| 2019 | $ 11.62 | 0.45 | 0.27 | 0.72 | (0.45) | — | — | (0.45) | $11.89 |
| 2018 | $ 11.80 | 0.45 | (0.25) | 0.20 | (0.38) | — | — | (0.38) | $11.62 |
| 2017 | $ 11.54 | 0.47 | 0.19 | 0.66 | (0.40) | — | — | (0.40) | $11.80 |
| 2016 | $ 11.19 | 0.50 | 0.28 | 0.78 | (0.40) | (0.03) | — | (0.43) | $11.54 |
| CLASS R3 SHARES |
| 2021 (c) | $ 12.22 | 0.21 | 0.14 | 0.35 | (0.24) | — | — | (0.24) | $12.33 |
| 2020 | $ 11.91 | 0.35 | 0.31 | 0.66 | (0.35) | — | — | (0.35) | $12.22 |
| 2019 | $ 11.64 | 0.39 | 0.26 | 0.65 | (0.38) | — | — | (0.38) | $11.91 |
| 2018 | $ 11.82 | 0.38 | (0.25) | 0.13 | (0.31) | — | — | (0.31) | $11.64 |
| 2017 | $ 11.55 | 0.42 | 0.20 | 0.62 | (0.35) | — | — | (0.35) | $11.82 |
| 2016 | $ 11.21 | 0.46 | 0.27 | 0.73 | (0.36) | (0.03) | — | (0.39) | $11.55 |
| CLASS R4 SHARES |
| 2021 (c) | $ 12.22 | 0.21 | 0.14 | 0.35 | (0.24) | — | — | (0.24) | $12.33 |
| 2020 | $ 11.90 | 0.36 | 0.31 | 0.67 | (0.35) | — | — | (0.35) | $12.22 |
| 2019 | $ 11.63 | 0.39 | 0.26 | 0.65 | (0.38) | — | — | (0.38) | $11.90 |
| 2018 | $ 11.82 | 0.38 | (0.25) | 0.13 | (0.32) | — | — | (0.32) | $11.63 |
| 2017 | $ 11.56 | 0.41 | 0.20 | 0.61 | (0.35) | — | — | (0.35) | $11.82 |
| 2016 | $ 11.21 | 0.46 | 0.28 | 0.74 | (0.36) | (0.03) | — | (0.39) | $11.56 |
| CLASS R5 SHARES |
| 2021 (c) | $ 12.21 | 0.25 | 0.14 | 0.39 | (0.28) | — | — | (0.28) | $12.32 |
| 2020 | $ 11.89 | 0.45 | 0.30 | 0.75 | (0.43) | — | — | (0.43) | $12.21 |
| 2019 | $ 11.62 | 0.46 | 0.26 | 0.72 | (0.45) | — | — | (0.45) | $11.89 |
| 2018 | $ 11.80 | 0.45 | (0.25) | 0.20 | (0.38) | — | — | (0.38) | $11.62 |
| 2017 | $ 11.54 | 0.47 | 0.19 | 0.66 | (0.40) | — | — | (0.40) | $11.80 |
| 2016 | $ 11.19 | 0.49 | 0.28 | 0.77 | (0.39) | (0.03) | — | (0.42) | $11.54 |
| CLASS R6 SHARES |
| 2021 (c) | $ 12.24 | 0.25 | 0.14 | 0.39 | (0.28) | — | — | (0.28) | $12.35 |
| 2020 | $ 11.93 | 0.45 | 0.30 | 0.75 | (0.44) | — | — | (0.44) | $12.24 |
| 2019 | $ 11.65 | 0.47 | 0.27 | 0.74 | (0.46) | — | — | (0.46) | $11.93 |
| 2018 | $ 11.85 | 0.45 | (0.26) | 0.19 | (0.39) | — | — | (0.39) | $11.65 |
| 2017 (f) | $ 11.63 | 0.33 | 0.13 | 0.46 | (0.24) | — | — | (0.24) | $11.85 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | The total return based on the NAV which reflects the adjustments in accordance with U.S. GAAP is 6.46%. |
| (f) | Effective date of this class of shares was April 10, 2017. |
| (g) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
| (h) | Net Assets at End of Period was less than $1,000. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
94 | Thornburg Fixed Income Funds Semi-Annual Report
Financial Highlights, Continued
Strategic Income Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 3.72 (d) | 0.95 (d) | 1.07 (d) | | 3.03 | 13.43 | $ 287,733 |
| 2020 | 3.35 | 0.96 | 1.13 | | 6.07 | 58.91 | $ 249,520 |
| 2019 | 3.55 | 0.99 | 1.16 | | 5.92 | 31.55 | $ 215,441 |
| 2018 | 3.41 | 1.09 | 1.21 | | 1.39 | 29.90 | $ 198,320 |
| 2017 | 3.61 | 1.17 | 1.25 | | 5.41 | 44.74 | $ 232,938 |
| 2016 | 4.12 | 1.24 | 1.24 | | 6.70 | 29.48 | $ 283,398 |
| CLASS C SHARES |
| 2021 (c) | 2.91 (d) | 1.74 (d) | 1.86 (d) | | 2.63 | 13.43 | $ 96,021 |
| 2020 | 2.57 | 1.70 | 1.88 | | 5.30 | 58.91 | $ 103,302 |
| 2019 | 2.80 | 1.75 | 1.92 | | 5.15 | 31.55 | $ 118,982 |
| 2018 | 2.70 | 1.80 | 1.96 | | 0.59 | 29.90 | $ 150,364 |
| 2017 | 2.98 | 1.80 | 1.99 | | 4.76 | 44.74 | $ 205,253 |
| 2016 | 3.56 | 1.80 | 1.99 | | 6.20 | 29.48 | $ 272,691 |
| CLASS I SHARES |
| 2021 (c) | 4.05 (d) | 0.60 (d) | 0.81 (d) | | 3.19 | 13.43 | $ 2,549,842 |
| 2020 | 3.73 | 0.60 | 0.88 | | 6.39 | 58.91 | $ 1,758,843 |
| 2019 | 3.89 | 0.63 | 0.91 | | 6.35 | 31.55 | $ 1,141,046 |
| 2018 | 3.81 | 0.69 | 0.91 | | 1.71 | 29.90 | $ 762,239 |
| 2017 | 4.02 | 0.75 | 0.92 | | 5.85 | 44.74 | $ 620,780 |
| 2016 | 4.45 | 0.91 | 0.91 | | 7.15 | 29.48 | $ 480,143 |
| CLASS R3 SHARES |
| 2021 (c) | 3.40 (d) | 1.25 (d) | 2.77 (d) | | 2.86 | 13.43 | $ 950 |
| 2020 | 2.96 | 1.25 | 2.53 | | 5.70 | 58.91 | $ 1,105 |
| 2019 | 3.30 | 1.25 | 2.59 | | 5.71 | 31.55 | $ 1,661 |
| 2018 | 3.24 | 1.25 | 2.46 | | 1.16 | 29.90 | $ 1,968 |
| 2017 | 3.65 | 1.12 | 2.58 | | 5.49 | 44.74 | $ 2,667 |
| 2016 | 4.07 | 1.25 | 3.09 | | 6.69 | 29.48 | $ 2,819 |
| CLASS R4 SHARES |
| 2021 (c) | 3.46 (d) | 1.25 (d) | 2.14 (d) | | 2.86 | 13.43 | $ 1,922 |
| 2020 | 3.06 | 1.25 | 2.70 | | 5.79 | 58.91 | $ 1,633 |
| 2019 | 3.28 | 1.25 | 2.51 | | 5.71 | 31.55 | $ 1,279 |
| 2018 | 3.25 | 1.25 | 2.14 | | 1.08 | 29.90 | $ 2,182 |
| 2017 | 3.52 | 1.25 | 2.30 | | 5.35 | 44.74 | $ 2,772 |
| 2016 | 4.10 | 1.25 | 2.50 | | 6.79 | 29.48 | $ 3,218 |
| CLASS R5 SHARES |
| 2021 (c) | 4.08 (d) | 0.60 (d) | 0.92 (d) | | 3.19 | 13.43 | $ 58,937 |
| 2020 | 3.78 | 0.60 | 1.00 | | 6.48 | 58.91 | $ 43,715 |
| 2019 | 3.94 | 0.59 | 1.18 | | 6.35 | 31.55 | $ 11,180 |
| 2018 | 3.82 | 0.69 | 1.20 | | 1.71 | 29.90 | $ 7,406 |
| 2017 | 4.03 | 0.74 | 1.36 | | 5.84 | 44.74 | $ 6,286 |
| 2016 | 4.34 | 0.99 | 1.37 | | 7.07 | 29.48 | $ 7,191 |
| CLASS R6 SHARES |
| 2021 (c) | 4.13 (d) | 0.53 (d) | 0.77 (d) | | 3.23 | 13.43 | $ 63,255 |
| 2020 | 3.77 | 0.53 | 0.88 | | 6.55 (e) | 58.91 | $ 39,115 |
| 2019 | 3.98 | 0.53 | 0.98 | | 6.40 | 31.55 | $ 21,630 |
| 2018 | 3.91 | 0.65 | 1.13 | | 1.66 | 29.90 | $ 9,679 |
| 2017 (f) | 5.83 (d) | 0.00 (d) | 200.66 (d)(g) | | 3.99 | 44.74 | $ — (h) |
Thornburg Fixed Income Funds Semi-Annual Report | 95
Expense Example
March 31, 2021 (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 and Class C2 shares within 12 months of purchase; |
| (2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on October 1, 2020, and held until March 31, 2021.
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.
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, October 1, 2020 and held through March 31, 2021.
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| LIMITED TERM U.S. GOVERNMENT FUND |
| CLASS A SHARES | $ 983.76 | $4.25 | | $1,020.64 | $4.33 | 0.86% |
| CLASS C SHARES | $ 982.12 | $6.03 | | $1,018.85 | $6.14 | 1.22% |
| CLASS C2 SHARES** | $ 981.97 | $6.13 | | $1,018.75 | $6.24 | 1.24% |
| CLASS I SHARES | $ 985.04 | $2.97 | | $1,021.94 | $3.02 | 0.60% |
| CLASS R3 SHARES | $ 983.14 | $4.89 | | $1,020.00 | $4.99 | 0.99% |
| CLASS R4 SHARES | $ 983.85 | $4.90 | | $1,020.00 | $4.99 | 0.99% |
| CLASS R5 SHARES | $ 984.71 | $3.32 | | $1,021.59 | $3.38 | 0.67% |
| LIMITED TERM INCOME FUND |
| CLASS A SHARES | $ 994.02 | $3.73 | | $1,021.19 | $3.78 | 0.75% |
| CLASS C SHARES | $ 992.76 | $4.92 | | $1,020.00 | $4.99 | 0.99% |
| CLASS C2 SHARES** | $ 991.35 | $6.16 | | $1,018.75 | $6.24 | 1.24% |
| CLASS I SHARES | $ 995.32 | $2.44 | | $1,022.49 | $2.47 | 0.49% |
| CLASS R3 SHARES | $ 992.82 | $4.92 | | $1,020.00 | $4.99 | 0.99% |
| CLASS R4 SHARES | $ 992.81 | $4.92 | | $1,020.00 | $4.99 | 0.99% |
| CLASS R5 SHARES | $ 995.29 | $2.44 | | $1,022.49 | $2.47 | 0.49% |
| CLASS R6 SHARES | $ 995.67 | $2.09 | | $1,022.84 | $2.12 | 0.42% |
| ULTRA SHORT INCOME FUND |
| CLASS A SHARES | $1,003.42 | $2.50 | | $1,022.44 | $2.52 | 0.50% |
| CLASS I SHARES | $1,004.41 | $1.50 | | $1,023.44 | $1.51 | 0.30% |
96 | Thornburg Fixed Income Funds Semi-Annual Report
Expense Example, Continued
March 31, 2021 (Unaudited)
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| STRATEGIC INCOME FUND |
| CLASS A SHARES | $1,030.27 | $4.81 | | $1,020.19 | $4.78 | 0.95% |
| CLASS C SHARES | $1,026.28 | $8.79 | | $1,016.26 | $8.75 | 1.74% |
| CLASS I SHARES | $1,031.94 | $3.04 | | $1,021.94 | $3.02 | 0.60% |
| CLASS R3 SHARES | $1,028.62 | $6.32 | | $1,018.70 | $6.29 | 1.25% |
| CLASS R4 SHARES | $1,028.60 | $6.32 | | $1,018.70 | $6.29 | 1.25% |
| CLASS R5 SHARES | $1,031.94 | $3.04 | | $1,021.94 | $3.02 | 0.60% |
| CLASS R6 SHARES | $1,032.28 | $2.69 | | $1,022.29 | $2.67 | 0.53% |
| * | Hypothetical assumes a rate of return of 5% per year before expenses. |
| ** | Effective date of this class of shares was October 1, 2020. |
| † | Expenses are equal to the annualized expense ratio for each class multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
Thornburg Fixed Income Funds Semi-Annual Report | 97
Other Information
March 31, 2021 (Unaudited)
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to 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 U.S. 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 U.S. 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-PORT EX for the first and third quarters of each fiscal year. The Fund’s Form N-PORT EX 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 REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
The Trustees of the Trust have appointed the Advisor (“Program Administrator”) to administer the Trust’s liquidity risk management program (the “LRMP”) adopted for each of the Funds of the Trust under rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The LRMP is designed to reduce the risk that a Fund will be unable to meet its redemption obligations under the 1940 Act, and to mitigate the dilution of the interests of Fund shareholders occasioned by redemptions tendered by other shareholders (“Liquidity Risk”). Pursuant to the LRMP, the Program Administrator has delegated certain functions, including daily oversight and management of the Funds’ Liquidity Risk, to its Liquidity Risk Management Committee (the “Liquidity Committee”). Under the LRMP, the Liquidity Committee performs the annual review of the LRMP required by the Liquidity Rule.
On December 9, 2020, the Trustees reviewed the Liquidity Committee’s initial written report (the “Report”) concerning the operation of the LRMP for the period from November 21, 2019 through November 20, 2020 (the “Reporting Period”). The Report addressed the operation, adequacy and effectiveness of the LRMP, the operation of a Fund’s highly liquid investment minimum, and any material changes to the LRMP during the Reporting Period. The Report provided an assessment of the various factors relevant to each Fund’s Liquidity Risk, an evaluation of data provided by a third-party liquidity assessment vendor and other relevant data, and reports on the Liquidity Committee’s consideration of intermediary firms with the largest beneficial ownership positions in each Fund, the likelihood that any of those firms may redeem their clients’ investments from the Funds without prior notice, and the effect that such redemptions could have on Fund liquidity. The Report concluded that the LRMP remains adequate and effective to address each Fund’s Liquidity Risk, that all of the Funds are able to meet redemption requests in current market conditions and in reasonably expected stressed conditions without significant dilution of remaining shareholders, that each Fund remains primarily highly liquid, each Fund’s liquidity classifications during the reporting period were reasonable, and the third-party liquidity assessment vendor’s system continues to be a useful tool for assessing the Funds’ Liquidity Risk. The Report stated that there have been no instances since the LRMP’s adoption in which a Fund exceeded its limitation on illiquid investments, nor have there been any material changes to the LRMP since its adoption.
98 | Thornburg Fixed Income Funds Semi-Annual Report
Trustees’ Statement to Shareholders (Unaudited)
Revised and Readopted September 15, 2020
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, 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.
[This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. For prospective investors in any fund of Thornburg Investment Trust, this communication must be preceded or accompanied by a prospectus. You may obtain a current copy of the Funds’ prospectus, which describes the Funds’ management fees, expenses and risks, by calling 1-800-847-0200 or by visiting www.thornburg.com/download. Please read the prospectus carefully before investing.]
Thornburg Investment Trust
2300 North Ridgetop Road
Santa Fe, NM 87506
505.984.0200 Tel
505.992.8681 Fax
www.thornburg.com
Thornburg Fixed Income Funds Semi-Annual Report | 99
Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $45.4 billion (as of March 31, 2021) across U.S. mutual funds, separate accounts for high-net-worth investors, institutional accounts, and UCITS funds for non-U.S. investors.
The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.
MULTI ASSET
| ■ | Thornburg Investment Income Builder Fund |
| ■ | Thornburg Summit Fund |
GLOBAL EQUITY
| ■ | Thornburg Global Opportunities Fund |
INTERNATIONAL EQUITY
| ■ | Thornburg International Equity Fund |
| ■ | Thornburg Better World International Fund |
| ■ | Thornburg International Growth Fund |
| ■ | Thornburg Developing World Fund |
DOMESTIC EQUITY
| ■ | Thornburg Small/Mid Cap Core Fund |
| ■ | Thornburg Small/Mid Cap Growth Fund |
ALTERNATIVES
| ■ | Thornburg Long/Short Equity Fund |
FIXED INCOME
| ■ | Thornburg Limited Term U.S. Government Fund |
| ■ | Thornburg Limited Term Income Fund |
| ■ | Thornburg Ultra Short Income Fund |
| ■ | Thornburg Strategic Income Fund |
MUNICIPAL
| ■ | Thornburg Short Duration Municipal Fund |
| ■ | Thornburg Limited Term Municipal Fund |
| ■ | Thornburg California Limited Term Municipal Fund |
| ■ | Thornburg New Mexico Intermediate Municipal Fund |
| ■ | Thornburg New York Intermediate Municipal Fund |
| ■ | Thornburg 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
100 | Thornburg Fixed Income Funds Semi-Annual Report
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Thornburg Fixed Income Funds Semi-Annual Report | 101
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Thornburg Fixed Income Funds Semi-Annual Report | 103
To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.
This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
Semi-Annual Report
March 31, 2021
| Thornburg Municipal Funds |
| Thornburg Short Duration Municipal Fund |
| Thornburg Limited Term Municipal Fund |
| Thornburg California Limited Term Municipal Fund |
| Thornburg New Mexico Intermediate Municipal Fund |
| Thornburg New York Intermediate Municipal Fund |
| Thornburg Intermediate Municipal Fund |
| Thornburg Strategic Municipal Income Fund |
At Thornburg, we believe unconstrained investing leads to better outcomes for our clients. Our investment solutions are highly active, high conviction, and benchmark agnostic. When it comes to finding economic opportunity for clients, it’s more than what we do.
It’s how we do it. Active As bottom-up, fundamental, active managers, we look beyond conventional benchmarks. Long Term We take a long-term view in how we manage our firm and our portfolios. Benchmark Agnostic Investment strategies should have the flexibility to pursue solutions for clients, not stay within the conventional confines of benchmarks. Flexible Perspective Our approach to portfolio construction is guided by our convictions rather than convention. High Conviction We focus our attention and capital on thoroughly researched, well-understood positions. The best form of risk management is to know what you own, and why. Repeatable & Robust Our long-term outperformance of benchmarks verifies that our process works and outperforms conventional thinking. Independent We are independently owned and far from the herd of other investment managers. Investment Driven All members of the investment team are resources for all of our strategies. Collaborative Our team collaborates on opportunities across geography, sector, or asset class.
Thornburg Municipal Funds
Semi-Annual Reports | March 31, 2021
Table of Contents
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 Funds’ prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
Thornburg Municipal Funds Semi-Annual Report | 3
Letter to Shareholders
March 31, 2021 (Unaudited)
Dear Shareholder:
Given the opportunity to write to you about how our portfolios are delivering in the context of continued volatile and fascinating global markets, there is a great temptation to look backwards and reflect on the past year. Given that these letters are semi-annual, the last two occasions have been more fraught, being in the throes of the early and uncertain stages of the global pandemic, and then moving into a contentious presidential election here in the U.S. This moment in time has a brighter tone, and the ongoing vaccination drive is clearly bearing fruit.
But rather than simply detail what has occurred, it seems more worthwhile to connect that past experience with future possibilities, both good and bad. If 2020’s story was a significant disconnect between the reality that many individuals endured and the ultimately strong upwards movement of risk assets, it seems equally possible that disconnect could endure, but in the opposite direction. While we expect further economic recovery in the moment, markets, as always, are working to price the future. It is worth noting that the plaudits for saving the world from economic catastrophe are going to many of the policymakers that ordered up stimulus and easy monetary policy. It’s also important to note that the cost of U.S. stimulus thus far is about in line, inflation-adjusted, with the cost to the U.S. of fighting World War II. It’s also important to keep the perspective that the virus-induced crash was truly horrific, and the vaccine-induced bounce may be equally euphoric, but neither experience has policy at its core. As we look at the rest of 2021 and beyond, we will be in truly uncharted territory. We here at Thornburg remain skeptical of simple historical comparisons.
Prices in the global marketplace are generally high, perhaps especially in credit and global rates. At the same time, despite the unusually quick economic recovery occasioned by miraculous work around vaccines, our economic mandarins remain steadfast
in providing stimulus. Their apparent goal is to pull forward growth from the future into the present, to further the recovery. In addition, they wish to produce inflation so as to escape a deflationary spiral that looms large over the global economy due to a combination of high debt, aging demographics, and slowing productivity. Whether this stew of conditions produces a positive result in the future is unknowable, but what is as clear as ever is that the road is likely to be very bumpy. It is a road that will not likely be smoothed by further infrastructure spending.
At Thornburg, while the past has served as a wonderful proof point for the value of our global perspective and flexible approach, we are focused on continuing to invest for future results in your portfolios. Combined with our focus on breaking down silos within the investment universe, we are designed to see the world with better perspective. Many firms have good products, but we believe that our firm’s approach is our differentiator: we evaluate individual opportunities for each portfolio with a clear understanding of the bigger picture of what you need from us. This is what underlies the excellent long-term outcomes we’ve been able to achieve. It is our understanding of and participation in the interconnectedness of markets that is our core competency: we’re built to deliver on the promise of active management.
Thank you so much for your time and your business.
| |
Jason Brady, cfa
Portfolio Manager
CEO, President, and
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
4 | Thornburg Municipal Funds Semi-Annual Report
Thornburg Short Duration Municipal Fund
Investment Goal and Fund Overview
The primary goal of Short Duration Municipal Fund is to provide current income exempt from federal income tax, consistent with preservation of capital.
The Fund is an actively managed, laddered portfolio of municipal bonds with maturities typically not exceeding 3 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted or under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) outperformed the ICE BofAML 1-3 Year U.S. Municipal Securities Index by 6 basis points (bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a mixed effect on the portfolio. Parallel shifts in the yield curve contributed 15 bps to the Fund’s relative performance during the period. Non-parallel shifts in the yield curve detracted 19 bps from the Fund’s relative performance.
» The Fund’s sector and quality allocations contributed to relative performance for the period, accounting for 19 bps of relative performance.
» Security selection detracted from Fund performance, accounting for 12 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG SHORT DURATION MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
THORNBURG SHORT DURATION
MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 12/30/13) | | | | |
| Without sales charge | 1.38% | 1.18% | 0.84% | 0.69% |
| With sales charge | -0.17% | 0.67% | 0.54% | 0.48% |
| Class I Shares (Incep: 12/30/13) | 1.50% | 1.36% | 1.04% | 0.88% |
| ICE BofAML 1-3 Year U.S. Municipal Securities Index (Since 12/30/13) | 2.47% | 2.23% | 1.55% | 1.34% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 1.03%; I shares, 0.65%; Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, 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.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
Thornburg Municipal Funds Semi-Annual Report | 5
Thornburg Limited Term Municipal Fund
Investment Goal and Fund Overview
The primary investment goal of Limited Term Municipal Fund 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. 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 is an actively managed, laddered portfolio of municipal bonds with a dollar-weighted average maturity normally of less than five years and with maturities typically not exceeding 10 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted and under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) underperformed the ICE BofAML 1-10 Year U.S. Municipal Securities Index by 3 basis points (bps) on a gross-of-fee basis during six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a mixed effect on the portfolio. Parallel shifts in the yield curve contributed 20 bps to the Fund’s relative performance during the period. Non-parallel shifts in the yield curve detracted 8 bps from the Fund’s relative performance.
» The Fund’s sector and quality allocations contributed to relative performance for the period, accounting for 2 bps of relative performance.
» Security selection detracted from Fund performance accounting, for 30 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG LIMITED TERM MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG LIMITED TERM MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 9/28/84) | | | | | |
| Without sales charge | 3.02% | 2.66% | 1.60% | 2.24% | 4.56% |
| With sales charge | 1.46% | 2.14% | 1.30% | 2.09% | 4.52% |
| Class C Shares (Incep: 9/1/94) | | | | | |
| Without sales charge | 2.66% | 2.38% | 1.34% | 1.98% | 3.08% |
| With sales charge | 2.16% | 2.38% | 1.34% | 1.98% | 3.08% |
| Class C2 Shares (Incep: 9/30/20) | | | | | |
| Without sales charge | - | - | - | - | 0.04% |
| With sales charge | - | - | - | - | -0.61% |
| Class I Shares (Incep: 7/5/96) | 3.17% | 2.88% | 1.87% | 2.55% | 3.64% |
| ICE BofAML 1-10 Year U.S. Municipal Securities Index (Since 9/28/84) | 4.21% | 3.69% | 2.42% | 2.80% | - |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. Class C and Class C2 shares include 0.50% and 0.65% CDSC respectively, for the first year only. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 0.69%; C shares, 0.94%; C2 Shares, 1.09%; I shares, 0.46%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
6 | Thornburg Municipal Funds Semi-Annual Report
Thornburg California Limited Term Municipal Fund
Investment Goal and Fund Overview
The primary investment goal of Limited Term California Fund 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 is an actively managed, laddered portfolio of California and U.S. territory municipal bonds with a dollar-weighted average maturity normally less than five years and with maturities typically not exceeding 10 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted or under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) underperformed the ICE BofAML 1-10 Year U.S. Municipal Securities Index by 23 basis points (bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a mixed effect on the portfolio. Parallel shifts in the yield curve contributed 17 bps to the Fund’s relative performance during the period. Non-parallel shifts in the yield curve detracted 6 bps from the Fund’s relative performance.
» The Fund’s sector and quality allocations detracted from relative performance for the period, accounting for 41 bps of relative underperformance.
» Security selection detracted from Fund performance, accounting for 4 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG CALIFORNIA LIMITED TERM MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG CALIFORNIA LIMITED TERM MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 2/19/87) | | | | | |
| Without sales charge | 2.20% | 2.02% | 1.08% | 2.22% | 3.94% |
| With sales charge | 0.65% | 1.49% | 0.78% | 2.06% | 3.89% |
| Class C Shares (Incep: 9/1/94) | | | | | |
| Without sales charge | 1.91% | 1.71% | 0.81% | 1.95% | 2.93% |
| With sales charge | 1.41% | 1.71% | 0.81% | 1.95% | 2.93% |
| Class C2 Shares (Incep: 9/30/20) | | | | | |
| Without sales charge | - | - | - | - | -0.09% |
| With sales charge | - | - | - | - | -0.74% |
| Class I Shares (Incep: 4/1/97) | 2.53% | 2.27% | 1.36% | 2.53% | 3.40% |
| ICE BofAML 1-10 Year U.S. Municipal Securities Index (Since 2/19/87) | 4.21% | 3.69% | 2.42% | 2.80% | - |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 2.25%. Class C and Class C2 shares include 0.50% and 0.65% CDSC respectively, for the first year only. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 0.92%; C shares, 1.20%; C2 shares, 1.36%; I shares, 0.69%; Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.74%; C shares, 1.02%; C2 shares, 1.02%; I shares, 0.49%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
Thornburg Municipal Funds Semi-Annual Report | 7
Thornburg New Mexico Intermediate Municipal Fund
Investment Goal and Fund Overview
The primary investment goal of Intermediate New Mexico Fund 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 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 is an actively managed, laddered portfolio of New Mexico and U.S. territory municipal bonds with a dollar weighted average maturity of normally three to ten years and with maturities typically not exceeding 20 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted or under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) underperformed the ICE BofAML 3-15 Year U.S. Municipal Securities Index by 32 basis points(bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a positive effect on the portfolio. Parallel shifts in the yield curve contributed 21 bps to the Fund’s relative performance while non-parallel shifts in the yield curve contributed 0 bps to the Fund’s relative performance during the period.
» The Fund’s sector and quality allocations detracted from relative performance for the period, accounting for 58 bps of relative performance.
» Security selection detracted from Fund performance, accounting for 12 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG NEW MEXICO INTERMEDIATE MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG NEW MEXICO INTERMEDIATE MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 6/18/91) | | | | | |
| Without sales charge | 3.01% | 3.10% | 1.83% | 2.65% | 4.07% |
| With sales charge | 0.95% | 2.39% | 1.41% | 2.44% | 4.00% |
| Class D Shares (Incep: 6/1/99) | 2.75% | 2.80% | 1.55% | 2.40% | 3.01% |
| Class I Shares (Incep: 2/1/07) | 3.34% | 3.41% | 2.13% | 2.98% | 3.32% |
| ICE BofAML 3-15 Year U.S. Municipal Securities Index (Since 6/18/91) | 5.27% | 4.69% | 3.14% | 3.99% | - |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 0.98%; D shares, 1.26%; I shares, 0.71%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: I shares, 0.67%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
8 | Thornburg Municipal Funds Semi-Annual Report
Thornburg New York Intermediate Municipal Fund
Investment Goal and Fund Overview
The primary investment goal of Intermediate New York Fund 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 is an actively managed, laddered portfolio of New York and US territory municipal bonds with a dollar weighted average maturity of normally three to ten years and with maturities typically not exceeding 20 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted or under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) outperformed the ICE BofAML 3-15 Year U.S. Municipal Securities Index by 5 basis points (bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a positive effect on the portfolio. Parallel shifts in the yield curve contributed 25 bps to the Fund’s relative performance while non-parallel shifts in the yield curve contributed 6 bps to the Fund’s relative performance during the period.
» The Fund’s sector and quality allocations detracted from relative performance for the period, accounting for 63 bps of relative performance.
» Security selection was a contributor to Fund performance, accounting for 34 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG NEW YORK INTERMEDIATE MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG NEW YORK INTERMEDIATE MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 9/5/97) | | | | | |
| Without sales charge | 2.98% | 2.74% | 1.61% | 2.91% | 3.55% |
| With sales charge | 0.93% | 2.04% | 1.20% | 2.70% | 3.46% |
| Class I Shares (Incep: 2/1/10) | 3.31% | 3.06% | 1.93% | 3.24% | 3.15% |
| ICE BofAML 3-15 Year U.S. Municipal Securities Index (Since 9/5/97) | 5.27% | 4.69% | 3.14% | 3.99% | 4.78% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 1.14%; I shares, 0.91%; Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the 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.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
Thornburg Municipal Funds Semi-Annual Report | 9
Thornburg Intermediate Municipal Fund
Investment Goal and Fund Overview
The primary investment goal of Intermediate Municipal Fund 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. The secondary goal of the Fund is to reduce expected changes in its share price compared to long-term bond portfolios.
The Fund is an actively managed, laddered portfolio of municipal bonds with a dollar weighted average maturity of normally three to ten years and with maturities typically not exceeding 20 years. Actively laddering portfolios involves building a portfolio of bonds with staggered maturities that are over-weighted or under-weighted based on our assessment of market risks and individual credit opportunities. A portion of the portfolio matures each year and cash from maturing bonds is invested in bonds with different maturities.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) outperformed the ICE BofAML 3-15 Year U.S. Municipal Securities Index by 60 basis points (bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a positive effect on the portfolio. Parallel shifts in the yield curve contributed 14 bps to the Fund’s relative performance while non-parallel shifts in the yield curve contributed 5 bps to the Fund’s relative performance during the period.
» The Fund’s sector and quality allocations contributed to relative performance for the period, accounting for 31 bps of relative performance.
» Security selection detracted from Fund performance, accounting for 2 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG INTERMEDIATE MUNICIPAL FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG INTERMEDIATE MUNICIPAL FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 7/22/91) | | | | | |
| Without sales charge | 4.73% | 3.64% | 2.33% | 3.48% | 4.52% |
| With sales charge | 2.62% | 2.95% | 1.92% | 3.27% | 4.44% |
| Class C Shares (Incep: 9/1/94) | | | | | |
| Without sales charge | 4.34% | 3.27% | 1.98% | 3.14% | 3.73% |
| With sales charge | 3.74% | 3.27% | 1.98% | 3.14% | 3.73% |
| Class C2 Shares (Incep: 9/30/20) | | | | | |
| Without sales charge | - | - | - | - | 1.10% |
| With sales charge | - | - | - | - | 0.45% |
| Class I Shares (Incep: 7/5/96) | 4.99% | 3.90% | 2.59% | 3.78% | 4.27% |
| ICE BofAML 3-15 Year U.S. Municipal Securities Index (Since 7/22/91) | 5.27% | 4.69% | 3.14% | 3.99% | - |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 and Class C2 shares include 0.60% and 0.65% CDSC respectively, for the first year only. There is no sales charge for Class I shares. As disclosed in the Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 0.90%; C shares, 1.28%; C2 shares, 1.31%; I shares, 0.65%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.77%; C shares, 1.14%; C2 shares, 1.14%; I shares, 0.53%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
10 | Thornburg Municipal Funds Semi-Annual Report
Thornburg Strategic Municipal Income Fund
Investment Goal and Fund Overview
The primary goal of Strategic Municipal Income Fund is to seek a high level of current income exempt from federal individual income tax.
The Fund has a flexible mandate to invest across a wide range of maturities and credit qualities. The portfolio team will not invest more than 50% of the Fund in bonds rated below investment grade at the time of purchase. Also, the Fund will be diversified among sectors, issuers, credit qualities, geographic regions, and segments of the yield curve.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund (Class I shares) outperformed the ICE BofAML U.S. Municipal Master Index by 48 basis points (bps) on a gross-of-fee basis during the six-month period ending March 31, 2021.
» The Fund’s yield curve positioning had a mixed effect on the portfolio. Parallel shifts in the yield curve contributed 39 bps to the Fund’s relative performance during the period. Non-parallel shifts in the yield curve detracted 15 bps from the Fund’s relative performance.
» The Fund’s sector and quality allocations contributed to relative performance for the period, accounting for 15 bps of relative performance.
» Security selection detracted from Fund performance, accounting for 14 bps of relative performance during the period.
Performance Summary
March 31, 2021 (Unaudited)
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
| THORNBURG STRATEGIC MUNICIPAL INCOME FUND | FINAL VALUE |
AVERAGE ANNUAL TOTAL RETURNS
| THORNBURG STRATEGIC MUNICIPAL INCOME FUND | 1-YR | 3-YR | 5-YR | 10-YR | SINCE
INCEPTION |
| Class A Shares (Incep: 4/1/09) | | | | | |
| Without sales charge | 5.47% | 3.64% | 2.46% | 4.43% | 5.36% |
| With sales charge | 3.33% | 2.96% | 2.05% | 4.22% | 5.19% |
| Class C Shares (Incep: 4/1/09) | | | | | |
| Without sales charge | 4.97% | 3.18% | 2.00% | 4.05% | 5.00% |
| With sales charge | 4.37% | 3.18% | 2.00% | 4.05% | 5.00% |
| Class I Shares (Incep: 4/1/09) | 5.77% | 3.89% | 2.70% | 4.72% | 5.66% |
| ICE BofAML U.S. Municipal Master Index (Since 4/1/09) | 5.60% | 4.92% | 3.53% | 4.73% | 4.93% |
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
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 Fund’s most recent prospectus, the total annual fund operating expenses before fee waivers and expense reimbursements are as follows: A shares, 1.26%; C shares, 1.65%; I shares, 0.99%. Thornburg Investment Management has contractually agreed to waive fees and reimburse expenses until at least February 1, 2022, for some of the share classes, resulting in net expense ratios of the following: A shares, 0.81%; C shares, 1.28%; I shares, 0.59%. For more detailed information on fund expenses and waivers/reimbursements please see the Fund’s prospectus.
The ICE index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Thornburg Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See www.thornburg.com/indices for a full copy of the Disclaimer.
Thornburg Municipal Funds Semi-Annual Report | 11
Glossary
March 31, 2021 (Unaudited)
The ICE BofAML 1-3 Year U.S. Municipal Securities Index is a subset of the ICE BofAML U.S. Municipal Securities Index including all securities with a remaining term to final maturity greater than or equal to 1 year and less than 3 years.
The ICE BofAML 1-10 Year U.S. Municipal Securities Index is a subset of the ICE BofAML U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.
The ICE BofAML 3-15 Year U.S. Municipal Securities Index is a subset of the ICE BofAML 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.
The ICE BofAML U.S. 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).
The performance of any index is not indicative of the performance of any particular investment. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Investors may not make direct investments into any index.
Duration – A bond’s sensitivity to interest rates. Bonds with longer durations experience greater price volatility than bonds with shorter durations. Effective duration incorporates a bond’s embedded option features, such as call provisions.
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.
Parallel and non-parallel shifts – Relates to the movement of the yield curve. A parallel shift means the yield curve moves up or down the same amount across the entire curve (short and long ends move). A non-parallel shift means the short end and long end move at different amounts. For example, the short end may move up 10 basis points while the long-end may move up 20 basis points.
12 | Thornburg Municipal Funds Semi-Annual Report
Fund Summary
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 206 |
| Effective Duration | 1.3 Yrs |
| Average Maturity | 1.4 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 0.18% |
| SEC Yield | -0.31% |
Without the fee waivers and expense reimbursements, the Annualized Distribution yield and the SEC yield would have been -0.08% and -0.58%, respectively.
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG SHORT DURATION
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Thornburg Municipal Funds Semi-Annual Report | 13
Fund Summary
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 1,691 |
| Effective Duration | 2.8 Yrs |
| Average Maturity | 3.4 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.16% |
| SEC Yield | -0.07% |
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
| 10% | 18% | 12% | 12% | 12% | 8% | 6% | 6% | 5% | 5% | 5% |
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG LIMITED TERM
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | LTMFX | 885-215-459 |
| Class C | LTMCX | 885-215-442 |
| Class C2 | LTMQX | 885-216-556 |
| 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.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
14 | Thornburg Municipal Funds Semi-Annual Report
Fund Summary
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 363 |
| Effective Duration | 2.8 Yrs |
| Average Maturity | 3.4 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 0.99% |
| SEC Yield | -0.16% |
Without the fee waivers and expense reimbursements, the Annualized Distribution yield and the SEC yield would have been 0.82% and -0.33%, respectively.
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
| 4% | 23% | 11% | 12% | 14% | 9% | 9% | 6% | 4% | 6% | 3% |
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG CALIFORNIA LIMITED TERM
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | LTCAX | 885-215-426 |
| Class C | LTCCX | 885-215-418 |
| Class C2 | LTCQX | 885-216-515 |
| 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.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Thornburg Municipal Funds Semi-Annual Report | 15
Fund Summary
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 156 |
| Effective Duration | 4.3 Yrs |
| Average Maturity | 7.9 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.28% |
| SEC Yield | 0.14% |
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG NEW MEXICO INTERMEDIATE
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
16 | Thornburg Municipal Funds Semi-Annual Report
Fund Summary
Thornburg New York Intermediate Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 64 |
| Effective Duration | 4.1 Yrs |
| Average Maturity | 9.0 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.75% |
| SEC Yield | -0.02% |
Without the fee waivers and expense reimbursements, the Annualized Distribution yield and the SEC yield would have been 1.61% and -0.17%, respectively.
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG NEW YORK INTERMEDIATE
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| 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 shares. Class I shares may not be available to all investors.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
Thornburg Municipal Funds Semi-Annual Report | 17
Fund Summary
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
LONG-TERM STABILITY OF PRINCIPAL
Net Asset Value History of Class A Shares
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 496 |
| Effective Duration | 4.4 Yrs |
| Average Maturity | 8.7 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 2.15% |
| SEC Yield | 0.32% |
Without the fee waivers and expense reimbursements, the Annualized Distribution yield and the SEC yield would have been 2.01% and 0.19%, respectively.
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
PORTFOLIO LADDER
Percent of portfolio maturing in each year. Cash includes cash equivalents and other.
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.
THORNBURG INTERMEDIATE
MUNICIPAL FUND | NASDAQ SYMBOLS | CUSIPS |
| Class A | THIMX | 885-215-202 |
| Class C | THMCX | 885-215-780 |
| Class C2 | THMQX | 885-216-374 |
| 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.
The laddering strategy does not assure or guarantee better performance and cannot eliminate the risk of investment losses.
18 | Thornburg Municipal Funds Semi-Annual Report
Fund Summary
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| KEY PORTFOLIO ATTRIBUTES | |
| Number of Bonds | 282 |
| Effective Duration | 4.1 Yrs |
| Average Maturity | 8.2 Yrs |
30-DAY YIELDS, CLASS A SHARES (with sales charge)
| Annualized Distribution Yield | 1.81% |
| SEC Yield | 0.42% |
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.
Unrated pre-refunded and escrowed-to-maturity bonds are included in the not rated (NR) category.
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.
THORNBURG STRATEGIC MUNICIPAL
INCOME FUND | NASDAQ SYMBOLS | CUSIPS |
| 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.
Thornburg Municipal Funds Semi-Annual Report | 19
Schedule of Investments
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 73.6% | | |
| | Alabama — 1.4% | | |
| | Alabama Public School and College Authority, Series A, 5.00% due 11/1/2025 | $1,000,000 | $ 1,201,500 |
| a | Selma (International Paper Co.) IDB, Series A, 2.00% due 11/1/2033 (put 10/1/2024) | 1,500,000 | 1,569,210 |
| | Arizona — 1.1% | | |
| | Arizona Transportation Board, 5.00% due 7/1/2025 | 1,010,000 | 1,203,001 |
| a | Maricopa County (Banner Health Obligated Group) IDA, Series B, 0.43% (MUNIPSA + 0.38%) due 1/1/2035 (put 10/18/2022) | 920,000 | 925,454 |
| | California — 3.9% | | |
| | California (Sutter Health Obligated Group) HFFA, Series A, 4.00% due 8/15/2040 (pre-refunded 8/15/2025) | 1,000,000 | 1,151,890 |
| a | California Infrastructure and Economic Development Bank (California Academy of Sciences), Series D, 0.456% (LIBOR 1 Month + 0.38%) due 8/1/2047 (put 8/1/2021) | 2,000,000 | 1,999,752 |
| | City of Los Angeles CA, 4.00% due 6/24/2021 | 1,500,000 | 1,512,495 |
| | Los Angeles Department of Water & Power Power System Revenue, Series B, 4.00% due 7/1/2021 | 500,000 | 504,720 |
| | Los Angeles USD, Series RYQ, 5.00% due 7/1/2021 | 925,000 | 935,934 |
| | Riverside County Office of Education Pooled Notes, Series A, 2.00% due 12/1/2021 | 1,000,000 | 1,012,140 |
| | State of California GO, 5.00% due 8/1/2021 - 2/1/2024 | 815,000 | 863,476 |
| | Colorado — 2.3% | | |
| | Board of Water Commissioners City & County of Denver, Series B, 5.00% due 9/15/2025 | 1,150,000 | 1,379,310 |
| a | Colorado (Adventist Health System/Sunbelt Obligated Group) HFA, Series C, 5.00% due 11/15/2036 (put 11/15/2026) | 800,000 | 987,112 |
| | Crystal Valley Metropolitan District No 2 (Insured: AGM) GO, Series A, 5.00% due 12/1/2022 - 12/1/2024 | 365,000 | 410,609 |
| | Interlocken Metropolitan District (Insured: AGM) GO, Series A-1, 5.00% due 12/1/2021 - 12/1/2023 | 1,825,000 | 1,984,286 |
| | Connecticut — 1.8% | | |
| | State of Connecticut GO, Series C, 5.00% due 6/15/2022 | 715,000 | 755,791 |
| | State of Connecticut Special Tax Revenue, | | |
| | Series B, 5.00% due 10/1/2021 | 525,000 | 537,532 |
| | Series C, 5.00% due 10/1/2022 | 680,000 | 728,763 |
| | University of Connecticut, Series A, 5.00% due 2/15/2022 | 1,580,000 | 1,644,764 |
| | District of Columbia — 0.4% | | |
| | District of Columbia (Federal Highway Grant Anticipation), 5.00% due 12/1/2025 | 685,000 | 822,986 |
| | Florida — 3.0% | | |
| | Broward County School Board (Educational Facilities) COP, Series A, 5.00% due 7/1/2024 | 1,415,000 | 1,623,769 |
| | City of Orlando (Insured: AGM), Series A, 4.00% due 11/1/2021 | 900,000 | 918,315 |
| a | Escambia County (International Paper Co.), 2.00% due 11/1/2033 (put 10/1/2024) | 775,000 | 809,077 |
| | Florida Department of Management Services, Series A, 5.00% due 9/1/2025 | 1,000,000 | 1,193,670 |
| | State of Florida (Department of Transportation Right-of-Way Acquisition & Bridge Construction) GO, Series B, 5.00% due 7/1/2023 | 255,000 | 282,468 |
| | State of Florida GO, Series C, 5.00% due 6/1/2025 | 1,000,000 | 1,188,370 |
| | Georgia — 2.7% | | |
| | City of Atlanta (Atlantic Station Project), 5.00% due 12/1/2021 | 650,000 | 668,102 |
| | Georgia State Road & Tollway Authority, 5.00% due 6/1/2024 | 1,000,000 | 1,145,870 |
| | Main Street Natural Gas, Inc., Series A, 5.00% due 5/15/2022 | 1,000,000 | 1,051,300 |
| | Municipal Electric Authority of Georgia, Series A, 5.00% due 1/1/2024 | 1,430,000 | 1,600,628 |
| a | Private Colleges & Universities Authority (Emory University), Series B, 0.47% (MUNIPSA + 0.42%) due 10/1/2039 (put 8/16/2022) | 1,000,000 | 991,510 |
| | Illinois — 4.2% | | |
| | Chicago Park District GO, Series B, 5.00% due 1/1/2022 | 400,000 | 411,672 |
| | City of Chicago (Water System), Series 2017-2, 5.00% due 11/1/2022 | 600,000 | 641,046 |
| | Cook County Community College District No. 508 (City Colleges of Chicago) GO, 5.00% due 12/1/2023 | 500,000 | 545,660 |
| | Cook County School District No. 170 Chicago Heights (Insured: AGM) GO, Series D, 5.00% due 12/1/2022 | 1,500,000 | 1,615,950 |
| | State of Illinois (State Facilities Improvements) GO, | | |
| | 4.875% due 5/1/2021 | 500,000 | 501,590 |
| | 5.00% due 3/1/2022 | 575,000 | 597,414 |
| | Series A, 5.00% due 10/1/2022 | 1,000,000 | 1,062,480 |
| | Series D, 5.00% due 11/1/2021 - 11/1/2024 | 1,500,000 | 1,642,790 |
| | Village of Tinley Park GO, | | |
| | 4.00% due 12/1/2021 | 585,000 | 599,584 |
| | 5.00% due 12/1/2024 | 870,000 | 976,479 |
| | Indiana — 0.6% | | |
| a | Indiana Finance Authority (Indiana University Health, Inc. Obligated Group), Series L, 0.33% (MUNIPSA + 0.28%) due 12/1/2046 (put 7/2/2021) | 1,300,000 | 1,300,764 |
| | Kentucky — 0.8% | | |
| | Kentucky State Property & Building Commission (Project No. 112), Series B, 5.00% due 11/1/2021 | 1,500,000 | 1,540,800 |
20 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Louisiana — 1.7% | | |
| a | Louisiana Offshore Terminal Authority (Loop, Inc.), 1.65% due 9/1/2027 (put 12/1/2023) | $1,500,000 | $ 1,534,665 |
| a | Louisiana Public Facilities Authority (Ochsner Clinic Foundation Obligated Group), Series B, 5.00% due 5/15/2050 (put 5/15/2025) | 875,000 | 1,021,344 |
| | Shreveport Water & Sewer Revenue (Insured: BAM), Series C, 5.00% due 12/1/2023 | 860,000 | 954,135 |
| | Maryland — 0.9% | | |
| | Maryland Health & Higher Educational Facilities Authority (UPMC Obligated Group), Series B, 5.00% due 4/15/2022 - 4/15/2024 | 1,200,000 | 1,304,472 |
| | Washington County (Diakon Lutheran Social Ministries Obligated Group), Series B, 5.00% due 1/1/2022 - 1/1/2023 | 510,000 | 536,057 |
| | Massachusetts — 0.8% | | |
| a | Commonwealth of Massachusetts GO, Series A, 5.00% due 6/1/2044 (put 6/1/2023) | 1,000,000 | 1,104,550 |
| | University of Massachusetts Building Authority (University of Massachusetts), Series 2021-1, 5.00% due 11/1/2024 | 500,000 | 583,195 |
| | Michigan — 1.0% | | |
| | Detroit Downtown Development Authority (Catalyst Development Project; Insured: AGM), Series A, 5.00% due 7/1/2021 - 7/1/2022 | 500,000 | 518,515 |
| | Livonia Public Schools School District (Insured: BAM) GO, 5.00% due 5/1/2021 | 585,000 | 586,925 |
| | Michigan State Hospital Finance Authority (Trinity Health Corp. Obligated Group), Series C, 5.00% due 12/1/2021 | 500,000 | 515,885 |
| | Northern Michigan University, Series A, 5.00% due 12/1/2021 | 435,000 | 448,341 |
| | Minnesota — 0.8% | | |
| a | Minnesota Housing Finance Agency (Residential Single Family Development; Collateralized: GNMA, FNMA, FHLMC), 0.60% (MUNIPSA + 0.55%) due 7/1/2041 (put 12/12/2023) | 1,000,000 | 1,013,379 |
| | State of Minnesota GO, Series D, 5.00% due 10/1/2021 | 500,000 | 512,075 |
| | Mississippi — 0.2% | | |
| | Mississippi Development Bank (Jackson Public School District; Insured: BAM), 5.00% due 10/1/2022 | 375,000 | 401,719 |
| | Nebraska — 1.4% | | |
| | Central Plains Energy Project, | | |
| a | 4.00% due 12/1/2049 (put 8/1/2025) | 1,500,000 | 1,706,415 |
| a | 5.00% due 3/1/2050 (put 1/1/2024) | 1,000,000 | 1,113,660 |
| | Nevada — 2.7% | | |
| b | Clark County Department of Aviation, Series A, 5.00% due 7/1/2021 | 2,000,000 | 2,022,860 |
| a | Clark County Nevada Pollution Control Revenue (Nevada Power Co.), 1.65% due 1/1/2036 (put 3/31/2023) | 500,000 | 512,270 |
| | Clark County School District (School Facilities Improvements) GO, Series C, 5.00% due 6/15/2021 | 250,000 | 252,292 |
| c | County of Washoe GO, 5.00% due 7/1/2024 | 1,470,000 | 1,686,002 |
| | Las Vegas Valley Water District GO, Series B, 5.00% due 6/1/2023 | 900,000 | 993,690 |
| | New Jersey — 4.5% | | |
| | New Jersey (Middlesex Water Co) EDA, Series A, 5.00% due 10/1/2023 | 1,500,000 | 1,671,690 |
| | New Jersey EDA, Series S, 5.00% due 6/15/2022 - 6/15/2024 | 205,000 | 224,692 |
| | New Jersey Transportation Trust Fund Authority (State Transportation System Improvements; Insured: AMBAC), Series A, 5.25% due 12/15/2021 | 1,000,000 | 1,034,270 |
| | Passaic Valley Sewer Commissioners (Sewer System), Series G, 5.75% due 12/1/2021 | 500,000 | 517,620 |
| | State of New Jersey (COVID-19 GO Emergency Bonds) GO, | | |
| | Series A, | | |
| | 4.00% due 6/1/2023 | 1,000,000 | 1,076,780 |
| | 5.00% due 6/1/2024 - 6/1/2025 | 1,500,000 | 1,746,330 |
| | Tobacco Settlement Financing Corp., Series A, 5.00% due 6/1/2021 | 1,790,000 | 1,803,282 |
| | Township of Moorestown GO, 2.50% due 7/30/2021 | 1,000,000 | 1,007,540 |
| | New Mexico — 4.9% | | |
| | Albuquerque Municipal School District No 12 (State Aid Withholding) GO, Series B, 5.00% due 8/1/2024 | 1,000,000 | 1,152,820 |
| | City of Albuquerque GO, Series A, 5.00% due 7/1/2021 - 7/1/2022 | 1,075,000 | 1,102,007 |
| | City of Farmington (Public Service Co. of New Mexico), | | |
| | Series B, | | |
| a | 1.875% due 4/1/2033 (put 10/1/2021) | 750,000 | 755,640 |
| a | 2.125% due 6/1/2040 (put 6/1/2022) | 1,000,000 | 1,020,190 |
| a | Series D, 1.10% due 6/1/2040 (put 6/1/2023) | 500,000 | 506,925 |
| | City of Las Cruces GO, 5.00% due 8/1/2021 | 1,500,000 | 1,523,625 |
| | New Mexico Finance Authority, Series B, 5.00% due 6/15/2021 | 325,000 | 328,113 |
| | New Mexico Municipal Energy Acquisition Authority, Series A, 4.00% due 11/1/2021 - 11/1/2022 | 1,750,000 | 1,820,327 |
| | New Mexico State University (Insured: BAM), Series A, 5.00% due 4/1/2021 | 400,000 | 400,000 |
| | State of New Mexico Severance Tax Permanent Fund, | | |
| | Series A, 5.00% due 7/1/2021 - 7/1/2023 | 710,000 | 741,043 |
| | Series B, 4.00% due 7/1/2023 | 240,000 | 260,196 |
| | University of New Mexico, Series A, 5.00% due 6/1/2023 | 280,000 | 305,668 |
| | New York — 7.6% | | |
| | County of Suffolk (Insured: BAM) GO, Series D, 5.00% due 10/15/2025 | 750,000 | 890,190 |
| | County of Suffolk GO, Series I, 2.00% due 7/22/2021 | 1,000,000 | 1,003,770 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 21 |
Schedule of Investments, Continued
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Metropolitan Transportation Authority (Transit and Commuter System), Series B-1, 5.00% due 5/15/2022 | $1,500,000 | $ 1,570,620 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue, | | |
| c | 5.00% due 11/1/2024 | 1,000,000 | 1,162,920 |
| | Series D, 5.00% due 11/1/2024 - 11/1/2025 | 2,000,000 | 2,362,860 |
| | New York State Dormitory Authority (School District Bond Financing Program) (State Aid Withholding), Series F, 5.00% due 10/1/2022 | 800,000 | 856,456 |
| | New York State Dormitory Authority (State of New York Personal Income Tax Revenue), Series A, 5.00% due 2/15/2025 | 1,000,000 | 1,132,390 |
| | New York State Environmental Facilities Corp. (State of New York State Revolving Fund), 5.00% due 5/15/2025 | 500,000 | 572,815 |
| | New York State Housing Finance Agency, Series I, 2.70% due 11/1/2023 | 1,000,000 | 1,054,460 |
| | New York State Urban Development Corp., Series D, 5.00% due 3/15/2024 | 1,000,000 | 1,092,560 |
| | Oneida County Local Development Corp. (Utica College), 5.00% due 7/1/2022 - 7/1/2024 | 825,000 | 879,092 |
| | Tobacco Settlement Asset Securitization Corp., Series A, 5.00% due 6/1/2021 | 1,000,000 | 1,007,530 |
| | Town of Oyster Bay (Insured: BAM) GO, Series B, 5.00% due 8/15/2021 | 500,000 | 508,535 |
| | Town of Oyster Bay GO, 4.00% due 3/1/2023 | 850,000 | 909,313 |
| | Westchester County Local Development Corp. (Miriam Osborn Memorial Home Assoc.), 5.00% due 7/1/2023 | 425,000 | 460,670 |
| | North Carolina — 0.6% | | |
| | County of New Hanover, 4.00% due 8/1/2025 | 1,000,000 | 1,149,500 |
| | North Dakota — 0.5% | | |
| | County of McKenzie, 5.00% due 8/1/2022 | 1,000,000 | 1,064,230 |
| | Ohio — 3.0% | | |
| | City of Cleveland (Parking Facility; Insured: AGM), 5.25% due 9/15/2021 | 500,000 | 510,770 |
| | City of Columbus GO, Series A, 5.00% due 4/1/2022 | 1,200,000 | 1,257,888 |
| a | County of Franklin (Trinity Health Corp. Obligated Group), Series OH, 0.10% due 12/1/2046 (put 5/3/2021) | 1,000,000 | 1,000,198 |
| | County of Scioto (Southern Ohio Medical Center), 5.00% due 2/15/2022 - 2/15/2023 | 3,130,000 | 3,336,720 |
| | Oklahoma — 0.1% | | |
| | Muskogee Industrial Trust (Muskogee County ISD No. 20), 5.00% due 9/1/2023 | 200,000 | 218,888 |
| | Pennsylvania — 1.9% | | |
| | City of Philadelphia GO, Series A, 5.00% due 8/1/2021 | 750,000 | 761,295 |
| | Coatesville Area School District (Insured: AGM) (State Aid Withholding) GO ETM, 5.00% due 8/1/2021 | 1,000,000 | 1,015,560 |
| | County of Allegheny GO, Series C-75, 4.00% due 11/1/2021 | 700,000 | 715,687 |
| | Philadelphia Authority for Industrial Development, 5.00% due 5/1/2022 | 400,000 | 420,052 |
| | Plum Borough School District (Insured: BAM) (State Aid Withholding) GO, | | |
| | Series A, 4.00% due 9/15/2021 | 425,000 | 431,311 |
| | Series B, 5.00% due 9/15/2021 | 430,000 | 438,291 |
| | South Carolina — 1.2% | | |
| a | City of Charleston Waterworks & Sewer System Revenue (Capital Improvement), Series B, 0.447% (LIBOR 1 Month + 0.37%) due 1/1/2035 (put 1/1/2022) | 2,500,000 | 2,506,473 |
| | South Dakota — 0.5% | | |
| | South Dakota Health & Educational Facilities Authority (Monument Health Obligated Group), Series A, 5.00% due 9/1/2021 - 9/1/2024 | 870,000 | 964,284 |
| | Tennessee — 1.1% | | |
| | City of Memphis GO, 5.00% due 5/1/2021 | 400,000 | 401,412 |
| | State of Tennessee GO, Series A, 5.00% due 8/1/2021 | 500,000 | 508,005 |
| | Tennessee Energy Acquisition Corp. (The Gas Project), Series C, 5.00% due 2/1/2023 | 1,310,000 | 1,413,529 |
| | Texas — 11.4% | | |
| | City of Conroe GO, 5.00% due 3/1/2022 - 3/1/2024 | 465,000 | 513,356 |
| a | City of Houston (Combined Utility System), Series C, 0.436% (LIBOR 1 Month + 0.36%) due 5/15/2034 (put 8/1/2021) | 3,200,000 | 3,200,515 |
| | City of Olmos Park Higher Education Facilities Corp. (University of the Incarnate Word), 5.00% due 12/1/2022 | 1,000,000 | 1,074,400 |
| | City of San Antonio TX Electric & Gas Systems Revenue, | | |
| | 5.25% due 2/1/2025 | 1,000,000 | 1,178,920 |
| a | Series B, 2.00% due 2/1/2033 (put 12/1/2021) | 400,000 | 401,140 |
| | Comal (Guaranty: PSF-GTD) ISD GO, 5.00% due 2/1/2024 | 500,000 | 566,515 |
| a | Cypress-Fairbanks (Guaranty: PSF-GTD) ISD GO, Series B-1, 1.25% due 2/15/2036 (put 8/15/2022) | 925,000 | 939,791 |
| a | Denton (Guaranty: PSF-GTD) ISD GO , Series B, 2.00% due 8/1/2044 (put 8/1/2024) | 1,000,000 | 1,052,980 |
| a | Houston (Guaranty: PSF-GTD) ISD GO, Series A-2, 2.25% due 6/1/2039 (put 6/1/2022) | 260,000 | 265,580 |
| | Houston Airport System Revenue, Series B, 5.00% due 7/1/2022 - 7/1/2023 | 780,000 | 832,686 |
| | Little Elm (Guaranty: PSF-GTD) ISD GO, 5.00% due 8/15/2022 | 1,300,000 | 1,385,137 |
| | Lower Colorado River Authority, 5.00% due 5/15/2024 | 725,000 | 826,609 |
| a | North East (Guaranty: PSF-GTD) ISD GO, 2.375% due 8/1/2047 (put 8/1/2022) | 285,000 | 293,462 |
| a | Pflugerville (Guaranty: PSF-GTD) ISD GO, Series A, 2.25% due 8/15/2037 (put 8/15/2022) | 1,200,000 | 1,234,284 |
| a | Prosper (Guaranty: PSF-GTD) ISD GO, Series B, 2.00% due 2/15/2050 (put 8/15/2023) | 750,000 | 780,412 |
| | Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2021 | 510,000 | 522,306 |
| | San Antonio Water System, | | |
22 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Series A, | | |
| a | 2.625% due 5/1/2049 (put 5/1/2024) | $1,080,000 | $ 1,154,477 |
| | 5.00% due 5/15/2021 | 1,250,000 | 1,256,750 |
| a | Series B, 2.00% due 5/1/2044 (put 11/1/2022) | 405,000 | 416,190 |
| | State of Texas, 4.00% due 8/26/2021 | 3,550,000 | 3,605,948 |
| | Texas Municipal Gas Acquisition & Supply Corp. III, 5.00% due 12/15/2022 - 12/15/2024 | 1,500,000 | 1,676,620 |
| | Utah — 0.3% | | |
| a | County of Utah (IHC Health Services, Inc. Obligated Group), Series B-1, 5.00% due 5/15/2056 (put 8/1/2022) | 500,000 | 526,665 |
| | Virginia — 0.8% | | |
| a | Halifax County (VirginiaI Electric and Power Co. Project) IDA, Series A, 0.45% due 12/1/2041 (put 4/1/2022) | 500,000 | 499,700 |
| | Virginia Small Business Financing Authority (National Senior Campuses, Inc. Obligated Group), 5.00% due 1/1/2022 - 1/1/2024 | 1,000,000 | 1,075,496 |
| | Washington — 1.0% | | |
| | Central Puget Sound Regional Transit Authority (Green Bond), Series S-1, 5.00% due 11/1/2025 | 1,000,000 | 1,200,990 |
| | State of Washington GO, 5.00% due 6/1/2024 | 500,000 | 573,545 |
| | University of Washington, 5.00% due 4/1/2023 | 300,000 | 328,743 |
| | West Virginia — 1.2% | | |
| | Mason County (Appalachian Power Co.), Series L, 2.75% due 10/1/2022 | 1,000,000 | 1,035,620 |
| a,b | West Virginia (Appalachian Power Co.) EDA, Series A, 2.625% due 12/1/2042 (put 6/1/2022) | 1,425,000 | 1,462,649 |
| | Wisconsin — 1.3% | | |
| | City of Superior (DTE Electric Co.; Insured: NATL), Series E, 6.90% due 8/1/2021 | 1,000,000 | 1,022,200 |
| a | Wisconsin Health & Educational Facilities Authority (Ascension Health Alliance System), Series B-4, 5.00% due 11/15/2043 (put 6/1/2021) | 1,500,000 | 1,510,905 |
| | Total Long-Term Municipal Bonds — 73.6% (Cost $147,972,976) | | 149,354,102 |
| | Short-Term Municipal Bonds — 26.3% | | |
| | Colorado — 1.6% | | |
| | City & County of Denver (SPA JPMorgan Chase Bank, N.A.) COP, | | |
| a | Series A2, 0.06% due 12/1/2029 (put 4/1/2021) | 800,000 | 800,000 |
| a | Series A-3, 0.06% due 12/1/2031 (put 4/1/2021) | 2,355,000 | 2,355,000 |
| | Florida — 7.1% | | |
| | City of Gainesville Utilities System Revenue (SPA Barclays Bank plc), | | |
| a | Series A, 0.06% due 10/1/2026 (put 4/1/2021) | 1,500,000 | 1,500,000 |
| a | Series C, 0.06% due 10/1/2026 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| a | City of West Palm Beach Utility System Revenue (Insured: AGC) (SPA JPMorgan Chase Bank, N.A.), Series C, 0.09% due 10/1/2038 (put 4/8/2021) | 3,100,000 | 3,100,000 |
| a | County of Manatee (Florida Power & Light Co.), 0.07% due 9/1/2024 (put 4/1/2021) | 1,100,000 | 1,100,000 |
| a | JEA Water & Sewer System Revenue (SPA U.S. Bank, N.A.), Series A-1, 0.06% due 10/1/2038 (put 4/1/2021) | 3,880,000 | 3,880,000 |
| a | Miami-Dade County (Florida Power & Light Co.) IDA, 0.07% due 6/1/2021 (put 4/1/2021) | 3,900,000 | 3,900,000 |
| | Illinois — 0.7% | | |
| a | Illinois Finance Authority (Northwestern Memorial Healthcare Obligated Group; SPA U.S. Bank, N.A.), Series A2, 0.06% due 8/15/2042 (put 4/1/2021) | 615,000 | 615,000 |
| a | Illinois Finance Authority (University of Chicago Medical Center Obligated Group; LOC Wells Fargo Bank N.A.), Series B, 0.05% due 8/1/2044 (put 4/1/2021) | 800,000 | 800,000 |
| | Indiana — 1.5% | | |
| a | Indiana Finance Authority (Franciscan Alliance, Inc. Obligated Group; LOC Barclays Bank plc), Series I, 0.06% due 11/1/2037 (put 4/1/2021) | 2,950,000 | 2,950,000 |
| | Minnesota — 2.6% | | |
| a | City of Minneapolis St. Paul Housing & Redevelopment Authority (Allina Health Obligated Group; LOC JPMorgan Chase Bank, N.A.), Series B-1, 0.06% due 11/15/2035 (put 4/1/2021) | 5,200,000 | 5,200,000 |
| | New Hampshire — 2.2% | | |
| | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA State Street Bank and Trust Co.), | | |
| a | Series A1, 0.06% due 7/1/2035 (put 4/1/2021) | 1,700,000 | 1,700,000 |
| a | Series A2, 0.05% due 7/1/2035 (put 4/1/2021) | 825,000 | 825,000 |
| a | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA Wells Fargo Bank, N.A.), Series B, 0.05% due 7/1/2033 (put 4/1/2021) | 2,000,000 | 2,000,000 |
| | New Mexico — 1.1% | | |
| a | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group; SPA Wells Fargo Bank, N.A.), Series D, 0.06% due 8/1/2034 (put 4/1/2021) | 2,300,000 | 2,300,000 |
| | New York — 4.8% | | |
| a | City of New York (SPA JPMorgan Chase Bank, N.A.) GO, Series 1, 0.06% due 3/1/2040 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| a | City of New York (SPA Wells Fargo Bank, N.A.) GO, Subseries F-5, 0.06% due 6/1/2044 (put 4/1/2021) | 800,000 | 800,000 |
| a | City of New York Municipal Water Finance Authority Water And Sewer System Revenue, Series EE-2, 0.07% due 6/15/2045 (put 4/1/2021) | 2,000,000 | 2,000,000 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 23 |
Schedule of Investments, Continued
Thornburg Short Duration Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA JPMorgan Chase Bank, N.A.), Subseries C-4, 0.06% due 11/1/2036 (put 4/1/2021) | $1,655,000 | $ 1,655,000 |
| a | New York City Water & Sewer System (LOC Citibank N.A.), Series F, 0.07% due 6/15/2035 (put 4/1/2021) | 700,000 | 700,000 |
| a | New York City Water & Sewer System (SPA Landesbank Hessen-Thuringen), Series BB-1, 0.07% due 6/15/2039 (put 4/1/2021) | 2,000,000 | 2,000,000 |
| a | New York State Housing Finance Agency (LOC Landesbank Hessen-Thuringen), Series A, 0.06% due 11/1/2046 (put 4/1/2021) | 1,500,000 | 1,500,000 |
| | North Carolina — 0.9% | | |
| a | Charlotte-Mecklenburg Hospital Authority (Atrium Health Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series B, 0.06% due 1/15/2038 (put 4/1/2021) | 1,900,000 | 1,900,000 |
| | Texas — 0.5% | | |
| a | Lower Neches Valley Authority (Exxon Capital Ventures, Inc.; Guaranty: Exxon Mobil Corp.) IDC, 0.05% due 11/1/2051 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| | Utah — 2.2% | | |
| a | City of Murray (IHC Health Services, Inc. Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series A, 0.06% due 5/15/2037 (put 4/1/2021) | 2,500,000 | 2,500,000 |
| a | County of Weber (IHC Health Services, Inc. Obligated Group; SPA Bank of New York Mellon), Series A, 0.06% due 2/15/2031 (put 4/1/2021) | 1,900,000 | 1,900,000 |
| | Virginia — 1.1% | | |
| a | Loudoun County (Howard Hughes Medical Institute) EDA, Series E, 0.08% due 2/15/2038 (put 4/8/2021) | 2,300,000 | 2,300,000 |
| | Total Short-Term Municipal Bonds — 26.3% (Cost $53,280,000) | | 53,280,000 |
| | Total Investments — 99.9% (Cost $201,252,976) | | $202,634,102 |
| | Other Assets Less Liabilities — 0.1% | | 272,547 |
| | Net Assets — 100.0% | | $202,906,649 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| b | Segregated as collateral for a when-issued security. |
| c | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AGC | Insured by Assured Guaranty Corp. |
| 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 |
| EDA | Economic Development Authority |
| ETM | Escrowed to Maturity |
| 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 |
| HFA | Health Facilities Authority |
| HFFA | Health Facilities Financing Authority |
| IDA | Industrial Development Authority |
| IDB | Industrial Development Board |
| IDC | Industrial Development Corp. |
| ISD | Independent School District |
| JEA | Jacksonville Electric Authority |
| LIBOR | London Interbank Offered Rates |
| LOC | Letter of Credit |
| MUNIPSA | Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index |
| PSF-GTD | Guaranteed by Permanent School Fund |
| SPA | Stand-by Purchase Agreement |
| USD | Unified School District |
24 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 88.1% | | |
| | Alabama — 1.0% | | |
| | Alabama Public School & College Authority, | | |
| | Series A, | | |
| | 5.00% due 11/1/2027 - 11/1/2031 | $ 9,000,000 | $ 11,844,845 |
| a | 5.00% due 11/1/2028 | 3,500,000 | 4,550,770 |
| | Alabama Public School & College Authority (Education System Capital Improvements), | | |
| | Series A, 5.00% due 6/1/2021 - 6/1/2022 | 10,940,000 | 11,295,923 |
| | Series B, 5.00% due 6/1/2023 | 735,000 | 810,808 |
| | Alabama State Board of Education (Calhoun Community College), 4.00% due 5/1/2021 - 5/1/2022 | 2,230,000 | 2,280,741 |
| | Chatom (Powersouth Energy Co-operative Projects; Insured: AGM) IDB, 5.00% due 8/1/2025 - 8/1/2030 | 3,830,000 | 4,696,859 |
| | East Alabama Health Care Authority, Series A, 5.00% due 9/1/2021 - 9/1/2022 | 2,045,000 | 2,103,249 |
| | Lower Alabama Gas District, Series A, 5.00% due 9/1/2029 | 3,625,000 | 4,641,813 |
| | Lower Alabama Gas District (Guaranty: Goldman Sachs Group, Inc.), 4.00% due 12/1/2023 - 12/1/2025 | 1,220,000 | 1,372,209 |
| b | Selma (International Paper Co.) IDB, Series A, 2.00% due 11/1/2033 (put 10/1/2024) | 2,500,000 | 2,615,350 |
| | UAB Medicine Finance Authority (University Hospital), Series B, 5.00% due 9/1/2025 - 9/1/2027 | 8,915,000 | 10,864,423 |
| | Water Works Board of the City of Birmingham, 5.00% due 1/1/2029 | 2,230,000 | 2,819,255 |
| | Arizona — 2.1% | | |
| | Arizona (Scottsdale Lincoln Hospitals) HFA, 5.00% due 12/1/2022 - 12/1/2024 | 3,360,000 | 3,779,165 |
| c | Arizona Board of Regents (Arizona State University), Series C, 5.00% due 7/1/2028 - 7/1/2031 | 3,125,000 | 4,119,500 |
| | Arizona Board of Regents (Arizona State University) COP, Series A, 5.00% due 9/1/2021 - 9/1/2023 | 13,980,000 | 14,969,997 |
| | Arizona Board of Regents (Northern Arizona University Projects) COP, 5.00% due 9/1/2022 - 9/1/2023 | 5,825,000 | 6,202,202 |
| | Arizona Board of Regents (University of Arizona), 5.00% due 8/1/2023 - 8/1/2024 | 1,350,000 | 1,515,938 |
| | Arizona Board of Regents (University of Arizona) COP, | | |
| | 5.00% due 6/1/2022 - 6/1/2028 | 1,690,000 | 1,956,774 |
| | Series C, 5.00% due 6/1/2022 | 6,080,000 | 6,413,488 |
| | Arizona Transportation Board, | | |
| | 5.00% due 7/1/2025 | 5,700,000 | 6,789,213 |
| | Series A, | | |
| | 5.00% due 7/1/2021 | 7,465,000 | 7,550,847 |
| | 5.00% due 7/1/2022 (pre-refunded 7/1/2021) | 5,000,000 | 5,057,950 |
| | City of Phoenix Civic Improvement Corp., Series A, 5.00% due 7/1/2022 - 7/1/2025 | 8,580,000 | 9,799,644 |
| | City of Tucson (Street and Highway Projects), Series A, 5.00% due 7/1/2022 | 2,135,000 | 2,261,798 |
| b | Maricopa County (Banner Health Obligated Group) IDA, Series B, 0.43% (MUNIPSA + 0.38%) due 1/1/2035 (put 10/18/2022) | 8,535,000 | 8,585,595 |
| | Northern Arizona University (Insured: BAM), Series B, 5.00% due 6/1/2025 - 6/1/2030 | 1,580,000 | 1,990,536 |
| | Pima County (Ina & Roger Road Wastewater Reclamation Facilities), | | |
| | Series A, | | |
| | 3.00% due 7/1/2021 | 1,200,000 | 1,208,196 |
| | 5.00% due 7/1/2021 | 400,000 | 404,644 |
| | Pima County (Ina & Roger Road Wastewater Reclamation Facilities) ETM, | | |
| | Series A, | | |
| | 3.00% due 7/1/2022 | 1,325,000 | 1,368,076 |
| | 5.00% due 7/1/2022 | 500,000 | 528,605 |
| | Pima County (Sewer System & Fleet Services Facilities Expansion) COP, Series A, 5.00% due 12/1/2021 - 12/1/2022 | 2,495,000 | 2,632,708 |
| | Pima County Sewer System Revenue COP, Series B, 5.00% due 7/1/2027 - 7/1/2030 | 4,250,000 | 5,495,955 |
| | Pinal County (Detention and Training Facilities), Series A, 5.00% due 8/1/2021 - 8/1/2025 | 5,075,000 | 5,607,520 |
| | Pinal County (Hunt Highway (Phases III-V), Ironwood Drive, Public Safety Radio & Court Buildings), 5.00% due 8/1/2025 | 3,000,000 | 3,445,500 |
| | Pinal County (Tucson Electric Power Co.) IDA, 4.00% due 9/1/2029 | 3,320,000 | 3,533,078 |
| | Pinal County Community College District GO, | | |
| c | 4.00% due 7/1/2022 | 400,000 | 418,496 |
| c | 5.00% due 7/1/2023 - 7/1/2030 | 5,000,000 | 6,242,569 |
| | Salt River Project Agricultural Improvement and Power District (Salt River Electric System), 5.00% due 1/1/2026 - 1/1/2029 | 8,405,000 | 10,493,955 |
| | State of Arizona COP, Series A, 5.00% due 10/1/2025 | 3,375,000 | 4,041,529 |
| | Arkansas — 0.0% | | |
| | Board of Trustees of the University of Arkansas (Fayetteville Campus Athletic Facilities), Series A, 3.00% due 11/1/2023 | 615,000 | 654,907 |
| | California — 5.4% | | |
| | Alameda County Joint Powers Authority (Alameda County Medical Center Highland Hospital), Series A, 5.00% due 12/1/2021 - 12/1/2023 | 6,200,000 | 6,805,780 |
| | Anaheim Public Financing Authority (Public Improvements; Insured: AGM), Series C, Zero Coupon due 9/1/2022 | 3,250,000 | 3,236,578 |
| | Cabrillo (Educational Facilities; Insured: AMBAC) USD GO, Series A, Zero Coupon due 8/1/2021 | 1,000,000 | 999,710 |
| b | California (Kaiser Foundation Hospitals) HFFA, Series B, 5.00% due 11/1/2029 (put 11/1/2022) | 1,075,000 | 1,155,733 |
| | California Educational Facilities Authority (Chapman University), 5.00% due 4/1/2021 | 4,870,000 | 4,870,000 |
| b,d | California Pollution Control Financing Authority (Republic Services, Inc. Project), Series B, 0.10% due 8/1/2024 (put 5/3/2021) | 5,000,000 | 5,000,000 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 25 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | California State Public Works Board (California School for the Deaf Riverside Campus), Series H, 5.00% due 4/1/2021 | $ 890,000 | $ 890,000 |
| | California State Public Works Board (Coalinga State Hospital), Series H, 5.00% due 6/1/2021 - 6/1/2022 | 16,555,000 | 17,238,412 |
| | California State Public Works Board (Laboratory Facility and San Diego Courthouse), Series I, 5.00% due 11/1/2021 - 11/1/2022 | 10,825,000 | 11,611,685 |
| | California State Public Works Board (Various Capital Projects), | | |
| | Series A, 5.00% due 10/1/2021 | 1,000,000 | 1,023,930 |
| | Series G, 5.00% due 11/1/2021 | 1,750,000 | 1,798,965 |
| b | California Statewide Communities Development Authority (Adventist Health System/West Obligated Group), Series A, 5.00% due 3/1/2037 (put 3/1/2027) | 1,775,000 | 2,155,400 |
| | Castaic Lake Water Agency (Water System Improvement; Insured: AMBAC) COP, Zero Coupon due 8/1/2023 | 10,125,000 | 10,067,693 |
| | Chino Basin Regional Financing Authority, Series A, 5.00% due 6/1/2021 | 2,500,000 | 2,518,825 |
| | City of Los Angeles CA, 4.00% due 6/24/2021 | 48,475,000 | 48,878,797 |
| | County of Los Angeles Metropolitan Transportation Authority (Green Bond), Series A, 5.00% due 6/1/2028 | 3,485,000 | 4,511,890 |
| | County of Los Angeles Redevelopment Refunding Authority (Bunker Hill Project), Series C, 5.00% due 6/1/2021 - 12/1/2024 | 30,060,000 | 33,141,885 |
| | Los Angeles (Educational Facilities and Information Technology Infrastructure) USD GO, | | |
| | Series A, 5.00% due 7/1/2023 | 8,950,000 | 9,915,526 |
| | Series B, 5.00% due 7/1/2023 | 11,950,000 | 13,235,939 |
| | Series D, 5.00% due 7/1/2022 - 7/1/2024 | 22,900,000 | 25,256,078 |
| | Los Angeles USD GO, Series A, 5.00% due 7/1/2024 | 1,500,000 | 1,726,710 |
| | Needles (Insured: Natl-Re) USD GO, Series B, Zero Coupon due 8/1/2023 | 1,005,000 | 989,784 |
| | North City West School Facilities Financing Authority (Carmel Valley Educational Facilities; Insured: AGM), Series A, 5.00% due 9/1/2023 | 4,545,000 | 4,847,061 |
| b | Northern California Energy Authority (Commodity Supply Revenue), Series A, 4.00% due 7/1/2049 (put 7/1/2024) | 35,000,000 | 38,921,400 |
| | Palomar Community College District GO, Series B, Zero Coupon due 8/1/2021 | 2,560,000 | 2,558,848 |
| | Riverside County Office of Education Pooled Notes, Series A, 2.00% due 12/1/2021 | 1,000,000 | 1,012,140 |
| | Rocklin (Insured: Natl-Re) USD GO, Zero Coupon due 8/1/2022 | 3,910,000 | 3,901,789 |
| | Sacramento City (Educational Facilities Improvements) USD GO, 5.00% due 7/1/2021 | 3,265,000 | 3,300,784 |
| | Sacramento City Financing Authority (Merged Downtown & Oak Park; Insured: Natl-Re), Series A, Zero Coupon due 12/1/2021 | 1,600,000 | 1,596,288 |
| | Sacramento County Sanitation Districts Financing Authority (Sacramento Regional County Sanitation District), 5.00% due 12/1/2031 | 1,250,000 | 1,722,125 |
| | San Diego Convention Center Expansion Financing Authority, Series A, 5.00% due 4/15/2021 - 4/15/2022 | 11,000,000 | 11,401,570 |
| | Santa Fe Springs Community Development Commission (Consolidated Redevelopment Project; Insured: Natl-Re), Series A, Zero Coupon due 9/1/2024 | 7,000,000 | 6,871,200 |
| | State of California GO, 5.00% due 9/1/2021 - 12/1/2031 | 17,285,000 | 21,368,737 |
| | Turlock Public Financing Authority Water Revenue, 4.00% due 3/1/2027 | 8,750,000 | 8,885,800 |
| | West Contra Costa (Educational Facilities; Insured: AGC) USD GO, Series C-1, Zero Coupon due 8/1/2022 | 4,000,000 | 3,984,000 |
| | West Covina Redevelopment Agency (Fashion Plaza), 6.00% due 9/1/2022 | 2,870,000 | 2,991,545 |
| | Colorado — 1.4% | | |
| | City & County of Denver (Buell Theatre Property) COP, 5.00% due 12/1/2021 - 12/1/2023 | 5,545,000 | 5,883,226 |
| | City & County of Denver School District No. 1 (Eastbridge Elementary and Conservatory Green K-8 Schools) COP, Series C, 5.00% due 12/15/2021 - 12/15/2023 | 3,210,000 | 3,471,093 |
| | City of Aurora COP, 5.00% due 12/1/2027 - 12/1/2029 | 7,155,000 | 9,233,598 |
| b | Colorado (Adventist Health System/Sunbelt Obligated Group) HFA, 5.00% due 11/15/2049 (put 11/19/2026) | 11,150,000 | 13,762,110 |
| | Colorado (Northern Colorado Medical Center) HFA, ETM, 5.00% due 5/15/2025 - 5/15/2026 | 1,305,000 | 1,572,435 |
| | Colorado (Sanford Obligated Group) HFA, Series A, 5.00% due 11/1/2026 | 2,315,000 | 2,851,409 |
| | Colorado Educational & Cultural Facilities Authority (National Conference of State Legislatures) ETM, 5.00% due 6/1/2021 | 1,000,000 | 1,007,510 |
| | County of Larimer (Jail Facilities Project) COP, 5.00% due 12/1/2028 - 12/1/2029 | 3,025,000 | 3,938,742 |
| | Durango School District No. 9-R (State Aid Witholding) GO, Series R, 5.00% due 11/1/2030 - 11/1/2031 | 3,195,000 | 4,281,132 |
| | El Paso County (Judicial Complex; Insured: AGM) COP, 5.00% due 12/1/2022 - 12/1/2028 | 2,500,000 | 2,969,051 |
| | El Paso County (Pikes Peak Regional Development Center) COP, | | |
| | 4.00% due 12/1/2021 | 1,000,000 | 1,025,540 |
| | 5.00% due 12/1/2023 | 1,330,000 | 1,496,622 |
| | El Paso County Falcon School District No. 49 COP, 5.00% due 12/15/2023 - 12/15/2024 | 1,600,000 | 1,828,502 |
| | Interlocken Metropolitan District (Insured: AGM) GO, | | |
| | Series A-1, 5.00% due 12/1/2024 - 12/1/2026 | 2,375,000 | 2,831,204 |
| | Series A-2, 5.00% due 12/1/2027 | 365,000 | 459,995 |
| | Regional Transportation District (Denver Transit Partners, LLC), 5.00% due 7/15/2024 - 1/15/2031 | 3,245,000 | 4,014,702 |
| | Regional Transportation District (North Metro Rail Line) COP, Series A, 5.00% due 6/1/2023 - 6/1/2024 | 8,000,000 | 8,800,680 |
| | Regional Transportation District COP, 5.00% due 6/1/2030 | 3,000,000 | 3,867,690 |
| | Regional Transportation District Sales Tax Revenue (Green Bond), Series B, 5.00% due 11/1/2029 - 11/1/2030 | 4,500,000 | 5,948,430 |
| | State of Colorado COP, | | |
| | Series A, | | |
| | 5.00% due 9/1/2024 - 9/1/2026 | 3,695,000 | 4,406,764 |
| a | 5.00% due 9/1/2028 | 1,215,000 | 1,542,977 |
| | Connecticut — 1.8% | | |
| | City of Hartford (Various Public Improvements; Insured: AGM) GO, | | |
26 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Series A, 5.00% due 7/1/2024 - 7/1/2025 | $ 1,820,000 | $ 2,117,211 |
| | Series B, 5.00% due 10/1/2022 | 1,765,000 | 1,889,291 |
| | State of Connecticut (Educational Facilities) GO, | | |
| | Series B, 5.00% due 6/15/2024 - 6/15/2025 | 30,400,000 | 35,268,875 |
| | Series E, 5.00% due 9/1/2023 | 5,550,000 | 6,175,985 |
| | State of Connecticut (Various Capital Projects) GO, | | |
| | Series B, 5.00% due 5/15/2027 | 16,615,000 | 20,203,508 |
| | Series E, 5.00% due 8/15/2024 | 1,845,000 | 2,048,264 |
| | State of Connecticut GO, | | |
| | Series B, 5.00% due 2/15/2024 | 7,000,000 | 7,928,130 |
| | Series C, 5.00% due 6/15/2022 - 6/15/2028 | 12,540,000 | 15,371,760 |
| | Series E, 5.00% due 9/15/2028 | 2,560,000 | 3,285,683 |
| | State of Connecticut Special Tax Revenue, | | |
| | 5.00% due 5/1/2031 | 5,000,000 | 6,562,900 |
| | Series B, 5.00% due 10/1/2021 | 2,200,000 | 2,252,514 |
| | State of Connecticut, Special Tax Revenue (Transportation Infrastructure Purposes), Series A, 5.00% due 8/1/2026 | 1,200,000 | 1,426,200 |
| | Delaware — 0.1% | | |
| | Delaware Transportation Authority, 5.00% due 9/1/2027 - 9/1/2031 | 2,900,000 | 3,750,556 |
| | Delaware Transportation Authority (Transportation System), 5.00% due 7/1/2022 | 1,440,000 | 1,526,630 |
| | District of Columbia — 0.2% | | |
| | District of Columbia (Federal Highway Grant Anticipation), 5.00% due 12/1/2025 - 12/1/2031 | 2,500,000 | 3,141,585 |
| | Washington Metropolitan Area Transit Authority, 5.00% due 7/1/2022 - 7/1/2028 | 6,405,000 | 7,360,340 |
| | Florida — 5.5% | | |
| | Alachua County School Board (Educational Facilities) COP, 5.00% due 7/1/2022 - 7/1/2023 | 3,850,000 | 4,182,443 |
| | Broward County School Board (Educational Facilities) COP, | | |
| | Series A, 5.00% due 7/1/2021 - 7/1/2027 | 22,880,000 | 25,464,980 |
| | Series B, 5.00% due 7/1/2023 - 7/1/2025 | 9,275,000 | 10,748,101 |
| | Series C, 5.00% due 7/1/2025 - 7/1/2026 | 12,830,000 | 15,476,218 |
| | Broward County School Board COP, | | |
| | Series A, 5.00% due 7/1/2028 | 8,590,000 | 10,978,621 |
| | Series B, 5.00% due 7/1/2029 | 8,920,000 | 11,604,028 |
| | Central Florida Expressway Authority, 5.00% due 7/1/2022 - 7/1/2026 | 4,100,000 | 4,615,956 |
| | City of Cape Coral (Water and Sewer System Improvements), 5.00% due 10/1/2022 - 10/1/2026 | 5,435,000 | 6,516,105 |
| | City of Jacksonville, | | |
| | 5.00% due 10/1/2027 | 400,000 | 501,240 |
| | Series C, 5.00% due 10/1/2023 | 1,105,000 | 1,232,362 |
| | City of Lakeland (Lakeland Regional Health Systems), 5.00% due 11/15/2026 - 11/15/2028 | 2,105,000 | 2,574,171 |
| | City of Miami (Stormwater Management Utility System), 5.00% due 9/1/2026 - 9/1/2028 | 2,675,000 | 3,326,009 |
| | City of North Miami Beach (North Miami Beach Water Project), 5.00% due 8/1/2021 | 1,000,000 | 1,015,340 |
| | City of Orlando (Senior Tourist Development; Insured: AGM), 5.00% due 11/1/2023 - 11/1/2027 | 3,545,000 | 4,145,523 |
| | Florida Department of Management Services, Series A, 5.00% due 9/1/2025 | 3,185,000 | 3,801,839 |
| | Florida Higher Educational Facilities Financing Authority (University of Tampa) ETM, Series A, 5.00% due 4/1/2022 | 620,000 | 648,917 |
| | Florida State Board of Governors (University System Capital Improvements), Series A, 4.00% due 7/1/2021 - 7/1/2022 | 8,600,000 | 8,821,298 |
| | Fort Myers Utility System Revenue, | | |
| | 5.00% due 10/1/2023 | 990,000 | 1,013,384 |
| | 5.00% due 10/1/2023 (pre-refunded 10/1/2021) | 2,370,000 | 2,425,695 |
| | Hillsborough County (Court Facilities), Series B, 5.00% due 11/1/2021 | 4,880,000 | 5,018,202 |
| | Hillsborough County (Jail and Storm Water Projects), Series A, 5.00% due 11/1/2021 - 11/1/2022 | 5,305,000 | 5,593,422 |
| | Hillsborough County School Board (Master Lease Program) COP, 5.00% due 7/1/2027 - 7/1/2029 | 15,410,000 | 19,272,889 |
| | JEA Electric System, Series A, 5.00% due 10/1/2024 (pre-refunded 10/1/2023) | 1,200,000 | 1,339,872 |
| | JEA Electric System ETM, Series A, 5.00% due 10/1/2023 | 1,395,000 | 1,560,991 |
| | Lee County School Board (School Facilities Improvements) COP, 5.00% due 8/1/2023 - 8/1/2024 | 3,000,000 | 3,406,950 |
| | Manatee County (County Capital Projects), 5.00% due 10/1/2021 | 2,775,000 | 2,841,378 |
| | Manatee County (Public Utilities Improvements), 5.00% due 10/1/2024 - 10/1/2025 | 970,000 | 1,129,466 |
| | Manatee County School District (School Facilities Improvements; Insured: AGM), 5.00% due 10/1/2025 - 10/1/2027 | 2,900,000 | 3,499,855 |
| | Marion County School Board (Insured: BAM) COP, Series B, 5.00% due 6/1/2021 - 6/1/2024 | 5,570,000 | 6,028,785 |
| | Miami Beach GO, | | |
| | 4.00% due 9/1/2021 | 1,015,000 | 1,030,915 |
| | 5.00% due 9/1/2022 | 1,000,000 | 1,019,690 |
| | Miami-Dade County (Miami International Airport), Series B, 5.00% due 10/1/2025 | 2,500,000 | 2,895,250 |
| | Miami-Dade County (Transit System), 5.00% due 7/1/2023 - 7/1/2025 | 10,215,000 | 11,843,148 |
| | Miami-Dade County Aviation Revenue, Series A, 5.00% due 10/1/2025 - 10/1/2031 | 3,000,000 | 3,818,120 |
| | Miami-Dade County Expressway Authority (Toll System), Series B, 5.00% due 7/1/2024 - 7/1/2025 | 4,000,000 | 4,560,040 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 27 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Miami-Dade County School Board (Educational Facilities Improvements) COP, | | |
| | Series A, | | |
| | 5.00% due 5/1/2022 - 5/1/2024 | $ 15,535,000 | $ 17,228,754 |
| b | 5.00% due 5/1/2031 (put 5/1/2024) | 2,550,000 | 2,905,342 |
| | Series C, 5.00% due 5/1/2025 | 15,000,000 | 17,628,600 |
| | Orange County (Orlando Health, Inc.; Insured: Natl-Re) HFA ETM, Series C, 6.25% due 10/1/2021 | 420,000 | 432,613 |
| | Orange County School Board (Educational Facilities) COP, Series D, 5.00% due 8/1/2021 - 8/1/2025 | 8,100,000 | 8,851,354 |
| | Orange County School Board COP, 5.00% due 8/1/2027 | 610,000 | 764,458 |
| | Orange County Water Utility System Revenue, 5.00% due 10/1/2026 | 1,400,000 | 1,735,062 |
| | Palm Beach County (Baptist Health South Florida Obligated Group) HFA, 5.00% due 8/15/2024 - 8/15/2027 | 1,360,000 | 1,627,782 |
| | Palm Beach County School Board (Educational Facilities) COP, | | |
| | Series B, 5.00% due 8/1/2022 - 8/1/2024 | 10,095,000 | 11,347,580 |
| | Series C, | | |
| | 4.00% due 8/1/2021 | 3,835,000 | 3,883,206 |
| | 5.00% due 8/1/2022 | 1,810,000 | 1,925,568 |
| | Palm Beach County School District COP, | | |
| | Series C, 5.00% due 8/1/2021 - 8/1/2026 | 10,130,000 | 11,403,867 |
| | Series D, 5.00% due 8/1/2030 | 1,050,000 | 1,240,964 |
| | Polk County (Water and Wastewater Utility Systems), 5.00% due 10/1/2023 | 1,420,000 | 1,520,919 |
| | Polk County (Water and Wastewater Utility Systems; Insured: AGM), 3.00% due 10/1/2021 | 3,125,000 | 3,168,562 |
| | Reedy Creek Improvement District (Buena Vista Drive Corridor Improvements) GO, Series A, 5.00% due 6/1/2023 | 1,940,000 | 2,133,496 |
| | Reedy Creek Improvement District (Walt Disney World Resort Complex Utility Systems), Series 1, 5.00% due 10/1/2021 - 10/1/2023 | 2,575,000 | 2,727,296 |
| | Reedy Creek Improvement District (Walt Disney World Resort Complex Utility Systems) GO, Series A, 5.00% due 6/1/2021 - 6/1/2025 | 4,210,000 | 4,773,410 |
| | South Florida Water Management District (Everglades Restoration Plan) COP, 5.00% due 10/1/2021 - 10/1/2022 | 3,750,000 | 3,936,632 |
| | St. Johns County School Board COP, | | |
| | Series A, | | |
| | 5.00% due 7/1/2023 - 7/1/2029 | 7,665,000 | 9,553,399 |
| a | 5.00% due 7/1/2024 | 350,000 | 401,898 |
| | State of Florida GO, | | |
| | 4.00% due 7/1/2030 | 6,460,000 | 6,519,432 |
| | Series C, 5.00% due 6/1/2025 | 1,845,000 | 2,192,543 |
| | Sunshine State Governmental Financing Commission (Miami-Dade County Program), Series B-1, 5.00% due 9/1/2021 - 9/1/2024 | 7,275,000 | 7,876,064 |
| | Sunshine State Governmental Financing Commission (Miami-Dade County Program; Insured: AGM), Series A, 5.00% due 9/1/2021 | 5,000,000 | 5,100,000 |
| | Volusia County Educational Facilities Authority (Embry-Riddle Aeronautical University, Inc.), Series B, 5.00% due 10/15/2023 - 10/15/2025 | 1,750,000 | 1,998,634 |
| | Volusia County School Board, 5.00% due 10/1/2029 | 510,000 | 617,610 |
| | Volusia County School Board (University High School, River Springs Middle School) COP, Series B, 5.00% due 8/1/2024 | 1,000,000 | 1,147,930 |
| | Georgia — 1.8% | | |
| | Athens-Clarke County Unified Government Development Authority (UGAREF Central Precinct, LLC), 5.00% due 6/15/2022 - 6/15/2023 | 1,270,000 | 1,365,806 |
| | City of Atlanta, Series A, 5.00% due 7/1/2027 - 7/1/2030 | 5,100,000 | 6,576,796 |
| | City of Atlanta (Airport Passenger Facility), | | |
| | 5.00% due 1/1/2024 - 1/1/2025 | 3,850,000 | 4,339,605 |
| | Series B, 5.00% due 1/1/2023 - 1/1/2025 | 2,645,000 | 2,938,267 |
| | City of Atlanta (Atlantic Station Project), 5.00% due 12/1/2022 - 12/1/2024 | 3,290,000 | 3,638,708 |
| | City of Atlanta (Water & Wastewater System), 5.00% due 11/1/2021 - 11/1/2025 | 6,630,000 | 7,267,166 |
| | Development Authority of Fulton County (Georgia Tech Athletic Assoc.) ETM, 5.00% due 10/1/2022 | 4,420,000 | 4,731,301 |
| | Georgia State Road & Tollway Authority, 5.00% due 6/1/2025 - 6/1/2031 | 9,545,000 | 12,262,729 |
| | Main Street Natural Gas, Inc., Series A, 5.00% due 5/15/2023 - 5/15/2029 | 14,265,000 | 17,219,454 |
| | Municipal Electric Authority of Georgia, | | |
| | 4.00% due 11/1/2023 - 11/1/2025 | 3,850,000 | 4,286,600 |
| | 5.00% due 1/1/2026 - 1/1/2031 | 8,450,000 | 10,667,539 |
| a | 5.00% due 11/1/2027 | 600,000 | 751,368 |
| | Series A, 5.00% due 1/1/2026 - 1/1/2030 | 6,300,000 | 7,773,107 |
| b | Private Colleges & Universities Authority (Emory University), Series B, 0.47% (MUNIPSA + 0.42%) due 10/1/2039 (put 8/16/2022) | 18,400,000 | 18,243,784 |
| | Savannah (International Paper Co.) EDA, 1.90% due 8/1/2024 | 4,000,000 | 4,159,600 |
| | Guam — 0.4% | | |
| | Government of Guam (Various Capital Projects), Series D, 5.00% due 11/15/2021 - 11/15/2024 | 9,670,000 | 10,430,134 |
| | Guam Government, Series A, 5.00% due 1/1/2025 | 305,000 | 312,643 |
| | Guam Government Waterworks Authority (Water & Wastewater System Improvements), 5.25% due 7/1/2022 - 7/1/2023 | 1,695,000 | 1,812,671 |
| | Guam Power Authority (Electric Power System), Series A, 5.00% due 10/1/2023 - 10/1/2026 | 4,330,000 | 4,902,379 |
| | Guam Power Authority (Electric Power System; Insured: AGM), Series A, 5.00% due 10/1/2022 | 6,340,000 | 6,721,541 |
| | Hawaii — 0.6% | | |
| | City and County of Honolulu (Capital Improvements) GO, Series B, 5.00% due 11/1/2021 - 11/1/2022 | 9,465,000 | 10,050,482 |
| | City and County of Honolulu (Capital Improvements) GO ETM, Series A, 5.00% due 11/1/2022 | 1,750,000 | 1,881,460 |
28 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | County of Hawaii (Capital Improvements) GO, | | |
| | Series A, 5.00% due 9/1/2023 | $ 800,000 | $ 890,232 |
| | Series B, 5.00% due 9/1/2023 | 1,500,000 | 1,669,185 |
| | Series C, 5.00% due 9/1/2021 - 9/1/2026 | 5,250,000 | 5,791,802 |
| | Series D, 5.00% due 9/1/2023 - 9/1/2026 | 3,085,000 | 3,636,495 |
| | Series E, | | |
| | 5.00% due 9/1/2021 - 9/1/2026 | 3,665,000 | 3,925,516 |
| a | 5.00% due 9/1/2022 | 1,000,000 | 1,067,150 |
| | Honolulu City & County Board of Water Supply, Series A, 5.00% due 7/1/2024 (pre-refunded 7/1/2022) | 1,000,000 | 1,060,210 |
| | State of Hawaii (Hawaiian Home Lands Settlement) GO, | | |
| | Series DZ, 5.00% due 12/1/2022 (pre-refunded 12/1/2021) | 4,000,000 | 4,128,280 |
| | Series EA, 5.00% due 12/1/2021 | 3,000,000 | 3,095,760 |
| | Idaho — 0.1% | | |
| | Idaho (Trinity Health Credit Group) HFA, Series D, 5.00% due 12/1/2022 - 12/1/2024 | 4,350,000 | 4,886,947 |
| | Illinois — 5.4% | | |
| | Chicago Midway International Airport, Series B, 5.00% due 1/1/2022 - 1/1/2024 | 3,700,000 | 3,981,429 |
| | Chicago O’Hare International Airport (2016 Airport Projects), Series C, 5.00% due 1/1/2027 | 1,750,000 | 2,096,150 |
| | Chicago Park District (Capital Improvement Plan) GO, | | |
| | Series A, 5.00% due 1/1/2024 - 1/1/2025 | 1,915,000 | 2,132,222 |
| | Series B, 5.00% due 1/1/2022 - 1/1/2024 | 4,430,000 | 4,720,301 |
| | Series C, 5.00% due 1/1/2022 - 1/1/2023 | 5,155,000 | 5,428,718 |
| | Series D, 5.00% due 1/1/2023 - 1/1/2024 | 3,435,000 | 3,730,132 |
| | Chicago Park District GO, Series D, 5.00% due 1/1/2024 | 1,060,000 | 1,169,625 |
| | Chicago School Reform Board of Trustees of the Board of Education (School District Capital Improvement Program; Insured: Natl-Re) GO, Series A, 5.25% due 12/1/2021 | 1,500,000 | 1,528,230 |
| | City of Chicago (Chicago Midway Airport), Series B, 5.00% due 1/1/2023 - 1/1/2024 | 22,275,000 | 23,931,783 |
| | City of Chicago (Riverwalk Expansion Project; Insured: AGM), 5.00% due 1/1/2023 | 1,000,000 | 1,042,870 |
| | City of Chicago (Wastewater Transmission System), Series C, 5.00% due 1/1/2022 - 1/1/2025 | 15,750,000 | 17,533,232 |
| | City of Chicago (Water System), | | |
| | Series 2017-2, 5.00% due 11/1/2021 - 11/1/2024 | 2,650,000 | 2,893,111 |
| | Series A, 5.00% due 11/1/2027 | 6,250,000 | 7,570,062 |
| | Series A-1, 5.00% due 11/1/2024 | 4,000,000 | 4,586,560 |
| | City of Chicago (Water System; Insured: AGM), Series 2017-2, 5.00% due 11/1/2028 | 2,000,000 | 2,528,460 |
| | City of Waukegan (Lakehurst Redevelopment Project; Insured: AGM) GO, Series A, 5.00% due 12/30/2021 - 12/30/2022 | 3,100,000 | 3,246,133 |
| | Community College District No. 503 (Black Hawk College; Insured: AGM) GO, 5.00% due 12/1/2021 - 12/1/2024 | 10,935,000 | 12,036,701 |
| | Community College District No. 516 (Waubonsee Community College) GO, Series A, 5.00% due 12/15/2021 | 6,175,000 | 6,372,909 |
| | Community Unit School District No. 5 (Insured: BAM) GO, 5.00% due 4/15/2024 - 4/15/2026 | 1,650,000 | 1,939,656 |
| | Cook County Community College District No. 508 (City Colleges of Chicago) GO, | | |
| | 5.00% due 12/1/2021 - 12/1/2024 | 6,800,000 | 7,303,420 |
| | 5.25% due 12/1/2025 - 12/1/2026 | 3,365,000 | 3,690,043 |
| | Cook County School District No 87 Berkeley (Insured: AGM) GO, 5.00% due 12/1/2029 | 500,000 | 652,215 |
| | Cook County School District No.170 (Insured: AGM) GO, Series D, 5.00% due 12/1/2024 | 1,190,000 | 1,377,818 |
| | County of Cook (Capital Improvement Plan) GO, | | |
| | Series A, 5.00% due 11/15/2021 | 5,000,000 | 5,148,700 |
| | Series C, | | |
| | 4.00% due 11/15/2021 - 11/15/2022 | 3,000,000 | 3,108,120 |
| | 5.00% due 11/15/2021 - 11/15/2022 | 3,605,000 | 3,782,968 |
| | County of Cook Sales Tax Revenue, 5.00% due 11/15/2028 | 2,250,000 | 2,838,780 |
| | Forest Preserve District of Cook County GO, Series A, 5.00% due 11/15/2021 | 1,500,000 | 1,540,710 |
| | Forest Preserve District of DuPage County GO, 5.00% due 11/1/2021 - 11/1/2024 | 8,955,000 | 10,063,376 |
| | Illinois Finance Authority (Advocate Health Care), 5.00% due 8/1/2023 - 8/1/2024 | 1,365,000 | 1,545,521 |
| | Illinois Finance Authority (NorthShore University HealthSystem Obligated Group), | | |
| | 5.00% due 8/15/2031 | 2,000,000 | 2,631,020 |
| | Series A, 5.00% due 8/15/2023 - 8/15/2030 | 5,990,000 | 7,648,853 |
| | Illinois Finance Authority (Rush University Medical Center), Series A, 5.00% due 11/15/2021 - 11/15/2025 | 2,770,000 | 3,174,476 |
| | Illinois Finance Authority (Trinity Health), Series L, 4.00% due 12/1/2021 | 1,265,000 | 1,296,562 |
| | Illinois State Toll Highway Authority, | | |
| | 5.00% due 1/1/2025 | 2,000,000 | 2,330,120 |
| | Series D, 5.00% due 1/1/2023 - 1/1/2024 | 10,500,000 | 11,647,140 |
| | Kane McHenry Cook & DeKalb Counties Unit School District No. 300 (Insured: AMBAC) GO, Zero Coupon due 12/1/2021 | 1,235,000 | 1,231,666 |
| | Kane McHenry Cook & DeKalb Counties Unit School District No. 300 (Insured: AMBAC) GO ETM, Zero Coupon due 12/1/2021 | 765,000 | 763,516 |
| | Kane McHenry Cook & DeKalb Counties Unit School District No. 300 GO, 5.00% due 1/1/2024 | 7,150,000 | 8,019,940 |
| | Knox & Warren Counties Community Unit School District No 205 Galesburg GO, | | |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 29 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Series B, | | |
| | 4.00% due 12/1/2021 - 12/1/2024 | $ 4,625,000 | $ 4,977,239 |
| | 5.00% due 12/1/2025 - 12/1/2029 | 7,400,000 | 9,131,444 |
| | McHenry County Conservation District GO, 5.00% due 2/1/2025 | 2,000,000 | 2,323,480 |
| | Metropolitan Water Reclamation District of Greater Chicago (Green Bond), GO, Series E, 5.00% due 12/1/2025 | 1,000,000 | 1,193,990 |
| | Peoria Metropolitan Airport Authority GO, Series D, 5.00% due 12/1/2027 | 1,000,000 | 1,216,160 |
| | Sales Tax Securitization Corp., | | |
| | 5.00% due 1/1/2028 | 3,655,000 | 4,497,185 |
| | Series A, 5.00% due 1/1/2029 | 2,790,000 | 3,425,395 |
| | State of Illinois, Series B, 5.00% due 6/15/2026 - 6/15/2029 | 20,000,000 | 23,778,850 |
| | State of Illinois (Insured: BAM-Natl-Re), Series 1, 6.00% due 6/15/2026 | 235,000 | 291,865 |
| | State of Illinois (State Facilities Improvements) GO, | | |
| | 5.00% due 7/1/2021 | 1,735,000 | 1,753,773 |
| | Series D, 5.00% due 11/1/2021 - 11/1/2024 | 6,150,000 | 6,688,274 |
| | State of Illinois GO, | | |
| | 5.50% due 5/1/2024 - 5/1/2030 | 2,350,000 | 2,774,669 |
| | Series A, 5.00% due 12/1/2021 | 4,500,000 | 4,629,240 |
| | Series D, 5.00% due 11/1/2023 - 11/1/2028 | 36,240,000 | 42,282,125 |
| | Village of Tinley Park GO, 4.00% due 12/1/2022 | 625,000 | 663,719 |
| | Will & Kendall Counties Plainfield Community Consolidated School District 202 (Capital Improvements; Insured: BAM) GO, Series A, 5.00% due 1/1/2023 - 1/1/2025 | 21,125,000 | 23,717,697 |
| | Indiana — 1.0% | | |
| | Avon Community School Building Corp (Educational Facilities; Insured: State Intercept), 5.00% due 7/15/2021 - 7/15/2027 | 6,730,000 | 7,508,864 |
| | City of Carmel Redevelopment Authority (Road and Intersection Improvements), 5.00% due 8/1/2021 - 8/1/2022 | 3,725,000 | 3,874,908 |
| | City of Indianapolis Department of Public Utilities Gas Utility Revenue, Series A, 5.00% due 8/15/2021 - 8/15/2022 | 1,100,000 | 1,167,591 |
| | Duneland School Building Corp. (State Aid Withholding), Zero Coupon due 8/1/2021 | 3,270,000 | 3,268,659 |
| | Hamilton Southeastern Consolidated School Building Corp. (Educational Facilities; Insured: State Intercept), Series D, 5.00% due 7/15/2021 - 1/15/2024 | 3,210,000 | 3,406,200 |
| | Indiana Bond Bank (Columbus Learning Center), 5.00% due 8/1/2021 | 660,000 | 670,468 |
| | Indiana Finance Authority (Community Health Network), Series A, 5.00% due 5/1/2021 - 5/1/2022 | 3,480,000 | 3,551,306 |
| | Indiana Finance Authority (CWA Authority, Inc. Wastewater System Project), Series A, 5.00% due 10/1/2021 - 10/1/2024 | 2,000,000 | 2,212,450 |
| | Indiana Finance Authority (Indiana University Health, Inc. Obligated Group), | | |
| b | Series L, 0.33% (MUNIPSA + 0.28%) due 12/1/2046 (put 7/2/2021) | 8,700,000 | 8,705,116 |
| b | Series M, 0.33% (MUNIPSA + 0.28%) due 12/1/2046 (put 7/2/2021) | 6,000,000 | 6,003,528 |
| | Indiana Finance Authority (Marian University Health Sciences) ETM, 5.00% due 9/15/2021 | 2,320,000 | 2,370,298 |
| | Indiana Finance Authority (Parkview Health System), 5.00% due 5/1/2022 | 1,135,000 | 1,193,698 |
| | Indiana Municipal Power Agency (Power Supply System), Series A, 5.00% due 1/1/2026 - 1/1/2028 | 4,235,000 | 5,177,838 |
| | Lake Central Multi-District School Building Corp. (Educational Facilities) (State Aid Withholding), | | |
| | Series B, | | |
| | 4.00% due 1/15/2022 | 1,455,000 | 1,497,835 |
| | 5.00% due 7/15/2021 - 7/15/2022 | 2,250,000 | 2,327,403 |
| | Perry Township Multischool Building Corp. (Educational Facilities) (State Aid Withholding), 5.00% due 7/10/2021 | 1,000,000 | 1,012,690 |
| | Southwest Allen Multi School Building Corp. ((Metropolitan School District of Southwest Allen County; Insured: State Intercept), 5.00% due 1/15/2029 - 7/15/2029 | 4,070,000 | 5,155,553 |
| | Iowa — 0.2% | | |
| | Des Moines Independent Community School District (School Infrastructure; Insured: AGM), 4.00% due 6/1/2021 - 6/1/2022 | 6,265,000 | 6,282,917 |
| | Iowa Finance Authority (Genesis Health System), 5.00% due 7/1/2022 - 7/1/2024 | 6,085,000 | 6,638,104 |
| | Kansas — 0.9% | | |
| | Kansas (National Bio and Agro-Defense Facility) DFA, Series G, 5.00% due 4/1/2021 - 4/1/2025 | 32,470,000 | 34,895,527 |
| | Kansas DFA, Series SRF, 5.00% due 5/1/2026 | 765,000 | 931,969 |
| | Seward County No. 480 USD GO, | | |
| | Series B, | | |
| | 5.00% due 9/1/2024 - 9/1/2026 | 4,020,000 | 4,768,166 |
| a | 5.00% due 9/1/2027 (pre-refunded 9/1/2025) | 2,100,000 | 2,506,287 |
| | Unified Government of Wyandotte County/Kansas City (Utility Systems Improvement), | | |
| | Series A, | | |
| | 5.00% due 9/1/2022 - 9/1/2023 | 3,000,000 | 3,229,450 |
| a | 5.00% due 9/1/2024 | 600,000 | 685,434 |
| | Wyandotte County No. 500 (General Improvement) USD GO, Series A, 5.00% due 9/1/2025 - 9/1/2026 | 5,675,000 | 6,791,171 |
| | Kentucky — 2.1% | | |
| | Kentucky Economic (Norton Healthcare, Inc.; Insured: Natl-Re) DFA, Series B, Zero Coupon due 10/1/2021 - 10/1/2023 | 7,080,000 | 6,986,700 |
| b | Kentucky Public Energy Authority, Series A, 4.00% due 4/1/2048 (put 4/1/2024) | 77,915,000 | 85,412,760 |
30 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Kentucky State Property & Building Commission (Kentucky Finance and Administration Cabinet; Insured BAM), 5.00% due 4/1/2031 | $ 11,760,000 | $ 14,422,111 |
| a | Kentucky State Property & Building Commission (Project No. 112), Series B, 5.00% due 11/1/2021 | 1,050,000 | 1,078,560 |
| | Lexington-Fayette Urban County Government Public Facilities Corp. (Eastern State Hospital), Series A, 5.00% due 6/1/2022 | 6,165,000 | 6,209,820 |
| | Louisville/Jefferson County Metropolitan Government (Norton Healthcare, Inc.), 5.00% due 10/1/2026 | 3,000,000 | 3,679,770 |
| | Turnpike Authority of Kentucky (Revitalization Projects), Series B, 5.00% due 7/1/2025 - 7/1/2026 | 5,615,000 | 6,729,303 |
| | Louisiana — 2.6% | | |
| | City of Bossier (Public Improvements; Insured: AGM), Series ST-2010, 4.50% due 12/1/2021 | 2,240,000 | 2,300,502 |
| | City of New Orleans (Public Improvements) GO, 5.00% due 12/1/2021 | 1,200,000 | 1,236,912 |
| | City of New Orleans (Public Improvements; Insured: AGM) GO, 5.00% due 12/1/2021 | 5,700,000 | 5,875,332 |
| | City of Shreveport (Water and Sewer System; Insured: BAM), Series A, 5.00% due 12/1/2022 - 12/1/2024 | 15,195,000 | 16,944,525 |
| | City of Shreveport (Water and Sewer System; Insured: BAM) ETM, Series A, 5.00% due 12/1/2021 | 8,185,000 | 8,446,429 |
| | Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge (Insured: AGM), 5.00% due 8/1/2027 - 8/1/2030 | 4,750,000 | 6,037,721 |
| | East Baton Rouge Sewerage Commission (Wastewater System Improvements), | | |
| | Series A, 5.00% due 2/1/2028 - 2/1/2030 | 2,400,000 | 3,075,084 |
| | Series B, 5.00% due 2/1/2023 - 2/1/2025 | 2,150,000 | 2,435,945 |
| | Ernest N. Morial - New Orleans Exhibition Hall Authority (Convention Center), 5.00% due 7/15/2021 - 7/15/2023 | 2,780,000 | 2,904,855 |
| | Jefferson Sales Tax District (Insured: AGM), | | |
| | Series A, 5.00% due 12/1/2023 - 12/1/2027 | 4,700,000 | 5,572,380 |
| | Series B, 5.00% due 12/1/2027 - 12/1/2028 | 4,690,000 | 5,835,795 |
| | Louisiana Energy & Power Authority (LEPA Unit No. 1 Power; Insured: AGM), Series A, 5.00% due 6/1/2022 - 6/1/2023 | 1,750,000 | 1,878,347 |
| | Louisiana Energy & Power Authority (Rodemacher Unit No. 2 Power), 5.00% due 1/1/2023 | 1,740,000 | 1,857,989 |
| | Louisiana Local Govt Environmental Facilities & Community Development Authority (LCTCS Act 391 Project; Insured: BAM), 5.00% due 10/1/2022 - 10/1/2027 | 15,565,000 | 18,278,509 |
| | Louisiana Local Govt Environmental Facilities & Community Development Authority (Louisiana Community & Technical College System), 5.00% due 10/1/2025 - 10/1/2027 | 2,960,000 | 3,587,092 |
| | Louisiana Office Facilities Corp. (Louisiana Division of Administration), 5.00% due 11/1/2022 | 1,455,000 | 1,562,452 |
| | Louisiana Offshore Terminal Authority (Loop, INC), | | |
| b | Series A, 1.65% due 9/1/2033 (put 12/1/2023) | 5,000,000 | 5,115,550 |
| b | Series C, 1.65% due 9/1/2034 (put 12/1/2023) | 5,000,000 | 5,115,550 |
| b | Louisiana Offshore Terminal Authority (Loop, Inc.), 1.65% due 9/1/2027 (put 12/1/2023) | 6,150,000 | 6,292,126 |
| | Louisiana Public Facilities Authority (Hurricane Recovery Program), 5.00% due 6/1/2022 - 6/1/2023 | 7,945,000 | 8,599,695 |
| b | Louisiana Public Facilities Authority (Ochsner Clinic Foundation Obligated Group), Series B, 5.00% due 5/15/2050 (put 5/15/2025) | 3,500,000 | 4,085,375 |
| | Louisiana State Office Facilities Corp. (State Capitol), Series A, 5.00% due 5/1/2021 | 4,595,000 | 4,610,853 |
| | Parish of LaFourche (Roads, Highways & Bridges), 5.00% due 1/1/2022 - 1/1/2023 | 930,000 | 982,068 |
| b | Parish of St. Charles (Valero Energy Corp. Refinery), 4.00% due 12/1/2040 (put 6/1/2022) | 19,125,000 | 19,903,196 |
| | Shreveport Water & Sewer Revenue (Insured: BAM), Series C, 5.00% due 12/1/2024 - 12/1/2026 | 2,420,000 | 2,832,927 |
| | State of Louisiana GO, Series C, 5.00% due 8/1/2021 | 11,175,000 | 11,349,442 |
| | Maine — 0.1% | | |
| | Maine Governmental Facilities Authority (Augusta & Machias Courthouses), Series A, 5.00% due 10/1/2021 - 10/1/2023 | 3,935,000 | 4,223,625 |
| | Maryland — 1.1% | | |
| | County of Charles GO, 5.00% due 10/1/2031 | 2,150,000 | 2,807,620 |
| | Maryland (Public Health Laboratory) EDC, | | |
| | 4.00% due 6/1/2022 | 8,245,000 | 8,295,459 |
| | 5.00% due 6/1/2021 | 8,725,000 | 8,792,008 |
| | Maryland Health & Higher Educational Facilities Authority (UPMC Obligated Group), | | |
| | Series B, | | |
| | 5.00% due 4/15/2025 - 4/15/2030 | 5,075,000 | 6,347,141 |
| a | 5.00% due 4/15/2027 | 1,930,000 | 2,402,464 |
| | Montgomery County GO, Series C, 5.00% due 10/1/2025 | 1,250,000 | 1,501,275 |
| | Prince County George’s GO, Series A, 5.00% due 9/15/2026 | 6,110,000 | 7,543,956 |
| | State of Maryland Department of Transportation, 5.00% due 10/1/2029 | 6,850,000 | 9,008,983 |
| | State of Maryland GO, | | |
| | Series A, 5.00% due 3/1/2031 | 5,000,000 | 6,794,900 |
| | Series B, 5.00% due 8/1/2024 | 6,955,000 | 8,025,166 |
| | Washington Suburban Sanitary Commission, 5.00% due 6/1/2030 | 3,000,000 | 3,933,210 |
| | Massachusetts — 1.2% | | |
| | Commonwealth of Massachusetts GO, Series G, 5.00% due 9/1/2029 | 5,000,000 | 6,618,550 |
| | Massachusetts (Insured: BHAC-CR FGIC), 5.50% due 1/1/2029 | 8,300,000 | 10,934,420 |
| | Massachusetts Development Finance Agency (Beth Israel Lahey Health Obligated Group), 5.00% due 7/1/2027 - 7/1/2028 | 2,000,000 | 2,523,860 |
| | Massachusetts Development Finance Agency (CareGroup Healthcare System), Series I, 5.00% due 7/1/2023 - 7/1/2026 | 11,020,000 | 12,833,206 |
| | Massachusetts Development Finance Agency (CareGroup Obligated Group), Series I, 5.00% due 7/1/2027 | 450,000 | 547,389 |
| | Massachusetts Development Finance Agency (Mount Auburn Hospital Health Records System), Series H-1, 5.00% due 7/1/2022 - 7/1/2025 | 15,415,000 | 17,350,426 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 31 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Massachusetts Development Finance Agency (Simmons College), Series J, 5.25% due 10/1/2023 | $ 595,000 | $ 661,920 |
| | Massachusetts School Building Authority, Series C, 5.00% due 8/15/2029 | 2,440,000 | 2,904,015 |
| b | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.00% due 1/1/2039 (put 1/1/2023) | 3,630,000 | 3,934,593 |
| | University of Massachusetts Building Authority (University of Massachusetts), Series 2021-1, 5.00% due 11/1/2026 - 11/1/2031 | 9,500,000 | 12,151,140 |
| | Michigan — 2.5% | | |
| | Board of Governors of Wayne State University (Educational Facilities and Equipment), Series A, 5.00% due 11/15/2022 - 11/15/2025 | 1,870,000 | 2,124,337 |
| | County of Genesee (Water Supply System; Insured: BAM) GO, 5.00% due 11/1/2022 | 600,000 | 643,518 |
| | County of Livingston (Howell Public Schools; Insured: Q-SBLF) GO, 4.00% due 5/1/2021 | 1,000,000 | 1,002,780 |
| | Livonia Public Schools School District (School Building & Site) GO, Series I, 5.00% due 5/1/2021 | 900,000 | 902,952 |
| | Michigan Finance Authority ((McLaren Health Care Corp. Obligated Group), 5.00% due 2/15/2029 | 1,000,000 | 1,287,950 |
| | Michigan Finance Authority (Beaumont Health Credit Group), 5.00% due 8/1/2023 - 8/1/2025 | 18,800,000 | 21,405,120 |
| | Michigan Finance Authority (Henry Ford Health System), 5.00% due 11/15/2027 | 1,000,000 | 1,226,800 |
| | Michigan Finance Authority (LOC JP Morgan Chase Bank, N.A.) (State Aid Withholding), Series A-2, 4.00% due 8/20/2021 | 7,000,000 | 7,101,640 |
| | Michigan Finance Authority (McLaren Health Care Corp. Obligated Group), 5.00% due 2/15/2028 | 1,000,000 | 1,264,090 |
| | Michigan Finance Authority (Trinity Health Credit Group), 5.00% due 12/1/2022 - 12/1/2028 | 10,500,000 | 12,342,860 |
| | Michigan State Building Authority, Series I, 5.00% due 10/15/2030 | 2,500,000 | 3,350,425 |
| | Michigan State Building Authority (Facilities Program), Series I, 5.00% due 4/15/2023 - 4/15/2026 | 1,865,000 | 2,138,096 |
| | Michigan Strategic Fund (Detroit Edison Company; Insured: AMBAC), 7.00% due 5/1/2021 | 4,115,000 | 4,135,122 |
| | Royal Oak Hospital Finance Authority (William Beaumont Hospital), 5.00% due 9/1/2021 - 9/1/2024 | 5,740,000 | 6,184,832 |
| | School District of the City of Dearborn (Insured: Q-SBLF) (State Aid Withholding) GO, 4.00% due 5/1/2021 - 5/1/2023 | 1,730,000 | 1,802,142 |
| | School District of the City of Detroit (Wayne County School Building & Site; Insured: Q-SBLF) GO, Series A, 5.00% due 5/1/2021 - 5/1/2022 | 7,000,000 | 7,168,350 |
| | St. Johns Public Schools (Insured: Natl-Re/Q-SBLF) GO, 5.00% due 5/1/2021 | 330,000 | 331,155 |
| | State Building Authority of the State of Michigan (Higher Education Facilities Program), Series I-A, 5.00% due 10/15/2021 - 10/15/2023 | 11,715,000 | 12,888,566 |
| | State of Michigan Trunk Line Revenue, Series B, 5.00% due 11/15/2028 - 11/15/2030 | 32,500,000 | 42,961,450 |
| | Warren Consolidated School District (Insured: Q-SBLF) GO, 5.00% due 5/1/2021 | 1,000,000 | 1,003,500 |
| | Wayne State University, Series A, 5.00% due 11/15/2023 - 11/15/2026 | 12,640,000 | 14,908,472 |
| | Minnesota — 0.2% | | |
| | Le Sueur-Henderson No. 2397 (Minnesota School District Credit Enhancement Program) (State Aid Withholding) ISD GO, 3.00% due 4/1/2021 | 1,125,000 | 1,125,000 |
| | Minnesota Higher Education Facilities Authority, 5.00% due 10/1/2029 | 300,000 | 385,683 |
| | Minnesota Housing Finance Agency (Collateralized: GNMA, FNMA, FHLMC), | | |
| | Series F, | | |
| | 1.90% due 1/1/2029 | 270,000 | 277,868 |
| | 1.95% due 7/1/2029 | 640,000 | 660,269 |
| b | Minnesota Housing Finance Agency (Residential Single Family Development; Collateralized: GNMA, FNMA, FHLMC), 0.60% (MUNIPSA + 0.55%) due 7/1/2041 (put 12/12/2023) | 7,525,000 | 7,625,677 |
| | Port Authority of the City of St. Paul (Minnesota Andersen Office Building), | | |
| | Series 3, | | |
| a | 5.00% due 12/1/2021 | 965,000 | 995,909 |
| | 5.00% due 12/1/2022 | 1,250,000 | 1,349,762 |
| | St. Paul Housing and Redevelopment Authority (HealthPartners), 5.00% due 7/1/2023 - 7/1/2025 | 1,850,000 | 2,089,361 |
| | Mississippi — 0.1% | | |
| | Mississippi Development Bank (Jackson Public School District; Insured: BAM), 5.00% due 10/1/2024 - 10/1/2028 | 2,400,000 | 2,924,718 |
| | Mississippi Development Bank (MDOT-Harrison County Highway), Series A-GA, 5.00% due 1/1/2022 - 1/1/2023 | 2,500,000 | 2,661,580 |
| | Mississippi Development Bank (MDOT-Madison County Highway), 5.00% due 1/1/2022 - 1/1/2023 | 2,250,000 | 2,390,670 |
| | Missouri — 0.6% | | |
| | City of Excelsior Springs (Insured: BAM) COP, | | |
| | Series A, 4.00% due 9/1/2024 - 9/1/2028 | 1,860,000 | 2,163,694 |
| | Series B, 4.00% due 3/1/2025 - 3/1/2030 | 1,230,000 | 1,429,460 |
| | Jackson County (Parking Facility Projects), 4.00% due 12/1/2021 | 1,000,000 | 1,025,720 |
| | Kansas City Municipal Assistance Corp. (H. Roe Bartle Convention Center & Infrastructure Project; Insured: AMBAC), Series B-1, Zero Coupon due 4/15/2021 - 4/15/2022 | 15,095,000 | 15,084,316 |
| | Missouri Development Finance Board (City of Independence Electric System) ISD, | | |
| | Series F, | | |
| | 4.00% due 6/1/2021 | 2,465,000 | 2,478,631 |
| a | 4.00% due 6/1/2022 | 3,155,000 | 3,282,778 |
| | Platte County (Community & Resource Centers), 5.00% due 4/1/2021 | 2,440,000 | 2,440,000 |
| | Special Administrative Board of the Transitional School District of the City of St. Louis (State Aid Withholding) GO, 4.00% due 4/1/2021 - 4/1/2022 | 5,355,000 | 5,478,288 |
| | Nebraska — 1.2% | | |
| | Central Plains Energy Project, | | |
| b | 4.00% due 12/1/2049 (put 8/1/2025) | 8,500,000 | 9,669,685 |
| b | 5.00% due 3/1/2050 (put 1/1/2024) | 50,000,000 | 55,683,000 |
| | Douglas County Hospital Authority No. 3 (Nebraska Methodist Health System), 5.00% due 11/1/2022 - 11/1/2025 | 6,980,000 | 7,955,257 |
32 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Nevada — 3.7% | | |
| | Carson City (Carson Tahoe Regional Healthcare), 5.00% due 9/1/2023 - 9/1/2027 | $ 1,705,000 | $ 2,000,655 |
| | Carson City (Carson Tahoe Regional Healthcare) ETM, 5.00% due 9/1/2022 | 2,450,000 | 2,616,331 |
| | Clark County Department of Aviation, | | |
| | Series A, 5.00% due 7/1/2021 | 1,855,000 | 1,876,203 |
| | Series C, 5.00% due 7/1/2021 | 2,500,000 | 2,528,050 |
| | Clark County School District (Acquisition of Transportation & Technology Equipment) GO, | | |
| | Series C, 5.00% due 6/15/2022 | 2,560,000 | 2,702,848 |
| | Series D, 5.00% due 6/15/2021 - 6/15/2022 | 47,150,000 | 48,848,370 |
| | Series E, 5.00% due 6/15/2021 | 21,405,000 | 21,601,284 |
| | Clark County School District (Insured: BAM) GO, Series B, 5.00% due 6/15/2025 | 6,910,000 | 8,144,541 |
| | Clark County School District GO, Series A, 5.00% due 6/15/2023 | 4,000,000 | 4,407,760 |
| | County of Washoe (Reno-Sparks Convention & Visitors Authority) GO, 5.00% due 7/1/2021 - 7/1/2022 | 4,200,000 | 4,248,737 |
| c | County of Washoe GO, 5.00% due 7/1/2027 - 7/1/2031 | 15,220,000 | 20,085,349 |
| | Las Vegas Convention and Visitors Authority, Series C, 5.00% due 7/1/2023 - 7/1/2026 | 3,050,000 | 3,502,118 |
| | Las Vegas Valley Water District GO, | | |
| | Series A, 5.00% due 6/1/2023 - 6/1/2026 | 55,955,000 | 64,548,999 |
| | Series B, 5.00% due 12/1/2025 | 20,000,000 | 23,731,000 |
| | Series C, 5.00% due 6/1/2021 | 5,000,000 | 5,038,400 |
| | State of Nevada (Water Pollution Control Revolving Fund) GO, 5.00% due 8/1/2030 | 1,530,000 | 1,997,231 |
| | New Hampshire — 0.1% | | |
| | New Hampshire Municipal Bond Bank (Educational Facilities; Insured: State Intercept), Series C, 5.25% due 8/15/2022 | 2,770,000 | 2,962,598 |
| | New Jersey — 3.5% | | |
| | City of Jersey City (Qualified General Improvement; Insured: BAM) (State Aid Withholding) GO, | | |
| | Series A, | | |
| | 4.00% due 8/1/2021 | 2,805,000 | 2,837,482 |
| | 5.00% due 8/1/2022 - 8/1/2023 | 4,985,000 | 5,389,066 |
| | Essex County Improvement Authority (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re) GO, 5.50% due 10/1/2024 | 5,000,000 | 5,892,350 |
| | New Jersey (Insured: Natl-Re) EDA, Series K, 5.25% due 12/15/2021 | 1,000,000 | 1,034,400 |
| | New Jersey (New Jersey Transit Corporation) (State Aid Withholding) EDA, Series B, 5.00% due 11/1/2024 | 8,000,000 | 9,205,280 |
| | New Jersey (New Jersey Transit Corporation) EDA, | | |
| | 5.00% due 11/1/2029 | 40,000 | 50,377 |
| | Series B, 5.00% due 11/1/2023 | 2,500,000 | 2,788,850 |
| | New Jersey (School Facilities Construction) EDA, | | |
| | 5.00% due 3/1/2026 - 6/15/2029 | 5,600,000 | 6,741,685 |
| | Series UU, 5.00% due 6/15/2028 | 7,930,000 | 8,952,891 |
| | New Jersey (School Facilities Construction; Insured: Natl-Re) EDA, Series N-1, 5.50% due 9/1/2027 | 2,750,000 | 3,442,258 |
| | New Jersey (SELF DESIGNATED SOCIAL BONDS-S) EDA, Series S, 5.00% due 6/15/2030 - 6/15/2031 | 830,000 | 1,060,943 |
| | New Jersey (State of New Jersey Department of the Treasury) EDA, | | |
| | 5.00% due 6/15/2028 - 6/15/2031 | 5,240,000 | 6,553,784 |
| | Series BBB, | | |
| | 5.00% due 6/15/2021 | 2,000,000 | 2,018,640 |
| | 5.50% due 6/15/2029 | 1,000,000 | 1,231,330 |
| | New Jersey (Virtua Health Issue) HFFA, 5.00% due 7/1/2023 - 7/1/2024 | 1,535,000 | 1,716,307 |
| | New Jersey EDA, | | |
| | 5.00% due 3/1/2025 | 775,000 | 807,612 |
| | Series XX, 5.00% due 6/15/2026 | 1,140,000 | 1,329,593 |
| | New Jersey Transit Corp. (Urban Public Transportation Capital Improvement), Series A, 5.00% due 9/15/2021 | 3,395,000 | 3,467,381 |
| | New Jersey Transportation Trust Fund Authority, Series A, 5.00% due 12/15/2029 | 1,550,000 | 1,924,868 |
| | New Jersey Transportation Trust Fund Authority (State Transportation System Improvements), | | |
| | 5.00% due 6/15/2023 - 6/15/2028 | 10,515,000 | 12,016,079 |
| | Series A, 5.25% due 12/15/2022 | 2,000,000 | 2,165,100 |
| | Series A-1, | | |
| b | 1.25% (MUNIPSA + 1.20%) due 6/15/2034 (put 12/15/2021) | 8,250,000 | 8,316,247 |
| | 5.00% due 6/15/2025 - 6/15/2027 | 30,535,000 | 35,969,852 |
| | Series B, 5.00% due 6/15/2021 | 2,570,000 | 2,593,618 |
| | New Jersey Transportation Trust Fund Authority (State Transportation System Improvements; Insured: AMBAC), | | |
| | Series A, 5.25% due 12/15/2021 | 6,000,000 | 6,205,620 |
| | Series B, 5.25% due 12/15/2023 | 3,545,000 | 3,995,392 |
| | New Jersey Transportation Trust Fund Authority (Transportation System), | | |
| | 5.00% due 12/15/2026 - 12/15/2027 | 17,785,000 | 21,734,046 |
| | Series A, 5.00% due 6/15/2024 - 12/15/2025 | 5,015,000 | 5,885,452 |
| | Passaic Valley Sewer Commissioners (Sewer System), Series G, 5.75% due 12/1/2021 | 4,500,000 | 4,658,580 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 33 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | State of New Jersey (COVID-19 GO Emergency Bonds) GO, Series A, 5.00% due 6/1/2024 - 6/1/2025 | $ 2,500,000 | $ 2,923,000 |
| | State of New Jersey (COVID-19 GO Emergency Bonds-SE) GO, 5.00% due 6/1/2026 - 6/1/2029 | 21,000,000 | 26,351,925 |
| | Township of Moorestown GO, 2.50% due 7/30/2021 | 10,000,000 | 10,075,400 |
| | New Mexico — 1.1% | | |
| | Albuquerque Municipal School District No 12 (State Aid Witholding) GO, Series A, 5.00% due 8/1/2021 - 8/1/2026 | 2,550,000 | 2,802,059 |
| | Carlsbad Municipal School District (Educational Facilities) (State Aid Withholding) GO, 5.00% due 8/1/2023 | 1,650,000 | 1,832,820 |
| | City of Albuquerque (City Infrastructure Improvements) GO, Series A, 5.00% due 7/1/2023 | 1,360,000 | 1,504,786 |
| | City of Albuquerque GO, Series A, 5.00% due 7/1/2021 | 1,020,000 | 1,031,883 |
| | City of Farmington (Public Service Co. of New Mexico), | | |
| | Series B, | | |
| b | 1.875% due 4/1/2033 (put 10/1/2021) | 5,335,000 | 5,375,119 |
| b | 2.125% due 6/1/2040 (put 6/1/2022) | 3,500,000 | 3,570,665 |
| b | Series C, 1.15% due 6/1/2040 (put 6/1/2024) | 4,500,000 | 4,558,545 |
| b | Series D, 1.10% due 6/1/2040 (put 6/1/2023) | 7,000,000 | 7,096,950 |
| | City of Las Cruces GO, 5.00% due 8/1/2021 | 955,000 | 970,041 |
| | City of Santa Fe (El Castillo Retirement Residences), 4.50% due 5/15/2022 | 1,100,000 | 1,111,429 |
| a | New Mexico Educational Assistance Foundation (Student Loans), Series A-1, 5.00% due 12/1/2021 | 3,000,000 | 3,010,830 |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group), 5.00% due 8/1/2024 - 8/1/2025 | 1,780,000 | 2,072,733 |
| | New Mexico Mortgage Finance Authority (Collateralized: GNMA, FNMA, FHLMC), Series F, 3.50% due 7/1/2050 | 10,495,000 | 11,519,732 |
| | New Mexico Municipal Energy Acquisition Authority, | | |
| | Series A, | | |
| | 4.00% due 5/1/2021 - 11/1/2024 | 3,800,000 | 4,090,925 |
| b | 5.00% due 11/1/2039 (put 5/1/2025) | 4,600,000 | 5,379,930 |
| | New Mexico State University, Series B, 5.00% due 4/1/2021 - 4/1/2022 | 1,440,000 | 1,466,433 |
| | New Mexico State University (Insured: BAM), Series A, 5.00% due 4/1/2029 | 1,645,000 | 2,069,328 |
| | New Mexico State University ETM, Series B, 5.00% due 4/1/2021 - 4/1/2022 | 1,655,000 | 1,687,346 |
| | Rio Rancho Public School District No. 94 (State Aid Withholding) GO, Series A, 5.00% due 8/1/2026 | 1,085,000 | 1,328,062 |
| | Santa Fe County (County Buildings & Facilities) GRT, Series A, 5.00% due 6/1/2025 | 1,250,000 | 1,472,662 |
| | State of New Mexico Severance Tax Permanent Fund, Series A, 5.00% due 7/1/2026 | 600,000 | 734,910 |
| | New York — 6.1% | | |
| | City of New York (City Budget Financial Management) GO, | | |
| | Series D, 5.00% due 8/1/2022 | 3,000,000 | 3,188,880 |
| | Series G, 5.00% due 8/1/2021 - 8/1/2023 | 25,145,000 | 26,734,895 |
| | Series J, 5.00% due 8/1/2021 - 8/1/2024 | 40,480,000 | 45,015,448 |
| | Series K, 5.00% due 8/1/2021 - 8/1/2022 | 20,850,000 | 21,793,948 |
| | City of New York GO, Series D, 5.00% due 8/1/2021 | 2,020,000 | 2,051,371 |
| | City of New York GO ETM, Series D, 5.00% due 8/1/2021 | 980,000 | 995,102 |
| | County of Suffolk (Insured: AGM) GO, Series A, 5.00% due 2/1/2025 | 800,000 | 931,808 |
| | County of Suffolk (Insured: BAM) GO, Series D, 5.00% due 10/15/2025 | 750,000 | 890,190 |
| | County of Suffolk GO, Series I, 2.00% due 7/22/2021 | 5,000,000 | 5,018,850 |
| | Long Island Power Authority, Series A, 5.00% due 9/1/2026 - 9/1/2030 | 3,475,000 | 4,481,347 |
| | Metropolitan Transportation Authority, | | |
| | 5.00% due 11/15/2025 - 11/15/2027 | 2,335,000 | 2,738,573 |
| | 5.25% due 11/15/2028 - 11/15/2029 | 16,100,000 | 19,150,272 |
| | Series B, | | |
| | 4.00% due 11/15/2026 | 1,660,000 | 1,921,251 |
| | 5.00% due 11/15/2025 - 11/15/2028 | 6,035,000 | 7,172,514 |
| | Series D-1, 5.00% due 11/15/2028 - 11/15/2029 | 4,990,000 | 5,879,273 |
| | Series F, 5.00% due 11/15/2025 | 1,055,000 | 1,248,044 |
| | Metropolitan Transportation Authority (Green Bond), | | |
| | Series A2, 5.00% due 11/15/2027 | 3,450,000 | 4,172,257 |
| | Series B, 5.00% due 11/15/2027 | 1,845,000 | 2,278,723 |
| | Series C-1, 5.00% due 11/15/2024 - 11/15/2026 | 6,840,000 | 8,111,042 |
| | Metropolitan Transportation Authority (Transit and Commuter System), Series B-1, 5.00% due 5/15/2022 | 15,430,000 | 16,156,444 |
| | Monroe County (St. John Fisher College) IDC, Series A, 5.00% due 6/1/2022 | 2,000,000 | 2,104,600 |
| | Nassau County Interim Finance Authority, Series A, 5.00% due 11/15/2025 - 11/15/2031 | 8,120,000 | 10,906,711 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue, | | |
| c | 5.00% due 11/1/2026 - 11/1/2031 | 8,500,000 | 10,901,065 |
| | 5.00% due 5/1/2028 | 1,500,000 | 1,903,980 |
| | Series 1, 5.00% due 11/1/2026 - 11/1/2029 | 9,000,000 | 11,377,090 |
| | Series A, 5.00% due 11/1/2028 - 11/1/2030 | 10,485,000 | 13,475,365 |
| | Series D, 5.00% due 11/1/2024 - 11/1/2025 | 2,750,000 | 3,226,433 |
| | New York City Trust for Cultural Resources (Lincoln Center for the Performing Arts, Inc.), Series A, 5.00% due 12/1/2026 | 2,500,000 | 3,024,200 |
34 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | New York City Water & Sewer System, | | |
| | Series DD, 5.00% due 6/15/2026 | $ 1,250,000 | $ 1,530,737 |
| | Series EE, 5.00% due 6/15/2031 | 7,000,000 | 9,489,060 |
| | New York GO, Series J, 5.00% due 8/1/2026 | 750,000 | 915,503 |
| | New York State Dormitory Authority, Series A, 5.00% due 3/15/2030 | 8,040,000 | 10,126,139 |
| | New York State Dormitory Authority (School Districts Financing Program) (State Aid Withholding), | | |
| | Series G, 5.00% due 4/1/2021 - 10/1/2022 | 750,000 | 770,973 |
| | Series H, 5.00% due 10/1/2021 | 750,000 | 767,655 |
| | New York State Dormitory Authority (School Districts Financing Program; Insured: AGC) (State Aid Withholding), | | |
| | 5.25% due 10/1/2023 | 140,000 | 143,392 |
| | 5.25% due 10/1/2023 (pre-refunded 10/1/2021) | 1,860,000 | 1,906,798 |
| | New York State Dormitory Authority (School Districts Financing Program; Insured: AGM) (State Aid Withholding), | | |
| | Series A, 5.00% due 10/1/2021 - 10/1/2024 | 7,400,000 | 8,134,831 |
| | Series F, 5.00% due 10/1/2021 | 1,250,000 | 1,278,937 |
| | New York State Dormitory Authority (State of New York Personal Income Tax Revenue), | | |
| | Series A, 5.00% due 2/15/2025 - 3/15/2031 | 22,610,000 | 29,493,978 |
| | Series D, 5.00% due 2/15/2030 | 1,230,000 | 1,613,662 |
| | New York State Dormitory Authority (State of New York Sales Tax Revenue), Series E, 5.00% due 3/15/2029 | 4,135,000 | 5,311,904 |
| b | New York State Energy Research & Development Authority (New York State Electric & Gas Corp.), Series C, 2.625% due 4/1/2034 (put 7/3/2023) | 1,415,000 | 1,479,128 |
| | New York State Environmental Facilities Corp. (State of New York State Revolving Fund), 5.00% due 5/15/2025 | 1,075,000 | 1,231,552 |
| | New York State Housing Finance Agency, Series I, 2.70% due 11/1/2023 | 2,125,000 | 2,240,727 |
| | New York State Thruway Authority (Governor Thomas E. Dewey Thruway), | | |
| | Series I, 5.00% due 1/1/2022 | 3,000,000 | 3,105,000 |
| | Series K, 5.00% due 1/1/2024 - 1/1/2025 | 3,000,000 | 3,452,440 |
| | New York State Urban Development Corp., | | |
| | 5.00% due 3/15/2031 | 1,500,000 | 1,976,220 |
| | Series E, 5.00% due 3/15/2031 | 5,000,000 | 6,514,700 |
| | State of New York Mortgage Agency, | | |
| | Series 223, | | |
| | 1.85% due 4/1/2026 | 400,000 | 414,640 |
| | 1.90% due 10/1/2026 | 815,000 | 847,013 |
| | 1.95% due 4/1/2027 | 1,000,000 | 1,045,790 |
| | 2.00% due 10/1/2027 | 775,000 | 808,604 |
| | 2.05% due 4/1/2028 | 450,000 | 470,007 |
| | 2.25% due 4/1/2030 | 1,320,000 | 1,370,358 |
| | 2.30% due 10/1/2030 | 1,110,000 | 1,152,158 |
| | Suffolk County (Catholic Health Services) EDC, 5.00% due 7/1/2021 - 7/1/2022 | 10,000,000 | 10,108,550 |
| | Town of Oyster Bay (Insured: BAM) GO, 4.00% due 11/1/2023 - 11/1/2026 | 3,195,000 | 3,628,505 |
| | Town of Oyster Bay GO, 4.00% due 3/1/2024 | 825,000 | 909,092 |
| | Triborough Bridge and Tunnel Authority (MTA Bridges and Tunnels), | | |
| | Series A, 5.00% due 11/15/2021 | 5,140,000 | 5,293,892 |
| | Series C-1, 5.00% due 11/15/2026 | 4,000,000 | 4,949,280 |
| | West Seneca Central School District (Insured: BAM) (State Aid Withholding) GO, 5.00% due 11/15/2022 | 1,000,000 | 1,073,230 |
| | Westchester County Local Development Corp. (Miriam Osborn Memorial Home Association Obligated Group), 5.00% due 7/1/2024 - 7/1/2028 | 1,395,000 | 1,596,370 |
| | North Carolina — 1.7% | | |
| | Charlotte-Mecklenburg Hospital Authority (Carolinas HealthCare System), | | |
| | Series A, | | |
| | 4.00% due 1/15/2022 | 875,000 | 900,944 |
| | 5.00% due 1/15/2023 - 1/15/2024 | 4,255,000 | 4,612,031 |
| | City of Charlotte (Equipment Acquisition & Public Facilities) COP, Series C, 5.00% due 12/1/2021 - 12/1/2025 | 7,940,000 | 8,898,278 |
| b | Columbus County Industrial Facilities & Pollution Control Financing Authority (International Paper Co.), 2.00% due 11/1/2033 (put 10/1/2024) | 1,100,000 | 1,155,396 |
| | County of Buncombe (Primary, Middle School & Community College Facilities), Series A, 5.00% due 6/1/2022 - 6/1/2024 | 2,350,000 | 2,571,460 |
| | County of Dare (Educational Facility Capital Projects), | | |
| | Series A, | | |
| | 4.00% due 6/1/2022 | 490,000 | 511,717 |
| | 5.00% due 6/1/2021 - 6/1/2024 | 1,925,000 | 2,005,689 |
| | County of New Hanover, 4.00% due 8/1/2025 | 2,300,000 | 2,643,850 |
| | County of Randolph, | | |
| | Series B, 5.00% due 10/1/2021 - 10/1/2023 | 3,560,000 | 3,787,133 |
| | Series C, 5.00% due 10/1/2021 - 10/1/2023 | 900,000 | 958,296 |
| | New County Hanover, 5.00% due 8/1/2027 | 3,685,000 | 4,654,597 |
| | North Carolina Eastern Municipal Power Agency ETM, Series A, 5.00% due 1/1/2022 | 4,715,000 | 4,880,638 |
| | North Carolina Municipal Power Agency (Catawba Electric), Series B, 4.00% due 1/1/2022 | 1,250,000 | 1,284,500 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 35 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | North Carolina Turnpike Authority, 5.00% due 1/1/2023 - 1/1/2029 | $ 17,630,000 | $ 20,979,623 |
| b | University of North Carolina at Chapel Hill, Series A, 0.427% (LIBOR 1 Month + 0.35%) due 12/1/2041 (put 12/1/2021) | 40,500,000 | 40,538,718 |
| | Winston-Salem State University (Student Housing and Student Services Facilities), 5.00% due 4/1/2022 | 945,000 | 988,375 |
| | North Dakota — 0.0% | | |
| | County of Mckenzie, 5.00% due 8/1/2021 | 1,455,000 | 1,478,105 |
| | County of McKenzie, 5.00% due 8/1/2022 | 1,000,000 | 1,064,230 |
| | Ohio — 3.0% | | |
| | Akron, Bath & Copley Joint Township Hospital District (Children’s Hospital Medical Center), 5.00% due 11/15/2021 | 1,000,000 | 1,029,230 |
| | American Municipal Power, Inc. (AMP Fremont Energy Center), Series B, 5.00% due 2/15/2022 | 2,750,000 | 2,861,155 |
| | Cincinnati City School District Board of Education (Educational Facilities; Insured: Natl-Re) GO, 5.25% due 12/1/2023 | 2,690,000 | 3,042,793 |
| | City of Akron (Community Learning Centers), Series A, 5.00% due 12/1/2021 | 4,120,000 | 4,249,080 |
| | City of Cleveland (Municipal Street System Improvements) GO, | | |
| | Series A, | | |
| | 3.00% due 12/1/2021 | 2,305,000 | 2,346,398 |
| | 4.00% due 12/1/2022 - 12/1/2023 | 6,725,000 | 7,247,145 |
| | 5.00% due 12/1/2025 - 12/1/2026 | 7,165,000 | 8,550,245 |
| | City of Cleveland (Parking Facility; Insured: AGM), 5.25% due 9/15/2021 | 2,035,000 | 2,078,834 |
| | City of Cleveland (Parking Facility; Insured: AGM) ETM, 5.25% due 9/15/2021 | 965,000 | 986,452 |
| | City of Cleveland (Parks & Recreation Facilities), 5.00% due 10/1/2021 - 10/1/2023 | 2,830,000 | 3,035,519 |
| | City of Cleveland (Police & Fire Pension Payment), 5.00% due 5/15/2021 | 750,000 | 754,005 |
| | City of Cleveland (Public Facilities Improvements), 5.00% due 10/1/2025 - 10/1/2028 | 3,200,000 | 3,972,499 |
| | City of Cleveland (Public Facilities), 5.00% due 10/1/2022 - 10/1/2023 | 2,060,000 | 2,255,495 |
| | City of Columbus GO, Series A, 5.00% due 4/1/2022 | 1,800,000 | 1,886,832 |
| | City of Toledo (Water System Improvements), 5.00% due 11/15/2021 - 11/15/2023 | 7,005,000 | 7,484,241 |
| | Cleveland State University (Campus Capital Projects), 5.00% due 6/1/2021 - 6/1/2022 | 3,000,000 | 3,071,000 |
| | County of Cuyahoga (Convention Hotel Project) COP, 5.00% due 12/1/2023 - 12/1/2024 | 17,160,000 | 18,903,333 |
| b | County of Franklin (Trinity Health Corp. Obligated Group), Series OH, 0.10% due 12/1/2046 (put 5/3/2021) | 4,500,000 | 4,500,891 |
| | County of Scioto (Southern Ohio Medical Center), 5.00% due 2/15/2025 | 1,695,000 | 1,959,827 |
| | Franklin County Convention Facilities Authority (Greater Columbus Convention Center) ETM, 5.00% due 12/1/2021 - 12/1/2024 | 2,500,000 | 2,735,525 |
| b | Ohio Higher Educational Facility Commission (Case Western Reserve University), 1.625% due 12/1/2034 (put 12/1/2026) | 2,200,000 | 2,281,224 |
| | Ohio Turnpike & Infrastructure Commission, Series A, 5.00% due 2/15/2027 - 2/15/2028 | 14,555,000 | 18,229,494 |
| | Ohio Water Development Authority, Series A, 5.00% due 12/1/2030 | 1,000,000 | 1,219,770 |
| | State of Ohio (Major New Street Infrastructure Project), | | |
| | Series 1, 5.00% due 12/15/2021 | 2,500,000 | 2,585,900 |
| | Series 2016-1, 5.00% due 12/15/2026 | 1,000,000 | 1,226,060 |
| | State of Ohio GO, | | |
| | Series A, 5.00% due 6/15/2028 - 6/15/2031 | 4,775,000 | 6,356,734 |
| | Series C, 5.00% due 3/1/2029 - 3/1/2031 | 3,350,000 | 4,470,476 |
| | Series V, | | |
| | 5.00% due 5/1/2021 - 5/1/2028 | 35,010,000 | 40,159,695 |
| a | 5.00% due 5/1/2022 | 11,250,000 | 11,842,987 |
| | Youngstown City School District (Educational Facilities) (State Aid Withholding) GO, 4.00% due 12/1/2021 - 12/1/2023 | 5,240,000 | 5,255,389 |
| | Oklahoma — 0.6% | | |
| | Canadian County Educational Facilities Authority (Mustang Public Schools) ISD, | | |
| | 4.50% due 9/1/2021 | 2,290,000 | 2,329,388 |
| | 5.00% due 9/1/2027 | 1,000,000 | 1,215,000 |
| | Cleveland County Educational Facilities Authority (Moore Public Schools) ISD, 5.00% due 6/1/2023 | 5,355,000 | 5,893,124 |
| | Muskogee Industrial Trust (Muskogee County No. 20) ISD, 5.00% due 9/1/2024 - 9/1/2027 | 3,550,000 | 4,172,028 |
| | Oklahoma (INTEGRIS Health) DFA, Series A, 5.00% due 8/15/2022 - 8/15/2025 | 4,725,000 | 5,281,247 |
| | Oklahoma Capitol Improvement Authority (State Highway Capital Improvement), 5.00% due 7/1/2023 | 325,000 | 359,197 |
| | Oklahoma County Finance Authority (Midwest City Public Service) ISD, 5.00% due 10/1/2022 - 10/1/2026 | 3,450,000 | 3,901,957 |
| | Tulsa County Industrial Authority (Broken Arrow Public Schools) ISD, 4.50% due 9/1/2021 | 8,775,000 | 8,925,667 |
| | Tulsa County Industrial Authority ISD, 5.00% due 9/1/2021 - 9/1/2022 | 3,025,000 | 3,154,502 |
| | Oregon — 0.3% | | |
| | Hillsboro School District No. 1J (School Capital Improvements) (State Aid Withholding) GO, 5.00% due 6/15/2025 - 6/15/2027 | 9,130,000 | 11,159,565 |
| | Polk County Dallas School District No. 2 (Capital Improvements) (State Aid Withholding) GO, Zero Coupon due 6/15/2021 | 1,475,000 | 1,473,613 |
| | Tri-County Metropolitan Transportation District of Oregon, Series A, 5.00% due 10/1/2028 | 2,845,000 | 3,529,905 |
| | Pennsylvania — 5.8% | | |
| | Allegheny County Higher Education Building Authority (Duquesne University of the Holy Spirit), Series A, 5.00% due 3/1/2023 - 3/1/2025 | 1,945,000 | 2,220,042 |
| | Allegheny County Hospital Development Authority, 5.00% due 7/15/2028 - 7/15/2029 | 7,425,000 | 9,564,273 |
| | Allegheny County Sanitary Authority (2015 Capital Project), 5.00% due 12/1/2023 - 12/1/2024 | 19,150,000 | 21,613,779 |
| | Allegheny County Sanitary Authority (2015 Capital Project; Insured: BAM), 5.00% due 12/1/2025 | 1,000,000 | 1,193,570 |
36 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Allegheny County Sanitary Authority (Insured: BAM), 5.00% due 12/1/2029 | $ 2,830,000 | $ 3,365,181 |
| | Altoona Area School District (State Aid Withholding) (Insured: AGM) GO, 3.00% due 12/1/2022 | 1,335,000 | 1,397,264 |
| | City of Philadelphia (Insured: AGM) GO, 5.00% due 8/1/2025 - 8/1/2027 | 28,685,000 | 34,470,414 |
| | City of Philadelphia (Pennsylvania Gas Works), 5.00% due 8/1/2023 - 8/1/2025 | 10,900,000 | 12,363,058 |
| | City of Philadelphia (Water and Wastewater System), 5.00% due 10/1/2024 - 10/1/2026 | 5,455,000 | 6,455,639 |
| | City of Philadelphia Airport Revenue, Series A, 5.00% due 7/1/2029 | 1,000,000 | 1,296,590 |
| | City of Philadelphia GO, Series A, 5.00% due 8/1/2025 | 10,710,000 | 12,644,012 |
| | City of Pittsburgh (Insured: BAM) GO, 5.00% due 9/1/2022 | 1,100,000 | 1,171,918 |
| | Commonwealth Financing Authority (Tobacco Master Settlement), 5.00% due 6/1/2023 | 930,000 | 1,021,791 |
| | Commonwealth of Pennsylvania (Capital Facilities Projects) GO, Series 1, 5.00% due 3/15/2022 | 12,485,000 | 13,051,444 |
| | Commonwealth of Pennsylvania (Capital Facilities) GO, Series D, 5.00% due 8/15/2023 - 8/15/2025 | 39,450,000 | 45,287,044 |
| | Commonwealth of Pennsylvania GO, | | |
| | 4.00% due 11/15/2027 | 4,775,000 | 4,885,350 |
| | 5.00% due 7/15/2030 | 12,930,000 | 16,832,791 |
| | Cumberland County Municipal Authority (Penn State Health Obligated Group), 5.00% due 11/1/2027 - 11/1/2029 | 3,150,000 | 4,022,862 |
| | Economy Borough Municipal Authority (Beaver County Sewer System; Insured: BAM), 4.00% due 12/15/2022 | 1,180,000 | 1,253,490 |
| | Lancaster County Solid Waste Management Authority (Harrisburg Resource Recovery Facility), | | |
| | Series A, | | |
| | 5.00% due 12/15/2023 | 2,680,000 | 3,021,512 |
| | 5.25% due 12/15/2024 | 4,770,000 | 5,405,698 |
| | Luzerne County (Insured: AGM) GO, Series A, 5.00% due 11/15/2021 - 11/15/2024 | 11,840,000 | 12,976,365 |
| | Luzerne County (Insured: AGM) IDA GO, 5.00% due 12/15/2021 - 12/15/2027 | 6,045,000 | 6,776,321 |
| | Monroeville Finance Authority (University of Pittsburgh Medical Center), 5.00% due 2/15/2022 | 1,250,000 | 1,302,350 |
| | Montgomery County Higher Education & Health Authority (Abington Memorial Hospital), 5.00% due 6/1/2022 | 2,800,000 | 2,947,420 |
| | Montgomery County Higher Education & Health Authority (Thomas Jefferson University Obligated Group), 5.00% due 9/1/2026 - 9/1/2029 | 3,575,000 | 4,452,102 |
| | Northampton Borough Municipal Authority (Water System; Insured: AGM), | | |
| | 3.00% due 5/15/2023 | 1,255,000 | 1,292,801 |
| | 4.00% due 5/15/2021 - 5/15/2022 | 1,685,000 | 1,736,071 |
| | Pennsylvania Economic Development Financing Authority, Series A, 5.00% due 11/15/2026 | 2,310,000 | 2,847,006 |
| | Pennsylvania Economic Development Financing Authority (UPMC Obligated Group), | | |
| | 5.00% due 3/15/2026 | 220,000 | 266,367 |
| | Series A-1, 5.00% due 4/15/2024 - 4/15/2030 | 10,095,000 | 12,683,602 |
| | Pennsylvania Higher Educational Facilities Authority (Shippensburg University Student Services, Inc. Student Housing) ETM, 4.00% due 10/1/2022 | 1,570,000 | 1,629,425 |
| | Pennsylvania Higher Educational Facilities Authority (University of Pennsylvania Health System), 5.00% due 8/15/2027 | 1,000,000 | 1,254,290 |
| | Pennsylvania Turnpike Commission, | | |
| | Series A-1, 5.00% due 12/1/2022 - 12/1/2027 | 5,050,000 | 6,110,035 |
| | Series B, 5.00% due 12/1/2029 - 12/1/2030 | 1,275,000 | 1,683,299 |
| | Philadelphia (Philadelphia) IDA, 5.00% due 5/1/2024 - 5/1/2028 | 2,975,000 | 3,613,801 |
| | Philadelphia Gas Works Co. (Insured: AGM), | | |
| | Series A, 5.00% due 8/1/2024 - 8/1/2031 | 5,185,000 | 6,495,573 |
| a | Series B, 5.00% due 8/1/2024 | 500,000 | 572,510 |
| | Philadelphia Municipal Authority (Juvenile Justice Services Center), 5.00% due 4/1/2021 - 4/1/2027 | 7,850,000 | 8,907,992 |
| | Pittsburgh Water & Sewer Authority (Insured: AGM), | | |
| | Series B, | | |
| | 5.00% due 9/1/2028 - 9/1/2031 | 1,295,000 | 1,668,766 |
| a | 5.00% due 9/1/2030 | 450,000 | 590,895 |
| | Pittsburgh Water and Sewer Authority, | | |
| | Series A, 5.00% due 9/1/2024 | 7,365,000 | 8,147,605 |
| | Series B, 5.00% due 9/1/2024 (pre-refunded 9/1/2023) | 2,395,000 | 2,669,251 |
| | Pittsburgh Water and Sewer Authority ETM, Series B, 5.00% due 9/1/2023 | 2,520,000 | 2,814,890 |
| | Plum Borough School District (Insured: BAM) (State Aid Withholding) GO, | | |
| | Series A, 5.00% due 9/15/2022 - 9/15/2024 | 4,790,000 | 5,213,553 |
| | Series B, 5.00% due 9/15/2023 | 470,000 | 517,146 |
| | Series C, 4.00% due 9/15/2021 | 1,610,000 | 1,633,908 |
| | School District of Philadelphia, Series A, 4.00% due 6/30/2021 | 12,800,000 | 12,918,144 |
| | School District of Philadelphia (State Aid Withholding) GO, Series A, 5.00% due 9/1/2023 - 9/1/2028 | 2,400,000 | 2,854,415 |
| | Southeastern Pennsylvania Transportation Authority, 5.00% due 6/1/2022 - 6/1/2028 | 7,705,000 | 9,170,007 |
| | Sports & Exhibition Authority of Pittsburgh and Allegheny County (Allegheny Regional Asset District; Insured: AGM), | | |
| | 4.00% due 2/1/2022 | 1,200,000 | 1,236,612 |
| | 5.00% due 2/1/2029 - 2/1/2030 | 5,675,000 | 7,254,131 |
| | York County GO, Series A, 5.00% due 6/1/2028 - 6/1/2030 | 3,000,000 | 3,883,290 |
| | Rhode Island — 1.1% | | |
| | Rhode Island Clean Water Finance Agency (Public Drinking Water Supply or Treatment Facilities), Series B, 5.00% due 10/1/2021 - 10/1/2023 | 6,660,000 | 7,156,369 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 37 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Rhode Island Commerce Corp., Series B, 5.00% due 6/15/2028 | $ 2,060,000 | $ 2,509,121 |
| | Rhode Island Health and Educational Building Corp. (University of Rhode Island Auxiliary Enterprise), Series C, 5.00% due 9/15/2023 | 1,400,000 | 1,554,490 |
| | Rhode Island Health and Educational Building Corp. (University of Rhode Island), Series B, 5.00% due 9/15/2022 - 9/15/2025 | 965,000 | 1,088,451 |
| | State of Rhode Island and Providence Plantations (Consolidated Capital Development Loan) GO, | | |
| | Series A, 5.00% due 8/1/2021 - 8/1/2022 | 26,360,000 | 27,250,545 |
| | Series B, 4.00% due 10/15/2021 - 10/15/2022 | 2,000,000 | 2,079,160 |
| | State of Rhode Island and Providence Plantations (Energy Conservation) COP, Series C, 5.00% due 4/1/2022 | 2,020,000 | 2,119,505 |
| | State of Rhode Island and Providence Plantations (Information Technology) COP, 5.00% due 11/1/2024 | 3,010,000 | 3,506,018 |
| | State of Rhode Island and Providence Plantations (Kent County Courthouse) COP, Series A, 5.00% due 10/1/2021 - 10/1/2023 | 5,600,000 | 5,983,345 |
| | State of Rhode Island and Providence Plantations (Training School) COP, Series B, 5.00% due 10/1/2021 - 10/1/2023 | 8,865,000 | 9,422,367 |
| | South Carolina — 0.7% | | |
| | Beaufort-Jasper Water & Sewer Authority (Waterworks & Sewer System), Series B, 5.00% due 3/1/2022 - 3/1/2025 | 4,000,000 | 4,445,750 |
| | Berkeley County School District (School Facility Equipment Acquisition), 5.00% due 12/1/2021 - 12/1/2024 | 3,000,000 | 3,343,760 |
| | Charleston County (South Aviation Avenue Construction), 5.00% due 12/1/2022 - 12/1/2023 | 4,270,000 | 4,720,698 |
| | City of Charleston Public Facilities Corp. (City of Charleston Project), Series A, 5.00% due 9/1/2021 - 9/1/2025 | 2,160,000 | 2,416,290 |
| b | City of Charleston Waterworks & Sewer System Revenue (Capital Improvement), Series B, 0.447% (LIBOR 1 Month + 0.37%) due 1/1/2035 (put 1/1/2022) | 17,800,000 | 17,846,084 |
| | Greenwood County (Self Regional Healthcare), Series B, 5.00% due 10/1/2022 | 1,000,000 | 1,046,790 |
| | SCAGO Educational Facilities Corp. (School District of Pickens County), 5.00% due 12/1/2021 - 12/1/2025 | 5,320,000 | 5,866,688 |
| | South Dakota — 0.2% | | |
| | South Dakota Building Authority, | | |
| | Series B, | | |
| | 5.00% due 6/1/2022 | 500,000 | 526,800 |
| | 5.00% due 6/1/2024 (pre-refunded 6/1/2023) | 1,000,000 | 1,102,710 |
| | South Dakota Health & Educational Facilities Authority (Avera Health) ETM, Series A, 5.00% due 7/1/2021 | 1,670,000 | 1,689,038 |
| | South Dakota Health & Educational Facilities Authority (Monument Health), Series A, 5.00% due 9/1/2025 - 9/1/2027 | 3,350,000 | 4,117,503 |
| | South Dakota Health & Educational Facilities Authority (Sanford Health), 5.00% due 11/1/2021 - 11/1/2025 | 2,825,000 | 3,173,536 |
| | Tennessee — 0.1% | | |
| | Shelby County GO, 5.00% due 4/1/2029 | 4,445,000 | 5,806,592 |
| | Tennessee Energy Acquisition Corp. (The Gas Project), Series A, 5.25% due 9/1/2023 | 1,115,000 | 1,241,519 |
| | Texas — 14.5% | | |
| | Bexar County Hospital District (University Health System) GO, 5.00% due 2/15/2022 - 2/15/2027 | 7,355,000 | 8,442,021 |
| | Board of Regents of the University of Texas System, Series A, 5.00% due 8/15/2030 | 4,500,000 | 6,035,625 |
| | Cities of Dallas and Fort Worth (DFW International Airport Terminal Renewal & Improvement Program), Series D, 5.25% due 11/1/2023 | 3,000,000 | 3,086,580 |
| | City of Austin (Electric Utility), Series A, 5.00% due 11/15/2029 - 11/15/2031 | 7,400,000 | 9,814,145 |
| | City of Austin (Water and Wastewater System), | | |
| | 5.00% due 11/15/2022 | 245,000 | 252,394 |
| | 5.00% due 11/15/2022 (pre-refunded 11/15/2021) | 2,395,000 | 2,466,607 |
| | City of Beaumont (Waterworks & Sewer System Improvements; Insured: AGM), Series A, 5.00% due 9/1/2023 - 9/1/2024 | 7,500,000 | 8,325,300 |
| | City of Beaumont GO, 5.00% due 3/1/2022 - 3/1/2026 | 3,930,000 | 4,467,458 |
| | City of Brownsville (Water, Wastewater & Electric Utilities Systems), | | |
| | 5.00% due 9/1/2022 | 1,300,000 | 1,381,575 |
| | Series A, 5.00% due 9/1/2022 - 9/1/2023 | 3,900,000 | 4,245,613 |
| | City of Bryan (Electric System Improvements), 5.00% due 7/1/2026 | 535,000 | 649,998 |
| | City of Conroe GO, 5.00% due 3/1/2026 - 3/1/2029 | 810,000 | 1,014,380 |
| | City of Dallas (Public Improvements) GO, 5.00% due 2/15/2022 - 2/15/2025 | 5,500,000 | 6,113,700 |
| | City of Dallas (Trinity River Corridor Infrastructure) GO, | | |
| | 5.00% due 2/15/2024 - 2/15/2026 | 20,640,000 | 23,341,111 |
| | Series A, 5.00% due 2/15/2024 | 10,235,000 | 11,136,192 |
| | City of Dallas GO, 5.00% due 2/15/2022 - 2/15/2024 | 20,635,000 | 21,491,841 |
| | City of Houston (Combined Utility System), | | |
| | Series C, | | |
| b | 0.436% (LIBOR 1 Month + 0.36%) due 5/15/2034 (put 8/1/2021) | 18,525,000 | 18,527,983 |
| | 5.00% due 5/15/2022 - 5/15/2024 | 14,695,000 | 16,355,583 |
| | Series D, 5.00% due 11/15/2022 - 11/15/2024 | 17,535,000 | 19,560,069 |
| | City of Houston (Public Improvements) GO, Series A, 5.00% due 3/1/2023 - 3/1/2028 | 48,505,000 | 57,230,157 |
| | City of Laredo (Acquire & Purchase Personal Property) GO, 5.00% due 2/15/2022 - 2/15/2026 | 4,505,000 | 5,100,494 |
| | City of Laredo (City Infrastructure Improvements) GO, Series A, 5.00% due 2/15/2022 - 2/15/2027 | 2,750,000 | 3,213,631 |
| | City of Laredo (Sports Venues; Insured: AGM) ETM, 5.00% due 3/15/2022 - 3/15/2024 | 3,800,000 | 4,068,649 |
| | City of Lubbock (Waterworks System) GO, 5.00% due 2/15/2022 - 2/15/2025 | 29,935,000 | 33,955,026 |
| | City of McAllen (International Toll Bridge System; Insured: AGM), Series A, 5.00% due 3/1/2024 - 3/1/2027 | 3,015,000 | 3,538,219 |
| | City of Olmos Park Higher Education Facilities Corp. (University of the Incarnate Word), 5.00% due 12/1/2021 | 1,000,000 | 1,029,950 |
38 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | City of Pflugerville GO, 5.00% due 8/1/2026 | $ 900,000 | $ 1,109,817 |
| b | City of San Antonio, 1.75% due 2/1/2049 (put 12/1/2025) | 10,750,000 | 11,286,425 |
| | City of San Antonio (CPS Energy), 5.25% due 2/1/2024 | 7,000,000 | 7,962,920 |
| | City of San Antonio (San Antonio Water System), Series A, 5.00% due 5/15/2023 - 5/15/2026 | 3,700,000 | 4,294,906 |
| | City of San Antonio GO, 5.00% due 8/1/2026 | 1,400,000 | 1,719,620 |
| | City of San Antonio Public Facilities Corp. (Convention Center Refinancing & Expansion), 5.00% due 9/15/2022 | 1,450,000 | 1,550,152 |
| | Clifton Higher Education Finance Corp. (IDEA Public Schools), 5.00% due 8/15/2023 | 845,000 | 893,199 |
| | Comal (Guaranty: PSF-GTD) ISD GO, 5.00% due 2/1/2024 - 2/1/2029 | 3,350,000 | 4,182,673 |
| | Conroe (Guaranty: PSF-GTD) ISD GO, | | |
| | 5.00% due 2/15/2031 | 500,000 | 630,195 |
| | Series A, 5.00% due 2/15/2030 | 2,000,000 | 2,662,960 |
| | Cypress-Fairbanks (Guaranty: PSF-GTD) ISD GO, | | |
| | Series A, 5.00% due 2/15/2028 - 2/15/2031 | 6,000,000 | 7,902,865 |
| b | Series A-2, 1.25% due 2/15/2036 (put 8/15/2022) | 5,500,000 | 5,587,945 |
| | Series B-1, | | |
| b | 1.25% due 2/15/2036 (put 8/15/2022) | 3,500,000 | 3,555,965 |
| b | 2.125% due 2/15/2040 (put 8/16/2021) | 4,800,000 | 4,836,816 |
| b | Series B-3, 1.25% due 2/15/2040 (put 8/15/2022) | 7,000,000 | 7,111,930 |
| | Dallas (Guaranty: PSF-GTD) ISD GO, | | |
| b | 5.00% due 2/15/2036 (pre-refunded 2/15/2022) | 3,215,000 | 3,350,188 |
| | 5.00% due 2/15/2036 (pre-refunded 2/15/2022) | 760,000 | 791,517 |
| | Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2022 - 2/15/2027 | 12,435,000 | 14,486,929 |
| b | Denton (Guaranty: PSF-GTD) ISD GO, 2.00% due 8/1/2043 (put 8/1/2023) | 700,000 | 728,343 |
| b | Denton (Guaranty: PSF-GTD) ISD GO , Series B, 2.00% due 8/1/2044 (put 8/1/2024) | 2,500,000 | 2,632,450 |
| | Grayson County (State Highway Toll System) GO, 5.00% due 1/1/2022 | 3,000,000 | 3,107,790 |
| | Gulf Coast Waste Disposal Authority (Bayport Area Wastewater Treatment System; Insured: AGM), 5.00% due 10/1/2022 - 10/1/2025 | 3,485,000 | 3,913,594 |
| | Harris County (Flood Control), 5.00% due 10/1/2025 - 10/1/2027 | 14,305,000 | 17,767,497 |
| | Harris County (Tax Road) GO, Series A, 5.00% due 10/1/2025 - 10/1/2028 | 8,985,000 | 11,257,420 |
| | Harris County (Texas Permanent Improvement) GO, | | |
| | Series A, | | |
| | 5.00% due 10/1/2025 - 10/1/2026 | 4,150,000 | 5,069,503 |
| a | 5.00% due 10/1/2027 | 7,415,000 | 9,401,478 |
| | Harris County Cultural Education Facilities Finance Corp. (Memorial Hermann Health), Series A, 5.00% due 12/1/2022 - 12/1/2025 | 6,445,000 | 7,444,361 |
| | Harris County Cultural Education Facilities Finance Corp. (TECO Project), 5.00% due 11/15/2021 - 11/15/2027 | 5,300,000 | 6,296,455 |
| | Harris County Cultural Education Facilities Finance Corp. (Texas Medical Center), Series A, 5.00% due 5/15/2021 - 5/15/2029 | 11,650,000 | 14,072,958 |
| | Harris County-Houston Sports Authority (Insured: AGM), | | |
| | 5.00% due 11/15/2022 | 1,090,000 | 1,172,960 |
| | Series A, 5.00% due 11/15/2023 - 11/15/2024 | 17,905,000 | 20,005,268 |
| | Harris County-Houston Sports Authority (Insured: AGM) ETM, 5.00% due 11/15/2022 | 4,320,000 | 4,664,606 |
| | Hays County GO, 5.00% due 2/15/2022 - 2/15/2025 | 6,000,000 | 6,595,241 |
| | Highland Park (Guaranty: PSF-GTD) ISD GO, 5.00% due 2/15/2024 | 1,015,000 | 1,151,101 |
| b | Houston (Guaranty: PSF-GTD) ISD GO, 2.40% due 6/1/2030 (put 6/1/2021) | 4,000,000 | 4,014,120 |
| b | Houston (Insured: PSF-GTD) ISD GO, Series B, 2.40% due 6/1/2036 (put 6/1/2021) | 1,725,000 | 1,731,089 |
| | Houston Airport System Revenue, | | |
| | Series B, 5.00% due 7/1/2021 - 7/1/2028 | 9,455,000 | 11,493,159 |
| | Series D, 5.00% due 7/1/2027 | 3,355,000 | 4,183,886 |
| | Houston Community College System GO, Series A, 5.00% due 2/15/2029 - 2/15/2031 | 5,920,000 | 7,830,260 |
| | Houston Higher Education Finance Corp. (Cosmos Foundation, Inc.) ETM, Series A, 5.875% due 5/15/2021 | 315,000 | 316,985 |
| | Houston Higher Education Finance Corp. (KIPP, Inc.; Guaranty: PSF-GTD), 5.00% due 8/15/2021 - 8/15/2022 | 1,485,000 | 1,566,489 |
| | Katy (Educational Facilities Improvements; Guaranty: PSF-GTD) ISD GO, Series A, 5.00% due 2/15/2023 - 2/15/2026 | 9,670,000 | 11,231,536 |
| | Keller (Guaranty: PSF-GTD) ISD GO, Series A, 5.00% due 8/15/2023 | 1,715,000 | 1,911,042 |
| | La Salle County (Insured: AGM) GO, 5.00% due 3/1/2022 - 3/1/2028 | 18,885,000 | 22,033,226 |
| | Laredo Community College District (School Facilities Improvements) GO, 5.00% due 8/1/2022 - 8/1/2024 | 1,980,000 | 2,190,659 |
| | Lower Colorado River Authority, | | |
| | Series A, | | |
| | 5.00% due 5/15/2025 | 8,020,000 | 8,441,451 |
| | 5.00% due 5/15/2025 (pre-refunded 5/15/2022) | 55,000 | 57,934 |
| | Lower Colorado River Authority (LCRA Transmission Services Corp.), 5.00% due 5/15/2026 - 5/15/2031 | 5,125,000 | 6,604,889 |
| | Metropolitan Transit Authority of Harris County, | | |
| | 5.00% due 11/1/2022 - 11/1/2028 | 18,750,000 | 22,656,295 |
| | Series D, 5.00% due 11/1/2021 - 11/1/2027 | 8,355,000 | 9,594,655 |
| | New Caney (Guaranty: PSF-GTD) ISD GO, 5.00% due 2/15/2024 (pre-refunded 8/15/2022) | 865,000 | 921,389 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 39 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | North Harris County Regional Water Authority (Regional Water Production Design, Acquisition and Construction), 5.00% due 12/15/2021 - 12/15/2026 | $ 5,490,000 | $ 6,404,118 |
| | North Texas Tollway Authority (North Texas Tollway System), Series A, 5.00% due 1/1/2026 - 1/1/2029 | 7,550,000 | 9,369,325 |
| | North Texas Tollway Authority ETM, 5.00% due 1/1/2022 | 655,000 | 677,840 |
| b | Pflugerville (Guaranty: PSF-GTD) ISD GO, Series A, 2.25% due 8/15/2037 (put 8/15/2022) | 2,750,000 | 2,828,567 |
| | Port Authority of Houston of Harris County Texas GO, Series A-2 5.00% due 10/1/2030 | 400,000 | 536,968 |
| | Round Rock (Educational Facilities Improvements) ISD GO, 5.00% due 8/1/2026 - 8/1/2027 | 2,100,000 | 2,614,932 |
| | Round Rock (Educational Facilities Improvements; Guaranty: PSF-GTD) ISD GO, 5.00% due 8/1/2022 - 8/1/2029 | 8,065,000 | 9,484,399 |
| | Round Rock (SCH BLDG; Guaranty: PSF-GTD) ISD GO, 5.00% due 8/1/2026 | 6,240,000 | 7,640,256 |
| | Sam Rayburn Municipal Power Agency, 5.00% due 10/1/2021 | 2,705,000 | 2,770,272 |
| | San Antonio (Guaranty: PSF-GTD) ISD GO, | | |
| | 5.00% due 8/15/2029 | 3,430,000 | 4,201,270 |
| | Series B, 5.00% due 8/15/2029 | 2,395,000 | 3,149,952 |
| | San Antonio Water System, | | |
| a,b | 2.00% due 5/1/2043 (put 11/1/2021) | 500,000 | 505,305 |
| | Series A, | | |
| b | 2.625% due 5/1/2049 (put 5/1/2024) | 3,000,000 | 3,206,880 |
| | 5.00% due 5/15/2023 | 425,000 | 467,602 |
| | Series C, 5.00% due 5/15/2029 - 5/15/2030 | 2,000,000 | 2,632,060 |
| | State of Texas, 4.00% due 8/26/2021 | 147,100,000 | 149,418,296 |
| | Stephen F Austin State University, 5.00% due 10/15/2022 - 10/15/2029 | 9,690,000 | 11,588,350 |
| | Tarrant Regional Water District, Series A, 5.00% due 3/1/2022 - 3/1/2027 | 7,850,000 | 9,202,331 |
| | Texas Municipal Gas Acquisition & Supply Corp. III, 5.00% due 12/15/2025 - 12/15/2030 | 3,750,000 | 4,669,035 |
| | Texas State University System, Series A, 5.00% due 3/15/2028 - 3/15/2030 | 13,090,000 | 16,808,059 |
| | Texas Transportation Commission (Central Texas Turnpike System), Series C, 5.00% due 8/15/2022 - 8/15/2024 | 2,130,000 | 2,377,096 |
| | Texas Transportation Commission (Highway Improvements) GO, 5.00% due 4/1/2022 - 4/1/2024 | 10,380,000 | 11,429,046 |
| | Texas Transportation Commission State Highway Fund, Series A, 5.00% due 4/1/2024 | 1,650,000 | 1,882,914 |
| | Texas Water Development Board, 5.00% due 8/1/2031 | 2,920,000 | 3,890,433 |
| | Walnut Creek Special Utility District (Water System Improvements; Insured: BAM), 5.00% due 1/10/2022 - 1/10/2024 | 1,275,000 | 1,387,939 |
| | Utah — 1.0% | | |
| b | County of Utah (IHC Health Services, Inc. Obligated Group), Series B-1, 5.00% due 5/15/2056 (put 8/1/2022) | 9,500,000 | 10,006,635 |
| | Granite School District Board of Education GO, 5.00% due 6/1/2030 | 4,135,000 | 5,529,942 |
| | University of Utah, Series A-1, 5.00% due 8/1/2029 - 8/1/2031 | 1,350,000 | 1,796,712 |
| | Utah State Board of Regents (Insured: Natl-Re), Series A, 5.50% due 4/1/2029 | 30,365,000 | 39,514,278 |
| | Utah Transit Authority (Integrated Mass Transit System), Series A, 5.00% due 6/15/2022 - 6/15/2025 | 3,545,000 | 3,998,695 |
| | Virginia — 0.7% | | |
| | City of Richmond GO, Series A, 5.00% due 7/15/2031 | 5,070,000 | 6,788,324 |
| | County of Fairfax (State Aid Withholding) GO, | | |
| | Series A, | | |
| | 4.50% due 10/1/2027 | 4,975,000 | 6,155,269 |
| | 5.00% due 10/1/2030 | 2,000,000 | 2,670,780 |
| | County of Henrico (State Aid Witholding) GO, Series A, 5.00% due 8/1/2030 | 1,000,000 | 1,346,880 |
| | Fairfax County (Inova Health System) IDA, | | |
| | 4.00% due 5/15/2022 | 5,550,000 | 5,790,204 |
| | 5.00% due 5/15/2022 | 5,000,000 | 5,272,050 |
| b | Halifax County (VirginiaI Electric and Power Co. Project) IDA, Series A, 0.45% due 12/1/2041 (put 4/1/2022) | 2,000,000 | 1,998,800 |
| | Virginia Commonwealth Transportation Board, 5.00% due 9/15/2028 | 3,945,000 | 4,983,837 |
| | Virginia Small Business Financing Authority (National Senior Campuses, Inc. Obligated Group), 5.00% due 1/1/2025 - 1/1/2030 | 3,885,000 | 4,711,322 |
| | Washington — 2.3% | | |
| | Central Puget Sound Regional Transit Authority (Green Bond), Series S-1, 5.00% due 11/1/2025 | 2,000,000 | 2,401,980 |
| | Clark County School District No 37 Vancouver (State Aid Withholding) GO, 5.00% due 12/1/2026 - 12/1/2028 | 1,700,000 | 2,158,771 |
| | Energy Northwest (Nine Canyon Wind Project Phase I-III), 5.00% due 7/1/2021 - 7/1/2025 | 4,850,000 | 5,191,946 |
| | Marysville School District No. 25 (Snohomish County Educational Facilities) (State Aid Withholding) GO, 5.00% due 12/1/2021 - 12/1/2023 | 6,070,000 | 6,511,167 |
| | Skagit County Public Hospital District No. 1 (Skagit Regional Health), Series A, 5.00% due 12/1/2021 - 12/1/2023 | 2,410,000 | 2,530,305 |
| | Skagit County Public Hospital District No. 1 (Skagit Regional Health) GO, 5.00% due 12/1/2021 - 12/1/2022 | 6,770,000 | 7,151,624 |
| | Skagit County Public Hospital District No. 2 (Island Hospital) GO, | | |
| | 4.00% due 12/1/2021 | 1,000,000 | 1,024,740 |
| | 5.00% due 12/1/2022 | 1,700,000 | 1,832,600 |
| | State of Washington (Capital Projects) GO, Series R-G, 5.00% due 7/1/2025 | 10,475,000 | 12,240,771 |
| | State of Washington (State and Local Agency Real and Personal Property Projects) (Insured: State Intercept) COP, 5.00% due 7/1/2021 - 7/1/2022 | 6,125,000 | 6,343,650 |
| | State of Washington (State and Local Agency Real and Personal Property Projects) COP, Series A, 5.00% due 7/1/2024 - 7/1/2027 | 17,775,000 | 21,435,901 |
| | State of Washington (Various Purposes) GO, Series C, 5.00% due 2/1/2025 - 2/1/2029 | 45,385,000 | 56,778,161 |
| | State of Washington COP, Series D, 5.00% due 7/1/2031 | 3,200,000 | 4,226,272 |
40 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | State of Washington GO, 5.00% due 6/1/2025 - 6/1/2030 | $ 4,900,000 | $ 6,181,276 |
| | West Virginia — 0.5% | | |
| | Mason County (Appalachian Power Co.), Series L, 2.75% due 10/1/2022 | 15,000,000 | 15,534,300 |
| | West Virginia (Appalachian Power Co.) EDA, | | |
| b | Series A, 2.625% due 12/1/2042 (put 6/1/2022) | 4,500,000 | 4,618,890 |
| b | Series B, 2.625% due 12/1/2042 (put 6/1/2022) | 6,000,000 | 6,158,520 |
| | West Virginia Higher Education Policy Commission (Higher Education Facilities), Series A, 5.00% due 4/1/2021 - 4/1/2022 | 2,500,000 | 2,569,615 |
| | Wisconsin — 1.5% | | |
| | Public Finance Authority (Renown Regional Medical Center), Series A, 5.00% due 6/1/2027 - 6/1/2030 | 3,095,000 | 3,988,951 |
| | State of Wisconsin GO, Series 2021-2, 5.00% due 5/1/2029 | 4,100,000 | 5,366,777 |
| | Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group), | | |
| b | 5.00% due 8/15/2054 (put 1/25/2023) | 10,485,000 | 11,361,860 |
| b | 5.00% due 8/15/2054 (put 1/26/2022) | 9,520,000 | 9,882,331 |
| b | Series B-4, 5.00% due 8/15/2054 (put 1/29/2025) | 16,065,000 | 18,719,259 |
| | Wisconsin Health & Educational Facilities Authority (Ascension Health Alliance System), | | |
| | 5.00% due 11/15/2025 - 11/15/2026 | 3,235,000 | 3,886,847 |
| b | Series B-4, 5.00% due 11/15/2043 (put 6/1/2021) | 13,745,000 | 13,844,926 |
| | Wisconsin Health & Educational Facilities Authority (Marquette University), 5.00% due 10/1/2023 - 10/1/2026 | 1,575,000 | 1,846,630 |
| | Wisconsin Health & Educational Facilities Authority (ProHealth Care, Inc.), | | |
| | 5.00% due 8/15/2021 | 2,575,000 | 2,618,440 |
| | 5.00% due 8/15/2022 (pre-refunded 8/15/2021) | 1,600,000 | 1,628,192 |
| | Wisconsin Health & Educational Facilities Authority (UnityPoint Health), Series A, 5.00% due 12/1/2022 | 1,000,000 | 1,076,110 |
| | Wisconsin Housing & Economic Development Authority (Collateralized: FNMA), | | |
| | Series C, | | |
| | 1.65% due 9/1/2026 | 1,615,000 | 1,677,581 |
| | 1.75% due 9/1/2027 | 1,645,000 | 1,711,442 |
| | 1.80% due 3/1/2028 | 1,660,000 | 1,726,749 |
| | 1.95% due 3/1/2029 | 1,695,000 | 1,762,105 |
| | WPPI Energy, Series A, 5.00% due 7/1/2022 - 7/1/2028 | 1,835,000 | 2,126,678 |
| | WPPI Energy (Power Supply System), Series A, 5.00% due 7/1/2021 | 4,100,000 | 4,148,585 |
| | Total Long-Term Municipal Bonds — 88.1% (Cost $5,003,832,621) | | 5,220,316,946 |
| | Short-Term Municipal Bonds — 11.0% | | |
| | Alabama — 0.0% | | |
| b | City of Mobile Alabama (Alabama Power Co.) IDB, Series 1, 0.09% due 6/1/2034 (put 4/1/2021) | 510,000 | 510,000 |
| | Colorado — 0.5% | | |
| | City & County of Denver (SPA JPMorgan Chase Bank, N.A.) COP, | | |
| b | Series A1 0.06% due 12/1/2029 (put 4/1/2021) | 11,980,000 | 11,980,000 |
| b | Series A-3, 0.06% due 12/1/2031 (put 4/1/2021) | 19,135,000 | 19,135,000 |
| | District of Columbia — 0.1% | | |
| b | District of Columbia (Georgetown University; LOC Sumitomo Mitsui Banking Corporation), Series C-1, 0.05% due 4/1/2041 (put 4/8/2021) | 2,980,000 | 2,980,000 |
| | Florida — 2.4% | | |
| | City of Gainesville FL Utilities System Revenue (SPA Barclays Bank plc), | | |
| | Series B, | | |
| b | 0.06% due 10/1/2038 (put 4/8/2021) | 9,725,000 | 9,725,000 |
| b | 0.06% due 10/1/2042 (put 4/1/2021) | 37,470,000 | 37,470,000 |
| b | City of Gainesville FL Utilities System Revenue (SPA State Street Bank and Trust Co.), Series A, 0.09% due 10/1/2036 (put 4/8/2021) | 25,060,000 | 25,060,000 |
| b | City of Gainesville Utilities System Revenue (SPA Barclays Bank plc), Series A, 0.06% due 10/1/2026 (put 4/1/2021) | 1,385,000 | 1,385,000 |
| b | City of West Palm Beach Utility System Revenue (Insured: AGC) (SPA JPMorgan Chase Bank, N.A.), Series C, 0.09% due 10/1/2038 (put 4/8/2021) | 15,660,000 | 15,660,000 |
| b | County of Manatee (Florida Power & Light Co.), 0.07% due 9/1/2024 (put 4/1/2021) | 12,200,000 | 12,200,000 |
| b | JEA Water & Sewer System Revenue (SPA U.S. Bank, N.A.), Series A-1, 0.06% due 10/1/2038 (put 4/1/2021) | 1,305,000 | 1,305,000 |
| | Miami-Dade County (Florida Power & Light Co.) IDA, | | |
| b | 0.07% due 6/1/2021 (put 4/1/2021) | 41,100,000 | 41,100,000 |
| b | 0.08% due 6/1/2021 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| | Illinois — 0.4% | | |
| b | Illinois Finance Authority (Advocate Health Care Network Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series C1, 0.09% due 11/1/2038 (put 4/8/2021) | 525,000 | 525,000 |
| b | Illinois Finance Authority (Northwestern Memorial Healthcare Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series A3, 0.06% due 8/15/2042 (put 4/1/2021) | 22,155,000 | 22,155,000 |
| b | University of Illinois (LOC JPMorgan Chase Bank, N.A), 0.09% due 1/15/2022 (put 4/8/2021) | 455,000 | 455,000 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 41 |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Indiana — 1.3% | | |
| | Indiana Finance Authority (Franciscan Alliance, Inc. Obligated Group; LOC Barclays Bank plc), | | |
| b | Series I, 0.06% due 11/1/2037 (put 4/1/2021) | $ 5,055,000 | $ 5,055,000 |
| b | Series J, 0.06% due 11/1/2037 (put 4/1/2021) | 6,110,000 | 6,110,000 |
| b | Indiana Finance Authority (Marion County Capital Improvement Board; SPA U.S. Bank, N.A.), Series A-3, 0.07% due 2/1/2037 (put 4/1/2021) | 42,730,000 | 42,730,000 |
| b | Indiana Finance Authority (Parkview Health System Obligated Group; LOC Wells Fargo Bank N.A.), Series B, 0.06% due 11/1/2039 (put 4/1/2021) | 20,280,000 | 20,280,000 |
| | Massachusetts — 0.2% | | |
| b | Massachusetts Health & Educational Facilities Authority (Mass General Brigham, Inc.; SPA JPMorgan Chase Bank, N.A.), Series P1, 0.07% due 7/1/2027 (put 4/8/2021) | 12,200,000 | 12,200,000 |
| b | Massachusetts Water Resources Authority (SPA TD Bank N.A.), Series A, 0.07% due 8/1/2037 (put 4/8/2021) | 2,495,000 | 2,495,000 |
| | Michigan — 0.0% | | |
| b | Oakland University (LOC JPMorgan Chase Bank N.A.), 0.07% due 3/1/2031 (put 4/8/2021) | 2,190,000 | 2,190,000 |
| | Missouri — 0.2% | | |
| b | Kansas City (LOC Sumitomo Mitsui Banking), Series F, 0.08% due 4/15/2025 (put 4/8/2021) | 4,325,000 | 4,325,000 |
| b | Missouri Development Finance Board (Nelson Gallery Foundation; SPA U.S. Bank, N.A.), Series A, 0.06% due 12/1/2037 (put 4/1/2021) | 8,400,000 | 8,400,000 |
| b | State of Missouri Health & Educational Facilities Authority (SSM Health Care Corp.), Series D, 0.05% due 6/1/2036 (put 4/8/2021) | 1,155,000 | 1,155,000 |
| | New Hampshire — 0.4% | | |
| b | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA State Street Bank and Trust Co.), Series A1, 0.06% due 7/1/2035 (put 4/1/2021) | 7,620,000 | 7,620,000 |
| b | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA Wells Fargo Bank, N.A.), Series B, 0.05% due 7/1/2033 (put 4/1/2021) | 14,680,000 | 14,680,000 |
| | New Mexico — 1.0% | | |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group; SPA Wells Fargo Bank, N.A.), | | |
| b | Series C, 0.06% due 8/1/2034 (put 4/1/2021) | 31,715,000 | 31,715,000 |
| b | Series D, 0.06% due 8/1/2034 (put 4/1/2021) | 5,945,000 | 5,945,000 |
| | University of New Mexico (SPA U.S. Bank, N.A.), | | |
| b | 0.07% due 6/1/2026 (put 4/8/2021) | 2,940,000 | 2,940,000 |
| b | Series B, 0.07% due 6/1/2026 (put 4/8/2021) | 6,165,000 | 6,165,000 |
| b | Series C, 0.07% due 6/1/2030 (put 4/8/2021) | 9,770,000 | 9,770,000 |
| | New York — 2.9% | | |
| b | City of New York (LOC Sumitomo Mitsui Banking Corporation) GO, Series A-4, 0.05% due 10/1/2041 (put 4/8/2021) | 4,825,000 | 4,825,000 |
| b | City of New York (SPA Barclays Bank plc) GO, Series B-4, 0.06% due 10/1/2046 (put 4/1/2021) | 13,190,000 | 13,190,000 |
| b | City of New York Muncipal Water Finance Athority Water And Sewer System Revenue, 0.07% due 6/15/2045 (put 4/1/2021) | 31,700,000 | 31,700,000 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA JPMorgan Chase Bank, N.A.), | | |
| b | Series A-4, 0.06% due 8/1/2039 (put 4/1/2021) | 9,500,000 | 9,500,000 |
| b | Series E4, 0.06% due 2/1/2045 (put 4/1/2021) | 29,270,000 | 29,270,000 |
| b | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA MIZUHO Bank Ltd.), Series A-4, 0.07% due 8/1/2043 (put 4/1/2021) | 9,880,000 | 9,880,000 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA U.S. Bank, N.A.), | | |
| b | Series A-5, 0.07% due 8/1/2039 (put 4/1/2021) | 1,100,000 | 1,100,000 |
| b | Series B-5, 0.07% due 8/1/2042 (put 4/1/2021) | 3,570,000 | 3,570,000 |
| b | New York City Water & Sewer System (LOC Citibank N.A.), Series F, 0.07% due 6/15/2035 (put 4/1/2021) | 16,200,000 | 16,200,000 |
| b | New York City Water & Sewer System (SPA Landesbank Hessen-Thuringen), Series BB-1, 0.07% due 6/15/2039 (put 4/1/2021) | 30,240,000 | 30,240,000 |
| b | New York City Water & Sewer System (SPA MIZUHO Bank Ltd.), Series A-1, 0.06% due 6/15/2044 (put 4/1/2021) | 1,965,000 | 1,965,000 |
| b | New York City Water & Sewer System (SPA U.S. Bank, N.A.), Series 3A, 0.07% due 6/15/2043 (put 4/1/2021) | 785,000 | 785,000 |
| b | New York State Energy Research & Development Authority (Consolidated Edison Co. of New York, Inc.; LOC Mizuho Bank Ltd.), Series A2, 0.05% due 5/1/2039 (put 4/8/2021) | 10,400,000 | 10,400,000 |
| b | Triborough Bridge & Tunnel Authority (LOC U.S. Bank, N.A.), Series 2005B-4C, 0.07% due 1/1/2031 (put 4/1/2021) | 11,585,000 | 11,585,000 |
| | North Carolina — 0.2% | | |
| | Charlotte-Mecklenburg Hospital Authority (Atrium Health Obligated Group; SPA JPMorgan Chase Bank, N.A.), | | |
| b | Series B, 0.06% due 1/15/2038 (put 4/1/2021) | 7,955,000 | 7,955,000 |
| b | Series C, 0.06% due 1/15/2037 (put 4/1/2021) | 1,230,000 | 1,230,000 |
| | Ohio — 0.0% | | |
| b | Ohio Higher Educational Facility Commission (Cleveland Clinic Health System Obligated Group; SPA U.S. Bank, N.A.), Series B-3, 0.05% due 1/1/2039 (put 4/1/2021) | 1,950,000 | 1,950,000 |
| | Pennsylvania — 0.2% | | |
| b | Hospitals & Higher Education Facilities Authority of Philadelphia (Children’s Hospital of Philadelphia Obligated Group; SPA Wells Fargo Bank, N.A.), Series B, 0.06% due 7/1/2025 (put 4/1/2021) | 10,000,000 | 10,000,000 |
| | Texas — 0.8% | | |
| b | Gulf Coast (Exxon Mobil Corp.) IDA, 0.05% due 11/1/2041 (put 4/1/2021) | 35,895,000 | 35,895,000 |
| b | San Antonio Education Facilities Corp. (Trinity University), 0.08% due 6/1/2033 (put 4/8/2021) | 10,800,000 | 10,800,000 |
42 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Utah — 0.2% | | |
| b | City of Murray (IHC Health Services, Inc. Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series B, 0.06% due 5/15/2037 (put 4/1/2021) | $ 7,355,000 | $ 7,355,000 |
| b | County of Utah (IHC Health Services, Inc. Obligated Group; SPA JPMorgan Chase Bank, N.A.), 0.09% due 5/15/2051 (put 4/8/2021) | 4,050,000 | 4,050,000 |
| | Virginia — 0.2% | | |
| | Loudoun County (Howard Hughes Medical Institute) EDA, | | |
| b | Series A, 0.04% due 2/15/2038 (put 4/8/2021) | 8,650,000 | 8,650,000 |
| b | Series E, 0.08% due 2/15/2038 (put 4/8/2021) | 730,000 | 730,000 |
| | Washington — 0.0% | | |
| b | Washington Higher Education Facilities Authority (Whitman College Kappa Alpha Theta Corp.; SPA JPMorgan Chase Bank, N.A.), 0.08% due 10/1/2029 (put 4/8/2021) | 970,000 | 970,000 |
| | Total Short-Term Municipal Bonds — 11.0% (Cost $650,215,000) | | 650,215,000 |
| | Total Investments — 99.1% (Cost $5,654,047,621) | | $5,870,531,946 |
| | Other Assets Less Liabilities — 0.9% | | 54,247,603 |
| | Net Assets — 100.0% | | $5,924,779,549 |
| Footnote Legend |
| a | Segregated as collateral for a when-issued security. |
| b | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| c | When-issued security. |
| d | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $5,000,000, representing 0.08% of the Fund’s net assets. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AGC | Insured by Assured Guaranty Corp. |
| AGM | Insured by Assured Guaranty Municipal Corp. |
| AMBAC | Insured by American Municipal Bond Assurance Corp. |
| BAM | Insured by Build America Mutual Insurance Co. |
| BHAC-CR | Berkshire Hathaway Assurance Corp. Custodial Receipts |
| COP | Certificates of Participation |
| DFA | Development Finance Authority |
| EDA | Economic Development Authority |
| EDC | Economic Development Corp. |
| ETM | Escrowed to Maturity |
| FGIC | Insured by Financial Guaranty Insurance Co. |
| FHLMC | Insured by Federal Home Loan Mortgage Corp. |
| FNMA | Collateralized by Federal National Mortgage Association |
| GNMA | Collateralized by Government National Mortgage Association |
| GO | General Obligation |
| GRT | Gross Receipts Tax |
| HFA | Health Facilities Authority |
| HFFA | Health Facilities Financing Authority |
| IDA | Industrial Development Authority |
| IDB | Industrial Development Board |
| IDC | Industrial Development Corp. |
| ISD | Independent School District |
| JEA | Jacksonville Electric Authority |
| LIBOR | London Interbank Offered Rates |
| LOC | Letter of Credit |
| MUNIPSA | Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | Guaranteed by Permanent School Fund |
| Q-SBLF | Insured by Qualified School Bond Loan Fund |
| SPA | Stand-by Purchase Agreement |
| USD | Unified School District |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 43 |
Schedule of Investments
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 94.8% | | |
| | Alameda County Joint Powers Authority (Alameda County Medical Center Highland Hospital), Series A, 5.00% due 12/1/2024 | $ 2,500,000 | $ 2,819,100 |
| | Alameda County Joint Powers Authority (Juvenile Justice), 5.00% due 12/1/2021 | 500,000 | 516,250 |
| | Alameda County Joint Powers Authority (Public Facilities Capital Projects), 5.00% due 12/1/2021 | 1,000,000 | 1,032,500 |
| | Anaheim Public Financing Authority (Public Improvements; Insured: AGM), Series C, Zero Coupon due 9/1/2022 | 3,000,000 | 2,987,610 |
| | Apple Valley Public Financing Authority (Insured: BAM), | | |
| | Series A, | | |
| | 3.00% due 6/1/2021 | 430,000 | 431,587 |
| | 4.00% due 6/1/2026 - 6/1/2028 | 990,000 | 1,163,536 |
| | Bay Area Toll Authority (San Francisco Bay Area Toll Bridge), | | |
| a | Series A, 2.95% due 4/1/2047 (put 4/1/2026) | 4,775,000 | 5,264,724 |
| a | Series G, 2.00% due 4/1/2053 (put 4/1/2024) | 1,500,000 | 1,557,585 |
| | Bonita (Educational Facilities) USD GO, 5.00% due 8/1/2024 (pre-refunded 8/1/2022) | 1,000,000 | 1,064,440 |
| | Brentwood Infrastructure Financing Authority (Residential Single Family Development; Insured: AGM), | | |
| | 5.00% due 11/1/2026 | 2,000,000 | 2,053,000 |
| | Series A, 5.00% due 9/2/2021 - 9/2/2023 | 4,460,000 | 4,838,353 |
| | California (Adventist Health System/West Obligated Group) HFFA, Series A, 4.00% due 3/1/2026 | 820,000 | 946,600 |
| | California (Cedars-Sinai Medical Center Obligated Group) HFFA, 5.00% due 8/15/2021 - 11/15/2024 | 2,650,000 | 2,892,167 |
| | California (Children’s Hospital Los Angeles Obligated Group) HFFA, Series A, 5.00% due 8/15/2030 | 2,190,000 | 2,645,410 |
| | California (Children’s Hospital Los Angeles) HFFA, Series A, 5.00% due 11/15/2023 | 1,835,000 | 1,964,074 |
| | California (Children’s Hospital of Orange County Obligated Group) HFFA, | | |
| | 5.00% due 11/1/2021 - 11/1/2028 | 3,510,000 | 4,178,471 |
| b | 5.00% due 11/1/2023 | 785,000 | 879,514 |
| a | California (Kaiser Foundation Hospitals) HFFA, Series C, 5.00% due 6/1/2041 (put 11/1/2029) | 2,000,000 | 2,633,520 |
| | California (Kaiser Permanente) HFFA, Series A-1, 5.00% due 11/1/2027 | 3,025,000 | 3,858,357 |
| | California (PIH Health, Inc. Obligated Group) HFFA, Series A, 5.00% due 6/1/2027 - 6/1/2030 | 3,315,000 | 4,284,352 |
| a | California (Providence St. Joseph Health Obligated Group) HFFA, 5.00% due 10/1/2039 (put 10/1/2027) | 3,000,000 | 3,782,850 |
| | California (St. Joseph Health System) HFFA, Series A, 5.00% due 7/1/2024 | 1,000,000 | 1,103,910 |
| | California (Sutter Health Obligated Group) HFFA, Series A, 4.00% due 8/15/2040 (pre-refunded 8/15/2025) | 1,000,000 | 1,151,890 |
| | California Infrastructure and Economic Development Bank (California Academy of Sciences), | | |
| a | Series A, 0.455% (LIBOR 1 Month + 0.38%) due 8/1/2047 (put 8/1/2021) | 180,000 | 180,044 |
| a | Series C, 0.455% (LIBOR 1 Month + 0.38%) due 8/1/2047 (put 8/1/2021) | 750,000 | 750,689 |
| a | Series D, 0.456% (LIBOR 1 Month + 0.38%) due 8/1/2047 (put 8/1/2021) | 6,000,000 | 5,999,256 |
| | California Infrastructure and Economic Development Bank (The Scripps Research Institute), 5.00% due 7/1/2024 - 7/1/2027 | 850,000 | 1,011,568 |
| | California Municipal Finance Authority (Biola University Residential Hall and Parking Structure), 5.00% due 10/1/2021 - 10/1/2023 | 555,000 | 586,311 |
| | California Municipal Finance Authority (Biola University), 5.00% due 10/1/2021 - 10/1/2027 | 2,610,000 | 2,968,160 |
| | California Municipal Finance Authority (Biola University, Inc.), 5.00% due 10/1/2030 | 1,000,000 | 1,197,960 |
| | California Municipal Finance Authority (Collegiate Housing Foundation Davis-I, LLC-West Village; Insured: BAM), 5.00% due 5/15/2028 | 2,905,000 | 3,629,507 |
| a,c | California Pollution Control Financing Authority (Republic Services, Inc.) AMT, 0.20% due 11/1/2042 (put 4/15/2021) | 1,500,000 | 1,500,000 |
| a | California Pollution Control Financing Authority (Waste Management, Inc.) AMT, Series A, 2.50% due 11/1/2038 (put 5/1/2024) | 2,000,000 | 2,121,060 |
| a | California Pollution Control Financing Authority AMT, Series A, 2.50% due 7/1/2031 (put 5/1/2024) | 1,125,000 | 1,138,095 |
| | California School Cash Reserve Program Authority, Series A, 2.00% due 6/30/2021 | 3,000,000 | 3,013,440 |
| | California State Public Works Board (California School for the Deaf Riverside Campus), Series H, 5.00% due 4/1/2022 | 565,000 | 592,035 |
| | California State Public Works Board (Correctional and Rehabilitation Facilities), | | |
| | Series A, 5.00% due 9/1/2022 - 9/1/2024 | 13,780,000 | 15,121,131 |
| | Series G, 5.00% due 11/1/2022 | 1,500,000 | 1,614,015 |
| | California State Public Works Board (Judicial Council Projects), | | |
| | Series A, 5.00% due 3/1/2023 - 3/1/2024 | 2,400,000 | 2,618,302 |
| | Series D, 5.00% due 12/1/2021 - 12/1/2022 | 4,300,000 | 4,437,637 |
| | California State Public Works Board (Laboratory Facility and San Diego Courthouse), Series I, 5.00% due 11/1/2023 - 11/1/2024 | 7,000,000 | 7,851,740 |
| | California State Public Works Board (Yuba City Courthouse), Series D, 5.00% due 6/1/2022 | 1,950,000 | 2,058,595 |
| a | California Statewide Communities Development Authority (Adventist Health System/West Obligated Group), Series A, 5.00% due 3/1/2037 (put 3/1/2027) | 2,000,000 | 2,428,620 |
| | California Statewide Communities Development Authority (CHF-Irvine, LLC), Series A, 5.00% due 5/15/2027 | 500,000 | 607,545 |
| | California Statewide Communities Development Authority (Cottage Health System), 5.00% due 11/1/2025 (pre-refunded 11/1/2024) | 135,000 | 157,176 |
| | California Statewide Communities Development Authority (Cottage Health System) ETM, | | |
| | 4.00% due 11/1/2021 | 150,000 | 153,186 |
| | 5.00% due 11/1/2022 - 11/1/2024 | 475,000 | 533,564 |
| | California Statewide Communities Development Authority (Irvine East Campus Apartments), 5.00% due 5/15/2021 - 5/15/2027 | 2,760,000 | 3,041,977 |
| a | California Statewide Communities Development Authority (Kaiser Foundation Hospitals), Series 2003-D, 5.00% due 5/1/2033 (put 11/1/2029) | 3,500,000 | 4,609,640 |
| | California Statewide Communities Development Authority (Methodist Hospital of Southern California Obligated Group), 5.00% due 1/1/2022 - 1/1/2024 | 960,000 | 1,030,868 |
| a | California Statewide Communities Development Authority (Southern California Edison Company), 2.625% due 11/1/2033 (put 12/1/2023) | 4,895,000 | 5,177,882 |
| | California Statewide Communities Development Authority (Sutter Health Obligated Group), Series A, 5.00% due 8/15/2024 (pre-refunded 8/15/2022) | 535,000 | 570,080 |
44 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | Calipatria (Educational Facilities; Insured: ACA) USD GO, Series B, Zero Coupon due 8/1/2025 | $ 3,860,000 | $ 3,318,519 |
| | Carson Redevelopment Successor Agency (Redevelopment Project Area No 1; Insured: AGM), Series A, 5.00% due 10/1/2026 | 500,000 | 576,345 |
| | CDC Successor Agency of the City of Santee (Redevelopment and Low and Moderate Income Housing; Insured: BAM), Series A, 5.00% due 8/1/2025 | 550,000 | 650,303 |
| | Chula Vista Elementary School District GO, Series A, 2.00% due 8/1/2021 | 4,000,000 | 4,025,120 |
| | City and County of San Francisco (525 Golden Gate Avenue-Public Utilities Commission Office Project) COP, Series C, 5.00% due 11/1/2022 | 700,000 | 702,576 |
| | City of Antioch Public Financing Authority (Municipal Facilities Project), 5.00% due 5/1/2022 - 5/1/2024 | 1,400,000 | 1,554,569 |
| | City of Chula Vista (Police Facility Project) COP, 5.00% due 10/1/2024 | 1,700,000 | 1,952,314 |
| | City of Chula Vista Financing Authority (Infrastructure, Facilities and Equipment), 5.00% due 5/1/2026 - 5/1/2027 | 3,500,000 | 4,236,600 |
| | City of Clovis (Water System Facilities; Insured: BAM), 5.00% due 3/1/2022 - 3/1/2023 | 1,720,000 | 1,839,330 |
| | City of Delano (Central California Foundation for Health) COP, 5.00% due 1/1/2024 (pre-refunded 1/1/2023) | 270,000 | 292,658 |
| | City of Los Angeles CA, 4.00% due 6/24/2021 | 11,500,000 | 11,595,795 |
| | City of Manteca (Water Supply System), 5.00% due 7/1/2021 - 7/1/2023 | 1,650,000 | 1,699,118 |
| | City of Norco CA, 5.00% due 9/1/2025 | 1,000,000 | 1,196,630 |
| | City of San Jose Financing Authority (Civic Center Project), Series A, 5.00% due 6/1/2024 (pre-refunded 6/1/2023) | 750,000 | 827,497 |
| | City of San Jose Financing Authority (Civic Center Project) ETM, | | |
| | Series A, | | |
| | 4.00% due 6/1/2021 | 1,000,000 | 1,005,890 |
| b | 5.00% due 6/1/2022 | 745,000 | 785,819 |
| | 5.00% due 6/1/2023 | 1,000,000 | 1,101,030 |
| | Compton (Insured: BAM) USD GO, Series B, 5.00% due 6/1/2028 - 6/1/2029 | 1,625,000 | 2,018,290 |
| | Contra Costa County Schools Pooled Notes, Series A, 2.00% due 12/1/2021 | 2,000,000 | 2,016,720 |
| | Contra Costa Transportation Authority, | | |
| | Series A, | | |
| a | 0.331% (LIBOR 1 Month + 0.25%) due 3/1/2034 (put 9/1/2021) | 7,500,000 | 7,500,922 |
| | 5.00% due 3/1/2022 | 850,000 | 887,349 |
| | Coronado Community Development Agency Successor Agency, Series A, 5.00% due 9/1/2022 | 585,000 | 620,931 |
| | County of Los Angeles CA, Series A, 4.00% due 6/30/2021 | 15,000,000 | 15,137,700 |
| | County of Los Angeles Redevelopment Refunding Authority (Bunker Hill Project), Series C, 5.00% due 6/1/2022 - 6/1/2024 | 2,500,000 | 2,729,420 |
| | Dinuba (CAP APPREC; Insured: AGM) USD GO, Zero Coupon due 8/1/2030 | 460,000 | 385,489 |
| | Downey Public Financing Authority (Public Capital Improvements), 5.00% due 12/1/2025 - 12/1/2027 | 1,445,000 | 1,783,205 |
| | Elk Grove Finance Authority (Poppy Ridge CFD No. 2003-1 and East Franklin CFD No. 2002-1), 5.00% due 9/1/2021 - 9/1/2025 | 1,200,000 | 1,332,072 |
| | Emeryville Redevelopment Agency (Emeryville and Shellmound Park Projects; Insured: AGM), Series A, 5.00% due 9/1/2022 - 9/1/2024 | 9,095,000 | 10,122,174 |
| | Escondido (Wastewater System), Series A, 5.00% due 9/1/2021 | 250,000 | 254,930 |
| | Fontana Redevelopment Agency Successor Agency, Series A, 5.00% due 10/1/2021 | 3,975,000 | 4,069,486 |
| | Fresno USD GO, | | |
| | Series C, | | |
| | 3.00% due 8/1/2021 | 1,770,000 | 1,786,815 |
| | 4.00% due 8/1/2026 - 8/1/2027 | 725,000 | 859,632 |
| | Fullerton Redevelopment Agency Successor Agency, Series A, 4.00% due 9/1/2021 | 700,000 | 710,444 |
| | Fullerton Redevelopment Agency Successor Agency (Insured: BAM), Series A, 4.00% due 9/1/2022 - 9/1/2025 | 3,050,000 | 3,317,065 |
| | Glendale Community College District GO, Series B, 3.00% due 8/1/2021 | 525,000 | 530,072 |
| | Grossmont Healthcare District GO, Series D, 5.00% due 7/15/2022 | 960,000 | 1,021,037 |
| | Guam Power Authority (Electric Power System), Series A, 5.00% due 10/1/2027 | 1,230,000 | 1,477,968 |
| | Guam Power Authority (Electric Power System; Insured: AGM), Series A, 5.00% due 10/1/2021 | 1,275,000 | 1,300,627 |
| | Guam Waterworks Authority (Water and Wastewater System), 5.00% due 7/1/2021 - 7/1/2027 | 2,760,000 | 3,100,520 |
| | Hacienda La Puente (Educational Facilities; Insured: AGM) USD COP, 5.00% due 6/1/2022 - 6/1/2025 | 2,755,000 | 3,154,296 |
| | Hemet (Insured: AGM) USD GO, Series A, 5.00% due 8/1/2021 | 650,000 | 660,036 |
| | Jurupa Public Financing Authority (Insured: BAM), Series A, 5.00% due 9/1/2021 - 9/1/2025 | 3,220,000 | 3,545,286 |
| | La Canada USD GO, Series B, 4.00% due 8/1/2022 - 8/1/2024 | 680,000 | 737,829 |
| | La Quinta Redevelopment Agency (Redevelopment Project Areas No. 1 and 2), Series A, 5.00% due 9/1/2021 - 9/1/2023 | 4,500,000 | 4,822,520 |
| | La Quinta Redevelopment Agency Successor Agency, Series A, 4.00% due 9/1/2027 | 410,000 | 445,600 |
| | Liberty Union High School District GO, Series B, 4.00% due 8/1/2021 | 1,000,000 | 1,012,720 |
| | Lodi Public Financing Authority (City Police Building and Jail), 5.00% due 10/1/2021 - 10/1/2023 | 3,180,000 | 3,306,063 |
| | Los Altos Elementary School District, 3.00% due 7/15/2021 | 2,425,000 | 2,444,424 |
| | Los Angeles (Educational Facilities and Information Technology Infrastructure) USD GO, | | |
| | Series B, 5.00% due 7/1/2023 | 3,000,000 | 3,322,830 |
| | Series D, 5.00% due 7/1/2022 - 7/1/2024 | 5,750,000 | 6,371,435 |
| | Los Angeles (Insured: BAM) USD GO, Series B-1, 5.00% due 7/1/2029 | 2,500,000 | 3,179,400 |
| | Los Angeles County Schools Regionalized Business Services Corp. (Insured: AMBAC) COP, Series A, Zero Coupon due 8/1/2021 | 2,135,000 | 2,132,246 |
| | Los Angeles Department of Airports AMT, | | |
| | Series A, 5.00% due 5/15/2029 | 4,000,000 | 4,806,520 |
| | Series B, 5.00% due 5/15/2025 - 5/15/2026 | 10,220,000 | 12,241,604 |
| | Los Angeles Department of Water, Series A, 5.00% due 7/1/2027 | 1,600,000 | 2,022,064 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 45 |
Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | Los Angeles Department of Water and Power (Power System Capital Improvements), Series A, 5.00% due 7/1/2025 - 7/1/2026 | $ 800,000 | $ 959,235 |
| | Los Angeles USD GO, Series A, 5.00% due 7/1/2024 | 4,600,000 | 5,295,244 |
| | Lynwood (Insured: AGM) USD GO, 5.00% due 8/1/2023 | 1,000,000 | 1,107,630 |
| | Manteca Community Facilities District No. 1989-2 (Educational Facilities; Insured: AGM) USD, | | |
| | Series F, | | |
| b | 5.00% due 9/1/2021 | 750,000 | 764,430 |
| | 5.00% due 9/1/2023 | 500,000 | 555,140 |
| | Milpitas Redevelopment Agency (Redevelopment Project Area No. 1), 5.00% due 9/1/2025 | 2,300,000 | 2,741,945 |
| | Milpitas USD GO, 5.00% due 8/1/2021 | 585,000 | 594,383 |
| | Modesto CA Wastewater Revenue, Series B, 5.00% due 11/1/2027 - 11/1/2030 | 4,000,000 | 5,213,324 |
| | Modesto Irrigation District, 5.00% due 10/1/2021 | 225,000 | 230,470 |
| | Modesto Irrigation District (San Joaquin Valley Electric System), Series A, 5.00% due 7/1/2022 | 1,295,000 | 1,371,781 |
| | Moreno Valley Public Financing Authority (Public Improvements), 5.00% due 11/1/2024 | 1,455,000 | 1,685,879 |
| | Mount San Jacinto Community College District GO, Series B, 5.00% due 8/1/2021 | 350,000 | 355,628 |
| | Murrieta Valley Public Financing Authority (Educational Facilities; Insured: BAM) USD GO, 5.00% due 9/1/2023 | 1,080,000 | 1,204,546 |
| d | Norman Y Mineta San Jose International Airport SJC AMT, Series A, 5.00% due 3/1/2029 - 3/1/2031 | 1,545,000 | 1,989,044 |
| | North City West School Facilities Financing Authority (Carmel Valley; Insured: AGM), Series A, 5.00% due 9/1/2021 - 9/1/2022 | 4,415,000 | 4,607,429 |
| a | Northern California Energy Authority (Commodity Supply Revenue), Series A, 4.00% due 7/1/2049 (put 7/1/2024) | 5,000,000 | 5,560,200 |
| | Oakland (County of Alameda Educational Facilities) USD GO, Series A, 5.00% due 8/1/2022 - 8/1/2025 | 2,745,000 | 3,083,798 |
| | Oceanside (Insured: AGM) USD GO, Series F, 4.00% due 8/1/2021 - 8/1/2023 | 1,725,000 | 1,809,827 |
| | Palomar Pomerado Health (Insured: Natl-Re) GO, Series A, Zero Coupon due 8/1/2021 | 2,850,000 | 2,845,297 |
| | Pittsburg Successor Agency Redevelopment Agency (Insured: AGM), Series A, 5.00% due 9/1/2021 | 1,000,000 | 1,018,880 |
| | Pomona Public Financing Authority (Facilities Improvements; Insured: AGM), Series BC, 4.00% due 6/1/2024 - 6/1/2026 | 725,000 | 821,186 |
| | Rancho Santa Fe Community Services District Financing Authority, Series A, 5.00% due 9/1/2025 | 1,745,000 | 2,035,019 |
| | Redding CA Wastewater System Revenue, 5.00% due 6/1/2029 - 6/1/2031 | 2,760,000 | 3,688,954 |
| | Redevelopment Agency of the City of Rialto (Merged Project Area; Insured: BAM), Series A, 5.00% due 9/1/2023 - 9/1/2024 | 1,050,000 | 1,187,852 |
| | Riverside County Infrastructure Financing Authority (Capital Improvement Projects), Series A, 5.00% due 11/1/2021 | 500,000 | 513,995 |
| | Riverside County Office of Education Pooled Notes, Series A, 2.00% due 12/1/2021 | 2,000,000 | 2,024,280 |
| | Riverside County Public Financing Authority, 4.00% due 5/1/2021 | 295,000 | 295,817 |
| | Riverside County Public Financing Authority (Capital Facilities Project), 5.00% due 11/1/2021 - 11/1/2025 | 2,000,000 | 2,237,060 |
| | Riverside County Public Financing Authority (Riverside County), 5.00% due 11/1/2026 | 1,000,000 | 1,208,460 |
| | Riverside Financing Authority (Educational Facilities; Insured: BAM) USD, 5.00% due 9/1/2022 - 9/1/2025 | 1,245,000 | 1,423,331 |
| | Riverside Redevelopment Agency Successor Agency, Series A, 5.00% due 9/1/2022 | 600,000 | 640,656 |
| | Sacramento City (Educational Facilities Improvements) USD GO, 5.00% due 7/1/2021 | 3,600,000 | 3,639,456 |
| | Sacramento City (Educational Facilities Improvements; Insured: AGM) USD GO, 5.00% due 7/1/2021 - 7/1/2022 | 1,100,000 | 1,146,134 |
| | Sacramento City Schools Joint Power Financing Authority (Sacramento City USD Educational Facility Sublease; Insured: BAM), Series A, 5.00% due 3/1/2022 - 3/1/2025 | 4,530,000 | 5,000,284 |
| | Sacramento County (Insured: AGM) COP, 5.00% due 10/1/2026 - 10/1/2029 | 2,965,000 | 3,726,436 |
| | Sacramento County Sanitation Districts Financing Authority (Sacramento Regional County Sanitation District), | | |
| | 5.00% due 12/1/2031 | 1,000,000 | 1,377,700 |
| | Series A, 5.00% due 12/1/2027 - 12/1/2029 | 2,820,000 | 3,670,557 |
| a | Sacramento Municipal Utility District, Series A, 5.00% due 8/15/2049 (put 10/17/2023) | 600,000 | 657,396 |
| | Salinas Valley Solid Waste Authority (Insured: AGM) AMT , Series A, 5.00% due 8/1/2023 | 1,530,000 | 1,685,739 |
| | San Bernardino Redevelopment Agency Successor Agency (Insured: AGM), Series A, 5.00% due 12/1/2023 | 150,000 | 167,457 |
| | San Diego (Educational System Capital Projects) USD GO, Series R-3, 5.00% due 7/1/2023 - 7/1/2024 | 8,000,000 | 8,930,350 |
| | San Diego County Regional Airport Authority, | | |
| | 5.00% due 7/1/2029 - 7/1/2030 | 2,000,000 | 2,620,250 |
| | Series A, 5.00% due 7/1/2030 | 330,000 | 427,063 |
| | San Diego Redevelopment Agency Successor Agency, Series A, 5.00% due 9/1/2021 - 9/1/2028 | 350,000 | 398,012 |
| | San Diego USD, Series A, 5.00% due 6/30/2021 | 5,000,000 | 5,057,700 |
| | San Francisco City and County Airports Commission (San Francisco International Airport), REF-Series A, 5.00% due 5/1/2026 | 5,000,000 | 6,104,300 |
| | San Francisco City and County Airports Commission (San Francisco International Airport) AMT, REF-Series H, 5.00% due 5/1/2028 | 6,500,000 | 8,210,475 |
| | San Jose, Series A-1, 3.50% due 10/1/2021 | 25,000 | 25,354 |
| | San Jose Redevelopment Agency Successor Agency, Series B, 5.00% due 8/1/2021 | 500,000 | 507,710 |
| | San Mateo County Joint Powers Financing Authority (Maple Street Correctional Center), 5.00% due 6/15/2021 - 6/15/2023 | 1,995,000 | 2,119,451 |
| | Santa Clara County Financing Authority (Multiple Facilities Projects), Series P, 5.00% due 5/15/2025 | 6,755,000 | 8,035,005 |
| | Santa Margarita Water District (Talega Community Facilities), Series A, 5.00% due 9/1/2026 - 9/1/2027 | 1,050,000 | 1,294,404 |
| | Semitropic Water Storage Improvement District (Irrigation Water System; Insured: AGM), Series A, 5.00% due 12/1/2022 - 12/1/2027 | 3,535,000 | 4,141,289 |
| | South Bay/San Diego County USD GO, Zero Coupon due 8/1/2022 | 2,250,000 | 2,246,130 |
| | South Placer Wastewater Authority (Roseville), 5.00% due 11/1/2029 - 11/1/2030 | 700,000 | 924,779 |
| | Southern California Public Power Authority (Canyon Power Project), Series A, 5.00% due 7/1/2029 - 7/1/2030 | 2,750,000 | 3,211,285 |
| | Southern California Public Power Authority (Magnolia Power Project), 5.00% due 7/1/2022 | 2,795,000 | 2,964,852 |
| | Southwestern Community College District GO, Series B, 4.00% due 8/1/2024 - 8/1/2026 | 1,125,000 | 1,289,748 |
46 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | State of California Department of Water Resources Power Supply Revenue ETM, Series O, 5.00% due 5/1/2021 | $ 500,000 | $ 501,745 |
| | State of California GO, 5.00% due 11/1/2029 | 5,000,000 | 6,602,350 |
| | Stockton (Insured: BAM) USD GO, 5.00% due 8/1/2027 | 1,200,000 | 1,441,212 |
| | Stockton Public Financing Authority (Insured: BAM), 5.00% due 9/1/2021 | 100,000 | 101,889 |
| | Stockton Public Financing Authority (Stockton Water Revenue; Green Bond; Insured: BAM), Series A, 5.00% due 10/1/2021 - 10/1/2027 | 3,545,000 | 4,102,372 |
| | Stockton Public Financing Authority (Stockton Water Revenue; Insured: BAM), Series A, 5.00% due 10/1/2028 | 545,000 | 696,112 |
| | Successor Agency to the City of Colton Redevelopment Agency (Multiple Redevelopment Project Areas; Insured: BAM), 5.00% due 8/1/2021 - 8/1/2025 | 2,815,000 | 3,104,240 |
| | Successor Agency to the City of Riverside Redevelopment Agency (Multiple Redevelopment Project Areas), Series A, 5.00% due 9/1/2023 - 9/1/2024 | 2,985,000 | 3,370,575 |
| | Successor Agency to the City of San Diego Redevelopment Agency (Multiple Redevelopment Project Areas), Series A, 5.00% due 9/1/2025 - 9/1/2026 | 1,990,000 | 2,361,786 |
| | Successor Agency to the Commerce Community Development Commission (Multiple Redevelopment Project Areas; Insured: AGM), Series A, 5.00% due 8/1/2027 - 8/1/2030 | 3,315,000 | 4,045,196 |
| | Successor Agency to the Community Development Agency of the City of Menlo Park (Las Pulgas Community Development Project; Insured: AGM), 5.00% due 10/1/2022 - 10/1/2025 | 1,400,000 | 1,555,998 |
| | Successor Agency to the Community Redevelopment Agency of the City of Palmdale (Merged Redevelopment Project Areas), Series A, 5.00% due 9/1/2025 - 9/1/2026 | 1,000,000 | 1,216,458 |
| | Successor Agency to the Poway Redevelopment Agency (Paguay Redevelopment Project), Series A, 5.00% due 6/15/2025 | 4,665,000 | 5,524,806 |
| | Successor Agency to the Rancho Cucamonga Redevelopment Project (Rancho Redevelopment Project Area; Insured: AGM), 5.00% due 9/1/2023 - 9/1/2024 | 3,350,000 | 3,796,187 |
| | Successor Agency to the Redevelopment Agency of the City and County of San Francisco (San Francisco Redevelopment Projects), Series C, 5.00% due 8/1/2021 | 1,000,000 | 1,015,550 |
| | Successor Agency to the Redevelopment Agency of the City of San Mateo (Multiple Redevelopment Project Areas), Series A, 5.00% due 8/1/2025 | 425,000 | 505,355 |
| | Successor Agency to the Redevelopment Agency of the City of Stockton (Redevelopment of Midtown, North and South Stockton and Waterfront Areas; Insured: AGM), Series A, 5.00% due 9/1/2026 - 9/1/2027 | 2,000,000 | 2,419,090 |
| | Successor Agency to the Richmond County Redevelopment Agency (Joint Powers Financing Authority & Harbour Redevelopment Project; Insured: BAM), Series A, 5.00% due 9/1/2022 - 9/1/2024 | 1,250,000 | 1,381,469 |
| | Successor Agency to the Rosemead Community Development Commission (Rosemead Merged Project Area; Insured: BAM), 5.00% due 10/1/2021 - 10/1/2026 | 4,090,000 | 4,582,520 |
| | Temecula Valley Financing Authority (Educational Facilities; Insured: BAM) USD, 5.00% due 9/1/2021 - 9/1/2025 | 1,890,000 | 2,076,352 |
| | Temecula Valley Financing Authority (Insured: BAM) USD, 5.00% due 9/1/2027 | 2,220,000 | 2,589,341 |
| | Trustees of the California State University (Educational Facilities Improvements), Series A, 5.00% due 11/1/2026 | 1,000,000 | 1,221,730 |
| | Tulare County Transportation Authority, 5.00% due 2/1/2029 - 2/1/2030 | 3,135,000 | 4,164,169 |
| | Tulare Public Financing Authority (Insured: BAM), | | |
| | 4.00% due 4/1/2021 - 4/1/2022 | 525,000 | 534,065 |
| | 5.00% due 4/1/2023 - 4/1/2028 | 1,410,000 | 1,667,867 |
| | Turlock Public Financing Authority Water Revenue, 4.00% due 3/1/2027 | 4,500,000 | 4,569,840 |
| | University of California, Series AB, 5.00% due 5/15/2021 | 300,000 | 301,617 |
| | Val Verde (Insured: BAM) USD GO, Series A, 4.00% due 8/1/2021 - 8/1/2023 | 1,525,000 | 1,595,036 |
| | Ventura County Community College District GO, 5.00% due 8/1/2024 | 835,000 | 948,051 |
| | Ventura County Public Financing Authority (Office Building Purchase and Improvements), Series B, 5.00% due 11/1/2023 - 11/1/2024 | 1,560,000 | 1,751,862 |
| | Vista Redevelopment Agency (Vista Redevelopment Project; Insured: AGM), Series B1, 5.00% due 9/1/2021 - 9/1/2023 | 1,000,000 | 1,070,835 |
| | West Contra Costa (Insured: AGM) USD GO, | | |
| | Series E, 4.00% due 8/1/2021 - 8/1/2025 | 2,320,000 | 2,441,681 |
| | Series F, 4.00% due 8/1/2021 - 8/1/2024 | 4,230,000 | 4,426,041 |
| | West Contra Costa (Insured: Natl-Re) USD GO, Zero Coupon due 8/1/2028 | 160,000 | 145,312 |
| | William S. Hart Union High School District (Educational Facilities; Insured: AGM) GO, Series B, Zero Coupon due 9/1/2021 | 800,000 | 799,584 |
| | TOTAL LONG-TERM MUNICIPAL BONDS — 94.8% (Cost $484,425,593) | | $502,556,066 |
| | SHORT-TERM MUNICIPAL BONDS — 3.8% | | |
| a | California Municipal Finance Authority (Chevron USA, Inc.; Guaranty: Chevron Corp.), 0.04% due 11/1/2035 (put 4/1/2021) | 12,700,000 | 12,700,000 |
| a | Irvine Ranch Water District (LOC U.S. Bank, N.A.), Series A, 0.04% due 10/1/2041 (put 4/1/2021) | 1,990,000 | 1,990,000 |
| a | Los Angeles Department of Water & Power Power System Revenue (SPA Bank of America N.A.), Series A-3, 0.05% due 7/1/2035 (put 4/1/2021) | 500,000 | 500,000 |
| a | Los Angeles Department of Water (SPA UBS AG), Series A, 0.04% due 7/1/2035 (put 4/1/2021) | 1,700,000 | 1,700,000 |
| a | Metropolitan Water District of Southern California (SPA PNC Bank, N.A.), Series A, 0.05% due 7/1/2047 (put 4/1/2021) | 2,290,000 | 2,290,000 |
| a | Sacramento Suburban Water District (LOC Sumitomo Mitsui Banking) COP, Series A, 0.07% due 11/1/2034 (put 4/8/2021) | 1,100,000 | 1,100,000 |
| | TOTAL SHORT-TERM MUNICIPAL BONDS — 3.8% (Cost $20,280,000) | | $ 20,280,000 |
| | Total Investments — 98.6% (Cost $504,705,593) | | $522,836,066 |
| | Other Assets Less Liabilities — 1.4% | | 7,497,540 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 47 |
Schedule of Investments, Continued
Thornburg California Limited Term Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | Net Assets — 100.0% | | $530,333,606 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| b | Segregated as collateral for a when-issued security. |
| c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $1,500,000, representing 0.28% of the Fund’s net assets. |
| d | When-issued security. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| 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. |
| COP | Certificates of Participation |
| ETM | Escrowed to Maturity |
| GO | General Obligation |
| HFFA | Health Facilities Financing Authority |
| LIBOR | London Interbank Offered Rates |
| LOC | Letter of Credit |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| SPA | Stand-by Purchase Agreement |
| USD | Unified School District |
48 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 95.6% | | |
| | Albuquerque Bernalillo County Water Utility Authority, 5.00% due 7/1/2023 - 7/1/2024 | $ 65,000 | $ 73,053 |
| | Albuquerque Bernalillo County Water Utility Authority (2005 NMFA Loan and Joint Water and Sewer System Improvements), Series A, 5.00% due 7/1/2026 | 2,000,000 | 2,297,620 |
| | Albuquerque Bernalillo County Water Utility Authority (2007 NMFA Loan and Joint Water and Sewer System Improvements), 5.00% due 7/1/2031 - 7/1/2032 | 1,500,000 | 1,774,300 |
| | Albuquerque Municipal School District No. 12 (Bernalillo and Sandoval Counties School Facilities) (State Aid Withholding) GO, | | |
| | 5.00% due 8/1/2031 - 8/1/2034 | 2,260,000 | 2,781,884 |
| | Series A, 4.00% due 8/1/2029 | 1,300,000 | 1,409,356 |
| | Albuquerque Municipal School District No. 12 (State Aid Withholding) GO, | | |
| | Series A, | | |
| | 4.00% due 8/1/2030 - 8/1/2031 | 650,000 | 786,320 |
| | 5.00% due 8/1/2027 - 8/1/2029 | 1,100,000 | 1,403,803 |
| | Bernalillo County (Government Services), | | |
| | 5.25% due 4/1/2027 | 300,000 | 353,625 |
| | Series B, 5.70% due 4/1/2027 | 3,000,000 | 3,598,290 |
| | Bernalillo County (Government Services; Insured: AMBAC), 5.25% due 10/1/2022 - 10/1/2025 | 8,295,000 | 9,513,189 |
| | Bernalillo County (Government Services; Insured: Natl-IBC), | | |
| | Series B, | | |
| | 5.00% due 4/1/2021 | 660,000 | 660,000 |
| | 5.70% due 4/1/2027 | 815,000 | 975,539 |
| | Bernalillo County GO, Series A, 4.00% due 8/15/2022 | 100,000 | 105,290 |
| | Bernalillo Municipal School District No. 1 (State Aid Withholding) GO, | | |
| | 3.00% due 8/1/2022 | 200,000 | 207,338 |
| | 4.00% due 8/1/2021 - 8/1/2026 | 470,000 | 511,625 |
| | Central New Mexico Community College (Campus Buildings Acquisition & Improvements) GO, | | |
| | 4.00% due 8/15/2023 | 1,920,000 | 1,946,957 |
| | Series A, 5.00% due 8/15/2021 - 8/15/2022 | 2,535,000 | 2,633,036 |
| | City of Albuquerque , Series A, 4.00% due 7/1/2037 (pre-refunded 7/1/2023) | 120,000 | 130,171 |
| | City of Albuquerque (City Infrastructure Improvements), | | |
| | Series A, | | |
| | 4.00% due 7/1/2035 | 2,070,000 | 2,464,459 |
| | 5.00% due 7/1/2025 - 7/1/2034 | 2,500,000 | 2,951,957 |
| | City of Albuquerque (City Infrastructure Improvements) GO, Series A, 5.00% due 7/1/2026 | 870,000 | 1,065,367 |
| | City of Albuquerque (I-25/Paseo del Norte Interchange), 5.00% due 7/1/2025 - 7/1/2027 (pre-refunded 7/1/2023) | 1,095,000 | 1,212,252 |
| | City of Albuquerque GO, | | |
| | Series A, | | |
| | 4.00% due 7/1/2021 | 855,000 | 862,943 |
| | 5.00% due 7/1/2022 | 600,000 | 635,910 |
| | City of Albuquerque Refuse Removal & Disposal Revenue, 5.00% due 7/1/2030 - 7/1/2038 | 1,510,000 | 1,955,420 |
| a | City of Farmington (Public Service Co. of New Mexico), Series D, 1.10% due 6/1/2040 (put 6/1/2023) | 3,500,000 | 3,548,475 |
| | City of Las Cruces (Joint Utility System), Series A, 4.00% due 6/1/2021 - 6/1/2025 | 2,215,000 | 2,410,446 |
| | City of Las Cruces GO, 5.00% due 8/1/2021 | 1,500,000 | 1,523,625 |
| | City of Roswell, 4.00% due 8/1/2029 | 260,000 | 308,792 |
| | City of Roswell (Joint Water and Sewer Improvement; Insured: BAM), 5.00% due 6/1/2026 - 6/1/2036 | 2,050,000 | 2,455,681 |
| | City of Santa Fe, Series A, 5.00% due 6/1/2034 - 6/1/2038 | 1,870,000 | 2,298,125 |
| | City of Santa Fe (El Castillo Retirement Residences), 4.50% due 5/15/2027 | 3,275,000 | 3,323,634 |
| | City of Santa Fe (Public Facilities) GRT, 5.00% due 6/1/2028 - 6/1/2029 | 1,880,000 | 2,151,507 |
| | County of Sandoval GO, 5.00% due 8/1/2025 - 8/1/2029 | 2,015,000 | 2,487,888 |
| | County of Santa Fe GO, 5.00% due 7/1/2021 - 7/1/2024 | 950,000 | 1,077,486 |
| | Guam Power Authority (Electric Power System; Insured: AGM), Series A, 5.00% due 10/1/2026 | 2,000,000 | 2,119,360 |
| | Guam Waterworks Authority (Water and Wastewater System), 5.00% due 7/1/2035 - 7/1/2037 | 2,200,000 | 2,590,638 |
| | Las Cruces School District No. 2 (State Aid Withholding) GO, | | |
| | 5.00% due 8/1/2025 - 8/1/2028 | 3,800,000 | 4,642,216 |
| | Series C, 5.00% due 8/1/2024 | 425,000 | 485,465 |
| | New Mexico Educational Assistance Foundation (Student Loans), Series A-1, 5.00% due 12/1/2022 | 3,000,000 | 3,010,800 |
| | New Mexico Finance Authority, | | |
| | Series B, 5.00% due 6/1/2032 - 6/1/2033 | 4,125,000 | 5,300,361 |
| | Series D, 5.00% due 6/15/2029 - 6/1/2033 | 995,000 | 1,252,055 |
| | New Mexico Finance Authority (New Mexico Finance Authority Public Project Revolving Fund), | | |
| | 4.00% due 6/1/2021 | 100,000 | 100,607 |
| | 5.00% due 6/15/2022 | 150,000 | 158,699 |
| | New Mexico Finance Authority (State Highway Infrastructure), Series A, 5.00% due 6/15/2026 - 6/15/2027 | 2,415,000 | 2,765,260 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 49 |
Schedule of Investments, Continued
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | New Mexico Finance Authority (State of New Mexico Department of Transportation), Series A, 5.00% due 6/15/2024 | $2,000,000 | $ 2,299,200 |
| | New Mexico Finance Authority (The Public Project Revolving Fund Program), | | |
| | 5.00% due 6/1/2038 | 1,150,000 | 1,456,026 |
| | Series A, 5.00% due 6/15/2031 | 1,000,000 | 1,184,450 |
| | Series C, 5.00% due 6/1/2024 | 55,000 | 55,418 |
| | New Mexico Hospital Equipment Loan Council (Haverland Carter Lifestyle Obligated Group), | | |
| | 5.00% due 7/1/2032 | 1,000,000 | 1,041,820 |
| | Series A, 5.00% due 7/1/2032 - 7/1/2034 | 1,310,000 | 1,498,130 |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group), | | |
| | 5.00% due 8/1/2031 | 1,750,000 | 2,129,611 |
| | Series A, 5.00% due 8/1/2036 - 8/1/2038 | 2,955,000 | 3,707,454 |
| | New Mexico Hospital Equipment Loan Council (San Juan Regional Medical Center, Inc.), 5.00% due 6/1/2021 - 6/1/2031 | 1,440,000 | 1,782,846 |
| | New Mexico Housing Authority (El Paseo Apartments; Insured: AMBAC) AMT, Series A, 5.30% due 12/1/2022 | 10,000 | 10,025 |
| | New Mexico Institute of Mining and Technology (Campus Buildings Acquisition & Improvements), 5.00% due 7/1/2023 - 7/1/2028 | 3,215,000 | 3,249,838 |
| | New Mexico Institute of Mining and Technology (Campus Buildings Acquisition & Improvements; Insured: AGM), 4.00% due 12/1/2035 - 12/1/2040 | 2,595,000 | 2,994,088 |
| | New Mexico Mortgage Finance Authority (Collateralized: GNMA, FNMA, FHLMC), | | |
| | Series C, 2.85% due 7/1/2031 | 605,000 | 642,879 |
| | Series F, | | |
| | 2.60% due 7/1/2034 | 610,000 | 647,234 |
| | 2.85% due 7/1/2039 | 1,580,000 | 1,656,851 |
| | 3.50% due 7/1/2050 | 935,000 | 1,026,293 |
| | New Mexico Mortgage Finance Authority (NIBP SFM Loan Program; Collateralized: GNMA, FNMA, FHLMC), Series I, 4.625% due 3/1/2028 | 410,000 | 415,920 |
| | New Mexico Municipal Energy Acquisition Authority, | | |
| | Series A, | | |
| | 4.00% due 5/1/2024 | 250,000 | 277,033 |
| a | 5.00% due 11/1/2039 (put 5/1/2025) | 1,500,000 | 1,754,325 |
| | Regents of New Mexico State University (Campus Buildings Acquisition & Improvements), Series A, 5.00% due 4/1/2032 - 4/1/2036 | 5,935,000 | 7,114,163 |
| | Regents of New Mexico State University (Campus Buildings Acquisition & Improvements; Insured: BAM), Series A, 5.00% due 4/1/2030 | 1,440,000 | 1,793,779 |
| | Regents of the University of New Mexico (Campus Buildings Acquisition & Improvements), | | |
| | Series A, | | |
| | 4.50% due 6/1/2034 - 6/1/2036 | 4,500,000 | 5,094,690 |
| | 6.00% due 6/1/2021 | 50,000 | 50,420 |
| | San Juan County (County Capital Improvements), Series B, 5.00% due 6/15/2028 - 6/15/2030 | 2,645,000 | 2,996,745 |
| | Santa Fe County (County Buildings & Facilities) GRT, Series A, 5.00% due 6/1/2026 - 6/1/2027 | 940,000 | 1,105,764 |
| | Santa Fe County (County Correctional System; Insured: AGM), 6.00% due 2/1/2027 | 1,100,000 | 1,280,532 |
| | Santa Fe Gasoline Tax, 5.00% due 6/1/2024 - 6/1/2028 | 1,540,000 | 1,866,334 |
| | Santa Fe Public School District GO, 5.00% due 8/1/2021 - 8/1/2030 | 1,500,000 | 1,692,412 |
| | State of New Mexico GO, 5.00% due 3/1/2029 | 2,000,000 | 2,602,180 |
| | State of New Mexico Severance Tax Permanent Fund, | | |
| | 5.00% due 7/1/2022 - 7/1/2028 | 665,000 | 810,950 |
| | Series A, 5.00% due 7/1/2025 - 7/1/2030 | 2,790,000 | 3,425,955 |
| | Series B, 4.00% due 7/1/2021 | 755,000 | 762,022 |
| | Town of Silver City (Public Facility Capital Projects), | | |
| | Series A, | | |
| | 4.00% due 6/1/2029 | 1,000,000 | 1,005,190 |
| | 4.25% due 6/1/2032 | 1,050,000 | 1,055,817 |
| | Village of Los Ranchos de Albuquerque (Albuquerque Academy), 5.00% due 9/1/2029 - 9/1/2032 | 1,330,000 | 1,657,246 |
| | Zuni Public School District (Teacher Housing Projects), 5.00% due 8/1/2028 | 1,600,000 | 1,697,296 |
| | TOTAL LONG-TERM MUNICIPAL BONDS — 95.6% (Cost $142,491,612) | | $150,161,760 |
| | SHORT-TERM MUNICIPAL BONDS — 2.3% | | |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group; SPA Wells Fargo Bank, N.A.), | | |
| a | Series C, 0.06% due 8/1/2034 (put 4/1/2021) | 935,000 | 935,000 |
| a | Series D, 0.06% due 8/1/2034 (put 4/1/2021) | 835,000 | 835,000 |
| | University of New Mexico (SPA U.S. Bank, N.A.), | | |
| a | 0.07% due 6/1/2026 (put 4/8/2021) | 325,000 | 325,000 |
| a | Series C, 0.07% due 6/1/2030 (put 4/8/2021) | 1,500,000 | 1,500,000 |
| | TOTAL SHORT-TERM MUNICIPAL BONDS — 2.3% (Cost $3,595,000) | | $ 3,595,000 |
| | Total Investments — 97.9% (Cost $146,086,612) | | $153,756,760 |
| | Other Assets Less Liabilities — 2.1% | | 3,230,720 |
50 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg New Mexico Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | Net Assets — 100.0% | | $156,987,480 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
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 |
| GRT | Gross Receipts Tax |
| Natl-IBC | Insured by National Public Finance Gurantee Corp. and IBC Bank |
| SPA | Stand-by Purchase Agreement |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 51 |
Schedule of Investments
Thornburg New York Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 97.2% | | |
| | City of New York (City Budget Financial Management) GO, Series G, 5.00% due 8/1/2030 | $1,000,000 | $ 1,124,010 |
| | City of New York GO, | | |
| | Series A, 5.00% due 8/1/2039 | 1,000,000 | 1,241,490 |
| | Series F1, 5.00% due 4/1/2037 | 940,000 | 1,147,157 |
| | Erie County Fiscal Stability Authority, Series D, 5.00% due 9/1/2034 | 850,000 | 1,032,911 |
| | Guam Waterworks Authority (Water and Wastewater System), 5.00% due 7/1/2028 - 7/1/2036 | 1,500,000 | 1,721,410 |
| | Hempstead Town Local Development Corp. (Hofstra University), 5.00% due 7/1/2028 | 500,000 | 505,360 |
| | Hudson Yards Infrastructure Corp. (Hudson Yards Subway Station), Series A, 5.00% due 2/15/2035 | 1,000,000 | 1,198,600 |
| | Long Island Power Authority (Electric System Capital Improvements; Insured: AGC), Series C, 5.25% due 9/1/2029 | 645,000 | 852,516 |
| | Metropolitan Transportation Authority, Series D-1, 5.00% due 11/15/2031 | 1,000,000 | 1,175,100 |
| | Metropolitan Transportation Authority (Transit and Commuter System), Series B-1, 5.00% due 5/15/2022 | 600,000 | 628,248 |
| | Monroe County (Monroe Community College Association, Inc.; Insured: AGM) IDC, 5.00% due 1/15/2028 - 1/15/2029 | 550,000 | 607,908 |
| | Monroe County (Rochester City School District) (State Aid Withholding) IDC, 5.00% due 5/1/2033 | 620,000 | 768,868 |
| | Nassau County (Insured: BAM) GO, Series B, 5.00% due 4/1/2026 | 1,000,000 | 1,095,830 |
| | Nassau County Sewer & Storm Water Finance Authority (Sewerage and Storm Water Resource Facilities), Series A, 5.00% due 10/1/2021 - 10/1/2031 | 1,675,000 | 1,899,741 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue, | | |
| | Series A1, 5.00% due 8/1/2038 | 1,000,000 | 1,224,560 |
| | Series A2, 5.00% due 5/1/2039 | 1,000,000 | 1,236,170 |
| | New York State Dormitory Authority, Series A, 5.00% due 2/15/2032 | 1,000,000 | 1,222,620 |
| | New York State Dormitory Authority (Barnard College), Series A, 4.00% due 7/1/2024 - 7/1/2025 | 350,000 | 394,649 |
| | New York State Dormitory Authority (Columbia University Teachers College), Series A, 5.00% due 7/1/2027 | 750,000 | 792,502 |
| | New York State Dormitory Authority (Green Bond-Cornell University), Series D, 5.00% due 7/1/2036 | 500,000 | 739,155 |
| | New York State Dormitory Authority (Metropolitan Transportation Authority & State Urban Development Corp.), Series A, 5.00% due 12/15/2027 | 1,500,000 | 1,619,940 |
| | New York State Dormitory Authority (Northwell Health Obligated Group), Series A, 5.00% due 5/1/2033 | 100,000 | 125,309 |
| | New York State Dormitory Authority (School District Financing Program) (State Aid Withholding), Series C, 5.00% due 10/1/2023 | 575,000 | 640,699 |
| | New York State Dormitory Authority (School District Financing Program; Insured: AGM) (State Aid Withholding), | | |
| | Series A, 5.00% due 10/1/2028 | 200,000 | 229,380 |
| | Series H, | | |
| | 5.00% due 10/1/2024 | 480,000 | 491,021 |
| | 5.00% due 10/1/2024 (pre-refunded 10/1/2021) | 520,000 | 532,449 |
| | New York State Dormitory Authority (St. John’s University; Insured: Natl-Re), Series C, 5.25% due 7/1/2022 | 1,000,000 | 1,060,530 |
| | New York State Dormitory Authority (State Aid Withholding), Series A, 5.00% due 10/1/2033 | 100,000 | 120,655 |
| | New York State Dormitory Authority (State of New York Personal Income Tax Revenue), Series D, 4.00% due 2/15/2040 | 500,000 | 576,600 |
| | New York State Dormitory Authority (State of New York Sales Tax Revenue), Series A, 5.00% due 3/15/2033 | 500,000 | 607,935 |
| | New York State Environmental Facilities Corp. (State of New York State Revolving Fund), 5.00% due 5/15/2025 - 6/15/2038 | 1,500,000 | 1,601,931 |
| | New York State Thruway Authority, | | |
| | Series J, 5.00% due 1/1/2033 | 325,000 | 363,360 |
| | Series N, 5.00% due 1/1/2035 | 250,000 | 314,847 |
| | Oneida County Local Development Corp. (Utica College), 5.00% due 7/1/2025 - 7/1/2032 | 855,000 | 971,694 |
| | Onondaga Civic Development Corp. (State University of New York Upstate Medical University), 5.50% due 12/1/2031 (pre-refunded 12/1/2021) | 1,000,000 | 1,035,310 |
| | Port Authority of New York & New Jersey AMT, 5.00% due 11/1/2039 | 200,000 | 245,656 |
| | Sales Tax Asset Receivable Corp. (New York Local Government Assistance Corp.), Series A, 5.00% due 10/15/2029 - 10/15/2031 | 2,250,000 | 2,598,813 |
| | State of New York Mortgage Agency, Series 223, 2.65% due 10/1/2034 | 450,000 | 466,929 |
| | Syracuse Industrial Development Agency (Syracuse City School District) (State Aid Withholding), 5.25% due 5/1/2026 | 2,150,000 | 2,157,847 |
| | Tompkins County Development Corp. (Ithaca College Project), 5.00% due 7/1/2034 - 7/1/2037 | 820,000 | 977,863 |
| | Town of Hempstead, 5.00% due 8/15/2025 | 250,000 | 298,778 |
| | Triborough Bridge & Tunnel Authority, Series D, 5.00% due 11/15/2033 | 250,000 | 328,702 |
| | Triborough Bridge & Tunnel Authority (MTA Bridges and Tunnels) GO, | | |
| | Series A, | | |
| | 5.00% due 11/15/2028 (pre-refunded 5/15/2024) | 1,000,000 | 1,145,860 |
| | 5.00% due 11/15/2029 | 1,000,000 | 1,139,730 |
| | Troy Capital Resource Corp. (Rensselaer Polytechnic Institute), Series A, 5.00% due 9/1/2038 | 250,000 | 313,580 |
| | Utility Debt Securitization Authority, Series A, 5.00% due 12/15/2026 | 350,000 | 407,732 |
| | Utility Debt Securitization Authority (Long Island Power Authority-Electric Service), Series TE, 5.00% due 12/15/2029 - 12/15/2030 | 2,000,000 | 2,244,210 |
| | West Seneca Central School District (Facilities Improvements; Insured: BAM) (State Aid Withholding) GO, 5.00% due 11/15/2023 | 1,300,000 | 1,450,735 |
| | Westchester County Local Development Corp. (Miriam Osborn Memorial Home Association Obligated Group), 5.00% due 7/1/2029 - 7/1/2034 | 450,000 | 516,013 |
| | TOTAL LONG-TERM MUNICIPAL BONDS — 97.2% (Cost $42,787,783) | | $45,192,913 |
| | SHORT-TERM MUNICIPAL BONDS — 1.3% | | |
| a | New York City Water & Sewer System (SPA JPMorgan Chase Bank, N.A.), Series AA2, 0.06% due 6/15/2050 (put 4/1/2021) | 600,000 | 600,000 |
| | TOTAL SHORT-TERM MUNICIPAL BONDS — 1.3% (Cost $600,000) | | $ 600,000 |
52 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg New York Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| ISSUER-DESCRIPTION | PRINCIPAL
AMOUNT | VALUE |
| | Total Investments — 98.5% (Cost $43,387,783) | | $45,792,913 |
| | Other Assets Less Liabilities — 1.5% | | 702,745 |
| | Net Assets — 100.0% | | $46,495,658 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AGC | Insured by Assured Guaranty Corp. |
| AGM | Insured by Assured Guaranty Municipal Corp. |
| AMT | Alternative Minimum Tax |
| BAM | Insured by Build America Mutual Insurance Co. |
| GO | General Obligation |
| IDC | Industrial Development Corp. |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| SPA | Stand-by Purchase Agreement |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 53 |
Schedule of Investments
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 95.9% | | |
| | Alabama — 1.7% | | |
| | Alabama Public School & College Authority (Educational Facilities), Series B, 5.00% due 6/1/2026 (pre-refunded 6/1/2023) | $ 4,380,000 | $ 4,832,629 |
| | Alabama Public School and College Authority, Series A, 5.00% due 11/1/2039 | 3,500,000 | 4,558,015 |
| | East Alabama Health Care Authority (Health Care Facilities Capital Improvements) GO, Series A, 5.00% due 9/1/2027 | 1,250,000 | 1,302,975 |
| | UAB Medicine Finance Authority (University Hospital), Series B, 5.00% due 9/1/2032 | 6,000,000 | 7,291,560 |
| | Arizona — 2.4% | | |
| | Arizona (Scottsdale Lincoln Hospitals) HFA , 5.00% due 12/1/2031 | 2,500,000 | 2,895,000 |
| | Arizona Board of Regents (University of Arizona SPEED), 5.00% due 8/1/2024 - 8/1/2029 | 2,635,000 | 2,802,313 |
| | City of Mesa AZ Utility System Revenue, 5.00% due 7/1/2033 | 1,600,000 | 2,011,536 |
| a | County of Yavapai, (Waste Management, Inc.) AMT, IDA, 2.80% due 6/1/2027 (put 6/1/2021) | 2,000,000 | 2,006,780 |
| | Northern Arizona University (Insured: BAM), Series B, 5.00% due 6/1/2039 | 1,300,000 | 1,631,201 |
| | Pima County Sewer System Revenue COP, Series B, 5.00% due 7/1/2031 | 900,000 | 1,195,389 |
| | Salt River Project Agricultural Improvement and Power District (Salt River Electric System), 5.00% due 1/1/2033 - 1/1/2037 | 7,000,000 | 8,726,125 |
| | Salt Verde Financial Corp. (Gas Supply Acquisition), 5.25% due 12/1/2022 - 12/1/2028 | 2,770,000 | 3,154,598 |
| | Arkansas — 0.4% | | |
| | Board of Trustees of the University of Arkansas (Fayetteville Campus), 5.00% due 11/1/2031 - 11/1/2034 | 3,655,000 | 4,183,776 |
| | California — 4.9% | | |
| | Alameda County Joint Powers Authority (Alameda County Medical Center Highland Hospital), Series A, 5.25% due 12/1/2027 - 12/1/2029 | 3,650,000 | 4,131,194 |
| | California (Adventist Health System/West) HFFA, Series A, 5.00% due 3/1/2026 | 2,815,000 | 3,061,566 |
| | California (Children’s Hospital Los Angeles) HFFA, Series A, 5.00% due 11/15/2022 - 8/15/2033 | 1,950,000 | 2,202,476 |
| | California Infrastructure and Economic Development Bank (King City Joint Union High School District), 5.75% due 8/15/2029 | 1,500,000 | 1,502,430 |
| | Delano Financing Authority (City of Delano Police Station and Woollomes Avenue Bridge), Series A, 5.00% due 12/1/2025 | 2,555,000 | 2,564,096 |
| | Franklin-McKinley School District (Insured: Natl-Re) GO, 5.25% due 8/1/2027 | 1,000,000 | 1,266,640 |
| | Fresno (Educational Facilities and Improvements; Insured: Natl-Re) USD GO, Series A, 6.00% due 8/1/2026 | 1,410,000 | 1,625,702 |
| | Jurupa Public Financing Authority (Eastvale Community Services; Insured: AGM), Series A, 5.50% due 9/1/2025 - 9/1/2027 | 2,530,000 | 2,840,621 |
| | Los Angeles Department of Airports AMT, Series A, 5.00% due 5/15/2036 | 3,635,000 | 4,506,564 |
| | M-S-R Energy Authority, Series B, 6.125% due 11/1/2029 | 2,460,000 | 3,140,485 |
| | North City West School Facilities Financing Authority (Carmel Valley Schools; Insured: AGM), Series A, 5.00% due 9/1/2024 | 1,080,000 | 1,151,680 |
| a | Northern California Energy Authority (Commodity Supply Revenue), Series A, 4.00% due 7/1/2049 (put 7/1/2024) | 5,000,000 | 5,560,200 |
| | Oakland (County of Alameda Educational Facilities) USD GO, Series A, 5.00% due 8/1/2032 - 8/1/2034 | 3,000,000 | 3,498,020 |
| | Redwood City Redevelopment Agency (Redevelopment Area A-2; Insured: AMBAC), Series A-2, Zero Coupon due 7/15/2023 | 2,065,000 | 2,038,630 |
| | Sacramento County Sanitation Districts Financing Authority (Sacramento Regional County Sanitation District), 5.00% due 12/1/2032 | 575,000 | 804,902 |
| | San Francisco City & County Airport Comm-San Francisco International Airport AMT, Series A, 5.00% due 5/1/2038 | 2,500,000 | 3,129,600 |
| | Saratoga Union School District (Insured: Natl-Re) USD GO, Series B, Zero Coupon due 9/1/2023 | 900,000 | 894,033 |
| | State of California (Kindergarten-University Facilities) GO, 5.25% due 9/1/2026 | 5,000,000 | 5,103,650 |
| | State of California GO, 5.00% due 11/1/2029 | 1,000,000 | 1,320,050 |
| | Colorado — 1.2% | | |
| | Colorado (Sanford Obligated Group) HFA, Series A, 5.00% due 11/1/2039 | 1,925,000 | 2,422,343 |
| | Housing Authority of the City and County of Denver (Three Towers Rehabilitation; Insured: AGM) AMT, 5.20% due 11/1/2027 | 1,335,000 | 1,339,633 |
| | Regional Transportation District (North Metro Rail Line) COP, Series A, 5.00% due 6/1/2028 | 1,650,000 | 1,812,030 |
| | State of Colorado COP, Series A, 5.00% due 9/1/2029 - 9/1/2032 | 5,205,000 | 6,530,231 |
| | Connecticut — 3.0% | | |
| | City of Hartford (Various Public Improvements; Insured: AGM) GO, Series A, 5.00% due 7/1/2031 | 1,700,000 | 1,985,685 |
| | State of Connecticut (Various Capital Projects) GO, Series B, 5.00% due 5/15/2027 | 1,000,000 | 1,215,980 |
| | State of Connecticut GO, | | |
| | Series A, 5.00% due 4/15/2033 - 4/15/2035 | 12,415,000 | 15,335,742 |
| | Series C, 5.00% due 6/15/2028 - 6/15/2029 | 1,890,000 | 2,411,099 |
| | Series E, 5.00% due 9/15/2033 | 2,650,000 | 3,302,880 |
| | State of Connecticut, Special Tax Revenue, Series A, 5.00% due 5/1/2037 - 5/1/2038 | 5,250,000 | 6,644,733 |
| | District of Columbia — 1.8% | | |
| | Metropolitan Washington Airports Authority (Dulles Toll Road Revenue), Series A, 5.00% due 10/1/2038 - 10/1/2039 | 3,000,000 | 3,692,565 |
| | Metropolitan Washington Airports Authority (Dulles Toll Road Revenue; Insured: AGC), Series B, Zero Coupon due 10/1/2023 - 10/1/2024 | 9,890,000 | 9,652,902 |
| | Washington Convention & Sports Authority, Series A, 5.00% due 10/1/2028 | 1,105,000 | 1,329,160 |
| | Washington Metropolitan Area Transit Authority, 5.00% due 7/1/2032 - 7/1/2037 | 3,325,000 | 4,059,711 |
| | Florida — 6.6% | | |
| | Broward County (Airport System Improvements) AMT, 5.00% due 10/1/2034 - 10/1/2035 | 3,500,000 | 4,192,255 |
| | City of Jacksonville (Better Jacksonville Plan), Series A, 5.00% due 10/1/2026 | 2,075,000 | 2,224,151 |
| | City of Lakeland (Electric Power System Smart Grid Project; Insured: AGM), 5.25% due 10/1/2027 - 10/1/2036 | 6,450,000 | 8,717,586 |
| | City of Orlando (Senior Tourist Development; Insured: AGM), Series A, 5.00% due 11/1/2032 - 11/1/2037 | 3,430,000 | 4,112,896 |
| | JEA Water & Sewer System Revenue, Series A, 5.00% due 10/1/2034 - 10/1/2035 | 1,225,000 | 1,592,091 |
54 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Lake County School Board (School District Facility Projects) COP, Series B, 5.00% due 6/1/2026 | $ 1,210,000 | $ 1,272,206 |
| | Manatee County (Public Utilities System Improvements), 5.00% due 10/1/2026 - 10/1/2033 | 6,080,000 | 7,100,239 |
| | Miami-Dade County (Miami International Airport), Series B, 5.00% due 10/1/2028 - 10/1/2031 | 5,335,000 | 6,155,297 |
| | Miami-Dade County (Nicklaus Children’s Hospital) HFA, 5.00% due 8/1/2035 - 8/1/2037 | 2,905,000 | 3,473,879 |
| | Miami-Dade County (Seaport Properties) GO, Series C, 5.00% due 10/1/2023 | 1,040,000 | 1,064,721 |
| | Miami-Dade County Educational Facilities Authority (University of Miami; Insured: AMBAC), Series B, 5.25% due 4/1/2024 | 1,000,000 | 1,145,680 |
| | Miami-Dade County School Board (Insured: AMBAC) COP, Series D, 5.00% due 10/1/2021 | 3,035,000 | 3,107,021 |
| | Miami-Dade County School Board COP, Series A, 5.00% due 5/1/2030 | 3,250,000 | 3,798,957 |
| | Orange County (Tourist Development), Series A, 5.00% due 10/1/2031 | 2,000,000 | 2,447,540 |
| | Palm Beach County (Boca Raton Regional Hospital) HFA, 5.00% due 12/1/2025 (pre-refunded 12/1/2024) | 500,000 | 582,595 |
| | Palm Beach County School District COP, Series C, 5.00% due 8/1/2028 | 595,000 | 760,011 |
| a | Sarasota County Public Hospital Board (Sarasota Memorial Hospital; Insured: Natl-Re), Series A, 4.426% (CPI + 2.05%) due 10/1/2021 | 1,335,000 | 1,356,644 |
| | School Board of Broward County (Educational Facilities and Equipment) COP, Series A, 5.00% due 7/1/2027 | 2,000,000 | 2,117,900 |
| | School Board of Broward County (Educational Facilities) COP, Series B, 5.00% due 7/1/2032 | 2,000,000 | 2,354,020 |
| | School District of Broward County COP, | | |
| | Series A, | | |
| | 5.00% due 7/1/2026 | 545,000 | 577,231 |
| | 5.00% due 7/1/2026 (pre-refunded 7/1/2022) | 2,455,000 | 2,599,845 |
| | School District of Manatee County (School Facilities Improvement; Insured: AGM), 5.00% due 10/1/2032 | 2,250,000 | 2,693,272 |
| | State of Florida GO, 4.00% due 7/1/2030 | 1,000,000 | 1,009,200 |
| | Sunshine State Governmental Finance Commission (Miami-Dade County Program), Series B-1, 5.00% due 9/1/2028 | 3,500,000 | 3,888,955 |
| | Georgia — 3.0% | | |
| | Athens-Clarke County Unified Government Development Authority (UGAREF Bolton Commons, LLC), 5.00% due 6/15/2024 - 6/15/2028 | 2,320,000 | 2,560,266 |
| | City of Atlanta (Water & Wastewater System; Insured: Natl-Re), Series A, 5.50% due 11/1/2022 | 365,000 | 386,513 |
| | Clarke County Hospital Authority (Athens Regional Medical Center), 5.00% due 1/1/2023 - 1/1/2026 (pre-refunded 1/1/2022) | 5,620,000 | 5,821,758 |
| | Georgia State Road & Tollway Authority (GARVEE), 5.00% due 6/1/2032 | 1,000,000 | 1,319,520 |
| | Main Street Natural Gas, Inc., Series A, 5.00% due 5/15/2035 - 5/15/2037 | 11,170,000 | 15,129,595 |
| | Municipal Electric Authority of Georgia, Series A, 5.00% due 1/1/2035 - 1/1/2038 | 4,340,000 | 5,336,001 |
| | Guam — 0.8% | | |
| | Guam Power Authority (Electric Power System; Insured: AGM), Series A, 5.00% due 10/1/2023 - 10/1/2025 | 6,500,000 | 6,889,805 |
| | Guam Waterworks Authority (Water and Wastewater System), 5.25% due 7/1/2024 | 1,000,000 | 1,094,590 |
| | Hawaii — 1.8% | | |
| | County of Hawaii GO, Series A, 5.00% due 9/1/2033 | 1,250,000 | 1,504,275 |
| | State of Hawaii Airports System Revenue AMT, Series A, 5.00% due 7/1/2032 - 7/1/2033 | 5,000,000 | 6,357,360 |
| | State of Hawaii GO, | | |
| | Series DZ, 5.00% due 12/1/2027 (pre-refunded 12/1/2021) | 3,635,000 | 3,751,574 |
| | Series DZ-2016, 5.00% due 12/1/2027 (pre-refunded 12/1/2021) | 6,365,000 | 6,569,126 |
| | Illinois — 11.5% | | |
| | Chicago O’Hare International Airport (2016 Airport Projects), Series C, 5.00% due 1/1/2029 - 1/1/2030 | 1,765,000 | 2,109,162 |
| | Chicago O’Hare International Airport (2017 Airport Projects), Series B, 5.00% due 1/1/2034 - 1/1/2037 | 8,160,000 | 9,772,522 |
| | Chicago Park District (Capital Improvement Plan) GO, | | |
| | Series A, 5.00% due 1/1/2027 - 1/1/2029 | 3,940,000 | 4,311,476 |
| | Series B, 5.00% due 1/1/2025 - 1/1/2030 | 4,500,000 | 4,915,840 |
| | Series D, 5.00% due 1/1/2028 | 3,450,000 | 3,775,163 |
| | City of Chicago (Midway Airport), | | |
| | Series B, | | |
| | 5.00% due 1/1/2032 - 1/1/2033 | 9,805,000 | 10,861,134 |
| | 5.25% due 1/1/2034 | 4,700,000 | 5,051,137 |
| | City of Chicago (Wastewater Transmission System), Series C-2, 5.00% due 1/1/2028 - 1/1/2029 | 7,865,000 | 9,090,344 |
| | City of Chicago (Wastewater Transmission System; Insured: AGM), Series B, 5.00% due 1/1/2034 | 1,375,000 | 1,649,643 |
| | City of Chicago (Water System), Series A-1, 5.00% due 11/1/2024 | 1,000,000 | 1,146,640 |
| | City of Chicago (Water System; Insured: AGM), Series 2017-2, 5.00% due 11/1/2037 | 4,250,000 | 5,236,255 |
| | City of Chicago (Water System; Insured: BHAC-CR AMBAC), 5.75% due 11/1/2030 | 1,270,000 | 1,647,977 |
| | City of Chicago GO, | | |
| | Series A, | | |
| | 5.625% due 1/1/2031 | 1,585,000 | 1,912,477 |
| | 6.00% due 1/1/2038 | 7,500,000 | 9,051,300 |
| | Cook County School District No. 104 (Argo Summit Elementary School Facilities; Insured: AGM) GO ETM, Series D, Zero Coupon due 12/1/2022 | 2,000,000 | 1,986,920 |
| | Illinois Finance Authority (Northwestern Memorial Healthcare Obligated Group), Series A, 5.00% due 7/15/2031 | 175,000 | 218,293 |
| | Illinois Finance Authority (Rush University Medical Center), Series A, 5.00% due 11/15/2033 | 1,000,000 | 1,163,250 |
| | Illinois Finance Authority (Silver Cross Hospital and Medical Centers), 5.00% due 8/15/2024 | 1,000,000 | 1,129,030 |
| | Illinois Toll Highway Authority (Move Illinois Program), Series A, 5.00% due 1/1/2037 | 5,550,000 | 6,496,885 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 55 |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Knox & Warren Counties Community Unit School District No. 205 Galesburg GO, Series B, 5.00% due 12/1/2030 - 12/1/2031 | $ 2,655,000 | $ 3,273,690 |
| | Metropolitan Pier & Exposition Authority (McCormick Place Expansion Project), Series B, 5.00% due 12/15/2022 | 1,000,000 | 1,063,870 |
| | Monroe and St. Clair Counties (Community Unit School District No. 5; Insured: BAM) GO, 5.00% due 4/15/2027 - 4/15/2031 | 6,285,000 | 7,573,099 |
| | Regional Transportation Authority (Insured: Natl-Re), Series A, 6.00% due 7/1/2031 | 1,070,000 | 1,452,514 |
| | Sales Tax Securitization Corp., Series A, 5.00% due 1/1/2029 | 2,000,000 | 2,455,480 |
| | State of Illinois, Series B, 5.00% due 6/15/2030 - 6/15/2032 | 12,165,000 | 14,379,148 |
| | State of Illinois GO, Series D, 5.00% due 11/1/2027 - 11/1/2028 | 4,250,000 | 4,987,788 |
| | Tazewell County School District (Insured: Natl-Re) GO, 9.00% due 12/1/2024 | 1,205,000 | 1,568,609 |
| | Indiana — 2.2% | | |
| | Board of Trustees for the Vincennes University, Series J, 5.375% due 6/1/2022 | 895,000 | 898,383 |
| | City of Indianapolis Department of Public Utilities Water System Revenue, Series A, 5.00% due 10/1/2034 | 1,000,000 | 1,257,850 |
| a | City of Whiting Environmental Facilities (BP Products North America Inc. Project) AMT, Series A, 5.00% due 3/1/2046 (put 3/1/2023) | 1,000,000 | 1,084,450 |
| | Indiana (Ascension Health Credit Group) HFFA, | | |
| b | 5.00% due 11/15/2034 | 1,325,000 | 1,577,492 |
| | 5.00% due 11/15/2035 - 11/15/2036 | 7,000,000 | 8,323,790 |
| | Indiana Bond Bank (Hendricks Regional Health Financing Program; Insured: AMBAC), Series A, 5.25% due 4/1/2023 | 2,000,000 | 2,202,320 |
| | Indiana Finance Authority (Marian University), 5.25% due 9/15/2022 - 9/15/2023 (pre-refunded 9/15/2021) | 5,085,000 | 5,200,887 |
| | Indiana Finance Authority (Sisters of St. Francis Health Services, Inc.), 5.00% due 11/1/2021 | 605,000 | 607,251 |
| | Southwest Allen Multi School Building Corp., 5.00% due 7/15/2033 | 1,500,000 | 1,861,185 |
| | Iowa — 0.4% | | |
| | Iowa Finance Authority (UnityPoint Health), Series C, 5.00% due 2/15/2030 - 2/15/2032 | 4,100,000 | 4,607,399 |
| | Kansas — 0.1% | | |
| | Unified Government of Wyandotte County/Kansas City (School Improvement Project; Insured: AGM) USD GO, Series A, 5.00% due 9/1/2030 - 9/1/2031 | 640,000 | 790,400 |
| | Kentucky — 1.4% | | |
| a | Kentucky Public Energy Authority, Series A, 4.00% due 4/1/2048 (put 4/1/2024) | 6,500,000 | 7,125,495 |
| | Kentucky State Property & Building Commission (Insured: AGM), Series A, 5.00% due 11/1/2035 | 4,000,000 | 5,152,480 |
| | Louisville/Jefferson County Metropolitan Government (Norton Suburban Hospital and Kosair Children’s Hospital), Series A, 5.25% due 10/1/2026 | 2,320,000 | 2,600,140 |
| | Louisiana — 2.5% | | |
| | City of Shreveport LA Water & Sewer Revenue (Insured: AGM), Series A, 5.00% due 12/1/2036 | 1,000,000 | 1,214,340 |
| | East Baton Rouge Sewerage Commission, Series B, 5.00% due 2/1/2030 - 2/1/2032 (pre-refunded 2/1/2025) | 6,825,000 | 8,027,565 |
| | Jefferson Sales Tax District (Insured: AGM), Series B, 5.00% due 12/1/2031 - 12/1/2035 | 3,895,000 | 4,827,760 |
| | Louisiana Energy and Power Authority (LEPA Unit No. 1; Insured: AGM), Series A, 5.25% due 6/1/2029 - 6/1/2031 | 6,100,000 | 6,707,867 |
| | Parish of Lafourche (Roads, Highways and Bridges), 5.00% due 1/1/2024 - 1/1/2025 | 3,685,000 | 4,204,475 |
| a | Parish of St. Charles (Valero Energy Corp. Refinery), 4.00% due 12/1/2040 (put 6/1/2022) | 1,000,000 | 1,040,690 |
| | Maryland — 0.0% | | |
| | Montgomery County GO, Series C, 5.00% due 10/1/2025 | 365,000 | 438,372 |
| | Massachusetts — 1.9% | | |
| | Massachusetts (Insured: BHAC-CR FGIC), 5.50% due 1/1/2029 | 8,370,000 | 11,026,638 |
| | Massachusetts Bay Transportation Authority (Transportation Capital Program), Series A, 5.25% due 7/1/2030 | 1,000,000 | 1,359,410 |
| | Massachusetts Development Finance Agency (CareGroup Healthcare System), Series I, 5.00% due 7/1/2033 - 7/1/2036 | 3,250,000 | 3,885,672 |
| | Massachusetts Development Finance Agency (Simmons College), Series J, 5.50% due 10/1/2025 - 10/1/2028 | 1,790,000 | 1,996,084 |
| | Massachusetts Educational Financing Authority (Higher Education Student Loans), Series A, 5.50% due 1/1/2022 | 1,130,000 | 1,131,198 |
| | Michigan — 2.4% | | |
| | Board of Governors of Wayne State University (Educational Facilities and Equipment), Series A, 5.00% due 11/15/2031 | 1,010,000 | 1,166,883 |
| | City of Troy (Downtown Development Authority-Community Center Facilities) GO, 5.00% due 11/1/2025 (pre-refunded 11/1/2021) | 300,000 | 308,397 |
| | County of Genesee (Water Supply System; Insured: BAM) GO, | | |
| | 5.00% due 11/1/2024 - 11/1/2030 | 3,360,000 | 3,668,448 |
| | 5.125% due 11/1/2032 | 750,000 | 818,970 |
| | 5.25% due 11/1/2026 - 11/1/2028 | 2,920,000 | 3,205,310 |
| | Detroit City School District (School Building & Site Improvement; Insured: AGM Q-SBLF) GO, Series A, 5.25% due 5/1/2026 | 3,150,000 | 3,842,023 |
| | Detroit City School District (School Building & Site; Insured: AGM Q-SBLF) GO, Series A, 5.25% due 5/1/2027 | 1,100,000 | 1,379,378 |
| | Kalamazoo Hospital Finance Authority (Bronson Healthcare), | | |
| | 5.25% due 5/15/2026 | 175,000 | 175,935 |
| | 5.25% due 5/15/2026 (pre-refunded 5/15/2021) | 1,110,000 | 1,116,349 |
| | Michigan Finance Authority (Government Loan Program), Series F, 5.00% due 4/1/2026 | 1,580,000 | 1,617,604 |
| | Michigan Finance Authority (McLaren Health System), Series A, 5.00% due 2/15/2039 | 3,200,000 | 3,997,632 |
| | Michigan Public School Academy (Will Carleton Charter School), 8.00% due 8/1/2035 | 820,000 | 822,690 |
| | Michigan State Housing Development Authority, Series B, 2.95% due 12/1/2039 | 3,000,000 | 3,108,000 |
| | Minnesota — 0.3% | | |
| | Minnesota Higher Education Facilities Authority, (University of St. Thomas), 5.00% due 10/1/2034 - 10/1/2035 | 600,000 | 746,482 |
56 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Minnesota Housing Finance Agency (Collateralized: GNMA, FNMA, FHLMC), Series F, 2.45% due 7/1/2034 | $ 2,005,000 | $ 2,092,779 |
| | Mississippi — 0.7% | | |
| | Mississippi Development Bank (Jackson Public School District; Insured BAM) GO, 5.25% due 10/1/2037 - 10/1/2038 | 5,250,000 | 6,579,775 |
| | Mississippi Development Bank (Vicksburg Warren School District; Insured: BAM), 5.50% due 3/1/2038 | 700,000 | 910,077 |
| | Missouri — 0.3% | | |
| | City of Excelsior Springs (Insured: BAM) COP, Series B, 4.00% due 3/1/2031 | 150,000 | 183,680 |
| | Missouri Health and Educational Facilities Authority (Webster University) ETM, 5.00% due 4/1/2021 | 2,520,000 | 2,520,000 |
| | Nebraska — 0.6% | | |
| a | Central Plains Energy Project, 5.00% due 3/1/2050 (put 1/1/2024) | 5,350,000 | 5,958,081 |
| | Nevada — 1.2% | | |
| | Carson City (Carson Tahoe Regional Healthcare), | | |
| | 5.00% due 9/1/2027 (pre-refunded 9/1/2022) | 2,450,000 | 2,616,502 |
| | 5.00% due 9/1/2032 | 730,000 | 879,548 |
| | Washoe County (Reno Sparks Convention & Visitors Authority) GO, 5.00% due 7/1/2026 - 7/1/2032 (pre-refunded 7/1/2021) | 7,095,000 | 7,177,941 |
| | Washoe County NV GO, 5.00% due 7/1/2032 (pre-refunded 7/1/2021) | 1,905,000 | 1,927,269 |
| | New Hampshire — 0.7% | | |
| a | New Hampshire Business Finance Authority (Waste Management, Inc.; Guaranty: Waste Management Holdings) AMT, Series A4, 2.15% due 8/1/2038 (put 7/1/2024) | 750,000 | 784,320 |
| | New Hampshire Municipal Bond Bank, Series C, 5.00% due 8/15/2026 (pre-refunded 8/15/2023) | 1,860,000 | 2,069,473 |
| | State of New Hampshire (Turnpike System), Series B, 5.00% due 2/1/2022 - 2/1/2024 | 4,005,000 | 4,164,809 |
| | New Jersey — 4.6% | | |
| | Essex County Improvement Authority (County Correctional Facilities & Gibraltar Facilities; Insured: Natl-Re) GO, 5.50% due 10/1/2024 | 2,500,000 | 2,946,175 |
| | New Jersey (School Facilities Construction) EDA, 5.00% due 3/1/2026 - 6/15/2038 | 6,515,000 | 7,702,275 |
| | New Jersey (School Facilities Construction; Insured: AMBAC) EDA, Series N-1, 5.50% due 9/1/2026 | 3,000,000 | 3,675,060 |
| | New Jersey (School Facilities Construction; Insured: Natl-Re) EDA, Series N-1, 5.50% due 9/1/2027 | 1,700,000 | 2,127,941 |
| | New Jersey (State of New Jersey Department of the Treasury) EDA, Series DDD, 5.00% due 6/15/2033 | 1,000,000 | 1,185,250 |
| | New Jersey (Transit Corp.) EDA, 5.00% due 11/1/2036 | 2,950,000 | 3,607,289 |
| | New Jersey State Health Care Facilities Financing Authority (Virtua Health), 5.00% due 7/1/2027 - 7/1/2028 | 3,000,000 | 3,369,760 |
| | New Jersey Transportation Trust Fund Authority, | | |
| | Series A, 5.00% due 12/15/2032 | 485,000 | 591,390 |
| | Series AA, 5.00% due 6/15/2036 - 6/15/2040 | 1,500,000 | 1,851,190 |
| | Series BB, 5.00% due 6/15/2034 | 2,000,000 | 2,430,380 |
| | New Jersey Transportation Trust Fund Authority (State Transportation System Improvements), 5.00% due 6/15/2023 - 6/15/2031 | 3,500,000 | 3,951,360 |
| | New Jersey Transportation Trust Fund Authority (Transportation Program Bonds), 5.00% due 6/15/2038 | 3,500,000 | 4,205,460 |
| | New Jersey Transportation Trust Fund Authority (Transportation System), Series A, 5.00% due 12/15/2034 - 12/15/2036 | 5,500,000 | 6,630,035 |
| | Passaic Valley Sewage Commissioners GO, Series G, 5.75% due 12/1/2022 | 3,000,000 | 3,263,670 |
| | New Mexico — 0.7% | | |
| | City of Farmington (Public Service Co. of New Mexico), | | |
| a | Series C, 1.15% due 6/1/2040 (put 6/1/2024) | 1,500,000 | 1,519,515 |
| a | Series D, 1.10% due 6/1/2040 (put 6/1/2023) | 3,000,000 | 3,041,550 |
| | New Mexico Hospital Equipment Loan Council (Haverland Carter Lifestyle Obligated Group), 5.00% due 7/1/2032 | 2,130,000 | 2,219,077 |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group), Series A, 5.00% due 8/1/2039 | 440,000 | 549,384 |
| | New York — 5.8% | | |
| | City of New York (City Budget Financial Management) GO, | | |
| | Series G, 5.00% due 8/1/2027 | 4,530,000 | 5,104,676 |
| | Series J, 5.00% due 8/1/2030 - 8/1/2031 | 9,000,000 | 10,287,950 |
| | City of New York GO, | | |
| | Series C, 5.00% due 8/1/2035 | 500,000 | 640,805 |
| | Series C-1, 5.00% due 8/1/2032 | 1,000,000 | 1,303,350 |
| | Erie County Industrial Development Agency (City of Buffalo School District) (State Aid Withholding), Series A, 5.00% due 5/1/2027 | 5,000,000 | 5,474,250 |
| | Long Island Power Authority, Series A, 5.00% due 9/1/2036 - 9/1/2038 | 1,300,000 | 1,679,242 |
| | Metropolitan Transportation Authority, | | |
| | Series D, 5.00% due 11/15/2030 - 11/15/2035 | 8,295,000 | 9,907,685 |
| | Series D-1, 5.00% due 11/15/2031 | 2,285,000 | 2,685,103 |
| | Metropolitan Transportation Authority (Green Bond), | | |
| | Series A1, 5.00% due 11/15/2035 - 11/15/2036 | 1,820,000 | 2,125,252 |
| | Series A2, 5.00% due 11/15/2025 | 600,000 | 709,968 |
| | Nassau County (Insured: BAM) GO, Series B, 5.00% due 4/1/2026 | 1,300,000 | 1,424,579 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue, | | |
| | 5.00% due 5/1/2032 - 11/1/2036 | 4,230,000 | 5,460,626 |
| c | 5.00% due 11/1/2033 | 1,000,000 | 1,310,060 |
| | New York State Dormitory Authority, Series A, 5.00% due 3/15/2037 | 735,000 | 912,767 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 57 |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | New York State Dormitory Authority (Metropolitan Transportation Authority & State Urban Development Corp.), Series A, 5.00% due 12/15/2027 | $ 2,500,000 | $ 2,699,900 |
| | New York State Dormitory Authority (State of New York Personal Income Tax Revenue), | | |
| | Series A, 5.00% due 3/15/2035 - 3/15/2036 | 2,650,000 | 3,437,486 |
| | Series D, 4.00% due 2/15/2040 | 1,000,000 | 1,153,200 |
| | New York State Dormitory Authority (State of New York Sales Tax Revenue), Series A, 5.00% due 3/15/2033 | 500,000 | 607,935 |
| | New York State Dormitory Authority (State University Educational Facilities), Series A, 5.25% due 5/15/2021 | 255,000 | 256,436 |
| | New York State Urban Development Corp. (State of New York Personal Income Tax Revenue), Series A, 5.00% due 3/15/2041 | 1,500,000 | 1,885,800 |
| | New York State Urban Development Corp. (State of New York Sales Tax Revenue), Series A, 5.00% due 3/15/2037 | 500,000 | 630,525 |
| | North Carolina — 1.2% | | |
| | Charlotte-Mecklenburg Hospital Authority (Carolinas HealthCare System), Series A, 5.00% due 1/15/2028 | 2,190,000 | 2,370,325 |
| | North Carolina Medical Care Commission (Vidant Health), 5.00% due 6/1/2030 (pre-refunded 6/1/2025) | 3,000,000 | 3,564,090 |
| | State of North Carolina, 5.00% due 3/1/2033 | 5,000,000 | 6,349,200 |
| | Ohio — 5.1% | | |
| | Akron, Bath and Copley Joint Township Hospital District (Children’s Hospital Medical Center of Akron), 5.00% due 11/15/2024 | 1,000,000 | 1,052,600 |
| | Akron, Bath and Copley Joint Township Hospital District (Summa Health System Obligated Group), 5.00% due 11/15/2027 - 11/15/2029 | 1,160,000 | 1,443,872 |
| | American Municipal Power, Inc. (AMP Fremont Energy Center), Series B, 5.25% due 2/15/2028 (pre-refunded 2/15/2022) | 4,000,000 | 4,176,040 |
| | Cincinnati City School District (School Improvement Project) COP, 5.00% due 12/15/2031 | 3,075,000 | 3,563,310 |
| | City of Cleveland (Bridges and Roadways), Series A-2, 5.00% due 10/1/2028 - 10/1/2029 (pre-refunded 10/1/2023) | 2,520,000 | 2,819,048 |
| | City of Cleveland (Public Facilities Improvements), Series A-1, 5.00% due 11/15/2027 - 11/15/2030 (pre-refunded 11/15/2023) | 5,185,000 | 5,828,770 |
| | City of Cleveland (Various Municipal Capital Improvements) GO, 5.00% due 12/1/2024 | 1,000,000 | 1,076,770 |
| | City of Cleveland GO, | | |
| | 5.00% due 12/1/2026 | 15,000 | 16,142 |
| | 5.00% due 12/1/2026 (pre-refunded 12/1/2022) | 1,215,000 | 1,312,236 |
| | City of Cleveland Income Tax Revenue, 5.00% due 10/1/2033 - 10/1/2035 | 1,450,000 | 1,789,782 |
| | Cleveland-Cuyahoga County Port Authority (County Administration Offices), 5.00% due 7/1/2025 | 1,780,000 | 2,097,392 |
| | County of Allen (Catholic Health Partners-Mercy Health West Facility), Series A, 5.00% due 5/1/2025 - 5/1/2026 (pre-refunded 5/1/2022) | 8,325,000 | 8,758,566 |
| | County of Cuyahoga (Musical Arts Association), 5.00% due 1/1/2030 - 1/1/2039 | 3,170,000 | 3,692,740 |
| | County of Hamilton (Cincinnati Children’s Hospital Medical Center), 5.00% due 5/15/2028 - 5/15/2031 | 8,085,000 | 9,136,235 |
| | Greene County Vocational School District (School Facilities Construction and Improvement) GO, 5.00% due 12/1/2030 - 12/1/2033 | 2,580,000 | 3,261,868 |
| | Lucas County Health Care Facility (Sunset Retirement Community), | | |
| | 5.00% due 8/15/2021 | 260,000 | 263,648 |
| | 5.125% due 8/15/2025 | 1,350,000 | 1,369,386 |
| | State of Ohio GO, Series A, 5.00% due 6/15/2033 | 505,000 | 684,982 |
| | Pennsylvania — 7.6% | | |
| | Allegheny County (Propel Charter School-McKeesport) IDA, | | |
| | Series C, | | |
| | 5.90% due 8/15/2026 | 605,000 | 607,178 |
| | 6.375% due 8/15/2035 | 1,130,000 | 1,134,373 |
| | Allegheny County Hospital Development Authority (University of Pittsburgh Medical Center), Series A, 5.00% due 7/15/2034 | 1,150,000 | 1,448,552 |
| | Bucks County (Waste Management, Inc.) AMT, IDA, Series A-2, 2.75% due 12/1/2022 | 7,000,000 | 7,269,500 |
| | City of Philadelphia (Pennsylvania Gas Works), 5.00% due 8/1/2032 - 8/1/2034 | 2,300,000 | 2,682,996 |
| | City of Philadelphia (Philadelphia Gas Works), 5.00% due 8/1/2036 - 8/1/2037 | 5,485,000 | 6,521,200 |
| | City of Philadelphia (Water and Wastewater System), Series A, 5.00% due 10/1/2029 - 11/1/2038 | 2,100,000 | 2,632,584 |
| | City of Pittsburgh (Capital Projects) GO, 5.00% due 9/1/2035 - 9/1/2036 | 1,215,000 | 1,480,816 |
| | County of Luzerne (Insured: AGM) GO, Series A, 5.00% due 11/15/2029 | 3,000,000 | 3,517,050 |
| | Dallastown Area School District (State Aid Withholding) GO, Series A, 4.00% due 5/1/2021 | 460,000 | 461,251 |
| | Lancaster County Solid Waste Management Authority (Acquisition of Susquehanna Resource Management Facility), Series A, 5.25% due 12/15/2030 | 3,000,000 | 3,386,640 |
| | Monroeville Financing Authority (University of Pittsburgh Medical Center), 5.00% due 2/15/2026 | 3,490,000 | 4,215,571 |
| | Pennsylvania State Public School Building Authority (Philadelphia School District; Insured: AGM) (State Aid Withholding) GO, Series B, 5.00% due 6/1/2027 | 5,000,000 | 6,160,100 |
| | Pennsylvania Turnpike Commission, Series B, 5.00% due 12/1/2033 - 12/1/2038 | 1,450,000 | 1,869,050 |
| | Pennsylvania Turnpike Commission (Highway Improvements), Series A-1, 5.00% due 12/1/2035 - 12/1/2036 | 1,750,000 | 2,135,588 |
| | Philadelphia Authority for Industrial Development (Thomas Jefferson University), Series A, 5.00% due 9/1/2032 - 9/1/2034 | 5,000,000 | 5,964,500 |
| | Philadelphia Municipal Authority (Juvenile Justice Services Center), 5.00% due 4/1/2032 - 4/1/2036 | 11,125,000 | 13,519,285 |
| | Pittsburgh Water & Sewer Authority (Water and Sewer System; Insured: AGM), | | |
| | Series A, 5.00% due 9/1/2030 - 9/1/2031 | 8,740,000 | 9,635,267 |
| | Series B, 5.00% due 9/1/2031 (pre-refunded 9/1/2023) | 3,665,000 | 4,084,679 |
| | Rhode Island — 0.5% | | |
| | State of Rhode Island and Providence Plantations (Consolidated Capital Development Loan) GO, Series B, 4.00% due 10/15/2023 | 800,000 | 846,744 |
| | State of Rhode Island and Providence Plantations (Training School Project) COP, Series B, 5.00% due 10/1/2024 | 3,595,000 | 4,023,093 |
| | South Carolina — 0.2% | | |
| | City of Myrtle Beach (Municipal Sports Complex), Series B, 5.00% due 6/1/2028 - 6/1/2030 | 2,000,000 | 2,242,180 |
58 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | South Dakota — 0.4% | | |
| | South Dakota Health and Educational Facilities Authority (Avera Health), Series A, 5.00% due 7/1/2023 (pre-refunded 7/1/2021) | $ 1,575,000 | $ 1,593,333 |
| | South Dakota Health and Educational Facilities Authority (Sanford Health), 5.00% due 11/1/2028 - 11/1/2029 | 1,800,000 | 2,144,474 |
| | Tennessee — 1.8% | | |
| | County of Shelby Health, Educational and Housing Facility Board (Methodist Le Bonheur Healthcare), 5.00% due 5/1/2027 - 5/1/2035 | 3,560,000 | 4,360,652 |
| | Metropolitan Government of Nashville and Davidson County (Green Projects), Series B, 5.00% due 7/1/2033 - 7/1/2036 | 3,000,000 | 3,689,190 |
| | Tennessee Energy Acquisition Corp. (The Gas Project), | | |
| | Series A, 5.25% due 9/1/2023 | 7,000,000 | 7,794,290 |
| | Series C, 5.00% due 2/1/2023 | 2,650,000 | 2,859,429 |
| | Texas — 8.2% | | |
| | City of Dallas (Public Improvements) GO, 5.00% due 2/15/2025 - 2/15/2034 | 9,720,000 | 11,320,713 |
| | City of Dallas (Trinity River Corridor Infrastructure) GO, 5.00% due 2/15/2028 | 1,000,000 | 1,128,440 |
| | City of Galveston (Galveston Island Convention Center; Insured: AGM), | | |
| | Series A, 5.00% due 9/1/2021 | 545,000 | 555,573 |
| | Series B, 5.00% due 9/1/2024 | 1,115,000 | 1,188,378 |
| | City of Houston (Combined Utility System), Series A, 5.00% due 11/15/2032 | 1,875,000 | 2,496,769 |
| | City of Houston (Public Improvements) GO, Series A, 5.00% due 3/1/2027 | 1,175,000 | 1,417,743 |
| | City of Houston Airport System Revenue, Series D, 5.00% due 7/1/2030 | 2,000,000 | 2,509,420 |
| | City of McAllen (International Toll Bridge; Insured: AGM), Series A, 5.00% due 3/1/2028 - 3/1/2032 | 6,120,000 | 7,371,547 |
| | City of San Antonio (Airport System Capital Improvements) AMT, 5.00% due 7/1/2024 - 7/1/2025 | 3,225,000 | 3,409,524 |
| | City of San Antonio (Water System), Series A, 5.00% due 5/15/2033 - 5/15/2034 | 3,075,000 | 3,724,195 |
| | Dallas Area Rapid Transit, Series A, 5.00% due 12/1/2035 - 12/1/2036 | 7,200,000 | 8,569,984 |
| | Dallas County Utility & Reclamation District GO, 5.00% due 2/15/2027 | 1,905,000 | 2,347,284 |
| | Harris County Cultural Education Facilities Finance Corp. (Memorial Hermann Health System), Series A, 5.00% due 12/1/2028 | 3,000,000 | 3,469,080 |
| | Harris County Cultural Education Facilities Finance Corp. (TECO Project), 5.00% due 11/15/2028 - 11/15/2033 | 2,225,000 | 2,763,694 |
| | Houston Airport System Revenue, Series D, 5.00% due 7/1/2035 | 1,750,000 | 2,150,925 |
| | Houston Higher Education Finance Corp. (Cosmos Foundation, Inc.), | | |
| | 6.50% due 5/15/2031 (pre-refunded 5/15/2021) | 360,000 | 362,538 |
| | Series S, 6.50% due 5/15/2031 (pre-refunded 5/15/2021) | 415,000 | 417,955 |
| | Lower Colorado River Authority, | | |
| | Series A, | | |
| | 5.00% due 5/15/2026 | 9,415,000 | 9,908,817 |
| | 5.00% due 5/15/2026 (pre-refunded 5/15/2022) | 55,000 | 57,934 |
| | Lower Colorado River Authority (LCRA Transmission Services Corp.), 5.00% due 5/15/2028 - 5/15/2038 | 970,000 | 1,242,460 |
| | Metropolitan Transit Authority of Harris County, 5.00% due 11/1/2029 - 11/1/2030 | 4,040,000 | 5,205,903 |
| | North Texas Tollway Authority (NTTA System), Series A, 5.00% due 1/1/2037 | 1,750,000 | 2,082,430 |
| | San Antonio Water System, | | |
| | 5.00% due 5/15/2038 | 2,110,000 | 2,715,169 |
| | Series A, 5.00% due 5/15/2037 | 500,000 | 625,190 |
| | Series C, 5.00% due 5/15/2032 - 5/15/2033 | 1,590,000 | 2,097,095 |
| | Stephen F Austin State University (Financing System), Series A, 5.00% due 10/15/2030 - 10/15/2033 | 1,265,000 | 1,564,832 |
| | Texas Municipal Gas Acquisition & Supply Corp. III, 5.00% due 12/15/2032 | 800,000 | 1,059,176 |
| | Texas Transportation Commission (Central Texas Turnpike System), Series C, 5.00% due 8/15/2024 - 8/15/2025 | 2,490,000 | 2,848,591 |
| | Utah — 0.3% | | |
| a | County of Utah (IHC Health Services, Inc. Obligated Group), Series B-1, 5.00% due 5/15/2056 (put 8/1/2022) | 2,500,000 | 2,633,325 |
| | Virginia — 0.3% | | |
| a | Halifax County (VirginiaI Electric and Power Co. Project) IDA, Series A, 0.45% due 12/1/2041 (put 4/1/2022) | 500,000 | 499,700 |
| | Virginia Small Business Financing Authority (National Senior Campuses, Inc. Obligated Group), 5.00% due 1/1/2032 - 1/1/2033 | 2,000,000 | 2,427,320 |
| | Washington — 3.9% | | |
| | King County Public Hospital District No. 2 (EvergreenHealth Medical Center) GO, 5.00% due 12/1/2028 - 12/1/2030 | 4,545,000 | 5,256,240 |
| | Skagit County Public Hospital District No. 1 (Skagit Regional Health) GO, 5.00% due 12/1/2025 - 12/1/2028 (pre-refunded 12/1/2022) | 7,860,000 | 8,490,686 |
| | Skagit County Public Hospital District No. 2 (Island Hospital) GO, 5.00% due 12/1/2027 - 12/1/2028 (pre-refunded 12/1/2022) | 4,640,000 | 5,012,314 |
| | State of Washington (Acquisition and Improvements of Real and Personal Property) COP, Series A, 5.00% due 7/1/2030 | 4,415,000 | 5,473,761 |
| | State of Washington (Various Purposes) GO, | | |
| | 5.00% due 6/1/2038 | 1,965,000 | 2,546,345 |
| | Series C, 5.00% due 2/1/2036 - 2/1/2037 | 7,425,000 | 9,413,135 |
| | Washington Higher Education Facilities Authority (Seattle Pacific University), 5.00% due 10/1/2038 - 10/1/2040 | 3,340,000 | 4,048,407 |
| | Wisconsin — 1.5% | | |
| | Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group), 5.00% due 8/15/2033 | 600,000 | 745,062 |
| | Wisconsin Health & Educational Facilities Authority (ProHealth Care, Inc.), 5.00% due 8/15/2023 - 8/15/2026 (pre-refunded 8/15/2021) | 10,925,000 | 11,117,499 |
| | WPPI Energy, Series A, 5.00% due 7/1/2029 - 7/1/2036 | 2,980,000 | 3,715,352 |
| | Total Long-Term Municipal Bonds — 95.9% (Cost $916,599,166) | | 988,462,727 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 59 |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Short-Term Municipal Bonds — 3.0% | | |
| | Florida — 0.3% | | |
| a | City of Gainesville FL Utilities System Revenue (SPA Barclays Bank plc), Series B, 0.06% due 10/1/2038 (put 4/8/2021) | $ 1,585,000 | $ 1,585,000 |
| a | City of West Palm Beach Utility System Revenue (Insured: AGC) (SPA JPMorgan Chase Bank, N.A.), Series C, 0.09% due 10/1/2038 (put 4/8/2021) | 700,000 | 700,000 |
| a | County of Manatee (Florida Power & Light Co.), 0.07% due 9/1/2024 (put 4/1/2021) | 1,100,000 | 1,100,000 |
| | Illinois — 0.1% | | |
| a | Illinois Finance Authority (Northwestern Memorial Healthcare Obligated Group; SPA JPMorgan Chase Bank, N.A.), 0.06% due 8/15/2042 (put 4/1/2021) | 900,000 | 900,000 |
| | Louisiana — 0.1% | | |
| a | Louisiana Public Facilities Authority (SPA Bank of New York Mellon), Series B3, 0.07% due 7/1/2047 (put 4/8/2021) | 540,000 | 540,000 |
| | Missouri — 0.1% | | |
| a | Kansas City (LOC Sumitomo Mitsui Banking), Series F, 0.08% due 4/15/2025 (put 4/8/2021) | 500,000 | 500,000 |
| a | Missouri Development Finance Board (Nelson Gallery Foundation; SPA Northern Trust Company), Series A, 0.06% due 12/1/2033 (put 4/1/2021) | 575,000 | 575,000 |
| | New Mexico — 0.7% | | |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group; SPA Wells Fargo Bank, N.A.), | | |
| a | Series C, 0.06% due 8/1/2034 (put 4/1/2021) | 1,875,000 | 1,875,000 |
| a | Series D, 0.06% due 8/1/2034 (put 4/1/2021) | 4,900,000 | 4,900,000 |
| | New York — 1.2% | | |
| a | City of New York (SPA Barclays Bank plc) GO, Series B-4, 0.06% due 10/1/2046 (put 4/1/2021) | 3,700,000 | 3,700,000 |
| a | City of New York (SPA JPMorgan Chase Bank, N.A.) GO, Series 1, 0.06% due 3/1/2040 (put 4/1/2021) | 1,050,000 | 1,050,000 |
| a | City of New York Municipal Water Finance Authority Water And Sewer System Revenue, Series EE-2, 0.07% due 6/15/2045 (put 4/1/2021) | 2,000,000 | 2,000,000 |
| a | New York (LOC U.S. BANK N.A.) GO, Series L4, 0.07% due 4/1/2038 (put 4/1/2021) | 500,000 | 500,000 |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA JPMorgan Chase Bank, N.A.), Series E3, 0.06% due 2/1/2045 (put 4/1/2021) | 3,000,000 | 3,000,000 |
| a | New York City Water & Sewer System (LOC Citibank N.A.), Series F, 0.07% due 6/15/2035 (put 4/1/2021) | 2,550,000 | 2,550,000 |
| | Pennsylvania — 0.2% | | |
| a | Hospitals & Higher Education Facilities Authority of Philadelphia (Children’s Hospital of Philadelphia Obligated Group; SPA Bank of America N.A.), 0.06% due 7/1/2041 (put 4/1/2021) | 2,000,000 | 2,000,000 |
| | Virginia — 0.3% | | |
| a | Loudoun County (Howard Hughes Medical Institute) EDA, Series E, 0.08% due 2/15/2038 (put 4/8/2021) | 3,240,000 | 3,240,000 |
| | Total Short-Term Municipal Bonds — 3.0% (Cost $30,715,000) | | 30,715,000 |
| | Total Investments — 98.9% (Cost $947,314,166) | | $1,019,177,727 |
| | Other Assets Less Liabilities — 1.1% | | 11,226,076 |
| | Net Assets — 100.0% | | $1,030,403,803 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| b | Segregated as collateral for a when-issued security. |
| c | When-issued security. |
60 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Intermediate Municipal Fund | March 31, 2021 (Unaudited)
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| AGC | Insured by Assured Guaranty Corp. |
| 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. |
| BHAC-CR | Berkshire Hathaway Assurance Corp. Custodial Receipts |
| COP | Certificates of Participation |
| CPI | Consumer Price Index |
| EDA | Economic Development Authority |
| ETM | Escrowed to Maturity |
| FGIC | Insured by Financial Guaranty Insurance Co. |
| FHLMC | Insured by Federal Home Loan Mortgage Corp. |
| FNMA | Collateralized by Federal National Mortgage Association |
| GNMA | Collateralized by Government National Mortgage Association |
| GO | General Obligation |
| HFA | Health Facilities Authority |
| HFFA | Health Facilities Financing Authority |
| IDA | Industrial Development Authority |
| JEA | Jacksonville Electric Authority |
| LOC | Letter of Credit |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| Q-SBLF | Insured by Qualified School Bond Loan Fund |
| SPA | Stand-by Purchase Agreement |
| USD | Unified School District |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 61 |
Schedule of Investments
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | LONG-TERM MUNICIPAL BONDS — 86.4% | | |
| | Alabama — 0.6% | | |
| a | Selma (International Paper Co.) IDB, Series A, 2.00% due 11/1/2033 (put 10/1/2024) | $2,025,000 | $ 2,118,434 |
| | Arizona — 1.8% | | |
| | Arizona (Scottsdale Lincoln Hospitals) HFA , 5.00% due 12/1/2031 | 2,500,000 | 2,895,000 |
| a | County of Yavapai, (Waste Management, Inc.) AMT, IDA, 2.80% due 6/1/2027 (put 6/1/2021) | 1,500,000 | 1,505,085 |
| | Pinal County (Tucson Electric Power Co.) IDA, 4.00% due 9/1/2029 | 1,520,000 | 1,617,554 |
| | Arkansas — 0.3% | | |
| | University of Arkansas Board of Trustees (Fayetteville Campus), Series A, 5.00% due 11/1/2036 | 1,000,000 | 1,141,610 |
| | California — 7.1% | | |
| | ABAG Finance Authority for Nonprofit Corporations (Episcopal Senior Communities), Series A, 5.00% due 7/1/2047 | 1,635,000 | 1,717,191 |
| | Benicia (Benicia High School; Insured: AGM) USD GO, Series C, Zero Coupon due 8/1/2026 | 830,000 | 775,535 |
| | California (Children’s Hospital Los Angeles) HFFA, Series A, 5.00% due 11/15/2034 - 8/15/2036 | 920,000 | 1,037,730 |
| | California (Community Program Developmental Disabilities; Insured: California Mtg Insurance) HFFA, 6.25% due 2/1/2026 | 1,500,000 | 1,506,870 |
| b | California Pollution Control Financing Authority (Poseidon Resources (Channelside) L.P. Desalination Project) AMT, 5.00% due 11/21/2045 | 1,000,000 | 1,058,720 |
| a,b | California Pollution Control Financing Authority (Republic Services, Inc.) AMT, 0.20% due 11/1/2042 (put 4/15/2021) | 1,000,000 | 1,000,000 |
| | Calipatria (Educational Facilities; Insured: ACA) USD GO, Series B, Zero Coupon due 8/1/2025 | 1,870,000 | 1,607,676 |
| | City of Moorpark Mobile Home Park (Villa Del Arroyo), Series A, 6.15% due 5/15/2031 | 1,000,000 | 1,005,750 |
| | City of Palm Springs Financing Authority (Downtown Revitalization Project), Series B, 5.25% due 6/1/2027 | 1,620,000 | 1,699,105 |
| | County of El Dorado (El Dorado Hills Development-Community Facilities), 5.00% due 9/1/2026 | 625,000 | 665,219 |
| | Daly County Housing Development Finance Agency (Franciscan Country Club Mobile Home Park Acquisition), Series A, 5.25% due 12/15/2023 | 650,000 | 652,178 |
| | M-S-R Energy Authority, Series A, 6.50% due 11/1/2039 | 1,245,000 | 2,000,466 |
| a | Northern California Energy Authority (Commodity Supply Revenue), Series A, 4.00% due 7/1/2049 (put 7/1/2024) | 2,000,000 | 2,224,080 |
| | Oakland (County of Alameda Educational Facilities) USD GO, Series A, 5.00% due 8/1/2035 | 1,000,000 | 1,164,380 |
| | Redwood City Redevelopment Agency (Redevelopment Project Area 2; Insured: AMBAC), Zero Coupon due 7/15/2021 | 1,285,000 | 1,283,754 |
| | Riverside County Asset Leasing Corp. (Riverside County Hospital; Insured: Natl-Re), Zero Coupon due 6/1/2021 | 535,000 | 534,834 |
| | San Francisco City & County Airport Comm-San Francisco International Airport AMT, Series A, 5.00% due 5/1/2038 | 1,000,000 | 1,251,840 |
| | San Francisco City & County Redevelopment Financing Authority (Redevelopment Project; Insured: Natl-Re), Series D, Zero Coupon due 8/1/2023 | 1,025,000 | 1,015,375 |
| | State of California GO, 5.00% due 11/1/2029 | 1,000,000 | 1,320,050 |
| | Union Elementary School District (Santa Clara County District Schools; Insured: Natl-Re) GO, Series D, Zero Coupon due 9/1/2027 | 905,000 | 848,039 |
| | Colorado — 2.4% | | |
| | Crystal Valley Metropolitan District No 2 (Insured: AGM) GO, Series A, 5.00% due 12/1/2025 - 12/1/2030 | 1,810,000 | 2,253,407 |
| | Denver Convention Center Hotel Authority, 5.00% due 12/1/2028 | 1,000,000 | 1,165,450 |
| | Durango School District No. 9-R (State Aid Witholding) GO, Series R, 5.00% due 11/1/2031 | 1,000,000 | 1,338,120 |
| | Public Authority for Colorado Energy (Natural Gas Purchase), 6.50% due 11/15/2038 | 260,000 | 400,026 |
| | Regional Transportation District, Series A, 5.00% due 7/15/2032 | 600,000 | 762,498 |
| | Regional Transportation District (FasTracks Transportation System) COP, Series A, 5.00% due 6/1/2044 | 565,000 | 615,375 |
| | Village Metropolitan District (REF) GO, 5.00% due 12/1/2040 | 1,000,000 | 1,090,420 |
| | Wild Plum Metropolitan District GO, Series A, 5.00% due 12/1/2049 | 595,000 | 605,793 |
| | Connecticut — 3.2% | | |
| | City of New Haven (Insured: AGM) GO, Series B, 5.00% due 2/1/2026 - 2/1/2030 | 2,620,000 | 3,239,074 |
| | State of Connecticut GO, | | |
| | Series A, 5.00% due 4/15/2035 | 2,000,000 | 2,463,420 |
| | Series E, 5.00% due 9/15/2033 | 1,350,000 | 1,682,599 |
| | State of Connecticut, Special Tax Revenue, Series A, 5.00% due 5/1/2037 | 750,000 | 950,415 |
| | University of Connecticut (Insured: AGM), Series A, 5.00% due 4/15/2028 | 1,975,000 | 2,485,419 |
| | Delaware — 0.3% | | |
| | Delaware (Nanticoke Memorial Hospital) HFA ETM, 5.00% due 7/1/2021 | 1,000,000 | 1,011,450 |
| | District of Columbia — 0.4% | | |
| | Metropolitan Washington Airports Authority (Dulles Toll Road; Insured: AGC), Series B, Zero Coupon due 10/1/2027 | 1,500,000 | 1,383,195 |
| | Florida — 3.1% | | |
| | Broward County (Airport System Improvements) AMT, 5.00% due 10/1/2037 | 1,000,000 | 1,190,190 |
| b | Charlotte County (Town & Country Utilities Projects) IDA, AMT, 5.00% due 10/1/2029 | 500,000 | 565,040 |
| | County of Miami-Dade Aviation Revenue, Series A, 5.00% due 10/1/2032 | 500,000 | 653,015 |
| | Florida Department of Management Services, Series A, 5.00% due 9/1/2025 | 500,000 | 596,835 |
| | Florida Higher Educational Facilities Financing Authority (Nova Southeastern University), 5.00% due 4/1/2027 (pre-refunded 4/1/2022) | 1,000,000 | 1,047,190 |
| | Miami-Dade County Expressway Authority (Toll System Five-Year Work Program), Series A, 5.00% due 7/1/2022 - 7/1/2024 | 1,250,000 | 1,373,387 |
| | Miami-Dade County School Board (District School Facilities and Infrastructure) COP, Series A, 5.00% due 8/1/2027 | 1,100,000 | 1,168,497 |
| | Orange County (Tourist Development), Series A, 5.00% due 10/1/2031 | 1,000,000 | 1,223,770 |
| a | Sarasota County Public Hospital Board (Sarasota Memorial Hospital; Insured: Natl-Re), Series A, 4.426% (CPI + 2.05%) due 10/1/2021 | 675,000 | 685,944 |
| | Town of Davie (Nova Southeastern University, Inc.), 5.00% due 4/1/2032 | 400,000 | 480,992 |
62 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Volusia County Educational Facilities Authority (Embry-Riddle Aeronautical University, Inc.), Series B, 5.00% due 10/15/2030 | $1,500,000 | $ 1,742,325 |
| | Georgia — 1.6% | | |
| | Main Street Natural Gas, Inc., | | |
| | Series A, | | |
| | 5.00% due 5/15/2037 | 2,640,000 | 3,603,257 |
| | 5.50% due 9/15/2023 | 350,000 | 392,483 |
| | Municipal Electric Authority of Georgia, Series A, 5.00% due 1/1/2039 | 1,225,000 | 1,498,163 |
| | Guam — 0.6% | | |
| | Guam Power Authority (Electric Power System; Insured: AGM), Series A, 5.00% due 10/1/2027 | 1,000,000 | 1,059,440 |
| | Guam Waterworks Authority (Water and Wastewater System), | | |
| | 5.00% due 7/1/2028 | 500,000 | 543,860 |
| | 5.25% due 7/1/2024 | 500,000 | 547,295 |
| | Hawaii — 0.8% | | |
| | State of Hawaii Airports System Revenue AMT, Series A, 5.00% due 7/1/2034 | 2,000,000 | 2,519,560 |
| | State of Hawaii Harbor System Revenue AMT, Series A, 5.00% due 7/1/2029 | 250,000 | 319,213 |
| | Illinois — 12.2% | | |
| | Chicago Midway International Airport AMT, Series A, 5.00% due 1/1/2030 | 1,500,000 | 1,655,430 |
| | Chicago Park District (Various Capital Projects) GO, Series A, 5.00% due 1/1/2035 | 2,000,000 | 2,157,180 |
| | Chicago Park District GO, Series A, 5.00% due 1/1/2027 | 825,000 | 958,031 |
| | City of Chicago, 5.00% due 1/1/2022 | 1,195,000 | 1,217,789 |
| | City of Chicago (Chicago O’Hare International Airport), Series C, 5.00% due 1/1/2031 | 500,000 | 596,590 |
| | City of Chicago (Riverwalk Expansion Project; Insured: AGM), 5.00% due 1/1/2031 | 500,000 | 545,740 |
| | City of Chicago (Wastewater Transmission System), Series C, 5.00% due 1/1/2030 | 1,500,000 | 1,731,450 |
| | City of Chicago (Water System Improvements), 5.00% due 11/1/2029 | 200,000 | 213,392 |
| | City of Chicago (Water System; Insured: AGM), Series 2017-2, 5.00% due 11/1/2037 | 1,500,000 | 1,848,090 |
| | City of Chicago GO, | | |
| | Series A, | | |
| | 5.00% due 1/1/2039 | 1,000,000 | 1,171,270 |
| | 5.625% due 1/1/2031 | 500,000 | 603,305 |
| c | 6.00% due 1/1/2038 | 2,330,000 | 2,811,937 |
| | Illinois Finance Authority (Advocate Health Care Network), 5.00% due 8/1/2029 | 2,195,000 | 2,511,190 |
| | Illinois Finance Authority (Silver Cross Hospital & Medical Centers), 5.00% due 8/15/2035 | 2,355,000 | 2,684,206 |
| | Illinois Finance Authority (Southern Illinois Healthcare), 5.00% due 3/1/2032 - 3/1/2034 | 700,000 | 843,218 |
| | Illinois State University (Insured: AGM), Series A, 5.00% due 4/1/2021 - 4/1/2036 | 1,915,000 | 2,238,090 |
| | Illinois Toll Highway Authority (Move Illinois Program), Series A, 5.00% due 1/1/2037 | 1,000,000 | 1,170,610 |
| | Kane, Cook, & DuPage Counties School District No. 46 GO, | | |
| | Series A, 5.00% due 1/1/2031 | 2,255,000 | 2,519,263 |
| | Series D, 5.00% due 1/1/2028 | 1,000,000 | 1,119,570 |
| | Metropolitan Water Reclamation District of Greater Chicago (Various Capital Improvement Projects) GO, Series C, 5.25% due 12/1/2032 | 40,000 | 55,298 |
| | Metropolitan Water Reclamation District of Greater Chicago Go, Series A, 5.00% due 12/1/2025 | 500,000 | 596,995 |
| | Regional Transportation Authority (Insured: AGM), Series A, 5.75% due 6/1/2034 | 1,100,000 | 1,481,711 |
| | Sales Tax Securitization Corp., Series A, 5.00% due 1/1/2029 | 1,000,000 | 1,227,740 |
| | State of Illinois, Series B, 5.00% due 6/15/2032 - 6/15/2035 | 4,500,000 | 5,256,220 |
| | State of Illinois GO, | | |
| | 5.50% due 5/1/2039 | 375,000 | 465,735 |
| | Series D, 5.00% due 11/1/2028 | 3,000,000 | 3,516,810 |
| | Will County School District No. 114 (Educational Facilities; Insured: Natl-Re) GO, Series C, Zero Coupon due 12/1/2023 | 570,000 | 553,371 |
| | Indiana — 1.0% | | |
| | City of Indianapolis Department of Public Utilities Water System Revenue, Series A, 5.00% due 10/1/2034 | 1,000,000 | 1,257,850 |
| a | City of Whiting AMT, 5.00% due 12/1/2044 (put 6/5/2026) | 1,000,000 | 1,202,800 |
| | Indiana Finance Authority (Marian University), 6.375% due 9/15/2041 (pre-refunded 9/15/2021) | 1,000,000 | 1,027,790 |
| | Kansas — 0.7% | | |
| | Unified Government of Wyandotte County/Kansas City (Utility System Improvement), Series A, 5.00% due 9/1/2031 - 9/1/2032 | 2,000,000 | 2,270,930 |
| | Kentucky — 2.4% | | |
| | Kentucky Economic (Norton Healthcare, Inc.; Insured: Natl-Re) DFA, Series B, Zero Coupon due 10/1/2021 - 10/1/2022 | 3,365,000 | 3,336,600 |
| | Kentucky Higher Education Student Loan Corp. AMT, Series A-1, 5.00% due 6/1/2029 | 500,000 | 601,500 |
| a | Kentucky Public Energy Authority, Series A, 4.00% due 4/1/2048 (put 4/1/2024) | 4,000,000 | 4,384,920 |
| | Louisiana — 2.7% | | |
| | City of New Orleans (Water System Facilities Improvement), 5.00% due 12/1/2034 (pre-refunded 12/1/2024) | 400,000 | 467,852 |
| | Louisiana Energy and Power Authority (Louisiana Energy & Power Authority Unit No. 1; Insured: AGM), Series A, 5.25% due 6/1/2038 | 2,250,000 | 2,462,265 |
| | Louisiana Public Facilities Authority (Ochsner Clinic Foundation Obligated Group), Series A, 5.00% due 5/15/2035 - 5/15/2037 | 1,925,000 | 2,415,126 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 63 |
Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | New Orleans Aviation Board (Louis Armstrong New Orleans International Airport CFC Revenue; Insured: AGM), 5.00% due 1/1/2029 | $ 700,000 | $ 871,192 |
| a | Parish of St. Charles (Valero Energy Corp. Refinery), 4.00% due 12/1/2040 (put 6/1/2022) | 2,750,000 | 2,861,898 |
| | Maine — 0.3% | | |
| | Maine State Housing Authority AMT, Series C-1, 3.00% due 11/15/2023 | 1,000,000 | 1,052,170 |
| | Massachusetts — 0.2% | | |
| | Massachusetts Development Finance Agency (Jordan Hospital and Milton Hospital), Series H-1, 5.00% due 7/1/2032 - 7/1/2033 | 555,000 | 652,331 |
| | Massachusetts Educational Financing Authority, Series I, 6.00% due 1/1/2028 | 35,000 | 35,029 |
| | Michigan — 4.9% | | |
| | Board of Governors of Wayne State University (Educational Facilities and Equipment), Series A, 5.00% due 11/15/2033 | 1,250,000 | 1,441,925 |
| | City of Detroit GO, | | |
| | 5.00% due 4/1/2023 - 4/1/2024 | 900,000 | 973,365 |
| | Series A, 5.00% due 4/1/2032 | 300,000 | 373,002 |
| | City of Troy (Downtown Development Authority-Community Center Facilities) GO, 5.25% due 11/1/2032 (pre-refunded 11/1/2021) | 1,025,000 | 1,055,155 |
| | County of Genesee (Water Supply System; Insured: BAM) GO, 5.375% due 11/1/2038 | 1,000,000 | 1,093,580 |
| | Detroit City School District (School Building & Site; Insured: AGM Q-SBLF) GO, Series A, 5.25% due 5/1/2027 | 1,000,000 | 1,253,980 |
| | Detroit City School District (School Building & Site; Insured: Q-SBLF) GO, Series A, 5.00% due 5/1/2025 | 1,000,000 | 1,051,130 |
| | Detroit Downtown Development Authority (Catalyst Development Project; Insured: AGM), Series A, 5.00% due 7/1/2024 | 850,000 | 965,804 |
| | Kalamazoo Hospital Finance Authority (Bronson Methodist Hospital), | | |
| | 5.25% due 5/15/2041 | 140,000 | 140,713 |
| | 5.25% due 5/15/2041 (pre-refunded 5/15/2021) | 860,000 | 864,919 |
| | Livonia Public School District (School Building & Site; Insured: AGM) GO, Series I, 5.00% due 5/1/2036 (pre-refunded 5/1/2023) | 225,000 | 247,424 |
| | Michigan Finance Authority (State Department of Human Services Office Buildings), Series F, 5.00% due 4/1/2031 | 1,000,000 | 1,023,540 |
| | Michigan Finance Authority (Trinity Health Corp. Obligated Group), 5.00% due 12/1/2027 | 165,000 | 205,887 |
| | Michigan Public School Academy (Will Carleton Charter School), 8.00% due 8/1/2035 | 890,000 | 892,919 |
| | Michigan State Housing Development Authority, Series B, 2.95% due 12/1/2039 | 2,000,000 | 2,072,000 |
| | Michigan Strategic Fund (Detroit Edison Company; Insured: Natl-IBC, AMBAC), 7.00% due 5/1/2021 | 250,000 | 251,203 |
| | Wayne County Airport Authority (Detroit Metropolitan Wayne County Airport), Series B, 5.00% due 12/1/2031 - 12/1/2034 | 2,615,000 | 3,010,843 |
| | Minnesota — 0.5% | | |
| | Minnesota Housing Finance Agency (Collateralized: GNMA, FNMA, FHLMC), Series F, 2.55% due 7/1/2039 | 1,800,000 | 1,847,934 |
| | Nebraska — 1.2% | | |
| a | Central Plains Energy Project, 5.00% due 3/1/2050 (put 1/1/2024) | 1,650,000 | 1,837,539 |
| | Douglas County Health Facilities (Nebraska Methodist Health System), 5.00% due 11/1/2029 - 11/1/2030 | 1,750,000 | 2,085,431 |
| | Nevada — 1.4% | | |
| | Carson City (Carson Tahoe Regional Healthcare), 5.00% due 9/1/2037 | 1,000,000 | 1,190,600 |
| | City of Las Vegas Special Improvement District No. 814 (Summerlin Vlg 21 & 24A), 4.00% due 6/1/2039 - 6/1/2044 | 1,100,000 | 1,142,802 |
| | Clark County School District (Insured: AGM), GO, Series B, 5.00% due 6/15/2031 | 1,650,000 | 2,102,941 |
| | Las Vegas Valley Water District GO, Series A, 5.00% due 6/1/2030 | 400,000 | 487,716 |
| | New Hampshire — 0.2% | | |
| a | New Hampshire Business Finance Authority (Waste Management, Inc.; Guaranty: Waste Management Holdings) AMT, Series A4, 2.15% due 8/1/2038 (put 7/1/2024) | 500,000 | 522,880 |
| | New Jersey — 5.2% | | |
| | New Jersey (New Jersey Transit Corp.) EDA, 5.00% due 11/1/2033 | 500,000 | 617,965 |
| | New Jersey (School Facilities Construction) EDA, 5.00% due 3/1/2026 - 6/15/2038 | 2,680,000 | 3,061,219 |
| | New Jersey (School Facilities Construction; Insured: Natl-Re) EDA, Series N-1, 5.50% due 9/1/2027 | 1,000,000 | 1,251,730 |
| | New Jersey (State of New Jersey Department of the Treasury) EDA, Series DDD, 5.00% due 6/15/2033 | 500,000 | 592,625 |
| | New Jersey Transportation Trust Fund Authority (State Transportation System Improvements), | | |
| | Series A-1, | | |
| a | 1.25% (MUNIPSA + 1.20%) due 6/15/2034 (put 12/15/2021) | 1,000,000 | 1,008,030 |
| | 5.00% due 6/15/2027 | 3,000,000 | 3,534,600 |
| | New Jersey Transportation Trust Fund Authority (Transportation Program Bonds), 5.00% due 6/15/2038 | 1,500,000 | 1,802,340 |
| | New Jersey Transportation Trust Fund Authority (Transportation System), Series A, 5.00% due 6/15/2024 - 12/15/2039 | 5,050,000 | 6,039,207 |
| | New Mexico — 3.9% | | |
| | City of Farmington (Public Service Co. of New Mexico), | | |
| a | Series B, 1.875% due 4/1/2033 (put 10/1/2021) | 1,500,000 | 1,511,280 |
| a | Series D, 1.10% due 6/1/2040 (put 6/1/2023) | 1,000,000 | 1,013,850 |
| | City of Santa Fe (El Castillo Retirement Project), Series A, 5.00% due 5/15/2044 | 950,000 | 1,028,375 |
| | City of Santa Fe (El Castillo Retirement Residences), 5.00% due 5/15/2034 | 1,465,000 | 1,489,949 |
| | New Mexico Hospital Equipment Loan Council (Haverland Carter Lifestyle Obligated Group), 5.00% due 7/1/2032 | 2,525,000 | 2,630,595 |
| | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group), Series A, 5.00% due 8/1/2039 | 1,000,000 | 1,248,600 |
| | New Mexico Mortgage Finance Authority (Collateralized: GNMA, FNMA, FHLMC), | | |
| | Series F, | | |
64 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | 2.85% due 7/1/2039 | $ 985,000 | $ 1,032,910 |
| | 3.50% due 7/1/2050 | 1,865,000 | 2,047,099 |
| a | New Mexico Municipal Energy Acquisition Authority, Series A, 5.00% due 11/1/2039 (put 5/1/2025) | 1,000,000 | 1,169,550 |
| | New York — 5.6% | | |
| | City Of Elmira GO, 4.00% due 5/27/2021 | 790,000 | 791,477 |
| | City of New York (City Budget Financial Management) GO, | | |
| | Series G, 5.00% due 8/1/2023 | 3,000,000 | 3,325,530 |
| | Series J, 5.00% due 8/1/2031 | 1,500,000 | 1,713,975 |
| | City of New York GO, Series C-1, 5.00% due 8/1/2032 | 500,000 | 651,675 |
| | County of Nassau (Insured: BAM) GO, Series B, 5.00% due 4/1/2034 (pre-refunded 4/1/2024) | 500,000 | 569,565 |
| | County of Suffolk (Insured: AGM) GO, Series B, 5.00% due 10/15/2026 | 1,000,000 | 1,212,270 |
| | County of Suffolk GO, Series I, 2.00% due 7/22/2021 | 1,500,000 | 1,505,655 |
| | Metropolitan Transportation Authority (Green Bond), Series A1, 5.00% due 11/15/2030 | 1,045,000 | 1,244,480 |
| | Metropolitan Transportation Authority (Transit and Commuter System), Series B-1, 5.00% due 5/15/2022 | 2,000,000 | 2,094,160 |
| | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00% due 5/1/2033 | 1,000,000 | 1,298,990 |
| | New York State Dormitory Authority (State of New York Personal Income Tax Revenue), | | |
| | Series A, 5.00% due 3/15/2036 | 1,000,000 | 1,291,640 |
| | Series D, 4.00% due 2/15/2040 | 1,000,000 | 1,153,200 |
| | Port Authority of New York & New Jersey AMT, Series 223, 5.00% due 7/15/2033 | 750,000 | 975,818 |
| | Town of Oyster Bay (Insured: AGM) GO, 4.00% due 3/1/2027 | 800,000 | 946,528 |
| | Town of Oyster Bay (Insured: BAM) GO, Series B, 5.00% due 8/15/2021 | 500,000 | 508,535 |
| | North Carolina — 2.1% | | |
| | North Carolina Medical Care Commission (Caromont Health Obligated Group), Series A, 5.00% due 2/1/2027 - 2/1/2032 | 1,900,000 | 2,472,269 |
| | North Carolina Medical Care Commission (Vidant Health), 5.00% due 6/1/2029 (pre-refunded 6/1/2025) | 1,500,000 | 1,782,045 |
| | North Carolina Turnpike Authority, 5.00% due 2/1/2024 - 1/1/2030 | 1,500,000 | 1,825,430 |
| a | University of North Carolina at Chapel Hill, Series A, 0.427% (LIBOR 1 Month + 0.35%) due 12/1/2041 (put 12/1/2021) | 1,000,000 | 1,000,956 |
| | Ohio — 1.3% | | |
| | Akron, Bath and Copley Joint Hospital District (Summa Health), 5.25% due 11/15/2030 | 1,420,000 | 1,720,472 |
| | Akron, Bath Copley Joint Township Hospital District (Summa Health System Obligated Group), 5.00% due 11/15/2030 - 11/15/2032 | 1,000,000 | 1,276,807 |
| | City of Akron (Community Learning Centers), Series A, 5.00% due 12/1/2031 | 625,000 | 657,994 |
| | Cleveland-Cuyahoga County Port Authority (Flats East Development Project; LOC FirstMerit Bank, N.A.), Series B, 7.00% due 5/15/2040 | 875,000 | 878,675 |
| | Pennsylvania — 5.7% | | |
| | Allegheny County (Propel Charter School) IDA, Series A, 6.75% due 8/15/2035 | 845,000 | 847,484 |
| | Bucks County (Waste Management, Inc.) AMT, IDA, Series A-2, 2.75% due 12/1/2022 | 4,000,000 | 4,154,000 |
| | Coatesville Area School District (Insured: AGM) (State Aid Withholding) GO, 5.00% due 8/1/2024 - 8/1/2025 | 1,475,000 | 1,736,252 |
| | Commonwealth Financing Authority, 5.00% due 6/1/2029 | 1,000,000 | 1,254,500 |
| | County of Luzerne (Insured: AGM) GO, Series A, 5.00% due 11/15/2029 | 1,000,000 | 1,172,350 |
| | Montgomery County Higher Education & Health Authority (Thomas Jefferson University Obligated Group), 5.00% due 9/1/2033 | 700,000 | 870,422 |
| | Pennsylvania Turnpike Commission, Series B, 5.00% due 12/1/2036 | 350,000 | 449,428 |
| | Pennsylvania Turnpike Commission (Highway Improvements), Series A-1, 5.00% due 12/1/2037 | 750,000 | 912,945 |
| | Philadelphia (Philadelphia) IDA, 5.00% due 5/1/2024 | 1,000,000 | 1,137,900 |
| | Philadelphia (Thomas Jefferson University) IDA, Series A, 5.00% due 9/1/2035 | 1,500,000 | 1,774,575 |
| | Philadelphia Airport Revenue, Series A, 5.00% due 7/1/2030 | 750,000 | 985,958 |
| | Philadelphia Airport Revenue AMT, Series B, 5.00% due 7/1/2030 | 925,000 | 1,126,622 |
| | Philadelphia Municipal Authority (Juvenile Justice Services Center), 5.00% due 4/1/2038 | 1,360,000 | 1,635,604 |
| | Pittsburgh Water & Sewer Authority (Insured: AGM), Series B, 5.00% due 9/1/2033 | 1,000,000 | 1,377,450 |
| | School District of Philadelphia (State Aid Witholding) GO, Series A, 5.00% due 9/1/2038 | 100,000 | 122,843 |
| | Rhode Island — 0.2% | | |
| | Pawtucket Housing Authority, 5.50% due 9/1/2022 - 9/1/2024 | 475,000 | 491,110 |
| | South Dakota — 0.1% | | |
| | South Dakota Health & Educational Facilities Authority (Avera Health), Series A, 5.00% due 7/1/2027 (pre-refunded 7/1/2021) | 400,000 | 404,656 |
| | Tennessee — 1.2% | | |
| d | Memphis-Shelby County Airport Authority AMT, Series A, 5.00% due 7/1/2033 | 1,770,000 | 2,276,963 |
| | Shelby County Health, Educational and Housing Facility (Methodist Le Bonheur Healthcare), 5.00% due 5/1/2036 | 1,000,000 | 1,209,840 |
| | Tennessee Energy Acquisition Corp. (The Gas Project), Series A, 5.25% due 9/1/2024 | 500,000 | 577,105 |
| | Texas — 5.7% | | |
| | City of Dallas (Public Improvements) GO, 5.00% due 2/15/2031 | 1,930,000 | 2,244,107 |
| | City of Houston (Combined Utility System), | | |
| | Series A, 5.00% due 11/15/2032 | 1,000,000 | 1,331,610 |
| | Series D, 5.00% due 11/15/2028 | 2,500,000 | 2,901,325 |
| | City of Houston (Public Improvements) GO, Series A, 5.00% due 3/1/2032 | 2,500,000 | 2,999,750 |
| a | Denton (Guaranty: PSF-GTD) ISD GO , Series B, 2.00% due 8/1/2044 (put 8/1/2024) | 500,000 | 526,490 |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 65 |
Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Lower Colorado River Authority, | | |
| | Series A, | | |
| | 5.00% due 5/15/2026 | $2,980,000 | $ 3,136,301 |
| | 5.00% due 5/15/2026 (pre-refunded 5/15/2022) | 20,000 | 21,067 |
| | North Texas Tollway Authority (NTTA System), Series A, 5.00% due 1/1/2034 | 750,000 | 1,037,843 |
| | San Antonio Energy Acquisition Public Facilities Corp. (Natural Gas Supply Agreement), 5.50% due 8/1/2021 | 40,000 | 40,631 |
| a | San Antonio Water System, Series A, 2.625% due 5/1/2049 (put 5/1/2024) | 500,000 | 534,480 |
| | State of Texas, 4.00% due 8/26/2021 | 2,665,000 | 2,707,000 |
| | Texas Municipal Gas Acquisition & Supply Corp. III, 5.00% due 12/15/2031 | 500,000 | 655,265 |
| | Texas Transportation Commission (Central Texas Turnpike System), Series C, 5.00% due 8/15/2034 | 1,250,000 | 1,416,550 |
| | U. S. Virgin Islands — 0.6% | | |
| | Virgin Islands Public Finance Authority GO, Series C, 5.00% due 10/1/2021 | 2,000,000 | 1,989,020 |
| | Utah — 0.6% | | |
| | Utah Charter School Finance Authority (Summit Academy, Inc.), Series A, 5.00% due 4/15/2039 | 700,000 | 842,366 |
| | Utah Transit Authority (Integrated Mass Transit System), Series A, 5.00% due 6/15/2033 (pre-refunded 6/15/2025) | 1,000,000 | 1,186,990 |
| | Virginia — 0.5% | | |
| a | Halifax County (VirginiaI Electric and Power Co. Project) IDA, Series A, 0.45% due 12/1/2041 (put 4/1/2022) | 500,000 | 499,700 |
| | Virginia Small Business Financing Authority (National Senior Campuses, Inc. Obligated Group), Series A, 5.00% due 1/1/2034 | 1,000,000 | 1,206,020 |
| | Washington — 1.6% | | |
| | Port of Seattle AMT, 5.00% due 4/1/2039 | 1,705,000 | 2,059,214 |
| | State of Washington (Various Purposes) GO, 5.00% due 6/1/2038 | 1,000,000 | 1,295,850 |
| | Washington Health Care Facilities Authority (Catholic Health Initiatives), Series A, 5.75% due 1/1/2045 (pre-refunded 1/1/2023) | 2,000,000 | 2,194,480 |
| | West Virginia — 0.5% | | |
| a | West Virginia (Appalachian Power Co.) EDA, Series B, 2.625% due 12/1/2042 (put 6/1/2022) | 1,500,000 | 1,539,630 |
| | Wisconsin — 1.7% | | |
| | Public Finance Authority (Renown Regional Medical Center), 5.00% due 6/1/2036 | 650,000 | 827,157 |
| a | Public Finance Authority (St. John’s College), 3.00% due 10/1/2045 (put 10/1/2026) | 1,500,000 | 1,505,850 |
| a | Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group), Series B-4, 5.00% due 8/15/2054 (put 1/29/2025) | 1,250,000 | 1,456,525 |
| | Wisconsin Housing (Collateralized: FNMA) EDA, Series C, 2.75% due 9/1/2039 | 2,000,000 | 2,070,400 |
| | Total Long-Term Municipal Bonds — 86.4% (Cost $276,297,446) | | 295,811,006 |
| | Short-Term Municipal Bonds — 13.1% | | |
| | California — 1.2% | | |
| a | Los Angeles Department of Water & Power Power System Revenue (SPA Bank of America N.A.), Series A-3, 0.05% due 7/1/2035 (put 4/1/2021) | 2,500,000 | 2,500,000 |
| a | Metropolitan Water District of Southern California (SPA PNC Bank, N.A.), Series A, 0.05% due 7/1/2047 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| a | State of California GO (LOC Citibank N.A.), Series B3, 0.04% due 5/1/2034 (put 4/1/2021) | 705,000 | 705,000 |
| | Colorado — 0.2% | | |
| a | City & County of Denver (SPA JPMorgan Chase Bank, N.A.) COP, Series A-3, 0.06% due 12/1/2031 (put 4/1/2021) | 830,000 | 830,000 |
| | Florida — 3.3% | | |
| a | City of Gainesville FL Utilities System Revenue (SPA State Street Bank and Trust Co.), Series A, 0.09% due 10/1/2036 (put 4/8/2021) | 1,300,000 | 1,300,000 |
| a | City of Gainesville Utilities System Revenue (SPA Barclays Bank plc), Series C, 0.06% due 10/1/2026 (put 4/1/2021) | 2,090,000 | 2,090,000 |
| a | City of West Palm Beach Utility System Revenue (Insured: AGC) (SPA JPMorgan Chase Bank, N.A.), Series C, 0.09% due 10/1/2038 (put 4/8/2021) | 6,000,000 | 6,000,000 |
| a | County of Manatee (Florida Power & Light Co.), 0.07% due 9/1/2024 (put 4/1/2021) | 2,000,000 | 2,000,000 |
| | Massachusetts — 0.3% | | |
| a | Massachusetts Development Finance Agency (Tufts University; SPA U.S. Bank, N.A.), Series R, 0.05% due 8/15/2048 (put 4/1/2021) | 1,000,000 | 1,000,000 |
| | New Hampshire — 0.7% | | |
| a | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA State Street Bank and Trust Co.), Series A2, 0.05% due 7/1/2035 (put 4/1/2021) | 1,600,000 | 1,600,000 |
| a | New Hampshire Health and Education Facilities Authority Act (University System of New Hampshire; SPA Wells Fargo Bank, N.A.), Series B, 0.05% due 7/1/2033 (put 4/1/2021) | 675,000 | 675,000 |
| | New Mexico — 1.0% | | |
| a | New Mexico Hospital Equipment Loan Council (Presbyterian Healthcare Services Obligated Group; SPA Wells Fargo Bank, N.A.), Series C, 0.06% due 8/1/2034 (put 4/1/2021) | 2,320,000 | 2,320,000 |
| a | University of New Mexico (SPA U.S. Bank, N.A.), Series B, 0.07% due 6/1/2026 (put 4/8/2021) | 1,000,000 | 1,000,000 |
| | New York — 6.0% | | |
| a | City of New York (SPA Barclays Bank plc) GO, Series B-4, 0.06% due 10/1/2046 (put 4/1/2021) | 950,000 | 950,000 |
| a | City of New York GO (SPA JPMorgan Chase Bank, N.A.), 0.06% due 6/1/2044 (put 4/1/2021) | 500,000 | 500,000 |
66 | Thornburg Municipal Funds Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Strategic Municipal Income Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA JPMorgan Chase Bank, N.A.), | | |
| a | 0.06% due 8/1/2042 (put 4/1/2021) | $2,400,000 | $ 2,400,000 |
| a | Series E4, 0.06% due 2/1/2045 (put 4/1/2021) | 750,000 | 750,000 |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA U.S. Bank, N.A.), Series A-5, 0.07% due 8/1/2039 (put 4/1/2021) | 1,890,000 | 1,890,000 |
| a | New York City Water & Sewer System (LOC Citibank N.A.), Series F, 0.07% due 6/15/2035 (put 4/1/2021) | 6,500,000 | 6,500,000 |
| a | New York City Water & Sewer System (SPA JPMorgan Chase Bank, N.A.), Series AA2, 0.06% due 6/15/2050 (put 4/1/2021) | 1,200,000 | 1,200,000 |
| a | New York State Housing Finance Agency (160 Madison Ave, LLC; LOC Landesbank Hessen-Thuringen), 0.06% due 11/1/2046 (put 4/1/2021) | 5,215,000 | 5,215,000 |
| a | New York State Housing Finance Agency (LOC Landesbank Hessen-Thuringen), Series A, 0.06% due 11/1/2046 (put 4/1/2021) | 1,300,000 | 1,300,000 |
| | Texas — 0.2% | | |
| a | Lower Neches Valley Authority (Exxon Capital Ventures, Inc.; Guaranty: Exxon Mobil Corp.) IDC, 0.05% due 11/1/2051 (put 4/1/2021) | 600,000 | 600,000 |
| | Utah — 0.2% | | |
| a | City of Murray (IHC Health Services, Inc. Obligated Group; SPA JPMorgan Chase Bank, N.A.), Series A, 0.06% due 5/15/2037 (put 4/1/2021) | 730,000 | 730,000 |
| | Total Short-Term Municipal Bonds — 13.1% (Cost $45,055,000) | | 45,055,000 |
| | Total Investments — 99.5% (Cost $321,352,446) | | $340,866,006 |
| | Other Assets Less Liabilities — 0.5% | | 1,648,394 |
| | Net Assets — 100.0% | | $342,514,400 |
| Footnote Legend |
| a | Variable, floating, step, or fixed to floating rate securities are securities for which interest rate changes are based on changes in a designated base rate or on a predetermined schedule. The rates shown are those in effect on March 31, 2021. |
| b | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $2,623,760, representing 0.77% of the Fund’s net assets. |
| c | Segregated as collateral for a when-issued security. |
| d | 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 |
| AGC | Insured by Assured Guaranty Corp. |
| 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. |
| COP | Certificates of Participation |
| CPI | Consumer Price Index |
| DFA | Development Finance Authority |
| EDA | Economic Development Authority |
| ETM | Escrowed to Maturity |
| 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 |
| HFA | Health Facilities Authority |
| HFFA | Health Facilities Financing Authority |
| IDA | Industrial Development Authority |
| IDB | Industrial Development Board |
| IDC | Industrial Development Corp. |
| ISD | Independent School District |
| LIBOR | London Interbank Offered Rates |
| LOC | Letter of Credit |
| Mtg | Mortgage |
| MUNIPSA | Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index |
| Natl-IBC | Insured by National Public Finance Gurantee Corp. and IBC Bank |
| Natl-Re | Insured by National Public Finance Guarantee Corp. |
| PSF-GTD | Guaranteed by Permanent School Fund |
| Q-SBLF | Insured by Qualified School Bond Loan Fund |
| SPA | Stand-by Purchase Agreement |
| USD | Unified School District |
See notes to financial statements.
| Thornburg Municipal Funds Semi-Annual Report | 67 |
Statements of Assets and Liabilities
March 31, 2021 (Unaudited)
| | THORNBURG
SHORT DURATION
MUNICIPAL FUND | THORNBURG
LIMITED TERM
MUNICIPAL FUND | THORNBURG
CALIFORNIA LIMITED TERM
MUNICIPAL FUND | THORNBURG
NEW MEXICO INTERMEDIATE
MUNICIPAL FUND |
| ASSETS | | | | |
| Investment in securities, at cost | $ 201,252,976 | $ 5,654,047,621 | $ 504,705,593 | $ 146,086,612 |
| Investments at value | 202,634,102 | 5,870,531,946 | 522,836,066 | 153,756,760 |
| Cash | 329,864 | 4,874,232 | 574,298 | 1,537,129 |
| Receivable for investments sold | 1,200,000 | 27,968,316 | 2,030,000 | 45,369 |
| Receivable for fund shares sold | 5,000 | 12,939,936 | 1,713,653 | 4,482 |
| Principal and interest receivable | 1,642,602 | 63,163,800 | 6,001,303 | 1,862,842 |
| Prepaid expenses and other assets | 103,882 | 379,567 | 31,116 | 20,537 |
| Total Assets | 205,915,450 | 5,979,857,797 | 533,186,436 | 157,227,119 |
| Liabilities | | | | |
| Payable for investments purchased | 2,848,379 | 41,747,692 | 1,989,201 | - |
| Payable for fund shares redeemed | 5,237 | 9,877,374 | 469,902 | 62,937 |
| Payable to investment advisor and other affiliates | 62,763 | 2,112,108 | 198,893 | 105,744 |
| Accounts payable and accrued expenses | 91,161 | 857,189 | 100,112 | 60,601 |
| Dividends payable | 1,261 | 483,885 | 94,722 | 10,357 |
| Total Liabilities | 3,008,801 | 55,078,248 | 2,852,830 | 239,639 |
| Net Assets | $ 202,906,649 | $ 5,924,779,549 | $ 530,333,606 | $ 156,987,480 |
| NET ASSETS CONSIST OF | | | | |
| Net capital paid in on shares of beneficial interest | $ 203,741,902 | $ 5,749,945,451 | $ 517,260,217 | $ 150,636,960 |
| Distributable earnings (accumulated loss) | (835,253) | 174,834,098 | 13,073,389 | 6,350,520 |
| Net Assets | $ 202,906,649 | $ 5,924,779,549 | $ 530,333,606 | $ 156,987,480 |
| NET ASSET VALUE | | | | |
| Class A Shares: | | | | |
| Net assets applicable to shares outstanding | $ 24,690,692 | $ 990,284,098 | $ 104,287,254 | $ 75,807,332 |
| Shares outstanding | 1,997,343 | 67,932,054 | 7,594,832 | 5,650,354 |
| Net asset value and redemption price per share | $ 12.36 | $ 14.58 | $ 13.73 | $ 13.42 |
| Maximum offering price per share (net asset value, plus 2.25% of offering price) | $ 12.64 | $ 14.92 | $ 14.05 | $ 13.69 * |
| Class C Shares: | | | | |
| Net assets applicable to shares outstanding | - | 163,871,849 | 12,644,029 | - |
| Shares outstanding | - | 11,221,140 | 920,048 | - |
| Net asset value and redemption price per share** | - | 14.60 | 13.74 | - |
| Class C2 Shares: | | | | |
| Net assets applicable to shares outstanding | - | 3,239,360 | 148,951 | - |
| Shares outstanding | - | 221,778 | 10,839 | - |
| Net asset value and redemption price per share** | - | 14.61 | 13.74 | - |
| Class D Shares: | | | | |
| Net assets applicable to shares outstanding | - | - | - | 13,511,077 |
| Shares outstanding | - | - | - | 1,006,576 |
| Net asset value and redemption price per share | - | - | - | 13.42 |
68 | Thornburg Municipal Funds Semi-Annual Report
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
SHORT DURATION
MUNICIPAL FUND | THORNBURG
LIMITED TERM
MUNICIPAL FUND | THORNBURG
CALIFORNIA LIMITED TERM
MUNICIPAL FUND | THORNBURG
NEW MEXICO INTERMEDIATE
MUNICIPAL FUND |
| Class I Shares: | | | | |
| Net assets applicable to shares outstanding | $ 178,215,957 | $ 4,767,384,242 | $ 413,253,372 | $ 67,669,071 |
| Shares outstanding | 14,427,265 | 327,001,274 | 30,065,265 | 5,045,932 |
| Net asset value and redemption price per share | 12.35 | 14.58 | 13.75 | 13.41 |
| * | Net asset value, plus 2.00% of offering price. |
| ** | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
Thornburg Municipal Funds Semi-Annual Report | 69
Statements of Assets and Liabilities, Continued
March 31, 2021 (Unaudited)
| | THORNBURG
NEW YORK INTERMEDIATE
MUNICIPAL FUND | THORNBURG
INTERMEDIATE
MUNICIPAL FUND | THORNBURG
STRATEGIC MUNICIPAL
INCOME FUND |
| ASSETS | | | |
| Investment in securities, at cost | $ 43,387,783 | $ 947,314,166 | $ 321,352,446 |
| Investments at value | 45,792,913 | 1,019,177,727 | 340,866,006 |
| Cash | 158,875 | 1,397,221 | 341,917 |
| Receivable for investments sold | - | 60,368 | 120,908 |
| Receivable for fund shares sold | 4,157 | 798,937 | 766,934 |
| Principal and interest receivable | 624,762 | 12,300,817 | 3,465,047 |
| Prepaid expenses and other assets | 16,468 | 108,348 | 74,252 |
| Total Assets | 46,597,175 | 1,033,843,418 | 345,635,064 |
| Liabilities | | | |
| Payable for investments purchased | - | 1,309,530 | 2,259,246 |
| Payable for fund shares redeemed | 15,542 | 1,224,577 | 611,163 |
| Payable to investment advisor and other affiliates | 21,205 | 461,168 | 148,824 |
| Accounts payable and accrued expenses | 50,560 | 204,646 | 88,266 |
| Dividends payable | 14,210 | 239,694 | 13,165 |
| Total Liabilities | 101,517 | 3,439,615 | 3,120,664 |
| Net Assets | $ 46,495,658 | $ 1,030,403,803 | $ 342,514,400 |
| NET ASSETS CONSIST OF | | | |
| Net capital paid in on shares of beneficial interest | $ 44,577,152 | $ 968,681,438 | $ 324,713,885 |
| Distributable earnings | 1,918,506 | 61,722,365 | 17,800,515 |
| Net Assets | $ 46,495,658 | $ 1,030,403,803 | $ 342,514,400 |
| NET ASSET VALUE | | | |
| Class A Shares: | | | |
| Net assets applicable to shares outstanding | $ 25,815,432 | $ 332,686,868 | $ 66,496,546 |
| Shares outstanding | 1,998,410 | 23,122,600 | 4,311,002 |
| Net asset value and redemption price per share | $ 12.92 | $ 14.39 | $ 15.42 |
| Maximum offering price per share (net asset value, plus 2.00% of offering price) | $ 13.18 | $ 14.68 | $ 15.73 |
| Class C Shares: | | | |
| Net assets applicable to shares outstanding | - | 38,475,630 | 13,188,936 |
| Shares outstanding | - | 2,670,958 | 854,157 |
| Net asset value and redemption price per share* | - | 14.41 | 15.44 |
| Class C2 Shares: | | | |
| Net assets applicable to shares outstanding | - | 1,109,326 | - |
| Shares outstanding | - | 76,993 | - |
| Net asset value and redemption price per share* | - | 14.41 | - |
| Class I Shares: | | | |
| Net assets applicable to shares outstanding | 20,680,226 | 658,131,979 | 262,828,918 |
| Shares outstanding | 1,600,726 | 45,799,154 | 17,024,253 |
| Net asset value and redemption price per share | 12.92 | 14.37 | 15.44 |
| * | Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See notes to financial statements.
70 | Thornburg Municipal Funds Semi-Annual Report
Statements of Operations
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
SHORT DURATION
MUNICIPAL FUND | THORNBURG
LIMITED TERM
MUNICIPAL FUND | THORNBURG
CALIFORNIA LIMITED TERM
MUNICIPAL FUND | THORNBURG
NEW MEXICO INTERMEDIATE
MUNICIPAL FUND |
| INVESTMENT INCOME | | | | |
| Interest income | $ 927,152 | $ 59,377,490 | $ 5,033,103 | $ 1,939,210 |
| Less: | | | | |
| EXPENSES | | | | |
| Investment management fees | 360,151 | 7,955,618 | 1,354,227 | 396,706 |
| Administration fees | 77,876 | 2,534,502 | 240,768 | 68,732 |
| Distribution and service fees | | | | |
| Class A Shares | 24,670 | 1,231,778 | 135,514 | 98,157 |
| Class C Shares | - | 444,032 | 34,778 | - |
| Class C2 Shares* | - | 5,253 | 416 | - |
| Class D Shares | - | - | - | 35,117 |
| Transfer agent fees | | | | |
| Class A Shares | 16,857 | 249,720 | 20,955 | 22,227 |
| Class C Shares | - | 77,936 | 7,088 | - |
| Class C2 Shares* | - | 681 | 272 | - |
| Class D Shares | - | - | - | 4,887 |
| Class I Shares | 19,104 | 1,706,270 | 145,296 | 10,995 |
| Registration and filing fees | | | | |
| Class A Shares | 9,160 | 31,042 | 4,562 | 4,077 |
| Class C Shares | - | 13,341 | 3,499 | - |
| Class C2 Shares* | - | 5,804 | 1,254 | - |
| Class D Shares | - | - | - | 3,673 |
| Class I Shares | 68,068 | 160,438 | 7,687 | 3,996 |
| Custodian fees | 21,612 | 187,716 | 40,007 | 23,183 |
| Professional fees | 21,319 | 56,787 | 24,434 | 21,757 |
| Trustee and officer fees | 4,784 | 183,052 | 17,677 | 5,143 |
| Other expenses | 8,202 | 179,845 | 19,810 | 9,293 |
| Total Expenses | 631,803 | 15,023,815 | 2,058,244 | 707,943 |
| Less: | | | | |
| Expenses reimbursed | (156,973) | (4,716) | (429,841) | (15,242) |
| Investment management fees waived | - | - | (102,187) | - |
| Net Expenses | 474,830 | ��� 15,019,099 | 1,526,216 | 692,701 |
| Net Investment Income (Loss) | $ 452,322 | $ 44,358,391 | $ 3,506,887 | $ 1,246,509 |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
| Net realized gain (loss) | (8,472) | (2,682,725) | (210,955) | (9,085) |
| Net change in unrealized appreciation (depreciation) | (82,618) | (22,105,591) | (2,449,410) | (751,614) |
| Net Realized and Unrealized Gain (Loss) | (91,090) | (24,788,316) | (2,660,365) | (760,699) |
| Change in Net Assets Resulting from Operations | $ 361,232 | $ 19,570,075 | $ 846,522 | $ 485,810 |
| * | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
Thornburg Municipal Funds Semi-Annual Report | 71
Statements of Operations, Continued
Six Months Ended March 31, 2021 (Unaudited)
| | THORNBURG
NEW YORK INTERMEDIATE
MUNICIPAL FUND | THORNBURG
INTERMEDIATE
MUNICIPAL FUND | THORNBURG
STRATEGIC MUNICIPAL
INCOME FUND |
| INVESTMENT INCOME | | | |
| Interest income | $ 684,045 | $ 15,972,280 | $ 4,655,878 |
| Less: | | | |
| EXPENSES | | | |
| Investment management fees | 119,149 | 2,447,821 | 1,197,022 |
| Administration fees | 20,645 | 449,162 | 138,162 |
| Distribution and service fees | | | |
| Class A Shares | 32,938 | 418,472 | 80,091 |
| Class C Shares | - | 124,570 | 40,530 |
| Class C2 Shares* | - | 1,944 | - |
| Transfer agent fees | | | |
| Class A Shares | 8,248 | 91,050 | 24,230 |
| Class C Shares | - | 19,008 | 6,314 |
| Class C2 Shares* | - | 362 | - |
| Class I Shares | 8,627 | 232,324 | 88,135 |
| Registration and filing fees | | | |
| Class A Shares | 5,662 | 17,456 | 11,704 |
| Class C Shares | - | 8,972 | 8,660 |
| Class C2 Shares* | - | 3,893 | - |
| Class I Shares | 5,119 | 34,781 | 15,795 |
| Custodian fees | 16,718 | 52,860 | 29,880 |
| Professional fees | 20,962 | 27,432 | 24,203 |
| Trustee and officer fees | 1,554 | 34,029 | 9,720 |
| Other expenses | 5,845 | 35,214 | 15,657 |
| Total Expenses | 245,467 | 3,999,350 | 1,690,103 |
| Less: | | | |
| Expenses reimbursed | (39,123) | (721,297) | (296,744) |
| Investment management fees waived | (4,524) | - | (334,613) |
| Net Expenses | 201,820 | 3,278,053 | 1,058,746 |
| Net Investment Income (Loss) | $ 482,225 | $ 12,694,227 | $ 3,597,132 |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | |
| Net realized gain (loss) | (71,249) | 43,073 | 247,403 |
| Net change in unrealized appreciation (depreciation) | (60,918) | 1,480,511 | 1,569,863 |
| Net Realized and Unrealized Gain (Loss) | (132,167) | 1,523,584 | 1,817,266 |
| Change in Net Assets Resulting from Operations | $ 350,058 | $ 14,217,811 | $ 5,414,398 |
| * | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
72 | Thornburg Municipal Funds Semi-Annual Report
Statements of Changes in Net Assets
| | THORNBURG SHORT DURATION MUNICIPAL FUND | THORNBURG LIMITED TERM MUNICIPAL FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 452,322 | $ 2,224,420 | $ 44,358,391 | $ 103,142,726 |
| Net realized gain (loss) | (8,472) | (1,987,126) | (2,682,725) | (5,351,683) |
| Net change in unrealized appreciation (depreciation) | (82,618) | 34,198 | (22,105,591) | 67,365,942 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 361,232 | 271,492 | 19,570,075 | 165,156,985 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (41,503) | (207,150) | (6,621,822) | (14,780,175) |
| Class C Shares | - | - | (928,028) | (3,922,727) |
| Class C2 Shares** | - | - | (6,004) | - |
| Class I Shares | (410,819) | (2,016,586) | (36,798,157) | (84,517,925) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | 119,458 | 7,613,606 | 51,476,627 | 16,555,890 |
| Class C Shares | - | - | (66,605,783) | (97,283,343) |
| Class C2 Shares** | - | - | 3,253,721 | - |
| Class I Shares | 45,758,454 | (89,783,308) | 220,966,830 | (375,430,005) |
| Net Increase (Decrease) in Net Assets | 45,786,822 | (84,121,946) | 184,307,459 | (394,221,300) |
| NET ASSETS | | | | |
| Beginning of Period | 157,119,827 | 241,241,773 | 5,740,472,090 | 6,134,693,390 |
| End of Period | $ 202,906,649 | $ 157,119,827 | $ 5,924,779,549 | $ 5,740,472,090 |
| * | Unaudited. |
| ** | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
Thornburg Municipal Funds Semi-Annual Report | 73
Statements of Changes in Net Assets, Continued
| | THORNBURG CALIFORNIA LIMITED TERM MUNICIPAL FUND | THORNBURG NEW MEXICO INTERMEDIATE MUNICIPAL FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 3,506,887 | $ 7,880,804 | $ 1,246,509 | $ 3,080,351 |
| Net realized gain (loss) | (210,955) | (270,846) | (9,085) | (354,507) |
| Net change in unrealized appreciation (depreciation) | (2,449,410) | 3,553,135 | (751,614) | 1,819,177 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 846,522 | 11,163,093 | 485,810 | 4,545,021 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (589,184) | (1,452,741) | (569,888) | (1,503,763) |
| Class C Shares | (55,596) | (257,030) | - | - |
| Class C2 Shares** | (540) | - | - | - |
| Class D Shares | - | - | (83,548) | (238,733) |
| Class I Shares | (2,862,824) | (6,171,650) | (582,036) | (1,358,851) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | (4,256,772) | (5,179,291) | (4,310,469) | (5,116,349) |
| Class C Shares | (4,857,347) | (10,650,900) | - | - |
| Class C2 Shares** | 149,457 | - | - | - |
| Class D Shares | - | - | (900,248) | (1,549,936) |
| Class I Shares | (34,679,531) | 96,508,365 | 2,294,710 | 3,043,793 |
| Net Increase (Decrease) in Net Assets | (46,305,815) | 83,959,846 | (3,665,669) | (2,178,818) |
| NET ASSETS | | | | |
| Beginning of Period | 576,639,421 | 492,679,575 | 160,653,149 | 162,831,967 |
| End of Period | $ 530,333,606 | $ 576,639,421 | $ 156,987,480 | $ 160,653,149 |
| * | Unaudited. |
| ** | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
74 | Thornburg Municipal Funds Semi-Annual Report
Statements of Changes in Net Assets, Continued
| | THORNBURG NEW YORK INTERMEDIATE MUNICIPAL FUND | THORNBURG INTERMEDIATE MUNICIPAL FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | | | |
| OPERATIONS | | | | |
| Net investment income (loss) | $ 482,225 | $ 1,041,672 | $ 12,694,227 | $ 27,477,690 |
| Net realized gain (loss) | (71,249) | 128,345 | 43,073 | (604,721) |
| Net change in unrealized appreciation (depreciation) | (60,918) | (237,988) | 1,480,511 | 730,702 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 350,058 | 932,029 | 14,217,811 | 27,603,671 |
| DIVIDENDS TO SHAREHOLDERS | | | | |
| From distributable earnings | | | | |
| Class A Shares | (250,061) | (543,298) | (3,878,181) | (7,666,340) |
| Class C Shares | - | - | (402,632) | (1,402,561) |
| Class C2 Shares** | - | - | (5,691) | - |
| Class I Shares | (236,243) | (494,706) | (8,426,440) | (18,372,806) |
| FUND SHARE TRANSACTIONS | | | | |
| Class A Shares | (1,230,130) | 745,060 | 5,443,751 | 12,212,921 |
| Class C Shares | - | - | (14,547,247) | (24,162,208) |
| Class C2 Shares** | - | - | 1,112,003 | - |
| Class I Shares | (455,234) | (3,288,294) | (11,060,706) | (61,366,720) |
| Net Increase (Decrease) in Net Assets | (1,821,610) | (2,649,209) | (17,547,332) | (73,154,043) |
| NET ASSETS | | | | |
| Beginning of Period | 48,317,268 | 50,966,477 | 1,047,951,135 | 1,121,105,178 |
| End of Period | $ 46,495,658 | $ 48,317,268 | $ 1,030,403,803 | $ 1,047,951,135 |
| * | Unaudited. |
| ** | Class C2 Shares commenced operations on October 1, 2020. |
See notes to financial statements.
Thornburg Municipal Funds Semi-Annual Report | 75
Statements of Changes in Net Assets, Continued
| | THORNBURG STRATEGIC MUNICIPAL INCOME FUND |
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | |
| OPERATIONS | | |
| Net investment income (loss) | $ 3,597,132 | $ 7,791,331 |
| Net realized gain (loss) | 247,403 | (1,091,775) |
| Net change in unrealized appreciation (depreciation) | 1,569,863 | 523,541 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,414,398 | 7,223,097 |
| DIVIDENDS TO SHAREHOLDERS | | |
| From distributable earnings | | |
| Class A Shares | (676,881) | (1,452,003) |
| Class C Shares | (110,810) | (365,911) |
| Class I Shares | (2,809,582) | (5,978,359) |
| FUND SHARE TRANSACTIONS | | |
| Class A Shares | 4,552,271 | 5,512,944 |
| Class C Shares | (2,481,678) | (4,473,597) |
| Class I Shares | 36,012,625 | 6,403,584 |
| Net Increase (Decrease) in Net Assets | 39,900,343 | 6,869,755 |
| NET ASSETS | | |
| Beginning of Period | 302,614,057 | 295,744,302 |
| End of Period | $ 342,514,400 | $ 302,614,057 |
See notes to financial statements.
76 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements
March 31, 2021 (Unaudited)
NOTE 1 – ORGANIZATION
Thornburg Short Duration Municipal Fund (“Short Duration Municipal Fund”), Thornburg Limited Term Municipal Fund (“Limited Term Municipal Fund”), Thornburg California Limited Term Municipal Fund (“Limited Term California Fund”), Thornburg Intermediate Municipal Fund (“Intermediate Municipal Fund”), Thornburg New Mexico Intermediate Municipal Fund (“Intermediate New Mexico Fund”), Thornburg New York Intermediate Municipal Fund (“Intermediate New York Fund”), and Thornburg Strategic Municipal Income Fund (“Strategic Municipal Income Fund”), collectively the "Funds", are series of Thornburg Investment Trust (the “Trust”). The Short Duration Municipal Fund, Limited Term Municipal Fund, Intermediate Municipal Fund, Limited Term California Fund, and Strategic Municipal Income Fund are diversified. The Intermediate New Mexico Fund and Intermediate New York Fund are non-diversified. 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 "1940 Act"). The Funds are currently seven of twenty-two 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.
Short Duration Municipal Fund: The Fund seeks current income exempt from federal income tax, consistent with preservation of capital. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit 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.
Limited Term Municipal Fund: 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit 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.
Limited Term California Fund: The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and California state individual income tax as is consistent, in the view of the 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, and single state risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Intermediate Municipal Fund: The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal individual income taxes as is consistent, in the view of the 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit 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.
Intermediate New Mexico Fund: The Fund’s primary investment objective is to obtain as high a level of current income exempt from federal and New Mexico state individual income tax as is consistent, in the view of the 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, single state risk, and non-diversification risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
Intermediate New York Fund: 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 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, market and economic risk, liquidity risk, single state risk, and non-diversification risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund
Strategic Municipal Income Fund: The Fund seeks a high level of current income exempt from federal individual income tax. The Fund’s investments subject it to risks including, but not limited to, management risk, interest rate risk, credit risk, high yield 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.
All countries are vulnerable economically to the impact of a public health crisis, such as the novel virus known as COVID-19. Such crises may depress consumer demand, disrupt supply chains, slow economic growth, and potentially lead to market closures, travel restrictions, government-imposed shutdowns, and quarantines, all of which could adversely affect the economies of many of the markets in which the Funds invest, and which could in turn lead to declines in the value of the Funds’ invest, and which could in turn lead to declines in the value of the Funds’ investments or decrease the liquidity of those investments.
Thornburg Municipal Funds Semi-Annual Report | 77
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
As of March 31, 2021, the Funds currently offer from one to four classes of shares of beneficial interest.
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 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 C2 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 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, (v) 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 bear both a service fee and a distribution fee, and (vi) the respective classes may have different reinvestment privileges and conversion rights. Additionally, each Fund may allocate among its classes certain expenses, to the extent allocable to specific classes, including administration fees, transfer agent fees, government registration fees, certain printing and postage costs, and legal expenses. Currently, class specific expenses of the Funds are limited to distribution and service fees and certain registration and filing fees.
At March 31, 2021, the following classes of shares are offered in each respective Fund:
| | Class A | Class C | Class C2 | Class D | Class I |
| Short Duration Municipal Fund | X | | | | X |
| Limited Term Municipal Fund | X | X | X | | X |
| Limited Term California Fund | X | X | X | | X |
| Intermediate New Mexico Fund | X | | | X | X |
| Intermediate New York Fund | X | | | | X |
| Intermediate Municipal Fund | X | X | X | | X |
| Strategic Municipal Income Fund | X | X | | | X |
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by each of the Funds in the preparation of its financial statements. Each Fund 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.
Allocation of Income, Gains, Losses and Expenses: 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 daily among the Funds comprising the Trust based upon their relative net asset values or other appropriate allocation methods. Operating expenses directly attributable to a specific class are charged against the operating income of that class.
Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income dividends, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends and distributions are paid and are reinvested in additional shares of the Funds at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.
Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to first call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Investment Income in the Statement of Operations.
Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.
Security Valuation: All investments in securities held by the Funds are valued as described in Note 3.
78 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Use of Estimates: 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.
When-Issued and Delayed Delivery Transactions: The Funds may engage in when-issued or delayed delivery transactions. To the extent the Funds engage in such transactions, they will do so for the purpose of acquiring portfolio investments consistent with the Funds’ investment objectives and not for the purpose of investment leverage or to speculate on interest rate or market changes. At the time the Funds make a commitment to purchase an investment on a when-issued or delayed delivery basis, the Funds 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 Funds’ records on the trade date. Investments purchased on a when-issued or delayed delivery basis do not earn interest until the settlement date. The values of these securities held at March 31, 2021 are detailed in the Schedule of Investments.
NOTE 3 – SECURITY VALUATION
Valuation of the Funds’ portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.
The Trustees of the Trust have appointed the Advisor to assist the Trustees with obtaining fair market values for portfolio investments, evaluating and monitoring professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assisting in calculating fair values for portfolio investments in certain circumstances, and performing other functions in connection with the 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, reviews 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 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 Securities: 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 is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Funds are likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
Valuation Hierarchy: The Funds categorize their 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 Funds’ investments. These inputs are generally summarized according to the three-level hierarchy below:
Level 1: Quoted prices in active markets for identical investments.
Thornburg Municipal Funds Semi-Annual Report | 79
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
Level 2: Other direct or indirect significant observable inputs (including quoted prices for similar investments in active markets and other observable inputs, such as interest rates, prepayment rates, credit ratings, 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 Funds are typically calculated by pricing service providers approved by the Audit Committee and are generally 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 a fund may receive a price that is lower than the valuation based upon these inputs when it sells the investment.
The following tables display a summary of the fair value hierarchy measurements of each Fund’s investments as of March 31, 2021:
| SHORT DURATION MUNICIPAL FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 149,354,102 | $ — | $ 149,354,102 | $ — |
| Short-Term Municipal Bonds | 53,280,000 | — | 53,280,000 | — |
| Total Investments in Securities | $ 202,634,102 | $ — | $ 202,634,102 | $ — |
| Total Assets | $ 202,634,102 | $ — | $ 202,634,102 | $ — |
| LIMITED TERM MUNICIPAL FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 5,220,316,946 | $ — | $ 5,220,316,946 | $ — |
| Short-Term Municipal Bonds | 650,215,000 | — | 650,215,000 | — |
| Total Investments in Securities | $ 5,870,531,946 | $ — | $ 5,870,531,946 | $ — |
| Total Assets | $ 5,870,531,946 | $ — | $ 5,870,531,946 | $ — |
| LIMITED TERM CALIFORNIA FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 502,556,066 | $ — | $ 502,556,066 | $ — |
| Short-Term Municipal Bonds | 20,280,000 | — | 20,280,000 | — |
| Total Investments in Securities | $ 522,836,066 | $ — | $ 522,836,066 | $ — |
| Total Assets | $ 522,836,066 | $ — | $ 522,836,066 | $ — |
| INTERMEDIATE NEW MEXICO FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 150,161,760 | $ — | $ 150,161,760 | $ — |
| Short-Term Municipal Bonds | 3,595,000 | — | 3,595,000 | — |
| Total Investments in Securities | $ 153,756,760 | $ — | $ 153,756,760 | $ — |
| Total Assets | $ 153,756,760 | $ — | $ 153,756,760 | $— |
80 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| INTERMEDIATE NEW YORK FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 45,192,913 | $ — | $ 45,192,913 | $ — |
| Short-Term Municipal Bonds | 600,000 | — | 600,000 | — |
| Total Investments in Securities | $ 45,792,913 | $ — | $ 45,792,913 | $ — |
| Total Assets | $ 45,792,913 | $ — | $ 45,792,913 | $ — |
| INTERMEDIATE MUNICIPAL FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 988,462,727 | $ — | $ 988,462,727 | $ — |
| Short-Term Municipal Bonds | 30,715,000 | — | 30,715,000 | — |
| Total Investments in Securities | $ 1,019,177,727 | $ — | $ 1,019,177,727 | $ — |
| Total Assets | $ 1,019,177,727 | $ — | $ 1,019,177,727 | $ — |
| STRATEGIC MUNICIPAL INCOME FUND | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Long-Term Municipal Bonds | $ 295,811,006 | $ — | $ 295,811,006 | $ — |
| Short-Term Municipal Bonds | 45,055,000 | — | 45,055,000 | — |
| Total Investments in Securities | $ 340,866,006 | $ — | $ 340,866,006 | $ — |
| Total Assets | $ 340,866,006 | $ — | $ 340,866,006 | $— |
NOTE 4 – INVESTMENT MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an investment management 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. Under the investment advisory agreement, each Fund pays the Advisor a management fee based on the average daily net assets of the Funds at an annual rate as shown in the following table:
| SHORT DURATION MUNICIPAL FUND | LIMITED TERM MUNICIPAL FUND,
LIMITED TERM CALIFORNIA FUND | INTERMEDIATE NEW MEXICO FUND,
INTERMEDIATE NEW YORK FUND,
INTERMEDIATE MUNICIPAL FUND | STRATEGIC MUNICIPAL INCOME FUND |
| DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE | DAILY NET ASSETS | FEE RATE |
| Up to $1 billion | 0.400% | Up to $500 million | 0.500% | Up to $500 million | 0.500% | Up to $500 million | 0.750% |
| Next $500 million | 0.300 | Next $500 million | 0.400 | Next $500 million | 0.450 | Next $500 million | 0.675 |
| Next $500 million | 0.250 | Next $500 million | 0.300 | Next $500 million | 0.400 | Next $500 million | 0.625 |
| Over $2 billion | 0.225 | Next $500 million | 0.250 | Next $500 million | 0.350 | Next $500 million | 0.575 |
| | | Over $2 billion | 0.225 | Over $2 billion | 0.275 | Over $2 billion | 0.500 |
The Funds’ effective management fees of as a percentage of the Funds’ average daily net assets (before applicable management fee waivers) for the six months ended March 31, 2021 were as shown in the following table. Total management fees incurred by the Funds for the six months ended March 31, 2021 are set forth in the Statement of Operations.
Thornburg Municipal Funds Semi-Annual Report | 81
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | Effective
Management
Fee |
| Short Duration Municipal Fund | 0.400% |
| Limited Term Municipal Fund | 0.272 |
| Limited Term California Fund | 0.490 |
| Intermediate New Mexico Fund | 0.500 |
| Intermediate New York Fund | 0.500 |
| Intermediate Municipal Fund | 0.472 |
| Strategic Municipal Income Fund | 0.750 |
The Trust has entered into an administrative services agreement with the Advisor, whereby the Advisor will perform certain administrative services related to each class of the Funds’ shares. The fees are computed as an annual percentage of the aggregate average daily net assets of all shares classes of all Funds in the Trust as follows:
| Administrative Services Fee Schedule |
| Daily Net Assets | Fee Rate |
| Up to $20 billion | 0.100% |
| $20 billion to $40 billion | 0.075 |
| $40 billion to $60 billion | 0.040 |
| Over $60 billion | 0.030 |
The aggregate fee amount is allocated on a daily basis to each Fund based on net assets and subsequently allocated to each class of shares of the Funds. Total administrative services fees incurred by each class of shares of the Funds for the six months ended March 31, 2021, are set forth in the Statement of Operations.
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 six months ended March 31, 2021, the Distributor has advised the Funds that they earned net commissions from the sale of Class A shares and collected contingent deferred sales charges ("CDSC Fees") from redemptions of Class C shares as follows:
| | Commissions | CDSC fees |
| Short Duration Municipal Fund | $ 162 | $ — |
| Limited Term Municipal Fund | 21,529 | 8,270 |
| Limited Term California Fund | 965 | 8 |
| Intermediate New Mexico Fund | 142 | — |
| Intermediate New York Fund | (18) | — |
| Intermediate Municipal Fund | 1,536 | 2,895 |
| Strategic Municipal Income Fund | 821 | 400 |
Pursuant to a service plan under Rule 12b-1 of the 1940 Act, the Funds may reimburse to the Distributor an amount not to exceed .25 of 1% per annum of the average daily net assets attributable to the applicable Class A, Class C, Class C2 and Class I shares of the Limited Term Municipal Fund, Limited Term California Fund and Intermediate Municipal Fund, Class A, Class C, and Class I shares of the Strategic Municipal Income Fund, Class A and Class I shares of the Intermediate New York Fund and Class A, Class D and Class I shares of the Intermediate New Mexico Fund and .20 of 1% per annum of the average daily net assets attributable to the applicable Class A and Class I shares of Short Duration Municipal Fund for payments made by the Distributor to securities dealers and other financial institutions to obtain various shareholder and distribution related services. For the six months ended March 31, 2021, there were no 12b-1 service plan fees charged for Class I. The Advisor and Distributor each may pay out of its own resources additional expenses for distribution of each 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, Class C2, and Class D shares, under which the Funds compensate the Distributor for services in promoting the sale of Class C and Class D shares of the Funds at an annual rate of up to .25 of 1% per annum of the average daily net assets attributable to Class C of the Limited Term Municipal Fund, Limited Term California Fund, and Intermediate New York Fund and Class D shares of the Intermediate New Mexico Fund, .35 of 1% per annum of the average daily net assets attributable to Class C of the Intermediate Municipal Fund and Strategic Municipal Income Fund and .40 of 1% per annum of the average daily net assets attributed to Class C2 shares of the Limited Term Municipal Fund, Limited Term
82 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
California Fund, and Intermediate Municipal Fund. Total fees incurred by each class of shares of the Funds under their respective service and distribution plans for the six months ended March 31, 2021, are set forth in the Statements of Operations.
The Advisor has contractually agreed to waive fees and reimburse expenses incurred by the Funds. The agreement may be terminated by the Funds at any time, but may not be terminated by the Advisor before February 1, 2022 unless the Advisor ceases to be the investment advisor to the Funds prior to that date. The Advisor may recoup amounts waived or reimbursed during the six months ended March 31, 2021 if, during the fiscal year, expenses fall below the contractual limit that was in place at the time these fees and expenses were waived or reimbursed. The Advisor will not recoup fees or expenses as described in the preceding sentence if that recoupment would cause the Fund’s total annual operating expenses (after the recoupment is taken into account) to exceed the lesser of: (a) the expense cap that was in place at the time the waiver or reimbursement occurred; or (b) the expense cap that is in place at the time of the recoupment.
Actual expenses of certain share classes do not exceed levels as specified in each Fund’s most recent prospectus as shown on the following table:
| | Class A | Class C | Class C2 | Class I |
| Short Duration Municipal Fund | 0.70% | —% | —% | 0.50% |
| Limited Term California Fund | 0.74 | 1.02 | 1.02 | 0.49 |
| Intermediate New Mexico Fund | — | — | — | 0.67 |
| Intermediate New York Fund | 0.99 | — | — | 0.67 |
| Intermediate Municipal Fund | 0.77 | 1.14 | 1.14 | 0.53 |
| Strategic Municipal Income Fund | 0.81 | 1.28 | — | 0.59 |
For the six months ended March 31, 2021, the Advisor contractually reimbursed certain class specific expenses and distribution fees and voluntarily waived Fund level investment advisory fees as follows:
| Contractual: | Class A | Class C | Class C2 | Class I | Total |
| Short Duration Municipal Fund | $ 32,055 | $ — | $ — | $ 124,918 | $ 156,973 |
| Limited Term California Fund | 73,279 | 14,534 | 1,675 | 340,353 | 429,841 |
| Intermediate New Mexico Fund | — | — | — | 12,218 | 12,218 |
| Intermediate New York Fund | 16,149 | — | — | 22,974 | 39,123 |
| Intermediate Municipal Fund | 222,279 | 37,736 | 4,514 | 456,768 | 721,297 |
| Strategic Municipal Income Fund | 121,640 | 24,857 | — | 389,651 | 536,148 |
| Voluntary: | Class A | Class C | Class C2 | Class D | Class I | Total |
| Limited Term Municipal Fund | $ — | $ — | $ 4,716 | $ — | $ — | $ 4,716 |
| Limited Term California Fund | 20,077 | 2,571 | 24 | — | 79,515 | 102,187 |
| Intermediate New Mexico Fund | — | — | — | 3,024 | — | 3,024 |
| Intermediate New York Fund | 2,502 | — | — | — | 2,022 | 4,524 |
| Strategic Municipal Income Fund | 19,129 | 4,027 | — | — | 72,053 | 95,209 |
Certain officers and Trustees of the Trust are also officers or directors of the Advisor and Distributor. The compensation of the independent Trustees is borne by the Trust. The Trust also pays a portion of the Chief Compliance Officer’s compensation. These amounts are reflected as Trustee and officer fees in the Statement of Operations.
As of March 31, 2021, the percentage of direct investments in the Funds held by the Trustees, officers of the Trust, and the Advisor is approximately as follows.
| | Percentage of Direct Investments |
| Short Duration Municipal Fund | 63.96% |
| Limited Term Municipal Fund | 2.62 |
| Limited Term California Fund | — |
| Intermediate New Mexico Fund | 14.60 |
| Intermediate New York Fund | — |
| Intermediate Municipal Fund | 0.12 |
| Strategic Municipal Income Fund | 8.32 |
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 all such transactions will comply with Rule 17a-7 under the 1940 Act. For the six months ended at March 31, 2021, the Rule 17a-7 purchases, sales and gains/(losses) were as follows.
Thornburg Municipal Funds Semi-Annual Report | 83
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | Purchases | Sales | Realized gains/(losses) |
| Short Duration Municipal Fund | $ 3,112,598 | $ — | $ — |
| Limited Term Municipal Fund | 10,339,915 | — | — |
| Limited Term California Fund | — | 1,310,016 | — |
| Intermediate New York Fund | — | 1,023,773 | (293) |
| Intermediate Municipal Fund | — | 11,118,724 | 6,019 |
NOTE 5 – TAXES
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 investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Funds. Therefore, no provision for federal income or excise tax is required.
The Funds file income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Funds’ tax return filings generally remains open for the three years following a return’s filing date. The Funds have analyzed each uncertain tax position believed to be material in the preparation of the Funds’ financial statements for the six month period ended March 31, 2021, including open tax years, to assess whether it is more likely than not that the position would be sustained upon examination, based on the technical merits of the position. The Funds have not identified any such position for which an asset or liability must be reflected in the Statements of Assets and Liabilities.
At March 31, 2021, information on the tax components of capital were as follows:
| | Cost | Unrealized
Appreciation | Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| Short Duration Municipal Fund | $ 201,252,976 | $ 1,510,126 | $ (129,000) | $ 1,381,126 |
| Limited Term Municipal Fund | 5,654,047,621 | 222,617,306 | (6,132,981) | 216,484,325 |
| Limited Term California Fund | 504,705,593 | 18,306,248 | (175,775) | 18,130,473 |
| Intermediate New Mexico Fund | 146,086,612 | 7,717,715 | (47,567) | 7,670,148 |
| Intermediate New York Fund | 43,387,783 | 2,457,232 | (52,102) | 2,405,130 |
| Intermediate Municipal Fund | 947,314,166 | 72,420,536 | (556,975) | 71,863,561 |
| Strategic Municipal Income Fund | 321,352,446 | 19,839,429 | (325,869) | 19,513,560 |
At March 31, 2021, the Funds had deferred tax basis capital losses occurring subsequent to October 31, 2019 through September 30, 2020 per the following table. For tax purposes, such losses will be recognized in the year ending September 30, 2021.
| | Deferred Tax Basis |
| | Capital Losses |
| Short Duration Municipal Fund | $ 1,986,442 |
| Limited Term Municipal Fund | 5,041,102 |
| Limited Term California Fund | 270,846 |
| Intermediate New Mexico Fund | 383,201 |
| Intermediate Municipal Fund | 571,900 |
| Strategic Municipal Income Fund | 1,105,093 |
At March 31, 2021, the Funds had cumulative tax basis capital losses from prior fiscal years as shown on the following table, 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.
| | Cumulative Capital Losses |
| | Short-Term | Long-Term |
| Short Duration Municipal Fund | $ 183,961 | $ 37,503 |
| Limited Term Municipal Fund | 18,191,997 | 15,328,110 |
| Limited Term California Fund | 2,943,193 | 1,639,785 |
| Intermediate New Mexico Fund | 111,504 | 737,919 |
| Intermediate New York Fund | 414,730 | — |
| Intermediate Municipal Fund | 4,505,182 | 4,980,970 |
| Strategic Municipal Income Fund | 878,069 | — |
84 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
NOTE 6 – SHARES OF BENEFICIAL INTEREST
At March 31, 2021, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| SHORT DURATION MUNICIPAL FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 72,104 | $ 891,224 | 731,061 | $ 8,972,616 |
Shares issued to shareholders in
reinvestment of dividends | 3,353 | 41,449 | 16,748 | 206,723 |
| Shares repurchased | (65,756) | (813,215) | (127,043) | (1,565,733) |
| Net increase (decrease) | 9,701 | $ 119,458 | 620,766 | $ 7,613,606 |
| Class I Shares | | | | |
| Shares sold | 4,602,194 | $ 56,883,549 | 5,025,376 | $ 62,115,513 |
Shares issued to shareholders in
reinvestment of dividends | 32,583 | 402,477 | 158,225 | 1,954,280 |
| Shares repurchased | (932,669) | (11,527,572) | (12,611,158) | (153,853,101) |
| Net increase (decrease) | 3,702,108 | $ 45,758,454 | (7,427,557) | $ (89,783,308) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| LIMITED TERM MUNICIPAL FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 8,979,026 | $ 131,389,184 | 14,438,696 | $ 209,892,549 |
Shares issued to shareholders in
reinvestment of dividends | 408,273 | 5,970,627 | 931,526 | 13,529,223 |
| Shares repurchased | (5,868,061) | (85,883,184) | (14,302,952) | (206,865,882) |
| Net increase (decrease) | 3,519,238 | $ 51,476,627 | 1,067,270 | $ 16,555,890 |
| Class C Shares | | | | |
| Shares sold | 1,246,863 | $ 18,282,592 | 2,432,771 | $ 35,474,012 |
Shares issued to shareholders in
reinvestment of dividends | 59,879 | 877,171 | 237,122 | 3,449,053 |
| Shares repurchased | (5,853,720) | (85,765,546) | (9,354,417) | (136,206,408) |
| Net increase (decrease) | (4,546,978) | $ (66,605,783) | (6,684,524) | $ (97,283,343) |
| Class C2 Shares* | | | | |
| Shares sold | 250,401 | $ 3,673,188 | - | $ - |
Shares issued to shareholders in
reinvestment of dividends | 410 | 6,004 | - | - |
| Shares repurchased | (29,033) | (425,471) | - | - |
| Net increase (decrease) | 221,778 | $ 3,253,721 | - | $ - |
| Class I Shares | | | | |
| Shares sold | 53,532,978 | $ 783,631,441 | 107,567,039 | $ 1,562,478,507 |
Shares issued to shareholders in
reinvestment of dividends | 2,313,357 | 33,830,700 | 5,234,033 | 76,032,722 |
| Shares repurchased | (40,767,748) | (596,495,311) | (139,389,568) | (2,013,941,234) |
| Net increase (decrease) | 15,078,587 | $ 220,966,830 | (26,588,496) | $ (375,430,005) |
| * Effective date of this class of shares was October 1, 2020. |
Thornburg Municipal Funds Semi-Annual Report | 85
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| LIMITED TERM CALIFORNIA FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 644,787 | $ 8,894,943 | 1,061,614 | $ 14,585,397 |
Shares issued to shareholders in
reinvestment of dividends | 36,934 | 508,730 | 94,558 | 1,299,017 |
| Shares repurchased | (991,523) | (13,660,445) | (1,536,975) | (21,063,705) |
| Net increase (decrease) | (309,802) | $ (4,256,772) | (380,803) | $ (5,179,291) |
| Class C Shares | | | | |
| Shares sold | 43,770 | $ 604,236 | 117,691 | $ 1,617,272 |
Shares issued to shareholders in
reinvestment of dividends | 3,550 | 48,933 | 14,536 | 199,848 |
| Shares repurchased | (399,350) | (5,510,516) | (905,828) | (12,468,020) |
| Net increase (decrease) | (352,030) | $ (4,857,347) | (773,601) | $ (10,650,900) |
| Class C2 Shares* | | | | |
| Shares sold | 10,805 | $ 148,988 | - | $ - |
Shares issued to shareholders in
reinvestment of dividends | 39 | 540 | - | - |
| Shares repurchased | (5) | (71) | - | - |
| Net increase (decrease) | 10,839 | $ 149,457 | - | $ - |
| Class I Shares | | | | |
| Shares sold | 8,191,416 | $ 113,069,362 | 16,475,167 | $ 226,332,653 |
Shares issued to shareholders in
reinvestment of dividends | 170,222 | 2,347,408 | 362,053 | 4,979,919 |
| Shares repurchased | (10,864,519) | (150,096,301) | (9,832,111) | (134,804,207) |
| Net increase (decrease) | (2,502,881) | $ (34,679,531) | 7,005,109 | $ 96,508,365 |
| * Effective date of this class of shares was October 1, 2020. |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERMEDIATE NEW MEXICO FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 77,623 | $ 1,047,006 | 562,508 | $ 7,498,577 |
Shares issued to shareholders in
reinvestment of dividends | 37,199 | 501,566 | 99,224 | 1,328,286 |
| Shares repurchased | (433,398) | (5,859,041) | (1,043,651) | (13,943,212) |
| Net increase (decrease) | (318,576) | $ (4,310,469) | (381,919) | $ (5,116,349) |
| Class D Shares | | | | |
| Shares sold | 26,638 | $ 361,576 | 53,924 | $ 719,625 |
Shares issued to shareholders in
reinvestment of dividends | 6,082 | 82,052 | 17,365 | 232,542 |
| Shares repurchased | (99,419) | (1,343,876) | (187,540) | (2,502,103) |
| Net increase (decrease) | (66,699) | $ (900,248) | (116,251) | $ (1,549,936) |
| Class I Shares | | | | |
| Shares sold | 340,835 | $ 4,609,546 | 675,728 | $ 9,080,572 |
Shares issued to shareholders in
reinvestment of dividends | 39,482 | 532,100 | 92,474 | 1,237,314 |
| Shares repurchased | (211,342) | (2,846,936) | (549,551) | (7,274,093) |
| Net increase (decrease) | 168,975 | $ 2,294,710 | 218,651 | $ 3,043,793 |
86 | Thornburg Municipal Funds Semi-Annual Report
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERMEDIATE NEW YORK FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 11,922 | $ 154,915 | 329,798 | $ 4,284,723 |
Shares issued to shareholders in
reinvestment of dividends | 15,692 | 203,611 | 34,192 | 442,503 |
| Shares repurchased | (122,412) | (1,588,656) | (310,185) | (3,982,166) |
| Net increase (decrease) | (94,798) | $ (1,230,130) | 53,805 | $ 745,060 |
| Class I Shares | | | | |
| Shares sold | 141,082 | $ 1,832,227 | 310,893 | $ 4,033,267 |
Shares issued to shareholders in
reinvestment of dividends | 15,227 | 197,600 | 32,099 | 415,446 |
| Shares repurchased | (191,557) | (2,485,061) | (602,244) | (7,737,007) |
| Net increase (decrease) | (35,248) | $ (455,234) | (259,252) | $ (3,288,294) |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| INTERMEDIATE MUNICIPAL FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 2,489,814 | $ 35,858,515 | 3,770,584 | $ 54,073,340 |
Shares issued to shareholders in
reinvestment of dividends | 247,705 | 3,571,686 | 499,100 | 7,138,551 |
| Shares repurchased | (2,354,381) | (33,986,450) | (3,440,641) | (48,998,970) |
| Net increase (decrease) | 383,138 | $ 5,443,751 | 829,043 | $ 12,212,921 |
| Class C Shares | | | | |
| Shares sold | 173,156 | $ 2,501,315 | 527,758 | $ 7,544,787 |
Shares issued to shareholders in
reinvestment of dividends | 23,967 | 345,906 | 79,617 | 1,139,985 |
| Shares repurchased | (1,209,730) | (17,394,468) | (2,290,311) | (32,846,980) |
| Net increase (decrease) | (1,012,607) | $ (14,547,247) | (1,682,936) | $ (24,162,208) |
| Class C2 Shares* | | | | |
| Shares sold | 76,649 | $ 1,107,045 | - | $ - |
Shares issued to shareholders in
reinvestment of dividends | 394 | 5,691 | - | - |
| Shares repurchased | (50) | (733) | - | - |
| Net increase (decrease) | 76,993 | $ 1,112,003 | - | $ - |
| Class I Shares | | | | |
| Shares sold | 5,618,323 | $ 81,000,139 | 12,338,502 | $ 176,114,977 |
Shares issued to shareholders in
reinvestment of dividends | 491,314 | 7,074,132 | 1,048,615 | 14,980,062 |
| Shares repurchased | (6,866,323) | (99,134,977) | (17,848,724) | (252,461,759) |
| Net increase (decrease) | (756,686) | $ (11,060,706) | (4,461,607) | $ (61,366,720) |
| * Effective date of this class of shares was October 1, 2020. |
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| STRATEGIC MUNICIPAL INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class A Shares | | | | |
| Shares sold | 565,976 | $ 8,711,125 | 882,345 | $ 13,470,933 |
Shares issued to shareholders in
reinvestment of dividends | 42,900 | 661,760 | 94,150 | 1,434,924 |
| Shares repurchased | (313,112) | (4,820,614) | (624,508) | (9,392,913) |
| Net increase (decrease) | 295,764 | $ 4,552,271 | 351,987 | $ 5,512,944 |
Thornburg Municipal Funds Semi-Annual Report | 87
Notes to Financial Statements, Continued
March 31, 2021 (Unaudited)
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| STRATEGIC MUNICIPAL INCOME FUND | SHARES | AMOUNT | SHARES | AMOUNT |
| Class C Shares | | | | |
| Shares sold | 132,620 | $ 2,047,516 | 71,278 | $ 1,091,387 |
Shares issued to shareholders in
reinvestment of dividends | 6,905 | 106,595 | 22,591 | 344,627 |
| Shares repurchased | (301,685) | (4,635,789) | (387,212) | (5,909,611) |
| Net increase (decrease) | (162,160) | $ (2,481,678) | (293,343) | $ (4,473,597) |
| Class I Shares | | | | |
| Shares sold | 3,549,934 | $ 54,946,210 | 5,837,360 | $ 88,993,637 |
Shares issued to shareholders in
reinvestment of dividends | 180,698 | 2,790,279 | 387,567 | 5,913,428 |
| Shares repurchased | (1,406,270) | (21,723,864) | (5,841,661) | (88,503,481) |
| Net increase (decrease) | 2,324,362 | $ 36,012,625 | 383,266 | $ 6,403,584 |
NOTE 7 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2021, the Funds had purchase and sale transactions of investments as below (excluding short-term investments).
| | Purchases | Sales |
| Short Duration Municipal Fund | $ 64,235,618 | $ 17,730,500 |
| Limited Term Municipal Fund | 642,370,716 | 462,759,927 |
| Limited Term California Fund | 38,662,184 | 58,000,285 |
| Intermediate New Mexico Fund | 6,578,624 | 5,280,000 |
| Intermediate New York Fund | 2,808,810 | 3,053,940 |
| Intermediate Municipal Fund | 62,075,736 | 54,182,547 |
| Strategic Municipal Income Fund | 36,311,679 | 13,599,470 |
88 | Thornburg Municipal Funds Semi-Annual Report
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Thornburg Municipal Funds Semi-Annual Report | 89
Financial Highlights
Short Duration Municipal Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 12.37 | 0.02 | (0.01) | 0.01 | (0.02) | — | — | (0.02) | $12.36 |
| 2020 | $ 12.36 | 0.13 | 0.01 | 0.14 | (0.13) | — | — | (0.13) | $12.37 |
| 2019 | $ 12.27 | 0.16 | 0.09 | 0.25 | (0.16) | — | — | (0.16) | $12.36 |
| 2018 | $ 12.38 | 0.11 | (0.11) | — (e) | (0.11) | — | — | (0.11) | $12.27 |
| 2017 | $ 12.34 | 0.08 | 0.04 | 0.12 | (0.08) | — | — | (0.08) | $12.38 |
| 2016 | $ 12.35 | 0.03 | (0.01) | 0.02 | (0.03) | — | — | (0.03) | $12.34 |
| CLASS I SHARES |
| 2021 (c) | $ 12.36 | 0.03 | (0.01) | 0.02 | (0.03) | — | — | (0.03) | $12.35 |
| 2020 | $ 12.36 | 0.16 | (0.01) | 0.15 | (0.15) | — | — | (0.15) | $12.36 |
| 2019 | $ 12.27 | 0.18 | 0.09 | 0.27 | (0.18) | — | — | (0.18) | $12.36 |
| 2018 | $ 12.37 | 0.14 | (0.10) | 0.04 | (0.14) | — | — | (0.14) | $12.27 |
| 2017 | $ 12.34 | 0.10 | 0.03 | 0.13 | (0.10) | — | — | (0.10) | $12.37 |
| 2016 | $ 12.35 | 0.05 | (0.01) | 0.04 | (0.05) | — | — | (0.05) | $12.34 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Total from investment operations was less than $0.01 per share. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
90 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Short Duration Municipal Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 0.34 (d) | 0.70 (d) | 0.96 (d) | | 0.09 | 15.98 | $ 24,691 |
| 2020 | 1.04 | 0.70 | 1.03 | | 1.14 | 38.44 | $ 24,581 |
| 2019 | 1.26 | 0.70 | 0.99 | | 2.02 | 33.60 | $ 16,899 |
| 2018 | 0.92 | 0.70 | 1.06 | | 0.02 | 35.36 | $ 19,497 |
| 2017 | 0.72 | 0.67 | 1.16 | | 0.98 | 42.94 | $ 16,412 |
| 2016 | 0.24 | 0.70 | 2.19 | | 0.15 | 21.17 | $ 4,241 |
| CLASS I SHARES |
| 2021 (c) | 0.53 (d) | 0.50 (d) | 0.66 (d) | | 0.19 | 15.98 | $ 178,216 |
| 2020 | 1.28 | 0.50 | 0.65 | | 1.26 | 38.44 | $ 132,539 |
| 2019 | 1.47 | 0.50 | 0.64 | | 2.22 | 33.60 | $ 224,343 |
| 2018 | 1.12 | 0.50 | 0.64 | | 0.30 | 35.36 | $ 162,259 |
| 2017 | 0.85 | 0.49 | 0.67 | | 1.09 | 42.94 | $ 53,765 |
| 2016 | 0.43 | 0.50 | 0.72 | | 0.36 | 21.17 | $ 38,572 |
Thornburg Municipal Funds Semi-Annual Report | 91
Financial Highlights
Limited Term Municipal Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 14.64 | 0.10 | (0.06) | 0.04 | (0.10) | — | — | (0.10) | $14.58 |
| 2020 | $ 14.46 | 0.24 | 0.18 | 0.42 | (0.24) | — | — | (0.24) | $14.64 |
| 2019 | $ 14.10 | 0.26 | 0.36 | 0.62 | (0.26) | — | — | (0.26) | $14.46 |
| 2018 | $ 14.43 | 0.24 | (0.33) | (0.09) | (0.24) | — | — | (0.24) | $14.10 |
| 2017 | $ 14.63 | 0.23 | (0.20) | 0.03 | (0.23) | — | — | (0.23) | $14.43 |
| 2016 | $ 14.52 | 0.22 | 0.11 | 0.33 | (0.22) | — | — | (0.22) | $14.63 |
| CLASS C SHARES |
| 2021 (c) | $ 14.66 | 0.08 | (0.06) | 0.02 | (0.08) | — | — | (0.08) | $14.60 |
| 2020 | $ 14.48 | 0.20 | 0.18 | 0.38 | (0.20) | — | — | (0.20) | $14.66 |
| 2019 | $ 14.12 | 0.22 | 0.36 | 0.58 | (0.22) | — | — | (0.22) | $14.48 |
| 2018 | $ 14.46 | 0.20 | (0.34) | (0.14) | (0.20) | — | — | (0.20) | $14.12 |
| 2017 | $ 14.66 | 0.20 | (0.20) | — | (0.20) | — | — | (0.20) | $14.46 |
| 2016 | $ 14.55 | 0.19 | 0.11 | 0.30 | (0.19) | — | — | (0.19) | $14.66 |
| CLASS C2 SHARES |
| 2021 (c)(e) | $ 14.66 | 0.05 | (0.04) | 0.01 | (0.06) | — | — | (0.06) | $14.61 |
| CLASS I SHARES |
| 2021 (c) | $ 14.64 | 0.11 | (0.06) | 0.05 | (0.11) | — | — | (0.11) | $14.58 |
| 2020 | $ 14.46 | 0.27 | 0.18 | 0.45 | (0.27) | — | — | (0.27) | $14.64 |
| 2019 | $ 14.10 | 0.29 | 0.36 | 0.65 | (0.29) | — | — | (0.29) | $14.46 |
| 2018 | $ 14.43 | 0.28 | (0.33) | (0.05) | (0.28) | — | — | (0.28) | $14.10 |
| 2017 | $ 14.64 | 0.28 | (0.21) | 0.07 | (0.28) | — | — | (0.28) | $14.43 |
| 2016 | $ 14.53 | 0.27 | 0.11 | 0.38 | (0.27) | — | — | (0.27) | $14.64 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was October 1, 2020. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
92 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Limited Term Municipal Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.34 (d) | 0.69 (d) | 0.69 (d) | | 0.26 | 9.07 | $ 990,284 |
| 2020 | 1.63 | 0.69 | 0.69 | | 2.91 | 20.62 | $ 942,857 |
| 2019 | 1.80 | 0.69 | 0.69 | | 4.41 | 21.22 | $ 915,684 |
| 2018 | 1.67 | 0.71 | 0.71 | | (0.64) | 16.29 | $ 1,037,769 |
| 2017 | 1.62 | 0.73 | 0.73 | | 0.24 | 17.56 | $ 1,314,094 |
| 2016 | 1.54 | 0.72 | 0.72 | | 2.32 | 14.53 | $ 1,697,329 |
| CLASS C SHARES |
| 2021 (c) | 1.05 (d) | 0.98 (d) | 0.98 (d) | | 0.11 | 9.07 | $ 163,872 |
| 2020 | 1.39 | 0.94 | 0.94 | | 2.65 | 20.62 | $ 231,226 |
| 2019 | 1.56 | 0.94 | 0.94 | | 4.16 | 21.22 | $ 325,144 |
| 2018 | 1.43 | 0.95 | 0.95 | | (0.94) | 16.29 | $ 450,402 |
| 2017 | 1.38 | 0.97 | 0.97 | | 0.01 | 17.56 | $ 605,898 |
| 2016 | 1.30 | 0.96 | 0.96 | | 2.07 | 14.53 | $ 741,637 |
| CLASS C2 SHARES |
| 2021 (c)(e) | 0.74 (d) | 1.24 (d) | 1.82 (d) | | 0.04 | 9.07 | $ 3,240 |
| CLASS I SHARES |
| 2021 (c) | 1.57 (d) | 0.46 (d) | 0.46 (d) | | 0.37 | 9.07 | $ 4,767,384 |
| 2020 | 1.87 | 0.46 | 0.46 | | 3.15 | 20.62 | $ 4,566,389 |
| 2019 | 2.04 | 0.45 | 0.45 | | 4.67 | 21.22 | $ 4,893,865 |
| 2018 | 1.95 | 0.43 | 0.43 | | (0.36) | 16.29 | $ 5,089,760 |
| 2017 | 1.93 | 0.42 | 0.42 | | 0.49 | 17.56 | $ 5,265,576 |
| 2016 | 1.85 | 0.41 | 0.41 | | 2.64 | 14.53 | $ 5,506,166 |
Thornburg Municipal Funds Semi-Annual Report | 93
Financial Highlights
Limited Term California Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 13.80 | 0.07 | (0.07) | — (d) | (0.07) | — | — | (0.07) | $13.73 |
| 2020 | $ 13.72 | 0.18 | 0.08 | 0.26 | (0.18) | — | — | (0.18) | $13.80 |
| 2019 | $ 13.45 | 0.22 | 0.27 | 0.49 | (0.22) | — | — | (0.22) | $13.72 |
| 2018 | $ 13.78 | 0.20 | (0.33) | (0.13) | (0.20) | — | — | (0.20) | $13.45 |
| 2017 | $ 13.98 | 0.18 | (0.20) | (0.02) | (0.18) | — | — | (0.18) | $13.78 |
| 2016 | $ 13.84 | 0.18 | 0.14 | 0.32 | (0.18) | — | — | (0.18) | $13.98 |
| CLASS C SHARES |
| 2021 (c) | $ 13.81 | 0.06 | (0.07) | (0.01) | (0.06) | — | — | (0.06) | $13.74 |
| 2020 | $ 13.73 | 0.15 | 0.07 | 0.22 | (0.14) | — | — | (0.14) | $13.81 |
| 2019 | $ 13.46 | 0.18 | 0.27 | 0.45 | (0.18) | — | — | (0.18) | $13.73 |
| 2018 | $ 13.79 | 0.17 | (0.33) | (0.16) | (0.17) | — | — | (0.17) | $13.46 |
| 2017 | $ 13.99 | 0.15 | (0.20) | (0.05) | (0.15) | — | — | (0.15) | $13.79 |
| 2016 | $ 13.85 | 0.14 | 0.14 | 0.28 | (0.14) | — | — | (0.14) | $13.99 |
| CLASS C2 SHARES |
| 2021 (c)(f) | $ 13.81 | 0.06 | (0.07) | (0.01) | (0.06) | — | — | (0.06) | $13.74 |
| CLASS I SHARES |
| 2021 (c) | $ 13.82 | 0.09 | (0.07) | 0.02 | (0.09) | — | — | (0.09) | $13.75 |
| 2020 | $ 13.73 | 0.21 | 0.10 | 0.31 | (0.22) | — | — | (0.22) | $13.82 |
| 2019 | $ 13.46 | 0.25 | 0.27 | 0.52 | (0.25) | — | — | (0.25) | $13.73 |
| 2018 | $ 13.79 | 0.24 | (0.33) | (0.09) | (0.24) | — | — | (0.24) | $13.46 |
| 2017 | $ 13.99 | 0.22 | (0.20) | 0.02 | (0.22) | — | — | (0.22) | $13.79 |
| 2016 | $ 13.85 | 0.22 | 0.14 | 0.36 | (0.22) | — | — | (0.22) | $13.99 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Total from investment operations was less than $0.01 per share. |
| (e) | Annualized. |
| (f) | Effective date of this class of shares was October 1, 2020. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
94 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Limited Term California Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.09 (e) | 0.74 (e) | 0.91 (e) | | 0.03 | 8.29 | $ 104,287 |
| 2020 | 1.33 | 0.80 | 0.92 | | 1.93 | 25.88 | $ 109,102 |
| 2019 | 1.58 | 0.93 | 0.93 | | 3.63 | 17.86 | $ 113,635 |
| 2018 | 1.50 | 0.92 | 0.92 | | (0.92) | 25.20 | $ 127,346 |
| 2017 | 1.33 | 0.93 | 0.93 | | (0.11) | 18.25 | $ 158,142 |
| 2016 | 1.28 | 0.93 | 0.93 | | 2.32 | 16.47 | $ 193,321 |
| CLASS C SHARES |
| 2021 (c) | 0.80 (e) | 1.02 (e) | 1.27 (e) | | (0.11) | 8.29 | $ 12,644 |
| 2020 | 1.06 | 1.09 | 1.20 | | 1.64 | 25.88 | $ 17,573 |
| 2019 | 1.31 | 1.21 | 1.21 | | 3.34 | 17.86 | $ 28,083 |
| 2018 | 1.23 | 1.19 | 1.19 | | (1.18) | 25.20 | $ 40,608 |
| 2017 | 1.08 | 1.19 | 1.19 | | (0.36) | 18.25 | $ 56,737 |
| 2016 | 1.04 | 1.18 | 1.18 | | 2.06 | 16.47 | $ 68,229 |
| CLASS C2 SHARES |
| 2021 (c)(f) | 0.84 (e) | 0.99 (e) | 3.64 (e) | | (0.09) | 8.29 | $ 149 |
| CLASS I SHARES |
| 2021 (c) | 1.33 (e) | 0.49 (e) | 0.69 (e) | | 0.16 | 8.29 | $ 413,254 |
| 2020 | 1.56 | 0.54 | 0.69 | | 2.25 | 25.88 | $ 449,964 |
| 2019 | 1.84 | 0.67 | 0.68 | | 3.90 | 17.86 | $ 350,962 |
| 2018 | 1.76 | 0.66 | 0.67 | | (0.65) | 25.20 | $ 368,824 |
| 2017 | 1.62 | 0.64 | 0.64 | | 0.19 | 18.25 | $ 434,859 |
| 2016 | 1.60 | 0.62 | 0.62 | | 2.64 | 16.47 | $ 476,364 |
Thornburg Municipal Funds Semi-Annual Report | 95
Financial Highlights
Intermediate New Mexico Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 13.48 | 0.10 | (0.06) | 0.04 | (0.10) | — | — | (0.10) | $13.42 |
| 2020 | $ 13.35 | 0.24 | 0.14 | 0.38 | (0.25) | — | — | (0.25) | $13.48 |
| 2019 | $ 13.00 | 0.31 | 0.35 | 0.66 | (0.31) | — | — | (0.31) | $13.35 |
| 2018 | $ 13.30 | 0.33 | (0.30) | 0.03 | (0.33) | — | — | (0.33) | $13.00 |
| 2017 | $ 13.67 | 0.31 | (0.37) | (0.06) | (0.31) | — | — | (0.31) | $13.30 |
| 2016 | $ 13.55 | 0.30 | 0.12 | 0.42 | (0.30) | — | — | (0.30) | $13.67 |
| CLASS D SHARES |
| 2021 (c) | $ 13.49 | 0.08 | (0.07) | 0.01 | (0.08) | — | — | (0.08) | $13.42 |
| 2020 | $ 13.36 | 0.21 | 0.13 | 0.34 | (0.21) | — | — | (0.21) | $13.49 |
| 2019 | $ 13.01 | 0.28 | 0.35 | 0.63 | (0.28) | — | — | (0.28) | $13.36 |
| 2018 | $ 13.31 | 0.30 | (0.30) | — | (0.30) | — | — | (0.30) | $13.01 |
| 2017 | $ 13.68 | 0.28 | (0.37) | (0.09) | (0.28) | — | — | (0.28) | $13.31 |
| 2016 | $ 13.55 | 0.28 | 0.12 | 0.40 | (0.27) | — | — | (0.27) | $13.68 |
| CLASS I SHARES |
| 2021 (c) | $ 13.47 | 0.12 | (0.06) | 0.06 | (0.12) | — | — | (0.12) | $13.41 |
| 2020 | $ 13.34 | 0.29 | 0.13 | 0.42 | (0.29) | — | — | (0.29) | $13.47 |
| 2019 | $ 13.00 | 0.35 | 0.34 | 0.69 | (0.35) | — | — | (0.35) | $13.34 |
| 2018 | $ 13.29 | 0.37 | (0.29) | 0.08 | (0.37) | — | — | (0.37) | $13.00 |
| 2017 | $ 13.67 | 0.36 | (0.38) | (0.02) | (0.36) | — | — | (0.36) | $13.29 |
| 2016 | $ 13.54 | 0.35 | 0.12 | 0.47 | (0.34) | — | — | (0.34) | $13.67 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
96 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Intermediate New Mexico Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.47 (d) | 0.98 (d) | 0.98 (d) | | 0.28 | 3.61 | $ 75,807 |
| 2020 | 1.83 | 0.98 | 0.98 | | 2.84 | 22.92 | $ 80,463 |
| 2019 | 2.37 | 0.97 | 0.97 | | 5.15 | 17.26 | $ 84,782 |
| 2018 | 2.51 | 0.97 | 0.97 | | 0.24 | 7.77 | $ 94,686 |
| 2017 | 2.36 | 0.98 | 0.98 | | (0.38) | 8.61 | $ 116,915 |
| 2016 | 2.18 | 0.97 | 0.97 | | 3.11 | 6.80 | $ 136,743 |
| CLASS D SHARES |
| 2021 (c) | 1.20 (d) | 1.24 (d) | 1.28 (d) | | 0.07 | 3.61 | $ 13,511 |
| 2020 | 1.57 | 1.24 | 1.26 | | 2.58 | 22.92 | $ 14,475 |
| 2019 | 2.10 | 1.24 | 1.25 | | 4.87 | 17.26 | $ 15,888 |
| 2018 | 2.26 | 1.23 | 1.23 | | (0.02) | 7.77 | $ 18,436 |
| 2017 | 2.13 | 1.21 | 1.21 | | (0.61) | 8.61 | $ 22,666 |
| 2016 | 1.94 | 1.21 | 1.21 | | 2.94 | 6.80 | $ 28,489 |
| CLASS I SHARES |
| 2021 (c) | 1.77 (d) | 0.67 (d) | 0.71 (d) | | 0.43 | 3.61 | $ 67,669 |
| 2020 | 2.13 | 0.67 | 0.71 | | 3.16 | 22.92 | $ 65,715 |
| 2019 | 2.66 | 0.67 | 0.69 | | 5.39 | 17.26 | $ 62,162 |
| 2018 | 2.82 | 0.67 | 0.68 | | 0.62 | 7.77 | $ 53,675 |
| 2017 | 2.68 | 0.66 | 0.66 | | (0.13) | 8.61 | $ 62,243 |
| 2016 | 2.52 | 0.63 | 0.63 | | 3.53 | 6.80 | $ 65,843 |
Thornburg Municipal Funds Semi-Annual Report | 97
Financial Highlights
Intermediate New York Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 12.96 | 0.12 | (0.04) | 0.08 | (0.12) | �� | — | (0.12) | $12.92 |
| 2020 | $ 12.95 | 0.26 | 0.01 | 0.27 | (0.26) | — | — | (0.26) | $12.96 |
| 2019 | $ 12.61 | 0.30 | 0.34 | 0.64 | (0.30) | — | — | (0.30) | $12.95 |
| 2018 | $ 13.00 | 0.30 | (0.39) | (0.09) | (0.30) | — | — | (0.30) | $12.61 |
| 2017 | $ 13.40 | 0.33 | (0.40) | (0.07) | (0.33) | — | — | (0.33) | $13.00 |
| 2016 | $ 13.18 | 0.29 | 0.22 | 0.51 | (0.29) | — | — | (0.29) | $13.40 |
| CLASS I SHARES |
| 2021 (c) | $ 12.96 | 0.14 | (0.04) | 0.10 | (0.14) | — | — | (0.14) | $12.92 |
| 2020 | $ 12.95 | 0.30 | 0.01 | 0.31 | (0.30) | — | — | (0.30) | $12.96 |
| 2019 | $ 12.61 | 0.34 | 0.34 | 0.68 | (0.34) | — | — | (0.34) | $12.95 |
| 2018 | $ 13.00 | 0.34 | (0.39) | (0.05) | (0.34) | — | — | (0.34) | $12.61 |
| 2017 | $ 13.40 | 0.37 | (0.40) | (0.03) | (0.37) | — | — | (0.37) | $13.00 |
| 2016 | $ 13.18 | 0.33 | 0.22 | 0.55 | (0.33) | — | — | (0.33) | $13.40 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
98 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Intermediate New York Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 1.88 (d) | 0.99 (d) | 1.13 (d) | | 0.64 | 6.18 | $ 25,816 |
| 2020 | 2.01 | 0.99 | 1.14 | | 2.10 | 18.61 | $ 27,120 |
| 2019 | 2.38 | 0.99 | 1.12 | | 5.16 | 17.75 | $ 26,416 |
| 2018 | 2.36 | 0.99 | 1.08 | | (0.68) | 15.88 | $ 33,778 |
| 2017 | 2.50 | 0.99 | 1.09 | | (0.52) | 11.11 | $ 36,576 |
| 2016 | 2.18 | 0.96 | 1.03 | | 3.91 | 7.02 | $ 45,009 |
| CLASS I SHARES |
| 2021 (c) | 2.20 (d) | 0.67 (d) | 0.90 (d) | | 0.80 | 6.18 | $ 20,680 |
| 2020 | 2.33 | 0.67 | 0.91 | | 2.43 | 18.61 | $ 21,197 |
| 2019 | 2.69 | 0.67 | 0.88 | | 5.50 | 17.75 | $ 24,550 |
| 2018 | 2.68 | 0.67 | 0.82 | | (0.36) | 15.88 | $ 24,010 |
| 2017 | 2.81 | 0.67 | 0.77 | | (0.20) | 11.11 | $ 27,217 |
| 2016 | 2.51 | 0.63 | 0.72 | | 4.25 | 7.02 | $ 31,498 |
Thornburg Municipal Funds Semi-Annual Report | 99
Financial Highlights
Intermediate Municipal Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 14.37 | 0.17 | 0.02 | 0.19 | (0.17) | — | — | (0.17) | $14.39 |
| 2020 | $ 14.33 | 0.35 | 0.04 | 0.39 | (0.35) | — | — | (0.35) | $14.37 |
| 2019 | $ 13.80 | 0.34 | 0.53 | 0.87 | (0.34) | — | — | (0.34) | $14.33 |
| 2018 | $ 14.15 | 0.32 | (0.35) | (0.03) | (0.32) | — | — | (0.32) | $13.80 |
| 2017 | $ 14.47 | 0.30 | (0.32) | (0.02) | (0.30) | — | — | (0.30) | $14.15 |
| 2016 | $ 14.17 | 0.29 | 0.30 | 0.59 | (0.29) | — | — | (0.29) | $14.47 |
| CLASS C SHARES |
| 2021 (c) | $ 14.39 | 0.14 | 0.02 | 0.16 | (0.14) | — | — | (0.14) | $14.41 |
| 2020 | $ 14.35 | 0.30 | 0.04 | 0.34 | (0.30) | — | — | (0.30) | $14.39 |
| 2019 | $ 13.82 | 0.29 | 0.53 | 0.82 | (0.29) | — | — | (0.29) | $14.35 |
| 2018 | $ 14.17 | 0.27 | (0.35) | (0.08) | (0.27) | — | — | (0.27) | $13.82 |
| 2017 | $ 14.49 | 0.26 | (0.32) | (0.06) | (0.26) | — | — | (0.26) | $14.17 |
| 2016 | $ 14.19 | 0.24 | 0.30 | 0.54 | (0.24) | — | — | (0.24) | $14.49 |
| CLASS C2 SHARES |
| 2021 (c)(e) | $ 14.39 | 0.14 | 0.02 | 0.16 | (0.14) | — | — | (0.14) | $14.41 |
| CLASS I SHARES |
| 2021 (c) | $ 14.35 | 0.18 | 0.02 | 0.20 | (0.18) | — | — | (0.18) | $14.37 |
| 2020 | $ 14.31 | 0.38 | 0.04 | 0.42 | (0.38) | — | — | (0.38) | $14.35 |
| 2019 | $ 13.78 | 0.38 | 0.53 | 0.91 | (0.38) | — | — | (0.38) | $14.31 |
| 2018 | $ 14.13 | 0.36 | (0.35) | 0.01 | (0.36) | — | — | (0.36) | $13.78 |
| 2017 | $ 14.46 | 0.35 | (0.33) | 0.02 | (0.35) | — | — | (0.35) | $14.13 |
| 2016 | $ 14.15 | 0.33 | 0.31 | 0.64 | (0.33) | — | — | (0.33) | $14.46 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | Effective date of this class of shares was October 1, 2020. |
| + | Based on weighted average shares outstanding. |
See notes to financial statements.
100 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Intermediate Municipal Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 2.31 (d) | 0.77 (d) | 0.90 (d) | | 1.30 | 5.47 | $ 332,687 |
| 2020 | 2.45 | 0.81 | 0.90 | | 2.76 | 17.84 | $ 326,770 |
| 2019 | 2.44 | 0.89 | 0.89 | | 6.39 | 15.88 | $ 313,967 |
| 2018 | 2.29 | 0.89 | 0.89 | | (0.21) | 20.68 | $ 324,199 |
| 2017 | 2.15 | 0.92 | 0.92 | | (0.08) | 24.04 | $ 387,790 |
| 2016 | 2.00 | 0.92 | 0.92 | | 4.17 | 10.80 | $ 467,335 |
| CLASS C SHARES |
| 2021 (c) | 1.94 (d) | 1.14 (d) | 1.32 (d) | | 1.11 | 5.47 | $ 38,476 |
| 2020 | 2.08 | 1.18 | 1.28 | | 2.38 | 17.84 | $ 52,996 |
| 2019 | 2.08 | 1.24 | 1.26 | | 6.02 | 15.88 | $ 76,994 |
| 2018 | 1.94 | 1.24 | 1.26 | | (0.55) | 20.68 | $ 104,093 |
| 2017 | 1.83 | 1.24 | 1.27 | | (0.40) | 24.04 | $ 140,176 |
| 2016 | 1.68 | 1.24 | 1.27 | | 3.84 | 10.80 | $ 170,149 |
| CLASS C2 SHARES |
| 2021 (c)(e) | 1.90 (d) | 1.14 (d) | 2.65 (d) | | 1.10 | 5.47 | $ 1,109 |
| CLASS I SHARES |
| 2021 (c) | 2.55 (d) | 0.53 (d) | 0.67 (d) | | 1.42 | 5.47 | $ 658,132 |
| 2020 | 2.69 | 0.56 | 0.65 | | 3.01 | 17.84 | $ 668,185 |
| 2019 | 2.67 | 0.65 | 0.65 | | 6.66 | 15.88 | $ 730,144 |
| 2018 | 2.55 | 0.63 | 0.63 | | 0.05 | 20.68 | $ 905,641 |
| 2017 | 2.45 | 0.62 | 0.62 | | 0.15 | 24.04 | $ 951,888 |
| 2016 | 2.30 | 0.61 | 0.61 | | 4.57 | 10.80 | $ 958,674 |
Thornburg Municipal Funds Semi-Annual Report | 101
Financial Highlights
Strategic Municipal Income Fund
| | PER SHARE PERFORMANCE (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 | Dividends
from
Return of
Capital | Total
Dividends | Net Asset
Value,
End of
PERIOD |
| CLASS A SHARES(b) |
| 2021 (c) | $ 15.33 | 0.16 | 0.09 | 0.25 | (0.16) | — | — | (0.16) | $15.42 |
| 2020 | $ 15.32 | 0.38 | 0.01 | 0.39 | (0.38) | — | — | (0.38) | $15.33 |
| 2019 | $ 14.82 | 0.39 | 0.50 | 0.89 | (0.39) | — | — | (0.39) | $15.32 |
| 2018 | $ 15.14 | 0.37 | (0.32) | 0.05 | (0.37) | — | — | (0.37) | $14.82 |
| 2017 | $ 15.53 | 0.35 | (0.39) | (0.04) | (0.35) | — | — | (0.35) | $15.14 |
| 2016 | $ 15.16 | 0.33 | 0.37 | 0.70 | (0.33) | — | — | (0.33) | $15.53 |
| CLASS C SHARES |
| 2021 (c) | $ 15.34 | 0.13 | 0.10 | 0.23 | (0.13) | — | — | (0.13) | $15.44 |
| 2020 | $ 15.34 | 0.30 | — (e) | 0.30 | (0.30) | — | — | (0.30) | $15.34 |
| 2019 | $ 14.84 | 0.32 | 0.50 | 0.82 | (0.32) | — | — | (0.32) | $15.34 |
| 2018 | $ 15.16 | 0.30 | (0.32) | (0.02) | (0.30) | — | — | (0.30) | $14.84 |
| 2017 | $ 15.54 | 0.28 | (0.38) | (0.10) | (0.28) | — | — | (0.28) | $15.16 |
| 2016 | $ 15.17 | 0.28 | 0.37 | 0.65 | (0.28) | — | — | (0.28) | $15.54 |
| CLASS I SHARES |
| 2021 (c) | $ 15.34 | 0.18 | 0.10 | 0.28 | (0.18) | — | — | (0.18) | $15.44 |
| 2020 | $ 15.33 | 0.41 | 0.01 | 0.42 | (0.41) | — | — | (0.41) | $15.34 |
| 2019 | $ 14.84 | 0.42 | 0.49 | 0.91 | (0.42) | — | — | (0.42) | $15.33 |
| 2018 | $ 15.16 | 0.41 | (0.32) | 0.09 | (0.41) | — | — | (0.41) | $14.84 |
| 2017 | $ 15.54 | 0.39 | (0.38) | 0.01 | (0.39) | — | — | (0.39) | $15.16 |
| 2016 | $ 15.17 | 0.38 | 0.37 | 0.75 | (0.38) | — | — | (0.38) | $15.54 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Annualized. |
| (e) | 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.
102 | Thornburg Municipal Funds Semi-Annual Report
Financial Highlights, Continued
Strategic Municipal Income Fund
| | RATIOS TO AVERAGE NET ASSETS | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net
Assets
at End of PERIOD
(Thousands) |
| CLASS A SHARES(b) |
| 2021 (c) | 2.11 (d) | 0.81 (d) | 1.25 (d) | | 1.65 | 4.87 | $ 66,496 |
| 2020 | 2.47 | 0.87 | 1.26 | | 2.56 | 32.45 | $ 61,537 |
| 2019 | 2.59 | 1.00 | 1.26 | | 6.08 | 20.04 | $ 56,124 |
| 2018 | 2.49 | 1.00 | 1.28 | | 0.36 | 21.06 | $ 53,693 |
| 2017 | 2.30 | 1.09 | 1.30 | | (0.23) | 27.35 | $ 61,525 |
| 2016 | 2.11 | 1.25 | 1.29 | | 4.63 | 11.24 | $ 79,058 |
| CLASS C SHARES |
| 2021 (c) | 1.64 (d) | 1.28 (d) | 1.71 (d) | | 1.48 | 4.87 | $ 13,189 |
| 2020 | 2.00 | 1.35 | 1.65 | | 2.02 | 32.45 | $ 15,591 |
| 2019 | 2.13 | 1.47 | 1.65 | | 5.58 | 20.04 | $ 20,085 |
| 2018 | 2.01 | 1.48 | 1.64 | | (0.12) | 21.06 | $ 24,951 |
| 2017 | 1.88 | 1.52 | 1.66 | | (0.59) | 27.35 | $ 32,926 |
| 2016 | 1.80 | 1.55 | 1.66 | | 4.32 | 11.24 | $ 38,773 |
| CLASS I SHARES |
| 2021 (c) | 2.33 (d) | 0.59 (d) | 0.97 (d) | | 1.83 | 4.87 | $ 262,829 |
| 2020 | 2.68 | 0.65 | 0.99 | | 2.79 | 32.45 | $ 225,486 |
| 2019 | 2.81 | 0.78 | 0.98 | | 6.24 | 20.04 | $ 219,535 |
| 2018 | 2.72 | 0.78 | 0.96 | | 0.59 | 21.06 | $ 185,555 |
| 2017 | 2.56 | 0.83 | 0.94 | | 0.09 | 27.35 | $ 174,892 |
| 2016 | 2.42 | 0.93 | 0.93 | | 4.96 | 11.24 | $ 190,658 |
Thornburg Municipal Funds Semi-Annual Report | 103
Expense Example
March 31, 2021 (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 and Class C2 shares within 12 months of purchase; |
| (2) | ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. |
This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on a $1,000 investment beginning on October 1, 2020, and held until March 31, 2021.
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.
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, October 1, 2020 and held through March 31, 2021.
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| SHORT DURATION MUNICIPAL FUND |
| CLASS A SHARES | $1,000.87 | $3.49 | | $1,021.44 | $3.53 | 0.70% |
| CLASS I SHARES | $1,001.86 | $2.50 | | $1,022.44 | $2.52 | 0.50% |
| LIMITED TERM MUNICIPAL FUND |
| CLASS A SHARES | $1,002.60 | $3.45 | | $1,021.49 | $3.48 | 0.69% |
| CLASS C SHARES | $1,001.11 | $4.89 | | $1,020.04 | $4.94 | 0.98% |
| CLASS C2 SHARES** | $1,000.37 | $6.18 | | $1,018.75 | $6.24 | 1.24% |
| CLASS I SHARES | $1,003.73 | $2.30 | | $1,022.64 | $2.32 | 0.46% |
| LIMITED TERM CALIFORNIA FUND |
| CLASS A SHARES | $1,000.34 | $3.69 | | $1,021.24 | $3.73 | 0.74% |
| CLASS C SHARES | $ 998.94 | $5.08 | | $1,019.85 | $5.14 | 1.02% |
| CLASS C2 SHARES** | $ 999.10 | $4.93 | | $1,020.00 | $4.99 | 0.99% |
| CLASS I SHARES | $1,001.59 | $2.45 | | $1,022.49 | $2.47 | 0.49% |
| INTERMEDIATE NEW MEXICO FUND |
| CLASS A SHARES | $1,002.78 | $4.89 | | $1,020.04 | $4.94 | 0.98% |
| CLASS D SHARES | $1,000.73 | $6.19 | | $1,018.75 | $6.24 | 1.24% |
| CLASS I SHARES | $1,004.32 | $3.35 | | $1,021.59 | $3.38 | 0.67% |
| INTERMEDIATE NEW YORK FUND |
| CLASS A SHARES | $1,006.39 | $4.95 | | $1,020.00 | $4.99 | 0.99% |
| CLASS I SHARES | $1,008.00 | $3.35 | | $1,021.59 | $3.38 | 0.67% |
104 | Thornburg Municipal Funds Semi-Annual Report
Expense Example, Continued
March 31, 2021 (Unaudited)
| | Actual | | Hypothetical * | |
| | Ending
Account Value
3/31/21 | Expenses Paid
During Period
10/1/20-3/31/21 | | Ending
Account Value
3/31/21 | Expenses Paid
During Period†
10/1/20-3/31/21 | Annualized
Expense Ratio |
| INTERMEDIATE MUNICIPAL FUND |
| CLASS A SHARES | $1,013.02 | $3.86 | | $1,021.09 | $3.88 | 0.77% |
| CLASS C SHARES | $1,011.14 | $5.72 | | $1,019.25 | $5.74 | 1.14% |
| CLASS C2 SHARES** | $1,010.96 | $5.72 | | $1,019.25 | $5.74 | 1.14% |
| CLASS I SHARES | $1,014.23 | $2.66 | | $1,022.29 | $2.67 | 0.53% |
| STRATEGIC MUNICIPAL INCOME FUND |
| CLASS A SHARES | $1,016.52 | $4.07 | | $1,020.89 | $4.08 | 0.81% |
| CLASS C SHARES | $1,014.79 | $6.43 | | $1,018.55 | $6.44 | 1.28% |
| CLASS I SHARES | $1,018.28 | $2.97 | | $1,021.99 | $2.97 | 0.59% |
| * | Hypothetical assumes a rate of return of 5% per year before expenses. |
| ** | Effective date of this class of shares was October 1, 2020. |
| † | Expenses are equal to the annualized expense ratio for each class multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
Thornburg Municipal Funds Semi-Annual Report | 105
Other Information
March 31, 2021 (Unaudited)
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to 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 U.S. 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 U.S. 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-PORT EX for the first and third quarters of each fiscal year. The Fund’s Form N-PORT EX 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 REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
The Trustees of the Trust have appointed the Advisor (“Program Administrator”) to administer the Trust’s liquidity risk management program (the “LRMP”) adopted for each of the Funds of the Trust under rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The LRMP is designed to reduce the risk that a Fund will be unable to meet its redemption obligations under the 1940 Act, and to mitigate the dilution of the interests of Fund shareholders occasioned by redemptions tendered by other shareholders (“Liquidity Risk”). Pursuant to the LRMP, the Program Administrator has delegated certain functions, including daily oversight and management of the Funds’ Liquidity Risk, to its Liquidity Risk Management Committee (the “Liquidity Committee”). Under the LRMP, the Liquidity Committee performs the annual review of the LRMP required by the Liquidity Rule.
On December 9, 2020, the Trustees reviewed the Liquidity Committee’s initial written report (the “Report”) concerning the operation of the LRMP for the period from November 21, 2019 through November 20, 2020 (the “Reporting Period”). The Report addressed the operation, adequacy and effectiveness of the LRMP, the operation of a Fund’s highly liquid investment minimum, and any material changes to the LRMP during the Reporting Period. The Report provided an assessment of the various factors relevant to each Fund’s Liquidity Risk, an evaluation of data provided by a third-party liquidity assessment vendor and other relevant data, and reports on the Liquidity Committee’s consideration of intermediary firms with the largest beneficial ownership positions in each Fund, the likelihood that any of those firms may redeem their clients’ investments from the Funds without prior notice, and the effect that such redemptions could have on Fund liquidity. The Report concluded that the LRMP remains adequate and effective to address each Fund’s Liquidity Risk, that all of the Funds are able to meet redemption requests in current market conditions and in reasonably expected stressed conditions without significant dilution of remaining shareholders, that each Fund remains primarily highly liquid, each Fund’s liquidity classifications during the reporting period were reasonable, and the third-party liquidity assessment vendor’s system continues to be a useful tool for assessing the Funds’ Liquidity Risk. The Report stated that there have been no instances since the LRMP’s adoption in which a Fund exceeded its limitation on illiquid investments, nor have there been any material changes to the LRMP since its adoption.
106 | Thornburg Municipal Funds Semi-Annual Report
Trustees’ Statement to Shareholders (Unaudited)
Revised and Readopted September 15, 2020
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, 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.
[This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. For prospective investors in any fund of Thornburg Investment Trust, this communication must be preceded or accompanied by a prospectus. You may obtain a current copy of the Funds’ prospectus, which describes the Funds’ management fees, expenses and risks, by calling 1-800-847-0200 or by visiting www.thornburg.com/download. Please read the prospectus carefully before investing.]
Thornburg Investment Trust
2300 North Ridgetop Road
Santa Fe, NM 87506
505.984.0200 Tel
505.992.8681 Fax
www.thornburg.com
Thornburg Municipal Funds Semi-Annual Report | 107
Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $45.4 billion (as of March 31, 2021) across U.S. mutual funds, separate accounts for high-net-worth investors, institutional accounts, and UCITS funds for non-U.S. investors.
The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.
MULTI ASSET
| ■ | Thornburg Investment Income Builder Fund |
| ■ | Thornburg Summit Fund |
GLOBAL EQUITY
| ■ | Thornburg Global Opportunities Fund |
INTERNATIONAL EQUITY
| ■ | Thornburg International Equity Fund |
| ■ | Thornburg Better World International Fund |
| ■ | Thornburg International Growth Fund |
| ■ | Thornburg Developing World Fund |
DOMESTIC EQUITY
| ■ | Thornburg Small/Mid Cap Core Fund |
| ■ | Thornburg Small/Mid Cap Growth Fund |
ALTERNATIVES
| ■ | Thornburg Long/Short Equity Fund |
FIXED INCOME
| ■ | Thornburg Limited Term U.S. Government Fund |
| ■ | Thornburg Limited Term Income Fund |
| ■ | Thornburg Ultra Short Income Fund |
| ■ | Thornburg Strategic Income Fund |
MUNICIPAL
| ■ | Thornburg Short Duration Municipal Fund |
| ■ | Thornburg Limited Term Municipal Fund |
| ■ | Thornburg California Limited Term Municipal Fund |
| ■ | Thornburg New Mexico Intermediate Municipal Fund |
| ■ | Thornburg New York Intermediate Municipal Fund |
| ■ | Thornburg 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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Thornburg Municipal Funds Semi-Annual Report | 111
To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.
This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
Semi-Annual Report
March 31, 2021
At Thornburg, we believe unconstrained investing leads to better outcomes for our clients. Our investment solutions are highly active, high conviction, and benchmark agnostic. When it comes to finding economic opportunity for clients, it’s more than what we do.
It’s how we do it. Active As bottom-up, fundamental, active managers, we look beyond conventional benchmarks. Long Term We take a long-term view in how we manage our firm and our portfolios. Benchmark Agnostic Investment strategies should have the flexibility to pursue solutions for clients, not stay within the conventional confines of benchmarks. Flexible Perspective Our approach to portfolio construction is guided by our convictions rather than convention. High Conviction We focus our attention and capital on thoroughly researched, well-understood positions. The best form of risk management is to know what you own, and why. Repeatable & Robust Our long-term outperformance of benchmarks verifies that our process works and outperforms conventional thinking. Independent We are independently owned and far from the herd of other investment managers. Investment Driven All members of the investment team are resources for all of our strategies. Collaborative Our team collaborates on opportunities across geography, sector, or asset class.
Thornburg Capital Management Fund
Semi-Annual Report | March 31, 2021
Table of Contents
| SHARE CLASS | NASDAQ SYMBOL | CUSIP |
| Class I | N/A | 885-216-739 |
Investments carry risks, including possible loss of principal. Please see the Funds’ prospectus for a discussion of the risks associated with an investment in the Funds. Investments in the Funds are not FDIC insured, nor are they bank deposits or guaranteed by a bank or any other entity.
Letter to Shareholders
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
Dear Shareholder:
Given the opportunity to write to you about how our portfolios are delivering in the context of continued volatile and fascinating global markets, there is a great temptation to look backwards and reflect on the past year. Given that these letters are semi-annual, the last two occasions have been more fraught, being in the throes of the early and uncertain stages of the global pandemic, and then moving into a contentious presidential election here in the U.S. This moment in time has a brighter tone, and the ongoing vaccination drive is clearly bearing fruit.
But rather than simply detail what has occurred, it seems more worthwhile to connect that past experience with future possibilities, both good and bad. If 2020’s story was a significant disconnect between the reality that many individuals endured and the ultimately strong upwards movement of risk assets, it seems equally possible that disconnect could endure, but in the opposite direction. While we expect further economic recovery in the moment, markets, as always, are working to price the future. It is worth noting that the plaudits for saving the world from economic catastrophe are going to many of the policymakers that ordered up stimulus and easy monetary policy. It’s also important to note that the cost of U.S. stimulus thus far is about in line, inflation-adjusted, with the cost to the U.S. of fighting World War II. It’s also important to keep the perspective that the virus-induced crash was truly horrific, and the vaccine-induced bounce may be equally euphoric, but neither experience has policy at its core. As we look at the rest of 2021 and beyond, we will be in truly uncharted territory. We here at Thornburg remain skeptical of simple historical comparisons.
Prices in the global marketplace are generally high, perhaps especially in credit and global rates. At the same time, despite the unusually quick economic recovery occasioned by miraculous work around vaccines, our economic mandarins remain steadfast
in providing stimulus. Their apparent goal is to pull forward growth from the future into the present, to further the recovery. In addition, they wish to produce inflation so as to escape a deflationary spiral that looms large over the global economy due to a combination of high debt, aging demographics, and slowing productivity. Whether this stew of conditions produces a positive result in the future is unknowable, but what is as clear as ever is that the road is likely to be very bumpy. It is a road that will not likely be smoothed by further infrastructure spending.
At Thornburg, while the past has served as a wonderful proof point for the value of our global perspective and flexible approach, we are focused on continuing to invest for future results in your portfolios. Combined with our focus on breaking down silos within the investment universe, we are designed to see the world with better perspective. Many firms have good products, but we believe that our firm’s approach is our differentiator: we evaluate individual opportunities for each portfolio with a clear understanding of the bigger picture of what you need from us. This is what underlies the excellent long-term outcomes we’ve been able to achieve. It is our understanding of and participation in the interconnectedness of markets that is our core competency: we’re built to deliver on the promise of active management.
Thank you so much for your time and your business.
| |
Jason Brady, cfa
Portfolio Manager
CEO, President, and
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 are subject to change and do not necessarily reflect the views of Thornburg Investment Management, Inc. This information should not be relied upon as a recommendation or investment advice and is not intended to predict the performance of any investment or market.
Performance results of individual share classes will vary based on the fees and expenses associated with each share class, and may be higher or lower than other share classes within the same Fund. Please see Performance Summary for performance results of each share class.
Thornburg Capital Management Fund
Investment Goal and Fund Overview
Thornburg Capital Management Fund (TCMF) seeks to achieve superior risk exposures -- higher returns and lower costs -- for cash management across the Thornburg family of funds. By combining the cash balances of eligible Thornburg Investment Trust portfolios into a single pool of very high quality, short term liquid instruments, we reduce the costs of investing and significantly diversify and reduce risk exposures in any given portfolio.
The creation and management of the Fund helps illustrate our long-standing culture of efficient capital stewardship, benefiting all eligible portfolios through reduced transaction costs and more efficient management.
Performance drivers and detractors for the reporting period ending March 31, 2021
» The Fund generated positive total returns and outpaced its benchmark, the FTSE 1-Month Treasury Bill Index during the trailing six-month reporting period ending March 31, 2021.
» Over the reporting period, the Fund accomplished its goal of "safety of capital" by providing a share price for the TCMF of $10.00 that has not fluctuated since inception.
» The Fund has matched or beat its benchmark for all standard time periods since inception.
» Throughout the life of the strategy, the Fund has never suffered a default on any cash equivalent investment.
Performance Summary
March 31, 2021 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS
| | 1-YR | 3-YR | 5-YR | SINCE
INCEP. |
| Class I Shares (Incep: 7/31/15) | 0.23% | 1.55% | 1.30% | 1.19% |
| FTSE 1-Month T-Bill Index (Since 7/31/15) | 0.08% | 1.37% | 1.09% | 0.97% |
30-DAY YIELDS, CLASS I SHARES
| Annualized Distribution Yield | 0.14% |
| SEC Yield | 0.13% |
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, call 800-847-0200. There is no sales charge for class I shares.
Fund Summary
PORTFOLIO COMPOSITION
Schedule of Investments
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Short-Term Municipal Bonds — 3.4% | | |
| | New York — 3.4% | | |
| | City of New York (SPA Barclays Bank plc) GO, | | |
| a | Series B-4, 0.06% due 10/1/2046 (put 4/1/2021) | $ 24,805,000 | $ 24,805,000 |
| a | Series B-5, 0.05% due 10/1/2046 (put 4/1/2021) | 9,005,000 | 9,005,000 |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA Barclays Bank plc), Series-B3, 0.05% due 11/1/2042 (put 4/1/2021) | 2,250,000 | 2,250,000 |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA MIZUHO Bank Ltd.), Series A-4, 0.07% due 8/1/2043 (put 4/1/2021) | 1,200,000 | 1,200,000 |
| a | New York City Transitional Finance Authority Future Tax Secured Revenue (SPA U.S. Bank, N.A.), Series B-5, 0.07% due 8/1/2042 (put 4/1/2021) | 11,760,000 | 11,760,000 |
| a | New York City Water & Sewer System (SPA JPMorgan Chase Bank, N.A.), Series AA2, 0.06% due 6/15/2050 (put 4/1/2021) | 9,725,000 | 9,725,000 |
| a | New York State Housing Finance Agency (LOC Landesbank Hessen-Thuringen), Series A, 0.06% due 11/1/2046 (put 4/1/2021) | 4,500,000 | 4,500,000 |
| | Total Short-Term Municipal Bonds — 3.4% (Cost $63,245,000) | | 63,245,000 |
| | Mutual Fund — 4.3% | | |
| b | State Street Institutional Treasury Money Market Fund Premier Class, 0.01% | 78,976,051 | 78,976,051 |
| | Total Mutual Fund (Cost $78,976,051) | | 78,976,051 |
| | Corporate Bonds — 5.4% | | |
| | TriState Insured Cash Sweep, 0.30% due 10/1/2050 | 100,149,099 | 100,149,099 |
| | Total Corporate Bonds (Cost $100,149,099) | | 100,149,099 |
| | Commercial Paper — 84.8% | | |
| | Ameren Illinois Co., 0.11% due 4/1/2021 | 2,000,000 | 2,000,000 |
| | American Honda Finance, | | |
| | 0.17% due 4/7/2021 | 35,545,000 | 35,543,993 |
| | 0.18% due 4/22/2021 | 2,000,000 | 1,999,790 |
| | Amphenol Corp., | | |
| c | 0.15% due 4/1/2021 | 21,500,000 | 21,500,000 |
| c | 0.15% due 4/20/2021 | 13,000,000 | 12,998,971 |
| c | 0.15% due 4/27/2021 | 3,000,000 | 2,999,675 |
| c | Archer-Daniels Midland Co., 0.08% due 4/7/2021 | 39,000,000 | 38,999,480 |
| | Arizona Public Service Co., | | |
| | 0.08% due 4/1/2021 | 5,000,000 | 5,000,000 |
| | 0.09% due 4/5/2021 | 7,000,000 | 6,999,930 |
| | 0.09% due 4/7/2021 | 25,000,000 | 24,999,625 |
| c | AT&T, Inc., 0.15% due 4/16/2021 | 37,000,000 | 36,997,687 |
| c | Avery Dennison Corp., 0.10% due 4/1/2021 | 37,000,000 | 37,000,000 |
| c,d | BAT International Finance plc, 0.25% due 4/14/2021 | 36,655,000 | 36,651,691 |
| | Canadian Pacific, | | |
| c,d | 0.15% due 4/6/2021 | 12,000,000 | 11,999,750 |
| c,d | 0.15% due 4/7/2021 | 6,000,000 | 5,999,850 |
| c,d | 0.15% due 4/12/2021 | 4,000,000 | 3,999,817 |
| c,d | 0.16% due 4/16/2021 | 4,000,000 | 3,999,733 |
| | Caterpillar Financial Services Co., 0.08% due 4/30/2021 | 5,000,000 | 4,999,678 |
| | CenterPoint Energy, Inc., | | |
| c | 0.19% due 4/20/2021 | 1,000,000 | 999,900 |
| c | 0.19% due 4/19/2021 | 20,000,000 | 19,998,100 |
| c | 0.20% due 4/19/2021 | 10,000,000 | 9,999,000 |
| c | 0.20% due 4/21/2021 | 6,000,000 | 5,999,333 |
| c | Colgate Palmolive Co., 0.08% due 4/8/2021 | 10,356,000 | 10,355,839 |
| | Consolidated Edison Co., | | |
| c | 0.12% due 4/5/2021 | 4,000,000 | 3,999,947 |
| c | 0.13% due 4/5/2021 | 32,000,000 | 31,999,538 |
| c | CVS Corp., 0.08% due 4/1/2021 | 37,000,000 | 37,000,000 |
| c | Emerson Electric Co., 0.05% due 4/8/2021 | 20,000,000 | 19,999,806 |
| | ENI Finance USA, Inc., | | |
| c | 0.145% due 4/1/2021 | 3,101,000 | 3,101,000 |
| c | 0.15% due 4/1/2021 | 2,000,000 | 2,000,000 |
| c | 0.18% due 4/1/2021 | 6,994,000 | 6,994,000 |
6 | Semi-Annual Report
| See notes to financial statements. |
Schedule of Investments, Continued
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| c | 0.12% due 4/5/2021 | $ 808,000 | $ 807,989 |
| c | 0.145% due 4/5/2021 | 14,000,000 | 13,999,774 |
| c | 0.12% due 4/6/2021 | 2,561,000 | 2,560,957 |
| c | 0.17% due 4/6/2021 | 545,000 | 544,987 |
| c | 0.20% due 4/13/2021 | 5,000,000 | 4,999,667 |
| c | 0.20% due 4/15/2021 | 1,331,000 | 1,330,896 |
| c | Evergy Metro, Inc., 0.12% due 4/5/2021 | 37,000,000 | 36,999,507 |
| c,d | Experian Finance PLC, 0.08% due 4/1/2021 | 25,000,000 | 25,000,000 |
| | Florida Power and Lighting Co., | | |
| | 0.08% due 4/13/2021 | 2,000,000 | 1,999,947 |
| | 0.08% due 4/29/2021 | 34,000,000 | 33,997,884 |
| c | Hitachi America Capital Ltd., 0.12% due 4/8/2021 | 2,000,000 | 1,999,953 |
| | Intercontinental Exchange, Inc., | | |
| c | 0.16% due 4/12/2021 | 14,000,000 | 13,999,316 |
| c | 0.18% due 4/14/2021 | 21,432,000 | 21,430,607 |
| | Kellogg Co., | | |
| c | 0.10% due 4/12/2021 | 28,330,000 | 28,329,134 |
| c | 0.15% due 4/15/2021 | 7,000,000 | 6,999,592 |
| | Kentucky Utilities, | | |
| c | 0.16% due 4/5/2021 | 25,000,000 | 24,999,556 |
| c | 0.16% due 4/6/2021 | 11,000,000 | 10,999,756 |
| c | 0.17% due 4/12/2021 | 2,000,000 | 1,999,896 |
| c | Kimberly Clark Corp., 0.05% due 4/13/2021 | 6,000,000 | 5,999,900 |
| c | L’Oreal USA, Inc, 0.05% due 4/6/2021 | 34,000,000 | 33,999,764 |
| | Louisville Gas & Electric Co., | | |
| c | 0.16% due 4/5/2021 | 7,000,000 | 6,999,876 |
| c | 0.16% due 4/6/2021 | 22,554,000 | 22,553,499 |
| c | 0.16% due 4/9/2021 | 6,000,000 | 5,999,787 |
| c | 0.18% due 4/13/2021 | 2,000,000 | 1,999,880 |
| | LVMH Moet Hennessy Louis Vuitton SE, | | |
| c,d | 0.10% due 4/7/2021 | 33,600,000 | 33,599,440 |
| c,d | 0.10% due 4/22/2021 | 3,000,000 | 2,999,825 |
| c,d | 0.10% due 4/23/2021 | 750,000 | 749,954 |
| | Marathon Petroleum Corp., | | |
| c | 0.26% due 4/1/2021 | 8,100,000 | 8,100,000 |
| c | 0.50% due 4/28/2021 | 14,000,000 | 13,994,750 |
| c | 0.52% due 4/28/2021 | 15,000,000 | 14,994,150 |
| | Mccormick & Company, | | |
| c | 0.10% due 4/1/2021 | 3,000,000 | 3,000,000 |
| c | 0.15% due 4/1/2021 | 10,644,000 | 10,644,000 |
| c | 0.15% due 4/16/2021 | 12,635,000 | 12,634,210 |
| c | 0.16% due 4/23/2021 | 2,000,000 | 1,999,804 |
| | MidAmerican Energy Co., | | |
| | 0.07% due 4/1/2021 | 33,580,000 | 33,580,000 |
| | 0.10% due 4/9/2021 | 4,000,000 | 3,999,911 |
| | Mondelez International, Inc., | | |
| c | 0.12% due 4/6/2021 | 5,000,000 | 4,999,917 |
| c | 0.12% due 4/7/2021 | 31,000,000 | 30,999,380 |
| | NextEra Energy Capital Holdings, Inc., | | |
| c | 0.14% due 4/5/2021 | 1,000,000 | 999,984 |
| c | 0.16% due 4/12/2021 | 21,000,000 | 20,998,973 |
| c | 0.17% due 4/16/2021 | 1,500,000 | 1,499,894 |
| | Northern Illinois Gas Corp., 0.11% due 4/6/2021 | 36,000,000 | 35,999,450 |
| | NSTAR Electric Co., | | |
| | 0.13% due 4/8/2021 | 14,340,000 | 14,339,637 |
| | 0.09% due 4/14/2021 | 23,000,000 | 22,999,252 |
| | Oglethorpe Power Corp., | | |
| c | 0.18% due 4/13/2021 | 3,714,000 | 3,713,777 |
| c | 0.18% due 4/20/2021 | 5,756,000 | 5,755,453 |
| | One Gas, Inc., | | |
| c | 0.17% due 4/1/2021 | 9,100,000 | 9,100,000 |
| c | 0.12% due 4/7/2021 | 4,280,000 | 4,279,914 |
| | PacifiCorp, 0.10% due 4/1/2021 | 37,000,000 | 37,000,000 |
See notes to financial statements.
| Semi-Annual Report | 7 |
Schedule of Investments, Continued
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
| | ISSUER-DESCRIPTION | Principal
Amount | VALUE |
| | Peoples Gas Light & Coke Co., | | |
| | 0.10% due 4/5/2021 | $ 17,000,000 | $ 16,999,811 |
| | 0.12% due 4/5/2021 | 19,000,000 | 18,999,747 |
| | PPG Industries, Inc., | | |
| | 0.17% due 4/21/2021 | 10,000,000 | 9,999,056 |
| | 0.16% due 4/22/2021 | 25,000,000 | 24,997,667 |
| | 0.17% due 4/22/2021 | 1,000,000 | 999,901 |
| | PPL Electric Utilities Corp., | | |
| c | 0.17% due 4/9/2021 | 3,000,000 | 2,999,887 |
| c | 0.18% due 4/19/2021 | 34,000,000 | 33,996,940 |
| | Ryder System, Inc., | | |
| | 0.14% due 4/1/2021 | 5,000,000 | 5,000,000 |
| | 0.16% due 4/14/2021 | 5,000,000 | 4,999,711 |
| | San Diego Gas & Electric Co., | | |
| c | 0.13% due 4/1/2021 | 35,000,000 | 35,000,000 |
| c | 0.14% due 4/5/2021 | 35,000,000 | 34,999,456 |
| | Sempra Energy, | | |
| c | 0.17% due 4/1/2021 | 22,000,000 | 22,000,000 |
| c | 0.18% due 4/7/2021 | 18,000,000 | 17,999,460 |
| c | Southern California Edison, 0.23% due 4/1/2021 | 39,000,000 | 39,000,000 |
| c | Stanley Works (The), 0.05% due 4/1/2021 | 23,650,000 | 23,650,000 |
| | Total Capital Canada, Ltd., | | |
| c,d | 0.09% due 4/6/2021 | 500,000 | 499,994 |
| c,d | 0.08% due 4/7/2021 | 2,668,000 | 2,667,964 |
| | Union Electric Co., 0.15% due 4/16/2021 | 39,000,000 | 38,997,562 |
| | Wec Energy Group, Inc., | | |
| c | 0.18% due 4/5/2021 | 35,000,000 | 34,999,300 |
| c | 0.18% due 4/12/2021 | 2,000,000 | 1,999,890 |
| | Wisconsin Gas Co., 0.12% due 4/6/2021 | 30,000,000 | 29,999,500 |
| | Wisconsin Power & Light Co., 0.09% due 4/1/2021 | 37,000,000 | 37,000,000 |
| | Wisconsin Public Service Corp., 0.08% due 4/6/2021 | 35,000,000 | 34,999,611 |
| | Total Commercial Paper (Cost $1,563,475,389) | | 1,563,475,389 |
| | Repurchase Agreement — 4.1% | | |
| | Bank of New York Tri-Party Repurchase Agreement, 0.17% dated 3/31/2021 due 4/1/2021, repurchase price $75,000,354 collateralized by 24 corporate debt securities, having an average coupon of 2.82%, a minimum credit rating of BBB-, maturity dates from 4/15/2024 to 3/25/2061, and having an aggregate market value of $80,226,248 at 3/31/2021 | 75,000,000 | 75,000,000 |
| | Total Repurchase Agreements (Cost $75,000,000) | | 75,000,000 |
| | Total Investments — 102.0% (Cost $1,880,845,539) | | $1,880,845,539 |
| | Liabilities Net of Other Assets — (2.0)% | | (36,306,444) |
| | Net Assets — 100.0% | | $1,844,539,095 |
| Footnote Legend |
| a | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
| b | Rate represents the money market fund annualized seven-day yield at March 31, 2021. |
| c | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are restricted but liquid and may only be resold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2021, the aggregate value of these securities in the Fund’s portfolio was $1,075,023,726, representing 58.28% of the Fund’s net assets. |
| d | Yankee bond denominated in U.S. dollars and is issued in the U.S. by foreign banks and corporations. |
Portfolio Abbreviations
To simplify the listings of securities, abbreviations are used per the table below:
| GO | General Obligation |
| LOC | Letter of Credit |
| SPA | Stand-by Purchase Agreement |
8 | Semi-Annual Report
| See notes to financial statements. |
Statement of Assets and Liabilities
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
| ASSETS | |
| Investment in securities, at cost | $ 1,880,845,539 |
| Investments at value | 1,880,845,539 |
| Dividends receivable | 65 |
| Principal and interest receivable | 27,312 |
| Prepaid expenses and other assets | 6,702 |
| Total Assets | 1,880,879,618 |
| Liabilities | |
| Payable for investments purchased | 36,279,417 |
| Accounts payable and accrued expenses | 61,106 |
| Total Liabilities | 36,340,523 |
| Net Assets | $ 1,844,539,095 |
| NET ASSETS CONSIST OF | |
| Net capital paid in on shares of beneficial interest | $ 1,844,533,305 |
| Distributable earnings | 5,790 |
| Net Assets | $ 1,844,539,095 |
| NET ASSET VALUE | |
| Class I Shares: | |
| Net assets applicable to shares outstanding | $ 1,844,539,095 |
| Shares outstanding | 184,455,700 |
| Net asset value and redemption price per share | $ 10.00 |
See notes to financial statements.
Statement of Operations
Thornburg Capital Management Fund | Six Months Ended March 31, 2021 (Unaudited)
| INVESTMENT INCOME | |
| Interest income | $ 1,366,153 |
| Dividend income | 703 |
| Total Income | 1,366,856 |
| EXPENSES | |
| Transfer agent fees | 1,480 |
| Custodian fees | 51,744 |
| Professional fees | 17,722 |
| Officer fees | 6,136 |
| Tax reclaim collection fees | - |
| Other expenses | 7,140 |
| Total Expenses | 84,222 |
| Net Investment Income (Loss) | $ 1,282,634 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) | 5,796 |
| Net Realized and Unrealized Gain (Loss) | 5,796 |
| Change in Net Assets Resulting from Operations | $ 1,288,430 |
See notes to financial statements.
Statements of Changes in Net Assets
Thornburg Capital Management Fund
| | Six Months Ended
March 31, 2021* | Year Ended
September 30, 2020 |
| INCREASE (DECREASE) IN NET ASSETS FROM | | |
| OPERATIONS | | |
| Net investment income | $ 1,282,634 | $ 13,397,854 |
| Net realized gain (loss) on investments | 5,796 | 452 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,288,430 | 13,398,306 |
| DIVIDENDS TO SHAREHOLDERS | | |
| From distributable earnings | | |
| Class I Shares | (1,283,088) | (13,421,553) |
| FUND SHARE TRANSACTIONS | | |
| Class I Shares | 183,245,547 | 108,634,305 |
| Net Increase (Decrease) in Net Assets | 183,250,889 | 108,611,058 |
| NET ASSETS | | |
| Beginning of Period | 1,661,288,206 | 1,552,677,148 |
| End of Period | $ 1,844,539,095 | $ 1,661,288,206 |
See notes to financial statements.
Notes to Financial Statements
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
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 "1940 Act"). The Fund is currently one of twenty-two 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’s investments subject it to risks including, but not limited to, management risk, interest rate risk, prepayment and extension risk, credit risk, market and economic risk, foreign investment risk, liquidity risk and diversification risk. Please see the Fund’s prospectus for a discussion of the risks associated with an investment in the Fund.
All countries are vulnerable economically to the impact of a public health crisis, such as the novel virus known as COVID-19. Such crises may depress consumer demand, disrupt supply chains, slow economic growth, and potentially lead to market closures, travel restrictions, government-imposed shutdowns, and quarantines, all of which could adversely affect the economies of many of the markets in which the Fund invests, and which could in turn lead to declines in the value of the Fund’s investments or decrease the liquidity of those investments.
As of March 31, 2021, 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 may be subject to 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. Thornburg Investment Management, Inc. (the "Advisor"), acting as the agent for the other series of the Trust, will affect all purchases and sells of shares of the Fund on behalf of any 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 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.
Allocation of Expenses: 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.
Dividends and Distributions to Shareholders: Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. Ordinary income dividends, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually and more often if deemed necessary by the Advisor. Dividends and distributions are paid and are reinvested in additional shares of the Fund at net asset value per share at the close of business on the ex-dividend date, or at the shareholder’s option, paid in cash.
Guarantees and Indemnifications: Under the Trust’s organizational documents (and under separate agreements with the independent Trustees), its officers and Trustees are provided with an indemnification against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business the Trust may also enter into contracts with service providers that contain general indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, based on experience, the Trust expects the risk of loss to be remote.
Investment Income: Interest income is accrued as earned. Premiums and discounts are amortized and accreted, respectively, to first call dates or maturity dates using the effective yield method of the respective investments. These amounts are included in Investment Income in the Statement of Operations.
Investment Transactions: Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale of investments are recorded on an identified cost basis.
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
Notes to Financial Statements, Continued
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
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.
Security Valuation: All investments in securities held by the Fund are valued as described in Note 3.
Use of Estimates: 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.
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 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. The values of these securities held at March 31, 2021 are detailed in the Schedule of Investments.
NOTE 3 – SECURITY VALUATION
Valuation of the Fund’s portfolio investment securities is performed in accordance with policies and procedures adopted by and under the oversight of the Trustees.
The Trustees of the Trust have appointed the Advisor to assist the Trustees with obtaining fair market values for portfolio investments, evaluating and monitoring professional pricing service providers appointed by the Trustees’ Audit Committee (the “Audit Committee”) to assist in determining fair values for portfolio investments, assisting in calculating fair values for portfolio investments in certain circumstances, and performing other functions in connection with the 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, reviews 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 Securities: Securities held with a maturity of less than 60 days are valued using the amortized cost method. The amortized cost method of valuation involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price each Fund would receive if it sold the security. The market value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates.
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.
The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Advisor determines such method does not represent fair value. Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.
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 is stale, does not reflect material factors affecting the valuation of the investment, is significantly different than the value the Fund is likely to obtain if it sought a bid for the investment, or is otherwise unreliable, the Committee calculates a fair value for the obligation using an alternative method approved by the Audit Committee.
Notes to Financial Statements, Continued
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
Valuation Hierarchy: 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 ratings, 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 is typically calculated by pricing service providers approved by the Audit Committee and are generally 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 a 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 March 31, 2021:
| | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 |
| Assets | | | | |
| Investments in Securities | | | | |
| Short-Term Investments | $ 1,880,845,539 | $ 78,976,051 | $ 1,801,869,488 | $ — |
| Total Assets | $ 1,880,845,539 | $ 78,976,051 | $ 1,801,869,488 | $— |
NOTE 4 – INVESTMENT MANAGEMENT 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 Advisor provides certain administrative services to the Fund. No fees are charged for these services.
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 six months ended March 31, 2021, the Fund had no such transactions with affiliated funds.
NOTE 5 – TAXES
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 investment company taxable income including net realized gains on investments (if any), and tax exempt income of the Fund. Therefore, no provision for federal income or excise tax is required.
The Fund files income tax returns in United States federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three years following a return’s filing date. The Fund has analyzed each uncertain tax position
Notes to Financial Statements, Continued
Thornburg Capital Management Fund | March 31, 2021 (Unaudited)
believed to be material in the preparation of the Fund’s financial statements for the six month period ended March 31, 2021, including open tax years, to assess whether it is more likely than not that the position would be sustained upon examination, based on the technical merits of the position. The Fund has not identified any such position for which an asset or liability must be reflected in the Statement of Assets and Liabilities.
At March 31, 2021, information on the tax components of capital were as follows:
| Cost of investments for tax purposes | $ 1,880,845,539 |
| Net unrealized appreciation (depreciation) on investments (tax basis) | $ - |
There is no unrealized gain (loss) in the Fund at March 31, 2021 due to all securities with less than 60 days to maturity being valued by the amortized cost method.
NOTE 6 – SHARES OF BENEFICIAL INTEREST
At March 31, 2021, there were an unlimited number of shares with no par value of beneficial interest authorized. Transactions in shares of beneficial interest were as follows:
| | SIX MONTHS ENDED
March 31, 2021 | YEAR ENDED
September 30, 2020 (AUDITED) |
| | SHARES | AMOUNT | SHARES | AMOUNT |
| Class I Shares | | | | |
| Shares sold | 495,796,119 | $ 4,957,961,189 | 1,021,124,579 | $ 10,211,245,791 |
| Shares issued to shareholders in reinvestment of dividends | 128,309 | 1,283,088 | 1,342,193 | 13,421,929 |
| Shares repurchased | (477,599,873) | (4,775,998,730) | (1,011,603,342) | (10,116,033,415) |
| Net increase | 18,324,555 | $ 183,245,547 | 10,863,430 | $ 108,634,305 |
NOTE 7 – INVESTMENT TRANSACTIONS
For the six months ended March 31, 2021, the Fund had no purchase and sale transactions of investments other than short-term investments.
| | Per Share Performance (For a Share Outstanding throughout the Period) |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 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 |
| Class I (b) |
| 2021 (c) | $ 10.00 | 0.01 | — (d) | 0.01 | (0.01) | — | (0.01) | $ 10.00 |
| 2020 | $ 10.00 | 0.10 | 0.01 | 0.11 | (0.11) | — | (0.11) | $ 10.00 |
| 2019 | $ 10.00 | 0.24 | — | 0.24 | (0.24) | — | (0.24) | $ 10.00 |
| 2018 | $ 10.00 | 0.18 | — | 0.18 | (0.18) | — | (0.18) | $ 10.00 |
| 2017 | $ 10.00 | 0.09 | — | 0.09 | (0.09) | — | (0.09) | $ 10.00 |
| 2016 | $ 10.00 | 0.05 | — | 0.05 | (0.05) | — | (0.05) | $ 10.00 |
| (a) | Not annualized for periods less than one year. |
| (b) | Sales loads are not reflected in computing total return. |
| (c) | Unaudited Six Month Period Ended March 31. |
| (d) | Net realized and unrealized gain (loss) on investments was less than $0.01 per share. |
| (e) | Annualized. |
| (f) | 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.
Financial Highlights, Continued
| | Ratios to Average Net Assets | | Supplemental Data |
UNLESS OTHERWISE
NOTED, PERIODS ARE
FISCAL YEARS ENDED
SEPTEMBER 30, | Net Investment
Income (Loss) (%) | Expenses, After
Expense
Reductions (%) | Expenses,
Before Expense
Reductions (%) | | Total
Return (%)(a) | Portfolio
Turnover
Rate (%)(a) | Net Assets
at End of Period
(Thousands) |
| Class I (b) |
| 2021 (c) | 0.13 (e) | 0.01 (e) | 0.01 (e) | | 0.06 | — (f) | $ 1,844,539 |
| 2020 | 1.00 | 0.01 | 0.01 | | 1.08 | — (f) | $ 1,661,288 |
| 2019 | 2.44 | 0.02 | 0.02 | | 2.48 | — (f) | $ 1,552,677 |
| 2018 | 1.76 | 0.02 | 0.02 | | 1.76 | — (f) | $ 1,325,525 |
| 2017 | 0.89 | 0.03 | 0.03 | | 0.87 | — (f) | $ 1,130,021 |
| 2016 | 0.45 | 0.03 | 0.03 | | 0.45 | — (f) | $ 1,393,536 |
Expense Example
Thornburg Capital Management Fund | March 31, 2021 (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 October 1, 2020, and held until March 31, 2021.
| | BEGINNING
ACCOUNT VALUE
10/1/20 | ENDING
ACCOUNT VALUE
3/31/21 | EXPENSES PAID
DURING PERIOD†
10/1/20—3/31/21 |
| CLASS I SHARES |
| Actual | $1,000.00 | $1,000.64 | $0.05 |
| Hypothetical* | $1,000.00 | $1,024.88 | $0.05 |
| † | Expenses are equal to the annualized expense ratio for each class (I: 0.01%) multiplied by the average account value over the period, multiplied by 182/365 to reflect the one-half year period. |
| * | Hypothetical assumes a rate of return of 5% per year before expenses. |
ACTUAL EXPENSES
For each class of shares, the first line of the 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.
Other Information
March 31, 2021 (Unaudited)
PORTFOLIO PROXY VOTING
Policies and Procedures:
The Trust has delegated to 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 U.S. 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 U.S. 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-PORT EX for the first and third quarters of each fiscal year. The Fund’s Form N-PORT EX 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 REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
The Trustees of the Trust have appointed the Advisor (“Program Administrator”) to administer the Trust’s liquidity risk management program (the “LRMP”) adopted for each of the Funds of the Trust under rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The LRMP is designed to reduce the risk that a Fund will be unable to meet its redemption obligations under the 1940 Act, and to mitigate the dilution of the interests of Fund shareholders occasioned by redemptions tendered by other shareholders (“Liquidity Risk”). Pursuant to the LRMP, the Program Administrator has delegated certain functions, including daily oversight and management of the Funds’ Liquidity Risk, to its Liquidity Risk Management Committee (the “Liquidity Committee”). Under the LRMP, the Liquidity Committee performs the annual review of the LRMP required by the Liquidity Rule.
On December 9, 2020, the Trustees reviewed the Liquidity Committee’s initial written report (the “Report”) concerning the operation of the LRMP for the period from November 21, 2019 through November 20, 2020 (the “Reporting Period”). The Report addressed the operation, adequacy and effectiveness of the LRMP, the operation of a Fund’s highly liquid investment minimum, and any material changes to the LRMP during the Reporting Period. The Report provided an assessment of the various factors relevant to each Fund’s Liquidity Risk, an evaluation of data provided by a third-party liquidity assessment vendor and other relevant data, and reports on the Liquidity Committee’s consideration of intermediary firms with the largest beneficial ownership positions in each Fund, the likelihood that any of those firms may redeem their clients’ investments from the Funds without prior notice, and the effect that such redemptions could have on Fund liquidity. The Report concluded that the LRMP remains adequate and effective to address each Fund’s Liquidity Risk, that all of the Funds are able to meet redemption requests in current market conditions and in reasonably expected stressed conditions without significant dilution of remaining shareholders, that each Fund remains primarily highly liquid, each Fund’s liquidity classifications during the reporting period were reasonable, and the third-party liquidity assessment vendor’s system continues to be a useful tool for assessing the Funds’ Liquidity Risk. The Report stated that there have been no instances since the LRMP’s adoption in which a Fund exceeded its limitation on illiquid investments, nor have there been any material changes to the LRMP since its adoption.
Trustees’ Statement to Shareholders (Unaudited)
Revised and Readopted September 15, 2020
The Trustees believe current and prospective shareholders should know how we discharge our responsibilities in supervising the Funds’ investment advisor and in reviewing the advisor’s contract for renewal. Since 2005, we have issued a statement which sets out clearly the three principal guidelines that we follow in supervising the Trust’s investment advisor on your behalf. In accordance with our customary practice, in September of this year we again reviewed our statement and concluded we should reissue this statement outlining the principal features of our supervision of the advisor’s performance of investment management services for the Funds.
We begin with the premise that each shareholder selected his or her Fund because its investments are managed by the investment advisor identified in the prospectus and in accordance with the objective and policies described in the prospectus. We realize, as each of you do, that if you believe that your Fund’s stated objective and policies no longer serve your personal investment goals, you can sell your shares and leave the Fund.
Therefore, we believe that our primary supervisory task – our principal obligation to you – is to assess the nature and quality of the advisor’s services, and to confirm that the advisor actively and competently pursues the Fund’s objective, in accordance with the policies set out in the prospectus. To do this, we meet regularly with management to review your Fund’s portfolio and to discuss the advisor’s specific actions and judgments in pursuing the Fund’s objective. We do not substitute our own judgment for the advisor’s decisions in selecting investments; the advisor is paid to exercise its informed judgment on investment decisions, and we seek to confirm, in reviewing the advisor’s performance, that the advisor is doing just that.
Second, 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.
[This statement is submitted for the general information of the shareholders of Thornburg Investment Trust. For prospective investors in any fund of Thornburg Investment Trust, this communication must be preceded or accompanied by a prospectus. You may obtain a current copy of the Funds’ prospectus, which describes the Funds’ management fees, expenses and risks, by calling 1-800-847-0200. Please read the prospectus carefully before investing.]
Thornburg Investment Trust
2300 North Ridgetop Road
Santa Fe, NM 87506
505.984.0200 Tel
505.992.8681 Fax
www.thornburg.com
Thornburg Investment Management is a privately-owned global investment firm that offers a range of solutions for retail and institutional investors. Founded in 1982 and headquartered in Santa Fe, New Mexico, we manage approximately $45.4 billion (as of March 31, 2021) across U.S. mutual funds, separate accounts for high-net-worth investors, institutional accounts, and UCITS funds for non-U.S. investors.
The fund outlined in this report is one of many equity and fixed-income products available from Thornburg Investment Management.
MULTI ASSET
| ■ | Thornburg Investment Income Builder Fund |
| ■ | Thornburg Summit Fund |
GLOBAL EQUITY
| ■ | Thornburg Global Opportunities Fund |
INTERNATIONAL EQUITY
| ■ | Thornburg International Equity Fund |
| ■ | Thornburg Better World International Fund |
| ■ | Thornburg International Growth Fund |
| ■ | Thornburg Developing World Fund |
DOMESTIC EQUITY
| ■ | Thornburg Small/Mid Cap Core Fund |
| ■ | Thornburg Small/Mid Cap Growth Fund |
ALTERNATIVES
| ■ | Thornburg Long/Short Equity Fund |
FIXED INCOME
| ■ | Thornburg Limited Term U.S. Government Fund |
| ■ | Thornburg Limited Term Income Fund |
| ■ | Thornburg Ultra Short Income Fund |
| ■ | Thornburg Strategic Income Fund |
MUNICIPAL
| ■ | Thornburg Short Duration Municipal Fund |
| ■ | Thornburg Limited Term Municipal Fund |
| ■ | Thornburg California Limited Term Municipal Fund |
| ■ | Thornburg New Mexico Intermediate Municipal Fund |
| ■ | Thornburg New York Intermediate Municipal Fund |
| ■ | Thornburg 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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To receive shareholder reports, prospectuses, and proxy statements electronically, go to www.thornburg.com/edelivery.
This Semi-Annual Report is submitted for the general information of shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
Investment Advisor:
Thornburg Investment Management®
800.847.0200
Distributor:
Thornburg Securities Corporation®
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Filed as part of the reports to shareholders filed under item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
The authority to consider candidates recommended by the shareholders in accordance with the Trust’s Procedures for Shareholder Communications is committed to the Governance and Nominating Committee.
Item 11. Controls and Procedures
(a) The principal executive officer and the principal financial officer have concluded that Thornburg Investment Trust’s disclosure controls and procedures provide reasonable assurance that material information relating to Thornburg Investment Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There was no change in Thornburg Investment Trust’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report (that is, the registrant’s second fiscal quarter) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
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: Short Duration Municipal Fund, Limited Term Municipal Fund, Intermediate Municipal Fund, Strategic Municipal Income Fund, California Limited Term Municipal Fund, New Mexico Intermediate Municipal Fund, New York Intermediate Municipal Fund, Limited Term U.S. Government Fund, Limited Term Income Fund, Ultra Short Income Fund, Strategic Income Fund, Small/Mid Cap Core Fund, International Equity Fund, Small/Mid Cap Growth Fund, International Growth Fund, Investment Income Builder Fund, Global Opportunities Fund, Developing World Fund, Better World International Fund, Capital Management Fund, Long/Short Equity Fund and Summit Fund.
| | |
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| By: | | /s/ Jason H. Brady |
| |
| | Jason H. Brady |
| |
| | President and principal executive officer |
| |
| Date: | | May 26, 2021 |
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/ Jason H. Brady |
| |
| | Jason H. Brady |
| |
| | President and principal executive officer |
| |
| Date: | | May 26, 2021 |
| |
| By: | | /s/ Nimish Bhatt |
| |
| | Nimish Bhatt |
| |
| | Principal financial officer |
| |
| Date: | | May 26, 2021 |
